Archive for the ‘Market Action’ Category

May 9, 2017

Wednesday, May 10th, 2017

I regret to advise that due to continued server problems, the Market Action report for May 9 will be delayed. I will update this post when I can.

Update, 2017-5-13:

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 0.2438 % 2,156.6
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.2438 % 3,957.2
Floater 3.54 % 3.68 % 49,430 18.09 4 0.2438 % 2,280.5
OpRet 0.00 % 0.00 % 0 0.00 0 0.0469 % 3,031.9
SplitShare 4.69 % 4.35 % 64,243 1.59 5 0.0469 % 3,620.7
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0469 % 2,825.0
Perpetual-Premium 5.31 % -4.43 % 73,779 0.09 22 0.0124 % 2,784.8
Perpetual-Discount 5.10 % 5.09 % 106,557 15.33 14 -0.2096 % 3,002.7
FixedReset 4.43 % 4.01 % 218,059 6.55 94 0.4730 % 2,334.4
Deemed-Retractible 4.98 % 4.46 % 136,529 0.12 30 -0.0054 % 2,892.2
FloatingReset 2.46 % 2.94 % 48,060 4.48 10 0.1957 % 2,536.3
Performance Highlights
Issue Index Change Notes
BAM.PR.M Perpetual-Discount -1.30 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-05-09
Maturity Price : 22.53
Evaluated at bid price : 22.78
Bid-YTW : 5.27 %
SLF.PR.G FixedReset 1.11 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 16.33
Bid-YTW : 8.67 %
BMO.PR.Y FixedReset 1.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-05-09
Maturity Price : 22.35
Evaluated at bid price : 22.91
Bid-YTW : 4.04 %
TRP.PR.H FloatingReset 1.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-05-09
Maturity Price : 13.50
Evaluated at bid price : 13.50
Bid-YTW : 3.32 %
BMO.PR.W FixedReset 1.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-05-09
Maturity Price : 21.09
Evaluated at bid price : 21.09
Bid-YTW : 3.92 %
NA.PR.S FixedReset 1.21 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-05-09
Maturity Price : 21.45
Evaluated at bid price : 21.80
Bid-YTW : 3.98 %
BAM.PF.E FixedReset 1.21 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-05-09
Maturity Price : 21.39
Evaluated at bid price : 21.71
Bid-YTW : 4.27 %
SLF.PR.H FixedReset 1.21 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.18
Bid-YTW : 7.00 %
MFC.PR.L FixedReset 1.27 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.71
Bid-YTW : 6.35 %
TRP.PR.G FixedReset 1.29 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-05-09
Maturity Price : 22.68
Evaluated at bid price : 23.55
Bid-YTW : 4.19 %
CU.PR.I FixedReset 1.52 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2020-12-01
Maturity Price : 25.00
Evaluated at bid price : 26.80
Bid-YTW : 2.31 %
IFC.PR.A FixedReset 1.55 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.40
Bid-YTW : 7.50 %
BAM.PR.X FixedReset 1.59 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-05-09
Maturity Price : 16.64
Evaluated at bid price : 16.64
Bid-YTW : 4.28 %
BAM.PR.T FixedReset 1.72 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-05-09
Maturity Price : 19.53
Evaluated at bid price : 19.53
Bid-YTW : 4.35 %
TRP.PR.B FixedReset 1.77 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-05-09
Maturity Price : 14.41
Evaluated at bid price : 14.41
Bid-YTW : 3.98 %
TRP.PR.A FixedReset 1.89 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-05-09
Maturity Price : 18.89
Evaluated at bid price : 18.89
Bid-YTW : 3.98 %
TRP.PR.D FixedReset 2.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-05-09
Maturity Price : 21.42
Evaluated at bid price : 21.42
Bid-YTW : 4.05 %
Volume Highlights
Issue Index Shares
Traded
Notes
BIP.PR.D FixedReset 158,124 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-03-31
Maturity Price : 25.00
Evaluated at bid price : 25.58
Bid-YTW : 4.61 %
BNS.PR.D FloatingReset 151,000 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.95
Bid-YTW : 4.40 %
BMO.PR.K Deemed-Retractible 105,510 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2017-06-08
Maturity Price : 25.00
Evaluated at bid price : 24.98
Bid-YTW : 3.45 %
RY.PR.I FixedReset 103,000 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.82
Bid-YTW : 3.30 %
RY.PR.R FixedReset 101,751 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-08-24
Maturity Price : 25.00
Evaluated at bid price : 27.10
Bid-YTW : 3.35 %
TD.PF.C FixedReset 89,100 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-05-09
Maturity Price : 21.15
Evaluated at bid price : 21.15
Bid-YTW : 3.96 %
There were 27 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
BAM.PF.I FixedReset Quote: 26.10 – 26.48
Spot Rate : 0.3800
Average : 0.2515

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-03-31
Maturity Price : 25.00
Evaluated at bid price : 26.10
Bid-YTW : 3.94 %

MFC.PR.F FixedReset Quote: 15.42 – 15.81
Spot Rate : 0.3900
Average : 0.2692

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 15.42
Bid-YTW : 9.45 %

BAM.PF.D Perpetual-Discount Quote: 23.59 – 23.99
Spot Rate : 0.4000
Average : 0.2901

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-05-09
Maturity Price : 23.19
Evaluated at bid price : 23.59
Bid-YTW : 5.24 %

MFC.PR.M FixedReset Quote: 21.51 – 21.85
Spot Rate : 0.3400
Average : 0.2343

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.51
Bid-YTW : 5.96 %

PWF.PR.O Perpetual-Premium Quote: 25.99 – 26.29
Spot Rate : 0.3000
Average : 0.2051

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2017-06-08
Maturity Price : 25.50
Evaluated at bid price : 25.99
Bid-YTW : -15.20 %

MFC.PR.J FixedReset Quote: 22.47 – 22.79
Spot Rate : 0.3200
Average : 0.2251

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.47
Bid-YTW : 5.39 %

May 8, 2017

Tuesday, May 9th, 2017

China a moving towards becoming the biggest adopter of technological change:

China is pushing hard towards becoming a trailblazer when it comes to automation and intelligent engineering. Already the biggest market for industrial robots, the Chinese government has clearly identified its goals of becoming one of the pioneers in robotics and automated machinery. It will lead a major overhaul in how the Chinese industry functions and, amidst its robotic ambitions, the domain of driverless trucks is not far behind.

Last year, the Chinese internet giant Baidu unveiled its self-driving truck, made in collaboration with Foton Motor Group, a step forward in revolutionizing not only the $300 billion Chinese transportation industry but also in boosting competitiveness in a slowing economy that aims to become the world’s largest within the next decade.

But we’re not worried:

If machines are really getting smarter and threatening to replace human workers en masse, Canadians don’t seem overly alarmed just yet.

That’s the upshot of a poll released Saturday by Abacus Data. The Ottawa polling firm found 89 per cent of Canadians agreed “technological change has been good for the world,” while 76 per cent agreed “technological change has been good for my own economic well-being.” While wealthier respondents were more likely to see technology change as good for their prosperity, two-thirds of respondents labelled “working/lower” class agreed.

One of their charts was also of interest:

the-impact-of-globalization
Click for Big

Those clamouring for investment fee transparency will be pleased by this WSJ reporter’s ordeal:

Describing the fee disclosures of my adviser as opaque would be generous. The experience left me wondering whether someone even less savvy than me, a Wall Street Journal reporter, would be able to navigate this system, to ferret out the good information from the bad.

The man I spoke with this time proceeded to tell me the opposite of what the previous adviser had told me. No, there was no annual $125 fee. That was only for people investing in individual stocks. My portfolio had an annual fee of 0.85% of assets, deducted quarterly.

So what about these internal fees? He said those ranged from 0.4% to 0.8% of assets annually.

Well, then, what was my actual number? He said that I was invested in the “moderate” risk basket, so the expense averaged to 0.55%. Fees would have been higher with more-aggressive investments, lower with conservative ones.

The 0.55% was correct. My combined fee was 1.4%.

I’m scandalized by the house fee of 0.85% of assets; how common is that, I wonder? Do those who stridently quote the low cost of US mutual funds take that into account?

Due to technical difficulties, I am unable to publish the daily index and highlights. I will update this post when I can.

