Archive for the ‘Market Action’ Category

March 10, 2017

Saturday, March 11th, 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 0.3237 % 2,105.1
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.3237 % 3,862.7
Floater 3.59 % 3.80 % 47,007 17.77 4 0.3237 % 2,226.1
OpRet 0.00 % 0.00 % 0 0.00 0 -0.0313 % 3,003.5
SplitShare 4.98 % 3.82 % 64,088 0.74 5 -0.0313 % 3,586.8
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.0313 % 2,798.6
Perpetual-Premium 5.35 % 4.61 % 65,302 2.82 20 0.0978 % 2,743.5
Perpetual-Discount 5.15 % 5.21 % 97,692 15.06 18 0.1245 % 2,925.0
FixedReset 4.41 % 4.17 % 229,614 6.71 98 0.6490 % 2,338.1
Deemed-Retractible 5.05 % 0.68 % 139,580 0.21 31 -0.0885 % 2,853.7
FloatingReset 2.48 % 3.20 % 46,867 4.61 9 0.3082 % 2,495.4
Performance Highlights
Issue Index Change Notes
BIP.PR.B FixedReset -1.16 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2020-12-31
Maturity Price : 25.00
Evaluated at bid price : 25.51
Bid-YTW : 4.84 %
MFC.PR.K FixedReset 1.00 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.21
Bid-YTW : 6.00 %
CM.PR.Q FixedReset 1.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-03-10
Maturity Price : 22.75
Evaluated at bid price : 23.64
Bid-YTW : 4.19 %
TRP.PR.F FloatingReset 1.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-03-10
Maturity Price : 18.69
Evaluated at bid price : 18.69
Bid-YTW : 3.21 %
RY.PR.H FixedReset 1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-03-10
Maturity Price : 22.08
Evaluated at bid price : 22.37
Bid-YTW : 4.00 %
MFC.PR.L FixedReset 1.05 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.11
Bid-YTW : 6.10 %
CU.PR.C FixedReset 1.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-03-10
Maturity Price : 21.62
Evaluated at bid price : 21.99
Bid-YTW : 4.17 %
BAM.PF.F FixedReset 1.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-03-10
Maturity Price : 22.92
Evaluated at bid price : 23.75
Bid-YTW : 4.42 %
MFC.PR.H FixedReset 1.13 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.23
Bid-YTW : 4.89 %
BMO.PR.T FixedReset 1.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-03-10
Maturity Price : 21.66
Evaluated at bid price : 22.10
Bid-YTW : 4.02 %
BNS.PR.Z FixedReset 1.18 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.28
Bid-YTW : 4.75 %
SLF.PR.I FixedReset 1.18 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.10
Bid-YTW : 5.04 %
TRP.PR.G FixedReset 1.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-03-10
Maturity Price : 22.74
Evaluated at bid price : 23.70
Bid-YTW : 4.33 %
HSE.PR.C FixedReset 1.21 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-03-10
Maturity Price : 22.61
Evaluated at bid price : 23.25
Bid-YTW : 4.71 %
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 : 15.50
Bid-YTW : 9.24 %
TD.PF.C FixedReset 1.27 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-03-10
Maturity Price : 21.95
Evaluated at bid price : 22.25
Bid-YTW : 4.01 %
PWF.PR.P FixedReset 1.29 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-03-10
Maturity Price : 15.73
Evaluated at bid price : 15.73
Bid-YTW : 4.43 %
BAM.PR.Z FixedReset 1.29 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-03-10
Maturity Price : 22.13
Evaluated at bid price : 22.80
Bid-YTW : 4.71 %
SLF.PR.G FixedReset 1.32 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 16.93
Bid-YTW : 8.10 %
NA.PR.S FixedReset 1.33 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-03-10
Maturity Price : 22.50
Evaluated at bid price : 22.79
Bid-YTW : 4.09 %
IFC.PR.A FixedReset 1.39 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.66
Bid-YTW : 6.81 %
BMO.PR.Q FixedReset 1.39 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.82
Bid-YTW : 4.84 %
NA.PR.W FixedReset 1.51 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-03-10
Maturity Price : 21.85
Evaluated at bid price : 22.12
Bid-YTW : 4.06 %
TRP.PR.C FixedReset 1.56 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-03-10
Maturity Price : 16.31
Evaluated at bid price : 16.31
Bid-YTW : 4.18 %
IAG.PR.G FixedReset 1.57 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.35
Bid-YTW : 5.14 %
FTS.PR.M FixedReset 1.67 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-03-10
Maturity Price : 22.52
Evaluated at bid price : 23.08
Bid-YTW : 4.10 %
PWF.PR.T FixedReset 1.89 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-03-10
Maturity Price : 22.34
Evaluated at bid price : 22.66
Bid-YTW : 4.10 %
FTS.PR.K FixedReset 2.31 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-03-10
Maturity Price : 20.40
Evaluated at bid price : 20.40
Bid-YTW : 4.18 %
TRP.PR.B FixedReset 2.60 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-03-10
Maturity Price : 14.99
Evaluated at bid price : 14.99
Bid-YTW : 4.15 %
FTS.PR.G FixedReset 2.69 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-03-10
Maturity Price : 20.59
Evaluated at bid price : 20.59
Bid-YTW : 4.20 %
TRP.PR.A FixedReset 3.38 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-03-10
Maturity Price : 19.26
Evaluated at bid price : 19.26
Bid-YTW : 4.16 %
Volume Highlights
Issue Index Shares
Traded
Notes
BMO.PR.C FixedReset 512,464 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-05-25
Maturity Price : 25.00
Evaluated at bid price : 25.31
Bid-YTW : 4.25 %
GWO.PR.H Deemed-Retractible 82,942 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.45
Bid-YTW : 5.83 %
TD.PF.E FixedReset 77,058 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-03-10
Maturity Price : 22.96
Evaluated at bid price : 24.15
Bid-YTW : 4.16 %
RY.PR.G Deemed-Retractible 70,800 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2017-04-09
Maturity Price : 25.00
Evaluated at bid price : 25.16
Bid-YTW : -1.19 %
BAM.PR.T FixedReset 62,467 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-03-10
Maturity Price : 19.00
Evaluated at bid price : 19.00
Bid-YTW : 4.80 %
TD.PF.D FixedReset 58,416 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-03-10
Maturity Price : 22.62
Evaluated at bid price : 23.39
Bid-YTW : 4.24 %
There were 42 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
BIP.PR.B FixedReset Quote: 25.51 – 25.86
Spot Rate : 0.3500
Average : 0.2216