Update, 2017-5-13:

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 -0.7631 % 2,151.3
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.7631 % 3,947.5
Floater 3.54 % 3.71 % 49,919 18.03 4 -0.7631 % 2,275.0
OpRet 0.00 % 0.00 % 0 0.00 0 -0.0704 % 3,030.5
SplitShare 4.69 % 4.35 % 66,892 1.60 5 -0.0704 % 3,619.0
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.0704 % 2,823.7
Perpetual-Premium 5.31 % -4.62 % 73,151 0.09 22 0.0533 % 2,784.4
Perpetual-Discount 5.09 % 5.10 % 110,883 15.33 14 -0.0628 % 3,009.0
FixedReset 4.46 % 4.04 % 218,552 6.54 94 0.0888 % 2,323.4
Deemed-Retractible 4.98 % 4.36 % 135,926 0.13 30 0.0488 % 2,892.3
FloatingReset 2.47 % 2.95 % 49,724 4.48 10 -0.0186 % 2,531.4
Performance Highlights
Issue Index Change Notes
TRP.PR.B FixedReset -1.67 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-05-08
Maturity Price : 14.16
Evaluated at bid price : 14.16
Bid-YTW : 4.05 %
TRP.PR.H FloatingReset -1.62 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-05-08
Maturity Price : 13.34
Evaluated at bid price : 13.34
Bid-YTW : 3.36 %
BAM.PR.C Floater -1.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-05-08
Maturity Price : 12.85
Evaluated at bid price : 12.85
Bid-YTW : 3.71 %
Volume Highlights
Issue Index Shares
Traded
Notes
RY.PR.M FixedReset 69,680 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-05-08
Maturity Price : 21.85
Evaluated at bid price : 22.19
Bid-YTW : 4.07 %
TD.PF.C FixedReset 56,300 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-05-08
Maturity Price : 21.08
Evaluated at bid price : 21.08
Bid-YTW : 3.98 %
RY.PR.E Deemed-Retractible 33,300 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2017-06-07
Maturity Price : 25.00
Evaluated at bid price : 25.24
Bid-YTW : -9.31 %
SLF.PR.E Deemed-Retractible 23,695 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.64
Bid-YTW : 6.16 %
BMO.PR.L Deemed-Retractible 18,945 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2017-06-24
Maturity Price : 25.00
Evaluated at bid price : 24.98
Bid-YTW : 4.36 %
MFC.PR.R FixedReset 15,850 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-03-19
Maturity Price : 25.00
Evaluated at bid price : 25.97
Bid-YTW : 4.13 %
There were 11 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
POW.PR.A Perpetual-Premium Quote: 25.71 – 26.03
Spot Rate : 0.3200
Average : 0.2368

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2017-06-07
Maturity Price : 25.00
Evaluated at bid price : 25.71
Bid-YTW : -22.83 %

TRP.PR.H FloatingReset Quote: 13.34 – 13.66
Spot Rate : 0.3200
Average : 0.2457

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-05-08
Maturity Price : 13.34
Evaluated at bid price : 13.34
Bid-YTW : 3.36 %

MFC.PR.H FixedReset Quote: 24.65 – 24.88
Spot Rate : 0.2300
Average : 0.1620

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.65
Bid-YTW : 4.47 %

HSE.PR.A FixedReset Quote: 16.18 – 16.40
Spot Rate : 0.2200
Average : 0.1579

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-05-08
Maturity Price : 16.18
Evaluated at bid price : 16.18
Bid-YTW : 4.17 %

RY.PR.O Perpetual-Premium Quote: 25.29 – 25.48
Spot Rate : 0.1900
Average : 0.1299

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-11-24
Maturity Price : 25.00
Evaluated at bid price : 25.29
Bid-YTW : 4.71 %

BNS.PR.D FloatingReset Quote: 21.80 – 21.99
Spot Rate : 0.1900
Average : 0.1344

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.80
Bid-YTW : 4.55 %

May 5, 2017

Saturday, May 6th, 2017

Jobs, jobs, jobs!

Hiring increased in April, and the unemployment rate fell to its lowest level in a decade, signs the U.S. economy is rebounding after a lackluster winter.

The unemployment rate dropped 0.1 percentage point to 4.4% in April, matching the low point reached in the last economic expansion in May 2007, not long before a brewing housing bust sent the economy and financial system into a decade long crisis and recovery.

The Labor Department reported that businesses added 211,000 jobs in April, after adding just 79,000 jobs the month before. The pickup in hiring underpinned projections that economic growth is set for an upturn. Output grew at an annual rate of just 0.7% in the first quarter. After seeing the latest numbers, economists at forecasting firm Macroeconomic Advisers increased their projection for second-quarter growth to 4%.

Meanwhile, in the frozen north:

Canada added 3,200 jobs during the month, Statistics Canada reported in Ottawa, less than the 10,000 employment gain forecast by economists. The pace of annual wage rate increases fell to 0.7 percent in April, the lowest in records dating back to the late 1990s.

Canada’s unemployment rate fell to 6.5 percent, the lowest since October 2008, but this reflects the departure of 45,500 people from the labor force. About half of those were youth, meaning many young people looking for work have stopped looking.

  • •The nation lost 31,200 full-time jobs, and gained 34,300 part-time jobs during the month.
  • •All the job gains were self-employed and public sector. Canada lost 50,500 jobs in the private sector.

But we are assured by the Left Coast that not only do we not need any foreign capital, we don’t need any tourism revenue either. All we need is spliffs, man.

Vancouver is preparing to impose more restrictions on Airbnb Inc. and other short-term rental operators as Canada’s priciest housing market seeks to ease its near-zero supply of homes to let.

In more cheerful news, battery improvements are boosting productivity all over!

Edison International has found what every electric utility wants in this time of sputtering demand: a new source of revenue.

By adding battery storage to a quick-start natural gas turbine, General Electric Co. made a hybrid power plant that allows Edison to collect payments for keeping the generator ready to instantly supply electricity when California’s grid needs it, 24 hours a day.

That’s a market that peaker plants, which are needed only when demand surges in hot weather, haven’t been able to access unless they continuously burned gas to keep the turbine spinning. The hybrid units can provide Edison’s Southern California Edison utility as much as $1.4 million a year in revenue that similar plants without batteries miss out on, according to Bloomberg New Energy Finance.

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 1.2246 % 2,167.9
FixedFloater 0.00 % 0.00 % 0 0.00 0 1.2246 % 3,977.9
Floater 3.52 % 3.66 % 51,928 18.13 4 1.2246 % 2,292.5
OpRet 0.00 % 0.00 % 0 0.00 0 0.1331 % 3,032.6
SplitShare 4.69 % 4.30 % 67,302 1.60 5 0.1331 % 3,621.6
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.1331 % 2,825.7
Perpetual-Premium 5.32 % -3.20 % 72,391 0.09 22 -0.0341 % 2,782.9
Perpetual-Discount 5.08 % 5.09 % 108,332 15.32 14 0.1149 % 3,010.8
FixedReset 4.46 % 4.08 % 221,592 6.55 94 -0.0742 % 2,321.3
Deemed-Retractible 5.00 % 4.91 % 147,593 2.67 31 0.0289 % 2,890.9
FloatingReset 2.51 % 3.03 % 51,431 4.48 10 -0.0373 % 2,531.8
Performance Highlights
Issue Index Change Notes
PWF.PR.P FixedReset -1.30 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-05-05
Maturity Price : 15.94
Evaluated at bid price : 15.94
Bid-YTW : 4.06 %
MFC.PR.J FixedReset -1.16 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.25
Bid-YTW : 5.56 %
TRP.PR.H FloatingReset -1.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-05-05
Maturity Price : 13.56
Evaluated at bid price : 13.56
Bid-YTW : 3.38 %
BAM.PR.C Floater 1.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-05-05
Maturity Price : 13.00
Evaluated at bid price : 13.00
Bid-YTW : 3.66 %
TRP.PR.B FixedReset 1.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-05-05
Maturity Price : 14.40
Evaluated at bid price : 14.40
Bid-YTW : 4.02 %
BAM.PR.K Floater 1.17 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-05-05
Maturity Price : 12.92
Evaluated at bid price : 12.92
Bid-YTW : 3.69 %
IFC.PR.A FixedReset 1.29 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.05
Bid-YTW : 7.82 %
PWF.PR.A Floater 1.78 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-05-05
Maturity Price : 14.86
Evaluated at bid price : 14.86
Bid-YTW : 3.17 %
Volume Highlights
Issue Index Shares
Traded
Notes
BMO.PR.M FixedReset 191,500 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.60
Bid-YTW : 3.21 %
BMO.PR.C FixedReset 158,648 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-05-25
Maturity Price : 25.00
Evaluated at bid price : 25.67
Bid-YTW : 4.08 %
MFC.PR.R FixedReset 119,495 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-03-19
Maturity Price : 25.00
Evaluated at bid price : 25.94
Bid-YTW : 4.15 %
TD.PF.C FixedReset 58,500 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-05-05
Maturity Price : 21.07
Evaluated at bid price : 21.07
Bid-YTW : 4.01 %
BNS.PR.Q FixedReset 53,220 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 25.10
Bid-YTW : 2.91 %
TD.PF.D FixedReset 47,400 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-05-05
Maturity Price : 22.29
Evaluated at bid price : 22.81
Bid-YTW : 4.14 %
There were 20 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
TD.PF.D FixedReset Quote: 22.81 – 23.45
Spot Rate : 0.6400
Average : 0.3613

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-05-05
Maturity Price : 22.29
Evaluated at bid price : 22.81
Bid-YTW : 4.14 %

MFC.PR.F FixedReset Quote: 15.36 – 15.71
Spot Rate : 0.3500
Average : 0.2317

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 15.36
Bid-YTW : 9.51 %

BAM.PR.B Floater Quote: 12.95 – 13.33
Spot Rate : 0.3800
Average : 0.2743

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

PWF.PR.P FixedReset Quote: 15.94 – 16.24
Spot Rate : 0.3000
Average : 0.2107

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-05-05
Maturity Price : 15.94
Evaluated at bid price : 15.94
Bid-YTW : 4.06 %