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2020-12-31
Maturity Price : 25.00
Evaluated at bid price : 25.51
Bid-YTW : 4.84 %

VNR.PR.A FixedReset Quote: 21.24 – 21.70
Spot Rate : 0.4600
Average : 0.3408

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-03-10
Maturity Price : 21.24
Evaluated at bid price : 21.24
Bid-YTW : 4.89 %

IFC.PR.C FixedReset Quote: 22.20 – 22.59
Spot Rate : 0.3900
Average : 0.2744

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.20
Bid-YTW : 5.45 %

BMO.PR.S FixedReset Quote: 22.43 – 22.69
Spot Rate : 0.2600
Average : 0.1774

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-03-10
Maturity Price : 22.15
Evaluated at bid price : 22.43
Bid-YTW : 4.07 %

RY.PR.M FixedReset Quote: 23.00 – 23.19
Spot Rate : 0.1900
Average : 0.1189

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-03-10
Maturity Price : 22.37
Evaluated at bid price : 23.00
Bid-YTW : 4.15 %

SLF.PR.B Deemed-Retractible Quote: 23.75 – 23.99
Spot Rate : 0.2400
Average : 0.1727

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.75
Bid-YTW : 5.58 %

March 9, 2017

Thursday, March 9th, 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 0.2099 % 2,098.3
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.2099 % 3,850.2
Floater 3.60 % 3.79 % 47,465 17.78 4 0.2099 % 2,218.9
OpRet 0.00 % 0.00 % 0 0.00 0 0.0470 % 3,004.5
SplitShare 4.98 % 4.02 % 63,668 0.74 5 0.0470 % 3,588.0
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0470 % 2,799.5
Perpetual-Premium 5.35 % 4.59 % 65,437 2.82 20 -0.0059 % 2,740.8
Perpetual-Discount 5.15 % 5.22 % 98,472 15.02 18 0.0517 % 2,921.4
FixedReset 4.44 % 4.11 % 229,358 6.73 98 0.3354 % 2,323.0
Deemed-Retractible 5.04 % 0.36 % 141,166 0.14 31 -0.0647 % 2,856.2
FloatingReset 2.46 % 3.25 % 48,781 4.62 9 0.5342 % 2,487.7
Performance Highlights
Issue Index Change Notes
BMO.PR.Q FixedReset -1.06 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.52
Bid-YTW : 5.13 %
HSE.PR.A FixedReset 1.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-03-09
Maturity Price : 16.70
Evaluated at bid price : 16.70
Bid-YTW : 4.24 %
MFC.PR.M FixedReset 1.16 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.77
Bid-YTW : 5.73 %
BAM.PR.X FixedReset 1.18 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-03-09
Maturity Price : 16.24
Evaluated at bid price : 16.24
Bid-YTW : 4.68 %
SLF.PR.G FixedReset 1.27 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 16.71
Bid-YTW : 8.22 %
IFC.PR.A FixedReset 1.31 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.39
Bid-YTW : 6.90 %
TRP.PR.H FloatingReset 1.99 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-03-09
Maturity Price : 13.31
Evaluated at bid price : 13.31
Bid-YTW : 3.28 %
SLF.PR.J FloatingReset 2.27 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 15.75
Bid-YTW : 8.36 %
TRP.PR.F FloatingReset 2.78 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-03-09
Maturity Price : 18.50
Evaluated at bid price : 18.50
Bid-YTW : 3.22 %
Volume Highlights
Issue Index Shares
Traded
Notes
BMO.PR.C FixedReset 2,599,232 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-05-25
Maturity Price : 25.00
Evaluated at bid price : 25.30
Bid-YTW : 4.26 %
RY.PR.L FixedReset 499,150 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2019-02-24
Maturity Price : 25.00
Evaluated at bid price : 25.26
Bid-YTW : 3.81 %
TRP.PR.K FixedReset 100,501 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-05-31
Maturity Price : 25.00
Evaluated at bid price : 25.70
Bid-YTW : 4.35 %
RY.PR.C Deemed-Retractible 92,200 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2017-04-08
Maturity Price : 25.00
Evaluated at bid price : 25.26
Bid-YTW : -5.93 %
TRP.PR.J FixedReset 72,425 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-05-31
Maturity Price : 25.00
Evaluated at bid price : 26.55
Bid-YTW : 3.96 %
BAM.PF.B FixedReset 71,068 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-03-09
Maturity Price : 21.39
Evaluated at bid price : 21.71
Bid-YTW : 4.47 %
There were 47 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
EML.PR.A FixedReset Quote: 26.67 – 26.99
Spot Rate : 0.3200
Average : 0.1893

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-04-17
Maturity Price : 25.00
Evaluated at bid price : 26.67
Bid-YTW : 4.21 %

IAG.PR.A Deemed-Retractible Quote: 22.80 – 23.14
Spot Rate : 0.3400
Average : 0.2471

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.80
Bid-YTW : 6.00 %

BMO.PR.Q FixedReset Quote: 21.52 – 21.82
Spot Rate : 0.3000
Average : 0.2182

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.52
Bid-YTW : 5.13 %

BNS.PR.Y FixedReset Quote: 22.40 – 22.60
Spot Rate : 0.2000
Average : 0.1216

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.40
Bid-YTW : 4.37 %

FTS.PR.K FixedReset Quote: 19.94 – 20.14
Spot Rate : 0.2000
Average : 0.1245

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-03-09
Maturity Price : 19.94
Evaluated at bid price : 19.94
Bid-YTW : 4.15 %

NA.PR.S FixedReset Quote: 22.49 – 22.69
Spot Rate : 0.2000
Average : 0.1271

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-03-09
Maturity Price : 22.20
Evaluated at bid price : 22.49
Bid-YTW : 4.04 %

March 8, 2017

Wednesday, March 8th, 2017

PerpetualDiscounts now yield 5.23%, equivalent to 6.80% interest at the standard equivalency factor of 1.3x. Long corporates now yield just a bit under 4.1%, so the pre-tax interest-equivalent spread is now about 270bp, unchanged from the March 1 report.

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 0.1912 % 2,093.9
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.1912 % 3,842.1
Floater 3.61 % 3.81 % 49,231 17.75 4 0.1912 % 2,214.2
OpRet 0.00 % 0.00 % 0 0.00 0 -0.0861 % 3,003.0
SplitShare 4.98 % 3.90 % 62,556 0.74 5 -0.0861 % 3,586.3
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.0861 % 2,798.2
Perpetual-Premium 5.35 % 3.91 % 65,850 0.09 20 0.0059 % 2,741.0
Perpetual-Discount 5.16 % 5.23 % 99,541 15.00 18 0.0400 % 2,919.9
FixedReset 4.46 % 4.15 % 225,285 6.73 97 0.0830 % 2,315.3
Deemed-Retractible 5.04 % -0.49 % 137,496 0.15 31 -0.0185 % 2,858.1
FloatingReset 2.47 % 3.20 % 50,583 4.62 9 0.1230 % 2,474.5
Performance Highlights
Issue Index Change Notes
No individual gains or losses exceeding 1%!
Volume Highlights
Issue Index Shares
Traded
Notes
BNS.PR.O Deemed-Retractible 369,825 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2017-04-26
Maturity Price : 25.00
Evaluated at bid price : 25.30
Bid-YTW : 0.65 %
TRP.PR.K FixedReset 164,811 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-05-31
Maturity Price : 25.00
Evaluated at bid price : 25.66
Bid-YTW : 4.39 %
TD.PF.E FixedReset 106,499 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-03-08
Maturity Price : 22.88
Evaluated at bid price : 23.98
Bid-YTW : 4.10 %
RY.PR.G Deemed-Retractible 102,300 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2017-04-07
Maturity Price : 25.00
Evaluated at bid price : 25.18
Bid-YTW : -2.44 %
BNS.PR.P FixedReset 80,034 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.83
Bid-YTW : 3.49 %
TRP.PR.E FixedReset 76,726 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-03-08
Maturity Price : 22.37
Evaluated at bid price : 22.83
Bid-YTW : 3.96 %
There were 41 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
CU.PR.C FixedReset Quote: 21.56 – 21.89
Spot Rate : 0.3300
Average : 0.2522

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-03-08
Maturity Price : 21.56
Evaluated at bid price : 21.56
Bid-YTW : 4.15 %

W.PR.M FixedReset Quote: 26.11 – 26.34
Spot Rate : 0.2300
Average : 0.1761

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-10-15
Maturity Price : 25.00
Evaluated at bid price : 26.11
Bid-YTW : 4.34 %

PVS.PR.E SplitShare Quote: 26.21 – 26.45
Spot Rate : 0.2400
Average : 0.1913

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2017-04-07
Maturity Price : 26.00
Evaluated at bid price : 26.21
Bid-YTW : -4.29 %

SLF.PR.D Deemed-Retractible Quote: 22.25 – 22.41
Spot Rate : 0.1600
Average : 0.1170