NA.PR.X FixedReset Quote: 26.76 – 27.00
Spot Rate : 0.2400
Average : 0.1565

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-05-15
Maturity Price : 25.00
Evaluated at bid price : 26.76
Bid-YTW : 3.68 %

CU.PR.I FixedReset Quote: 26.21 – 26.52
Spot Rate : 0.3100
Average : 0.2275

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2020-12-01
Maturity Price : 25.00
Evaluated at bid price : 26.21
Bid-YTW : 2.98 %

May 4, 2017

Friday, May 5th, 2017

It looks like we’ll be seeing some issuance out of Intact Financial in the near future:

Intact Financial Corporation (TSX:IFC) announced today that it has entered into a definitive agreement and plan of merger pursuant to which it has agreed to acquire OneBeacon Insurance Group, Ltd. (NYSE:OB), a leading US specialty insurer. Under the terms of the all-cash deal, OneBeacon shareholders will receive US$18.10 cash per common share, a 14% premium based on OneBeacon’s closing stock price on the NYSE of US$15.89 as of May 1, 2017 and a 15% premium to the volume weighted average price over the last 30 days. This represents an aggregate cash consideration of approximately US$1.7 billion ($2.3 billion). In addition, OneBeacon debt of approximately US$275 million will remain outstanding. The transaction has been unanimously approved by the Boards of Directors of both companies and is subject to approval by OneBeacon’s shareholders.

Intact intends to finance the acquisition and related transaction expenses using a combination of $700 million of equity financing, approximately $700 million of excess capital and approximately $1.0 billion of financing comprised of bank term loans, medium term notes and preferred shares. Intact has hedged the purchase price against the exposure associated with USD/CAD exchange rate fluctuations. Intact will maintain its strong capital position with an estimated MCT above 200% on closing and expects its debt-to-total capital ratio to return below the target level of 20% within 24 months following the closing of the acquisition.

Meanwhile DBRS is nervous about Home Capital:

DBRS Limited (DBRS) has today downgraded Home Capital Group Inc.’s (HCG or the Group) Senior Debt rating to CCC from BB and its Short-Term Instruments rating to R-5 from R-4. Additionally, DBRS has downgraded the ratings of Home Trust Company (HTC or the Trust Company), HCG’s primary operating subsidiary, including the Issuer Rating as well as the Deposit and Senior Debt rating to B from BB (high). DBRS has also downgraded the Trust Company’s Short-Term Instruments rating to R-5 from R-4. All ratings remain Under Review with Negative Implications. DBRS has also lowered HTC’s Intrinsic Assessment to B from BB (high).The Support Assessment for HTC remains SA3, which implies no expected systemic support for the Trust Company.

These rating actions reflect DBRS’s concern over recent events, including HCG’s announcement yesterday that it has postponed the release of its Q1 2017 earnings from May 2, 2017 to after market close on May 11, 2017. DBRS considers this delay in announcing results as a negative, especially given that the initial Ontario Securities Commission’s (OSC) hearing regarding the Statement of Allegations made against three former members of HCG’s senior management is scheduled for May 4, 2017. These events are likely to continue to draw unfavourable attention to the Group.

Furthermore, in DBRS’s opinion HTC has not demonstrated an ability to stabilize its funding and liquidity, as accelerated withdrawals of on-demand High Interest Savings Account (HISA) deposits continue. The Group announced that HISA balances had fallen to $391 million as of May 1, 2017, down from $1.4 billion as recently as April 24, 2017. Showing more stability, Guaranteed Investment Certificate (GIC) deposits stood at $12.86 billion as of April 28, 2017, down from $13.0 billion as of April 24, 2017. DBRS views GICs as more stable since the majority of these deposits are reportedly fixed and non-redeemable ahead of their maturity date.

S&P is also gloomy:

  • •Since our last rating action on April 27, further developments at Home Capital Group Inc. (HCG) have continued to weaken the firm’s franchise position and financial performance, including heightened liquidity risk stemming from accelerated deposit outflows of high-interest savings accounts, as well as elevated operational challenges exacerbated by additional board turnover.
  • •We are therefore lowering our long-term issuer credit ratings on HCG and Home Trust Co. to ‘B-‘ from ‘B+’ and ‘BB’, respectively. At the same time, we are affirming our ‘B’ short-term issuer credit ratings on both companies. We are also lowering our senior unsecured debt rating on Home Trust to ‘B-‘ from ‘BB’.
  • •We are revising the CreditWatch implications to developing from negative. The developing CreditWatch reflects the potential for either a further downgrade on evidence of continued deterioration in HCG’s funding and liquidity profile, weaker-than-expected business performance or further management and leadership flight, or a potential upgrade on evidence of stabilization in the company’s funding profile, effective repositioning of its franchise, and stabilization of its management team.

To me, the big story with the travails of Home Capital is the illustration of the power of the Big Banks:

Many of the big banks are now limiting sales of Home Capital Group’s guaranteed investment certificates (GICs) to their clients. Their reticence calls into question the fate of the $13-billion worth of GICs that Home Capital currently has on its books and will need replacing as they mature. Many of those certificates come due in 2017.

and:

After Home Capital revealed in March it was under investigation by the Ontario Securities Commission over its disclosure practices, Canadian Imperial Bank of Commerce introduced a cap of $100,000 per client for purchases of Home Capital guaranteed investment certificates (GICs), which is the maximum level covered by Canada’s deposit insurer.

A spokesperson from Royal Bank of Canada said that, “several weeks ago” the bank introduced a $100,000 cap on Home Capital GICs bought through a full-service broker, although there were no limits for purchases through the firm’s discount brokerage.

Late last week, Bank of Nova Scotia said it would stop selling all GICs sold by Home Trust, but said Monday that policy was amended to a limit of $100,000. Bank of Montreal’s brokerage unit also confirmed it has a $100,000 limit on Home Trust GICs but would not say when it went into force.

Several of the banks imposed their GIC caps last week after the OSC unveiled a series of allegations, accusing Home Capital and a number of current and former executives of making “materially misleading statements” to investors.

The OSC news shook investors, but the panic was heightened as news of the banks’ moves to cap investor deposits slowly seeped through Bay Street in subsequent days, raising concerns that major financial institutions were pulling away from Home Capital.

The huge captive sales force and financial system hegemony maintained by the banks makes them a crucial force in the distribution of any financial product. This is one reason why, for instance, trailer fees are at risk of being banned, with an intermediate step of explicit, lengthy disclosure. Only the naïve would imagine that this has anything to do with investor protection; it is all about improving the banks’ competitive position even further. The Joe Blow Equity Fund doesn’t have a lot of salesmen … maybe, if they’re big enough, they have a few guys who chat up the independent distributors and have dinner with important prospects now and then. They can’t have a lot of full timers because they’re a niche product … the average salesman with maybe 100-300 clients simply will not be able to sell enough units of Joe Blow Equity to stay in business. The obvious solution is to pay the salesmen on a piecework basis, i.e. trailer fees. And now the banks, having raised their share of the industry past the critical point, have decided to eliminate this option for their smaller competitors.

Even the mechanics of distribution are subject to the hegemony. The banks own FundSERV and you basically cannot do business as an independent mutual fund producer without being a member of FundSERV. And that is a very expensive proposition … which, of course, works to the advantage of … guess who!

The banks are now doing essentially the same thing with Home Capital GICs, while weeping copious crocodile tears about their need to protect their customers. What a shame that those customers will now be more likely to purchase the Big Banks’ GICs!

Both OSFI and the securities regulators are responsible for this mess. Canadians are currently paying the price for a bloated financial system; and there is a risk that one day the whole concentrated system will come crashing down. Then we will miss the good old days of the fourth quarter of 2008!

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 -0.4314 % 2,141.6
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.4314 % 3,929.8
Floater 3.56 % 3.70 % 52,515 18.04 4 -0.4314 % 2,264.7
OpRet 0.00 % 0.00 % 0 0.00 0 0.0000 % 3,028.6
SplitShare 4.70 % 4.34 % 69,535 1.61 5 0.0000 % 3,616.8
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0000 % 2,821.9
Perpetual-Premium 5.31 % -2.43 % 74,134 0.09 22 -0.0479 % 2,783.9
Perpetual-Discount 5.07 % 5.09 % 108,986 15.32 14 -0.0448 % 3,007.4
FixedReset 4.46 % 4.07 % 222,934 6.55 94 -0.4263 % 2,323.1
Deemed-Retractible 5.01 % 4.92 % 139,907 2.67 31 -0.0406 % 2,890.1
FloatingReset 2.51 % 3.04 % 50,853 4.48 10 0.0186 % 2,532.8
Performance Highlights
Issue Index Change Notes
BAM.PF.E FixedReset -1.47 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-05-04
Maturity Price : 21.41
Evaluated at bid price : 21.41
Bid-YTW : 4.39 %
BAM.PF.A FixedReset -1.45 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-05-04
Maturity Price : 21.88
Evaluated at bid price : 22.42
Bid-YTW : 4.45 %
BMO.PR.W FixedReset -1.37 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-05-04
Maturity Price : 20.89
Evaluated at bid price : 20.89
Bid-YTW : 3.99 %
BMO.PR.Y FixedReset -1.30 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-05-04
Maturity Price : 22.27
Evaluated at bid price : 22.78
Bid-YTW : 4.09 %
BAM.PF.B FixedReset -1.29 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-05-04
Maturity Price : 21.48
Evaluated at bid price : 21.48
Bid-YTW : 4.38 %
TRP.PR.E FixedReset -1.19 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-05-04
Maturity Price : 21.26
Evaluated at bid price : 21.54
Bid-YTW : 4.06 %
BMO.PR.T FixedReset -1.18 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-05-04
Maturity Price : 21.00
Evaluated at bid price : 21.00
Bid-YTW : 3.99 %
BAM.PR.B Floater -1.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-05-04
Maturity Price : 12.85
Evaluated at bid price : 12.85
Bid-YTW : 3.71 %
MFC.PR.J FixedReset -1.14 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.51
Bid-YTW : 5.38 %
MFC.PR.N FixedReset -1.10 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.50
Bid-YTW : 5.91 %
TRP.PR.D FixedReset -1.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-05-04
Maturity Price : 20.97
Evaluated at bid price : 20.97
Bid-YTW : 4.17 %
BAM.PR.C Floater -1.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-05-04
Maturity Price : 12.86
Evaluated at bid price : 12.86
Bid-YTW : 3.70 %
MFC.PR.M FixedReset -1.02 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.45
Bid-YTW : 6.01 %
TRP.PR.A FixedReset -1.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-05-04
Maturity Price : 18.60
Evaluated at bid price : 18.60
Bid-YTW : 4.08 %
PWF.PR.A Floater 1.25 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-05-04
Maturity Price : 14.60
Evaluated at bid price : 14.60
Bid-YTW : 3.23 %
Volume Highlights
Issue Index Shares
Traded
Notes
MFC.PR.R FixedReset 135,125 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-03-19
Maturity Price : 25.00
Evaluated at bid price : 25.94
Bid-YTW : 4.15 %
SLF.PR.E Deemed-Retractible 134,196 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.68
Bid-YTW : 6.12 %
CU.PR.C FixedReset 78,297 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-05-04
Maturity Price : 21.72
Evaluated at bid price : 22.12
Bid-YTW : 3.92 %
PWF.PR.P FixedReset 76,593 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-05-04
Maturity Price : 16.15
Evaluated at bid price : 16.15
Bid-YTW : 4.01 %
HSB.PR.D Deemed-Retractible 65,750 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2017-06-03
Maturity Price : 25.00
Evaluated at bid price : 25.34
Bid-YTW : -5.90 %
BMO.PR.C FixedReset 53,219 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-05-25
Maturity Price : 25.00
Evaluated at bid price : 25.71
Bid-YTW : 4.04 %
There were 28 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
POW.PR.A Perpetual-Premium Quote: 25.62 – 25.86
Spot Rate : 0.2400
Average : 0.1628

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2017-06-03
Maturity Price : 25.00
Evaluated at bid price : 25.62
Bid-YTW : -19.68 %

BNS.PR.Y FixedReset Quote: 22.01 – 22.20
Spot Rate : 0.1900
Average : 0.1226

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.01
Bid-YTW : 4.77 %

BAM.PR.B Floater Quote: 12.85 – 13.07
Spot Rate : 0.2200
Average : 0.1584

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-05-04
Maturity Price : 12.85
Evaluated at bid price : 12.85
Bid-YTW : 3.71 %

BMO.PR.Z Perpetual-Premium Quote: 25.55 – 25.79
Spot Rate : 0.2400
Average : 0.1792

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-08-25
Maturity Price : 25.00
Evaluated at bid price : 25.55
Bid-YTW : 4.62 %

POW.PR.B Perpetual-Premium Quote: 25.23 – 25.42
Spot Rate : 0.1900
Average : 0.1339

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2017-06-03
Maturity Price : 25.00
Evaluated at bid price : 25.23
Bid-YTW : -2.43 %

RY.PR.W Perpetual-Premium Quote: 25.05 – 25.24
Spot Rate : 0.1900
Average : 0.1358

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2017-06-03
Maturity Price : 25.00
Evaluated at bid price : 25.05
Bid-YTW : -0.80 %

May 3, 2017

Thursday, May 4th, 2017

Today’s eagerly awaited non-news was the FOMC Statement:

Information received since the Federal Open Market Committee met in March indicates that the labor market has continued to strengthen even as growth in economic activity slowed. Job gains were solid, on average, in recent months, and the unemployment rate declined. Household spending rose only modestly, but the fundamentals underpinning the continued growth of consumption remained solid. Business fixed investment firmed. Inflation measured on a 12-month basis recently has been running close to the Committee’s 2 percent longer-run objective. Excluding energy and food, consumer prices declined in March and inflation continued to run somewhat 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 3/4 to 1 percent.

There was no dissension. Jeanna Smialek and Christopher Condon commented on Bloomberg:

U.S. central bankers were unusually explicit in their statement, indicating that a disappointing first quarter, in which the economy grew at an annualized rate of 0.7 percent, would not knock the committee off its plan to raise rates two more times this year after a hike in March.

“They wanted to send the message,” said Ward McCarthy, chief financial economist at Jefferies LLC in New York. “One quarter of unimpressive growth and one month of weak inflation data is not going to cause them to alter an emerging timeline of a rate hike in June and September with the beginning of balance sheet normalization in December.”

PerpetualDiscounts now yield 5.09%, equivalent to 6.62% interest at the standard equivalency factor of 1.3x. Long corporates now yield a little over 3.65% (!) so the pre-tax interest-equivalent spread is now about 295bp, a slight (and perhaps spurious) widening from the 290bp reported April 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 -0.1124 % 2,150.9
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.1124 % 3,946.8
Floater 3.55 % 3.66 % 51,691 18.14 4 -0.1124 % 2,274.6
OpRet 0.00 % 0.00 % 0 0.00 0 0.1411 % 3,028.6
SplitShare 4.70 % 4.34 % 70,647 1.61 5 0.1411 % 3,616.8
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.1411 % 2,821.9
Perpetual-Premium 5.31 % -2.69 % 75,177 0.09 22 0.1832 % 2,785.2
Perpetual-Discount 5.07 % 5.09 % 105,603 15.32 14 -0.0656 % 3,008.7
FixedReset 4.44 % 4.05 % 225,167 6.57 94 -0.0051 % 2,333.0
Deemed-Retractible 5.00 % 4.87 % 141,854 2.67 31 0.0157 % 2,891.3
FloatingReset 2.51 % 3.08 % 52,633 4.49 10 0.1353 % 2,532.3
Performance Highlights
Issue Index Change Notes
TRP.PR.A FixedReset -1.78 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-05-03
Maturity Price : 18.79
Evaluated at bid price : 18.79
Bid-YTW : 4.03 %
TRP.PR.E FixedReset -1.40 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-05-03
Maturity Price : 21.45
Evaluated at bid price : 21.80
Bid-YTW : 4.00 %
CU.PR.I FixedReset -1.13 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2020-12-01
Maturity Price : 25.00
Evaluated at bid price : 26.20
Bid-YTW : 3.31 %
TRP.PR.D FixedReset -1.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-05-03
Maturity Price : 21.20
Evaluated at bid price : 21.20
Bid-YTW : 4.12 %
BAM.PF.D Perpetual-Discount -1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-05-03
Maturity Price : 23.36
Evaluated at bid price : 23.80
Bid-YTW : 5.18 %
SLF.PR.G FixedReset 1.24 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 16.30
Bid-YTW : 8.70 %
Volume Highlights
Issue Index Shares
Traded
Notes
SLF.PR.E Deemed-Retractible 106,654 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.63
Bid-YTW : 6.15 %
TD.PF.H FixedReset 92,965 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-10-31
Maturity Price : 25.00
Evaluated at bid price : 26.26
Bid-YTW : 3.65 %
TD.PF.G FixedReset 80,409 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-04-30
Maturity Price : 25.00
Evaluated at bid price : 27.05
Bid-YTW : 3.32 %
RY.PR.Q FixedReset 78,271 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-05-24
Maturity Price : 25.00
Evaluated at bid price : 26.99
Bid-YTW : 3.32 %
TD.PF.C FixedReset 71,389 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-05-03
Maturity Price : 21.27
Evaluated at bid price : 21.27
Bid-YTW : 3.97 %
TRP.PR.D FixedReset 62,175 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-05-03
Maturity Price : 21.20
Evaluated at bid price : 21.20
Bid-YTW : 4.12 %
There were 35 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
BNS.PR.Q FixedReset Quote: 25.02 – 25.45
Spot Rate : 0.4300
Average : 0.2668

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 25.02
Bid-YTW : 2.98 %

PVS.PR.E SplitShare Quote: 26.40 – 26.80
Spot Rate : 0.4000
Average : 0.2718

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2017-06-02
Maturity Price : 26.00
Evaluated at bid price : 26.40
Bid-YTW : -3.32 %

BAM.PF.H FixedReset Quote: 26.17 – 26.60
Spot Rate : 0.4300
Average : 0.3118

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2020-12-31
Maturity Price : 25.00
Evaluated at bid price : 26.17
Bid-YTW : 3.77 %

BAM.PF.D Perpetual-Discount Quote: 23.80 – 24.13
Spot Rate : 0.3300
Average : 0.2203

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-05-03
Maturity Price : 23.36
Evaluated at bid price : 23.80
Bid-YTW : 5.18 %

EML.PR.A FixedReset Quote: 26.41 – 26.85
Spot Rate : 0.4400
Average : 0.3316

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-04-17
Maturity Price : 25.00
Evaluated at bid price : 26.41
Bid-YTW : 4.28 %

TRP.PR.G FixedReset Quote: 23.35 – 23.67
Spot Rate : 0.3200
Average : 0.2164

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-05-03
Maturity Price : 22.58
Evaluated at bid price : 23.35
Bid-YTW : 4.25 %

May 2, 2017

Tuesday, May 2nd, 2017

Technology is having its effect! The relative price of services is rising, but the price of ‘stuff’ is falling:

But another form of progress has led to what some economists call the “Walmart effect”: falling prices for a huge array of manufactured goods.