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.25
Bid-YTW : 6.22 %

RY.PR.W Perpetual-Discount Quote: 25.08 – 25.22
Spot Rate : 0.1400
Average : 0.0976

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2017-04-07
Maturity Price : 25.00
Evaluated at bid price : 25.08
Bid-YTW : 2.97 %

TRP.PR.A FixedReset Quote: 18.67 – 18.88
Spot Rate : 0.2100
Average : 0.1702

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-03-08
Maturity Price : 18.67
Evaluated at bid price : 18.67
Bid-YTW : 4.17 %

March 7, 2017

Tuesday, March 7th, 2017

Interesting piece in the WSJ about policy rates and inflation:

On Friday, five top economists presented a paper at a monetary-policy conference saying the main gauges policy makers typically use to understand inflation—such as “slack” in the labor market—don’t actually explain it.

What’s more, the last several years of extraordinary monetary policy have shaken a theory that had held sway for decades in financial markets: American economist Milton Friedman’s view that inflation is ultimately a function of how much money a central bank prints.

In fact, economists who study central-bank operations broadly believe that the amount of money created is a consequence of rising prices, not the cause. That is, if the price of apples goes from $1 to $2, the central bank will eventually need to issue more money to prevent money from getting scarce and interest rates from skyrocketing.

The reality check for economic theory goes further: Surveys show that lower interest rates aren’t a key factor in the decisions of households and businesses to take on credit and spend more.

I don’t know about that last quoted paragraph. In Canada there certainly seems to be a correlation between interest rates and the amount of mortgage debt consumers are willing to assume and I presume that in the absence of special factors this will be universally true.

In the US, of course, those special factors have been tighter credit in general and a bad experience with real-estate during the Credit Crunch. And I suggest it’s reasonable to advance the argument that retail investment in housing will not usually spark general inflation since houses are neither a productive nor a consumptive asset – they just sit there (at least over the time horizon of the purchaser).

The paper at issue, titled Deflating Inflation Expectations: The Implications of Inflation’s Simple Dynamics, is by Stephen G. Cecchetti, Michael E. Feroli, Peter Hooper, Anil K Kashyap and Kermit L. Schoenholtz; the abstract is provocative:

This report examines the behavior of inflation in the United States since 1984 (updating Cecchetti et al. (2007)). Over this period, the change in inflation is negatively serially correlated, and the change in inflation is best predicted by a statistical model that includes only information from the two most recent quarters. We find that the level of inflation fluctuates around a slowly changing trend that we call the local mean of inflation. Few variables add extra explanatory power for inflation once the local mean is taken into account. This local mean is itself well characterized by a random walk. Labor market slack has a statistically significant, but quantitatively small, effect on the local mean and inflation expectations have no effect. Some financial conditions that are influenced by monetary policy have larger effects on the local mean. Concretely, this means that one‐off moves in labor market slack or inflation expectations that are not mirrored in broader indicators of inflation pressures are unlikely to be predictive of changes in trend inflation.

John Crow and Paul Volcker must be beside themselves with rage – but we’ll just have to wait until the monetarists make their counterattack for the next installment in this saga.

The WSJ has another interesting story today, discussing the shortage of truck drivers. How do you fix a problem? Throw money at it!

Drivers typically receive training from big trucking companies or schools affiliated with them. Those who become independent contractors sign lease-to-own deals to purchase their vehicles, often with those same companies. But the terms are onerous, and drivers owe so much that they may end up working 70 or 80 hours a week just to pay back what they owe and cover expenses such as fuel and insurance. Drivers are suing some companies that use this model, saying they should be classified as employees rather than contractors.

Even those working as employees have a hard time making ends meet, partly because they are only paid for the miles they drive, not time waiting to load and unload their rigs or sitting in traffic. [sociologist and fellow at the University of Pennsylvania’s Robert A. Fox Leadership Program] Mr. [Steve] Viscelli recounts a 16-hour day spent crawling through traffic in the New York area, only to get stuck at a New Jersey rail yard for the night. That day he drove 215 miles and earned $56.