Since the 1980s, for instance, the real price of a midrange color television has plummeted about tenfold, and televisions today are crisper, bigger, lighter and often Internet-connected. Similarly, the effective price of clothing, bicycles, small appliances, processed foods — virtually anything produced in a factory — has followed a downward trajectory. The result is that Americans can buy much more stuff at bargain prices.

Many crucial services, though, remain out of reach for poor families. The costs of a college education and health care have soared.

priceofstuff
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 -0.0936 % 2,153.3
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.0936 % 3,951.2
Floater 3.54 % 3.66 % 47,795 18.14 4 -0.0936 % 2,277.1
OpRet 0.00 % 0.00 % 0 0.00 0 -0.0313 % 3,024.3
SplitShare 4.70 % 4.34 % 71,515 1.61 5 -0.0313 % 3,611.7
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.0313 % 2,818.0
Perpetual-Premium 5.32 % -0.63 % 73,804 0.09 22 -0.1669 % 2,780.1
Perpetual-Discount 5.06 % 5.10 % 105,359 15.31 14 0.0746 % 3,010.7
FixedReset 4.44 % 4.05 % 228,724 6.56 94 -0.3091 % 2,333.1
Deemed-Retractible 5.00 % 4.88 % 142,542 3.50 31 -0.0328 % 2,890.8
FloatingReset 2.52 % 3.07 % 52,023 4.49 10 -0.0885 % 2,528.9
Performance Highlights
Issue Index Change Notes
IFC.PR.A FixedReset -2.36 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 17.77
Bid-YTW : 8.05 %
SLF.PR.G FixedReset -1.95 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 16.10
Bid-YTW : 8.88 %
BAM.PF.G FixedReset -1.37 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-05-02
Maturity Price : 22.44
Evaluated at bid price : 23.03
Bid-YTW : 4.33 %
RY.PR.M FixedReset -1.37 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-05-02
Maturity Price : 21.99
Evaluated at bid price : 22.39
Bid-YTW : 4.05 %
BAM.PR.X FixedReset -1.25 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-05-02
Maturity Price : 16.55
Evaluated at bid price : 16.55
Bid-YTW : 4.34 %
PWF.PR.P FixedReset -1.17 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-05-02
Maturity Price : 16.11
Evaluated at bid price : 16.11
Bid-YTW : 4.02 %
TRP.PR.K FixedReset -1.14 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-05-31
Maturity Price : 25.00
Evaluated at bid price : 25.98
Bid-YTW : 4.24 %
PWF.PR.E Perpetual-Premium -1.02 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2017-06-01
Maturity Price : 25.00
Evaluated at bid price : 25.35
Bid-YTW : -10.77 %
TRP.PR.A FixedReset 1.32 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-05-02
Maturity Price : 19.13
Evaluated at bid price : 19.13
Bid-YTW : 3.96 %
Volume Highlights
Issue Index Shares
Traded
Notes
TD.PF.A FixedReset 183,365 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-05-02
Maturity Price : 21.34
Evaluated at bid price : 21.65
Bid-YTW : 3.88 %
BMO.PR.L Deemed-Retractible 150,150 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2017-06-24
Maturity Price : 25.00
Evaluated at bid price : 24.98
Bid-YTW : 3.86 %
PWF.PR.P FixedReset 79,601 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-05-02
Maturity Price : 16.11
Evaluated at bid price : 16.11
Bid-YTW : 4.02 %
PWF.PR.K Perpetual-Discount 67,018 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-05-02
Maturity Price : 24.12
Evaluated at bid price : 24.37
Bid-YTW : 5.10 %
BMO.PR.M FixedReset 56,800 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.71
Bid-YTW : 3.11 %
BNS.PR.H FixedReset 43,520 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-01-26
Maturity Price : 25.00
Evaluated at bid price : 26.37
Bid-YTW : 3.62 %
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.M FixedReset Quote: 21.52 – 21.94
Spot Rate : 0.4200
Average : 0.2654

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.52
Bid-YTW : 5.95 %

RY.PR.A Deemed-Retractible Quote: 25.22 – 25.53
Spot Rate : 0.3100
Average : 0.1749

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2017-06-01
Maturity Price : 25.00
Evaluated at bid price : 25.22
Bid-YTW : -9.26 %

BAM.PR.X FixedReset Quote: 16.55 – 17.03
Spot Rate : 0.4800
Average : 0.3699

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-05-02
Maturity Price : 16.55
Evaluated at bid price : 16.55
Bid-YTW : 4.34 %

MFC.PR.J FixedReset Quote: 22.71 – 23.02
Spot Rate : 0.3100
Average : 0.2078

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.71
Bid-YTW : 5.24 %

TRP.PR.B FixedReset Quote: 14.26 – 14.63
Spot Rate : 0.3700
Average : 0.2758

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-05-02
Maturity Price : 14.26
Evaluated at bid price : 14.26
Bid-YTW : 4.06 %

PWF.PR.E Perpetual-Premium Quote: 25.35 – 25.65
Spot Rate : 0.3000
Average : 0.2066

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2017-06-01
Maturity Price : 25.00
Evaluated at bid price : 25.35
Bid-YTW : -10.77 %

May 1, 2017

Monday, May 1st, 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 0.3004 % 2,155.3
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.3004 % 3,955.0
Floater 3.54 % 3.65 % 47,544 18.17 4 0.3004 % 2,279.3
OpRet 0.00 % 0.00 % 0 0.00 0 -0.1174 % 3,025.3
SplitShare 4.70 % 4.39 % 72,259 1.62 5 -0.1174 % 3,612.8
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.1174 % 2,818.8
Perpetual-Premium 5.31 % -4.24 % 73,898 0.09 22 0.1244 % 2,784.8
Perpetual-Discount 5.07 % 5.12 % 104,723 15.30 14 0.2093 % 3,008.5
FixedReset 4.42 % 4.00 % 229,561 6.57 94 -0.0977 % 2,340.3
Deemed-Retractible 5.00 % 4.86 % 144,054 2.68 31 0.0787 % 2,891.8
FloatingReset 2.51 % 3.07 % 51,279 4.49 10 -0.1721 % 2,531.1
Performance Highlights
Issue Index Change Notes
BMO.PR.T FixedReset -1.48 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-05-01
Maturity Price : 21.30
Evaluated at bid price : 21.30
Bid-YTW : 3.94 %
POW.PR.D Perpetual-Discount -1.33 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-05-01
Maturity Price : 24.23
Evaluated at bid price : 24.52
Bid-YTW : 5.13 %
BMO.PR.S FixedReset -1.31 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-05-01
Maturity Price : 21.45
Evaluated at bid price : 21.80
Bid-YTW : 3.91 %
BMO.PR.Y FixedReset -1.19 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-05-01
Maturity Price : 22.53
Evaluated at bid price : 23.22
Bid-YTW : 4.00 %
SLF.PR.H FixedReset -1.03 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.20
Bid-YTW : 6.97 %
SLF.PR.G FixedReset 1.05 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 16.42
Bid-YTW : 8.58 %
HSE.PR.C FixedReset 1.30 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-05-01
Maturity Price : 22.72
Evaluated at bid price : 23.41
Bid-YTW : 4.50 %
Volume Highlights
Issue Index Shares
Traded
Notes
RY.PR.R FixedReset 63,700 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-08-24
Maturity Price : 25.00
Evaluated at bid price : 27.10
Bid-YTW : 3.33 %
BMO.PR.C FixedReset 48,780 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-05-25
Maturity Price : 25.00
Evaluated at bid price : 25.72
Bid-YTW : 4.03 %
RY.PR.Q FixedReset 48,136 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-05-24
Maturity Price : 25.00
Evaluated at bid price : 27.08
Bid-YTW : 3.22 %
BMO.PR.L Deemed-Retractible 23,294 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2017-06-24
Maturity Price : 25.00
Evaluated at bid price : 24.98
Bid-YTW : 3.79 %
BMO.PR.T FixedReset 19,110 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-05-01
Maturity Price : 21.30
Evaluated at bid price : 21.30
Bid-YTW : 3.94 %
RY.PR.Z FixedReset 15,050 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-05-01
Maturity Price : 21.46
Evaluated at bid price : 21.81
Bid-YTW : 3.78 %
There were 10 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
BAM.PF.H FixedReset Quote: 26.10 – 26.44
Spot Rate : 0.3400
Average : 0.2067

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2020-12-31
Maturity Price : 25.00
Evaluated at bid price : 26.10
Bid-YTW : 3.85 %

BAM.PF.I FixedReset Quote: 26.10 – 26.48
Spot Rate : 0.3800
Average : 0.2481

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-03-31
Maturity Price : 25.00
Evaluated at bid price : 26.10
Bid-YTW : 3.92 %

BAM.PR.Z FixedReset Quote: 22.50 – 22.90
Spot Rate : 0.4000
Average : 0.2988

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-05-01
Maturity Price : 21.95
Evaluated at bid price : 22.50
Bid-YTW : 4.48 %

POW.PR.D Perpetual-Discount Quote: 24.52 – 24.80
Spot Rate : 0.2800
Average : 0.1937

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-05-01
Maturity Price : 24.23
Evaluated at bid price : 24.52
Bid-YTW : 5.13 %

BAM.PF.B FixedReset Quote: 21.79 – 22.08
Spot Rate : 0.2900
Average : 0.2135

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-05-01
Maturity Price : 21.45
Evaluated at bid price : 21.79
Bid-YTW : 4.29 %

EIT.PR.A SplitShare Quote: 25.60 – 25.80
Spot Rate : 0.2000
Average : 0.1363

YTW SCENARIO
Maturity Type : Soft Maturity
Maturity Date : 2024-03-14
Maturity Price : 25.00
Evaluated at bid price : 25.60
Bid-YTW : 4.52 %

April 28, 2017

Friday, April 28th, 2017

It was an up-and-down month, but in the end TXPR ended up with a tiny gain on a total return basis: 1527.46 on April 28 vs. 1527.41 on March 31.

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 -0.2248 % 2,148.9
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.2248 % 3,943.1
Floater 3.55 % 3.67 % 49,156 18.14 4 -0.2248 % 2,272.4
OpRet 0.00 % 0.00 % 0 0.00 0 0.1370 % 3,028.8
SplitShare 4.93 % 4.13 % 53,666 0.60 6 0.1370 % 3,617.0
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.1370 % 2,822.2
Perpetual-Premium 5.31 % 0.15 % 74,651 0.09 23 -0.1785 % 2,781.3
Perpetual-Discount 5.07 % 5.09 % 114,144 15.36 13 -0.0936 % 3,002.2
FixedReset 4.42 % 3.97 % 228,699 6.58 94 -0.2650 % 2,342.6
Deemed-Retractible 5.01 % 4.69 % 146,098 2.69 31 -0.0302 % 2,889.5
FloatingReset 2.52 % 3.05 % 53,378 4.50 9 0.0157 % 2,535.5
Performance Highlights
Issue Index Change Notes
BMO.PR.W FixedReset -1.70 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-04-28
Maturity Price : 21.43
Evaluated at bid price : 21.43
Bid-YTW : 3.86 %
SLF.PR.G FixedReset -1.40 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 16.25
Bid-YTW : 8.71 %
BAM.PF.E FixedReset -1.31 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-04-28
Maturity Price : 21.47
Evaluated at bid price : 21.83
Bid-YTW : 4.25 %
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 : 23.13
Bid-YTW : 5.03 %
SLF.PR.H FixedReset -1.27 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.40
Bid-YTW : 6.80 %
BAM.PR.Z FixedReset -1.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-04-28
Maturity Price : 21.99
Evaluated at bid price : 22.57
Bid-YTW : 4.44 %
MFC.PR.L FixedReset -1.19 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.70
Bid-YTW : 6.33 %
TD.PF.F Perpetual-Premium -1.17 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-10-31
Maturity Price : 25.00
Evaluated at bid price : 25.40
Bid-YTW : 4.67 %
BMO.PR.T FixedReset -1.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-04-28
Maturity Price : 21.32
Evaluated at bid price : 21.62
Bid-YTW : 3.83 %
BAM.PR.T FixedReset -1.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-04-28
Maturity Price : 19.25
Evaluated at bid price : 19.25
Bid-YTW : 4.42 %
SLF.PR.J FloatingReset 1.31 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 15.47
Bid-YTW : 8.90 %
CCS.PR.C Deemed-Retractible 2.06 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.30
Bid-YTW : 5.54 %
Volume Highlights
Issue Index Shares
Traded
Notes
BMO.PR.K Deemed-Retractible 337,900 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2017-05-28
Maturity Price : 25.00
Evaluated at bid price : 24.98
Bid-YTW : 1.51 %
BMO.PR.L Deemed-Retractible 226,999 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2017-06-24
Maturity Price : 25.00
Evaluated at bid price : 24.98
Bid-YTW : 3.59 %
MFC.PR.R FixedReset 161,885 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-03-19
Maturity Price : 25.00
Evaluated at bid price : 25.96
Bid-YTW : 4.12 %
BNS.PR.Z FixedReset 43,990 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.30
Bid-YTW : 4.69 %
TD.PF.H FixedReset 37,322 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-10-31
Maturity Price : 25.00
Evaluated at bid price : 26.30
Bid-YTW : 3.60 %
BMO.PR.W FixedReset 35,600 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-04-28
Maturity Price : 21.43
Evaluated at bid price : 21.43
Bid-YTW : 3.86 %
There were 24 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
GWO.PR.G Deemed-Retractible Quote: 25.23 – 25.95
Spot Rate : 0.7200
Average : 0.4463

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2017-05-28
Maturity Price : 25.00
Evaluated at bid price : 25.23
Bid-YTW : -1.31 %

BAM.PR.X FixedReset Quote: 16.74 – 17.15
Spot Rate : 0.4100
Average : 0.2594

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-04-28
Maturity Price : 16.74
Evaluated at bid price : 16.74
Bid-YTW : 4.26 %

HSE.PR.A FixedReset Quote: 16.20 – 16.53
Spot Rate : 0.3300
Average : 0.2020

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-04-28
Maturity Price : 16.20
Evaluated at bid price : 16.20
Bid-YTW : 4.18 %

PWF.PR.T FixedReset Quote: 23.19 – 23.63
Spot Rate : 0.4400
Average : 0.3132

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-04-28
Maturity Price : 22.82
Evaluated at bid price : 23.19
Bid-YTW : 3.73 %

SLF.PR.D Deemed-Retractible Quote: 22.42 – 22.80
Spot Rate : 0.3800
Average : 0.2634

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.42
Bid-YTW : 6.23 %

MFC.PR.N FixedReset Quote: 21.52 – 21.86
Spot Rate : 0.3400
Average : 0.2250

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.52
Bid-YTW : 5.86 %

April 27, 2017

Friday, April 28th, 2017

It’s always nice when a sharp eMail comes in to spice up the day! Assiduous Reader JT writes in and says:

James I was surprised and shocked to see no comment on the PrefBlog about Home Capital!!

I am sure you have an opinion, since the regulator is deeply involved and may have pushed HCG into that capital raise.

I am sure I’m not the only regular viewer wondering what you might have to say.

I wait with interest with your comments.

Well! As we know the story so far begins with the OSC Statement of Allegations:

2. On July 10, 2015, HCG announced that an ongoing review of its business partners had led it to terminate certain brokers, causing an immediate drop in Originations. The next trading day, HCG’s stock price fell 18.9%, resulting in an approximate $600 million loss in market capitalization and significant investor harm.

3. Prior to this announcement, from February 2015 until July 2015, HCG misled its shareholders as to the immediate and on-going causes of the decline in Originations. Internally, HCG knew it had terminated certain brokers because it had discovered fraud in HCG’s broker channels. In fact, in February 2015, HCG was completing a six-month investigation into fraudulent employment income documentation (“Project Trillium”) which was overseen by a special committee of the Board of Directors (“the Board”). Project Trillium confirmed that HCG was receiving fraudulent employment income documentation through its broker channels which had not been detected by HCG’s underwriting controls. In particular, the findings of Project Trillium highlighted the scale of the fraudulent documentation flowing through HCG, and the serious systemic underwriting control deficiencies within HCG. Given the findings of Project Trillium, HCG implemented two significant changes: (1) termination of certain broker relationships; and (2) specific remediation of its underwriting processes and controls.

This gradually led to a very nasty time for the company’s investors:

Short sellers are gloating, investors are writhing in pain – and everyone else is wondering whether Home Capital Group Inc.’s troubles will reverberate beyond the home lender’s withering stock.

The share price of the Canadian mortgage lender fell 65 per cent on Wednesday, extending the total decline this year to more than 80 per cent.

There were funding difficulties and speculation of a ‘Wile E. Coyote Moment’ for Canadian house prices:

Home Capital revealed Wednesday that clients pulled money out of its high-interest accounts over past four weeks, with balances falling $591-million to $1.4-billion. The company said the pace of withdrawals picked up in the past week. Many of Home Capital’s customers are relatively sophisticated.

Home Capital plans to right the ship by locking in capital, which in turn will stem the exodus of deposits. If that happens, this crisis of confidence will pass. Traditional factors such as interest rates, supply and demand will set prices in residential real estate markets. But if Canada’s alternative mortgage lenders face an unexpected liquidity crisis, the housing market is in for a potentially nasty downturn.

Now it seems that emergency funding at a penalty rate has alleviated the panic a little:

Home Capital Group Inc. shares roared back Thursday, as the beleaguered mortgage lender firmed up an emergency multibillion-dollar loan and signalled that it may sell itself.

The stock closed up 34 per cent on the Toronto Stock Exchange, its biggest one-day increase in more than 20 years, as some investors wagered that the company is regaining its financial footing – at least for the time being.

In a release on Thursday, the company said it had a firm commitment on a $2-billion credit line with a 10-per-cent initial interest rate and a $100-million initial fee from a “major Canadian institutional investor.”

However, DBRS has downgraded the firm:

DBRS Limited (DBRS) has today downgraded Home Capital Group’s (HCG or the Group) Senior Debt rating to BB from BBB (low) and its Short-Term Instruments rating to R-4 from R-2 (low).

Concurrently, DBRS has placed all ratings Under Review with Negative Implications

To address its deteriorating liquidity position, the Group announced this morning that it has reached an agreement in principle with a major institutional investor for a credit line of up to $2.0 billion, for which it expects a firm commitment later today. This high-cost 364-day facility would be secured against a portfolio of HTC mortgages. In exchange for the immediate liquidity, HTC would be required to pay a $100 million non-refundable commitment fee and make an initial withdrawal of $1.0 billion. The interest rate on outstanding balances would be 10.0% in addition to a standby fee on undrawn funds of 2.5%. In DBRS’s opinion, the resulting interest and fee payments totalling $225 million at best, or $300 million if fully drawn, over the next year on the facility would put material pressure on earnings. Indeed, even in the best-case scenario of drawing the minimum $1.0 billion on the facility, these costs would represent 67% of the Group’s FY2016 income before taxes of $335 million. Moreover, other funding costs are likely to trend higher while originations are likely to decline, given the recent provincial government’s proposed measures to temper the overheated Ontario housing market, placing further pressure on earnings.

… with S&P not far behind:

S&P Global Ratings said today it lowered its long-term issuer credit rating on Home Capital Group Inc. (HCG) to ‘B+’ from ‘BBB-‘ as well as its short-term issuer credit rating to ‘B’ from ‘A-3’. At the same time, we lowered the long-term and short-term issuer credit ratings on Home Trust Co. to ‘BB’ and ‘B’ from ‘BBB’ and ‘A-2’, respectively.

On April 27, HCG announced that its subsidiary, Home Trust, has reached a binding agreement with a major institutional investor for a 364-day credit line in the amount of C$2 billion (of which C$1 billion has to be initially drawn), which would be secured against a portfolio of mortgages originated by Home Trust. While the access to the credit facility serves to fortify liquidity amid increased market anxiety, we believe the terms are highly onerous. We estimate that with an upfront non-refundable commitment fee of C$100 million, an interest rate of 10% on balances outstanding, and an additional 2.5% standby fee on undrawn funds, the all-in cost to borrow the first C$1 billion is an effective annual rate of 22.5%.

Well, I don’t really have a big problem with the regulators on this one. The allegations are serious and will be hard to defend at the hearing. There may have been some regulatory involvement in the funding agreement and contemplated sale – which would be grossly improper – but I’m not going to jump the gun on this one; I’ll wait until evidence, if any, emerges regarding regulatory clerks pretending to be hot-shot determiners of corporate financing.

It is, however, interesting to compare this with what happened with Manulife during the crisis, in which a major capitalization problem was addressed by sucking political arse until the rules were changed, mitigating the problem dramatically. Being a member of the Club can have great value, well worth a few highly paid positions on the payroll for ex-regulators!

I’m much more interested in the recent regulatory grandstanding over binary options:

The Canadian Securities Administrators (CSA) today published for comment National Instrument 91-102 Prohibition of Binary Options. The proposed instrument would prohibit advertising, offering, selling or otherwise trading a binary option to an individual.

The details admit the pointlessness of this sound and fury:

By publishing the Proposed Instrument, we are not suggesting that current offerings of binary options in Canada are legal. Many of these products and the platforms selling them have been identified as vehicles to commit fraud. We emphasize that no offering of these products, including by a broker, dealer or platform, has been authorized in Canada. All current offerings in Canada are therefore illegal, with only limited and narrow exceptions for transactions with highly sophisticated investors.

Nevertheless, some persons are using misleading information to promote these products as legal and legally offered. It is our intention that the Proposed Instrument will make it explicitly clear that these products may not be advertised, offered, sold or otherwise traded to an individual in Canada

In other words, the regulators are so upset that criminals are offering these products that they’re going to make it illegal for Canadian firms to compete with the criminals to meet the demand. That’ll show ’em!

I discussed the regulators lackadaisical attitude toward binary options fraud on March 1, noting:

It’s much easier and just as well rewarded to simply sit in the office and play ticky-box with desperately cooperative Canadian firms.

Readers of the Globe story that I linked at the time will remember:

[senior investigator at the Manitoba Securities Commission ] Mr. [Jason] Roy said it is not easy for Canadian regulators to go to Israel to seek justice, however. He said investigators cannot identify the perpetrators behind the frauds.

[A fraud victim’s son] Mr. [Tomas] Ferreira said his family was contacted by a lawyer in Israel who is trying to win restitution for victims. He would also like Israeli police to investigate and lay fraud charges.

How about that, eh? It never occurs to our Wise Regulators to go after the fraudsters in their home jurisdictions. It never occurs to them to pick up the damn ‘phone and call the damn Israeli Securities Authority to develop a campaign … or to hire their own Israeli lawyer to start causing trouble for the crooks. The only thing our beloved regulators know how to do well is play ticky-box with desperately cooperative Canadian firms.

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 0.8311 % 2,153.7
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.8311 % 3,952.0
Floater 3.54 % 3.67 % 51,013 18.13 4 0.8311 % 2,277.5
OpRet 0.00 % 0.00 % 0 0.00 0 0.1569 % 3,024.7
SplitShare 4.93 % 4.37 % 55,803 0.61 6 0.1569 % 3,612.1
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.1569 % 2,818.3
Perpetual-Premium 5.30 % -0.14 % 75,148 0.09 23 0.0769 % 2,786.3
Perpetual-Discount 5.07 % 5.06 % 113,752 15.34 13 0.2393 % 3,005.0
FixedReset 4.41 % 3.99 % 229,513 6.59 94 -0.6214 % 2,348.9
Deemed-Retractible 5.01 % 4.74 % 149,442 0.16 31 -0.0811 % 2,890.4
FloatingReset 2.52 % 3.03 % 53,899 4.50 9 -0.4070 % 2,535.1
Performance Highlights
Issue Index Change Notes
SLF.PR.J FloatingReset -2.24 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 15.27
Bid-YTW : 9.09 %
MFC.PR.F FixedReset -1.90 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 15.48
Bid-YTW : 9.36 %
BAM.PF.A FixedReset -1.83 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-04-27
Maturity Price : 22.68
Evaluated at bid price : 23.11
Bid-YTW : 4.30 %
RY.PR.M FixedReset -1.61 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-04-27
Maturity Price : 22.12
Evaluated at bid price : 22.58
Bid-YTW : 3.99 %
CCS.PR.C Deemed-Retractible -1.61 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.81
Bid-YTW : 5.86 %
BAM.PF.E FixedReset -1.56 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-04-27
Maturity Price : 21.85
Evaluated at bid price : 22.12
Bid-YTW : 4.20 %
BAM.PF.H FixedReset -1.54 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2020-12-31
Maturity Price : 25.00
Evaluated at bid price : 26.19
Bid-YTW : 3.73 %
HSE.PR.C FixedReset -1.49 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-04-27
Maturity Price : 22.57
Evaluated at bid price : 23.15
Bid-YTW : 4.54 %
MFC.PR.I FixedReset -1.45 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.13
Bid-YTW : 5.18 %
IAG.PR.G FixedReset -1.42 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.83
Bid-YTW : 5.32 %
BAM.PR.T FixedReset -1.42 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-04-27
Maturity Price : 19.45
Evaluated at bid price : 19.45
Bid-YTW : 4.37 %
MFC.PR.J FixedReset -1.38 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.80
Bid-YTW : 5.15 %
BAM.PF.G FixedReset -1.36 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-04-27
Maturity Price : 22.57
Evaluated at bid price : 23.26
Bid-YTW : 4.25 %
TRP.PR.C FixedReset -1.34 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-04-27
Maturity Price : 15.49
Evaluated at bid price : 15.49
Bid-YTW : 4.06 %
BIP.PR.A FixedReset -1.34 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-04-27
Maturity Price : 22.78
Evaluated at bid price : 23.65
Bid-YTW : 4.82 %
RY.PR.J FixedReset -1.28 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-04-27
Maturity Price : 22.47
Evaluated at bid price : 23.06
Bid-YTW : 4.01 %
TRP.PR.E FixedReset -1.26 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-04-27
Maturity Price : 21.57
Evaluated at bid price : 21.97
Bid-YTW : 3.95 %
BAM.PF.F FixedReset -1.24 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-04-27
Maturity Price : 22.61
Evaluated at bid price : 23.16
Bid-YTW : 4.27 %
TRP.PR.B FixedReset -1.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-04-27
Maturity Price : 14.42
Evaluated at bid price : 14.42
Bid-YTW : 3.98 %
MFC.PR.K FixedReset -1.23 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.93
Bid-YTW : 6.10 %
BAM.PR.Z FixedReset -1.21 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-04-27
Maturity Price : 22.16
Evaluated at bid price : 22.85
Bid-YTW : 4.38 %
BAM.PF.B FixedReset -1.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-04-27
Maturity Price : 21.74
Evaluated at bid price : 22.22
Bid-YTW : 4.17 %
TRP.PR.G FixedReset -1.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-04-27
Maturity Price : 22.76
Evaluated at bid price : 23.70
Bid-YTW : 4.15 %
GWO.PR.G Deemed-Retractible -1.02 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2017-05-27
Maturity Price : 25.00
Evaluated at bid price : 25.16
Bid-YTW : 1.91 %
GRP.PR.A SplitShare 1.18 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2017-05-27
Maturity Price : 25.00
Evaluated at bid price : 25.70
Bid-YTW : -23.41 %
PWF.PR.A Floater 1.54 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-04-27
Maturity Price : 14.51
Evaluated at bid price : 14.51
Bid-YTW : 3.25 %
Volume Highlights
Issue Index Shares
Traded
Notes
BMO.PR.K Deemed-Retractible 324,829 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2017-05-27
Maturity Price : 25.00
Evaluated at bid price : 24.98
Bid-YTW : 1.33 %
BNS.PR.H FixedReset 188,630 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-01-26
Maturity Price : 25.00
Evaluated at bid price : 26.43
Bid-YTW : 3.55 %
GWO.PR.H Deemed-Retractible 110,065 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.15
Bid-YTW : 5.48 %
BMO.PR.L Deemed-Retractible 85,680 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2017-06-24
Maturity Price : 25.00
Evaluated at bid price : 24.98
Bid-YTW : 3.53 %
BAM.PF.I FixedReset 47,114 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-03-31
Maturity Price : 25.00
Evaluated at bid price : 26.11
Bid-YTW : 3.90 %
BMO.PR.C FixedReset 46,370 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-05-25
Maturity Price : 25.00
Evaluated at bid price : 25.72
Bid-YTW : 4.02 %
There were 54 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
CCS.PR.C Deemed-Retractible Quote: 23.81 – 24.64
Spot Rate : 0.8300
Average : 0.5850

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.81
Bid-YTW : 5.86 %

TRP.PR.H FloatingReset Quote: 13.79 – 14.17
Spot Rate : 0.3800
Average : 0.2585

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-04-27
Maturity Price : 13.79
Evaluated at bid price : 13.79
Bid-YTW : 3.34 %

BAM.PR.R FixedReset Quote: 19.21 – 19.64
Spot Rate : 0.4300
Average : 0.3329

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-04-27
Maturity Price : 19.21
Evaluated at bid price : 19.21
Bid-YTW : 4.27 %

GWO.PR.G Deemed-Retractible Quote: 25.16 – 25.40
Spot Rate : 0.2400
Average : 0.1462

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2017-05-27
Maturity Price : 25.00
Evaluated at bid price : 25.16
Bid-YTW : 1.91 %

IAG.PR.G FixedReset Quote: 22.83 – 23.14
Spot Rate : 0.3100
Average : 0.2176

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.83
Bid-YTW : 5.32 %

BAM.PR.T FixedReset Quote: 19.45 – 19.72
Spot Rate : 0.2700
Average : 0.1805

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-04-27
Maturity Price : 19.45
Evaluated at bid price : 19.45
Bid-YTW : 4.37 %

April 26, 2017

Thursday, April 27th, 2017

PerpetualDiscounts now yield 5.10%, equivalent to 6.63% interest at the standard equivalency factor of 1.3x. Long corporates now yield about 3.75%, so the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) is now about 290bp, a slight (and perhaps spurious) widening from the 285bp reported April 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 -1.1391 % 2,136.0
FixedFloater 0.00 % 0.00 % 0 0.00 0 -1.1391 % 3,919.4
Floater 3.57 % 3.69 % 51,689 18.10 4 -1.1391 % 2,258.8
OpRet 0.00 % 0.00 % 0 0.00 0 -0.0718 % 3,019.9
SplitShare 4.94 % 4.27 % 53,141 0.61 6 -0.0718 % 3,606.4
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.0718 % 2,813.9
Perpetual-Premium 5.30 % 0.24 % 75,286 0.09 23 0.0476 % 2,784.1
Perpetual-Discount 5.08 % 5.10 % 113,577 15.33 13 0.2496 % 2,997.8
FixedReset 4.38 % 3.93 % 229,186 6.60 94 -0.0289 % 2,363.6
Deemed-Retractible 5.00 % 4.75 % 146,070 0.16 31 -0.1360 % 2,892.7
FloatingReset 2.51 % 2.96 % 55,968 4.50 9 0.7883 % 2,545.4
Performance Highlights
Issue Index Change Notes
PWF.PR.A Floater -2.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-04-26
Maturity Price : 14.29
Evaluated at bid price : 14.29
Bid-YTW : 3.30 %
BAM.PR.R FixedReset -1.88 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-04-26
Maturity Price : 19.33
Evaluated at bid price : 19.33
Bid-YTW : 4.25 %
BAM.PR.Z FixedReset -1.66 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-04-26
Maturity Price : 22.32
Evaluated at bid price : 23.13
Bid-YTW : 4.31 %
BAM.PF.B FixedReset -1.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-04-26
Maturity Price : 22.19
Evaluated at bid price : 22.49
Bid-YTW : 4.13 %
BAM.PR.T FixedReset -1.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-04-26
Maturity Price : 19.73
Evaluated at bid price : 19.73
Bid-YTW : 4.31 %
TRP.PR.D FixedReset -1.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-04-26
Maturity Price : 21.32
Evaluated at bid price : 21.62
Bid-YTW : 3.99 %
BMO.PR.Z Perpetual-Premium 1.01 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-08-25
Maturity Price : 25.00
Evaluated at bid price : 26.05
Bid-YTW : 4.49 %
BNS.PR.E FixedReset 1.41 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-04-25
Maturity Price : 25.00
Evaluated at bid price : 27.28
Bid-YTW : 3.07 %
TRP.PR.F FloatingReset 8.17 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-04-26
Maturity Price : 18.93
Evaluated at bid price : 18.93
Bid-YTW : 3.28 %
Volume Highlights
Issue Index Shares
Traded
Notes
RY.PR.R FixedReset 292,428 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-08-24
Maturity Price : 25.00
Evaluated at bid price : 27.16
Bid-YTW : 3.26 %
TD.PF.G FixedReset 212,840 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-04-30
Maturity Price : 25.00
Evaluated at bid price : 27.17
Bid-YTW : 3.18 %
TD.PF.H FixedReset 203,805 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-10-31
Maturity Price : 25.00
Evaluated at bid price : 26.44
Bid-YTW : 3.47 %
TRP.PR.K FixedReset 119,831 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-05-31
Maturity Price : 25.00
Evaluated at bid price : 26.32
Bid-YTW : 3.93 %
IFC.PR.A FixedReset 110,606 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.33
Bid-YTW : 7.53 %
RY.PR.Q FixedReset 62,907 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-05-24
Maturity Price : 25.00
Evaluated at bid price : 27.24
Bid-YTW : 3.05 %
There were 29 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
TD.PF.G FixedReset Quote: 27.17 – 27.35
Spot Rate : 0.1800
Average : 0.1055

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-04-30
Maturity Price : 25.00
Evaluated at bid price : 27.17
Bid-YTW : 3.18 %

MFC.PR.O FixedReset Quote: 27.30 – 27.53
Spot Rate : 0.2300
Average : 0.1609

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-06-19
Maturity Price : 25.00
Evaluated at bid price : 27.30
Bid-YTW : 3.38 %

BAM.PR.B Floater Quote: 12.91 – 13.19
Spot Rate : 0.2800
Average : 0.2152

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-04-26
Maturity Price : 12.91
Evaluated at bid price : 12.91
Bid-YTW : 3.69 %

PVS.PR.E SplitShare Quote: 26.37 – 26.65
Spot Rate : 0.2800
Average : 0.2191

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2017-05-26
Maturity Price : 26.00
Evaluated at bid price : 26.37
Bid-YTW : -3.16 %

BAM.PF.F FixedReset Quote: 23.45 – 23.70
Spot Rate : 0.2500
Average : 0.1904

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-04-26
Maturity Price : 22.78
Evaluated at bid price : 23.45
Bid-YTW : 4.21 %

ELF.PR.H Perpetual-Premium Quote: 25.22 – 25.47
Spot Rate : 0.2500
Average : 0.1915

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-04-26
Maturity Price : 24.92
Evaluated at bid price : 25.22
Bid-YTW : 5.48 %