The industry could fix its labor shortage, Mr. Viscelli says, by raising pay enough to compensate for the hardships of the job or improving the terms for independent contractors. In 2015, heavy and tractor-trailer truck drivers earned a median wage of $40,260, according to the Bureau of Labor Statistics. Mr. Viscelli says that number masks the reality that most drivers work far more than 40 hours a week to get to that income.

Wages have been rising over the past few years and some firms offer signing bonuses, according to ATA chief economist Bob Costello. Such measures helped bring down industrywide turnover from nearly 100% in 2012 to just over 90% in 2014. More recently, driver turnover has declined to around 80% due to less freight being shipped.

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 -0.1336 % 2,089.9
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.1336 % 3,834.8
Floater 3.61 % 3.82 % 49,875 17.72 4 -0.1336 % 2,210.0
OpRet 0.00 % 0.00 % 0 0.00 0 0.0313 % 3,005.6
SplitShare 4.98 % 3.89 % 62,958 0.74 5 0.0313 % 3,589.4
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0313 % 2,800.6
Perpetual-Premium 5.35 % 4.61 % 66,446 2.83 20 0.0607 % 2,740.8
Perpetual-Discount 5.16 % 5.22 % 99,887 15.00 18 0.0565 % 2,918.7
FixedReset 4.46 % 4.15 % 232,158 6.73 97 0.0104 % 2,313.3
Deemed-Retractible 5.04 % -0.85 % 135,962 0.14 31 0.0832 % 2,858.6
FloatingReset 2.48 % 3.19 % 50,874 4.62 9 0.0160 % 2,471.5
Performance Highlights
Issue Index Change Notes
MFC.PR.M FixedReset -1.29 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.45
Bid-YTW : 5.95 %
SLF.PR.J FloatingReset 1.19 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 15.33
Bid-YTW : 8.74 %
IAG.PR.A Deemed-Retractible 1.19 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.90
Bid-YTW : 5.93 %
SLF.PR.G FixedReset 1.23 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 16.40
Bid-YTW : 8.49 %
Volume Highlights
Issue Index Shares
Traded
Notes
MFC.PR.R FixedReset 170,087 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-03-19
Maturity Price : 25.00
Evaluated at bid price : 25.57
Bid-YTW : 4.33 %
CU.PR.D Perpetual-Discount 151,600 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-03-07
Maturity Price : 23.76
Evaluated at bid price : 24.25
Bid-YTW : 5.06 %
MFC.PR.H FixedReset 118,493 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.85
Bid-YTW : 5.01 %
TRP.PR.K FixedReset 116,682 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-05-31
Maturity Price : 25.00
Evaluated at bid price : 25.69
Bid-YTW : 4.36 %
SLF.PR.I FixedReset 113,830 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.84
Bid-YTW : 5.17 %
SLF.PR.A Deemed-Retractible 107,200 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.71
Bid-YTW : 5.55 %
BIP.PR.D FixedReset 102,955 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-03-07
Maturity Price : 23.18
Evaluated at bid price : 25.06
Bid-YTW : 4.88 %
There were 39 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
HSE.PR.A FixedReset Quote: 16.50 – 16.93
Spot Rate : 0.4300
Average : 0.2741

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-03-07
Maturity Price : 16.50
Evaluated at bid price : 16.50
Bid-YTW : 4.29 %

CU.PR.C FixedReset Quote: 21.73 – 21.99
Spot Rate : 0.2600
Average : 0.1670

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-03-07
Maturity Price : 21.43
Evaluated at bid price : 21.73
Bid-YTW : 4.10 %

RY.PR.N Perpetual-Premium Quote: 25.25 – 25.54
Spot Rate : 0.2900
Average : 0.2077

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-11-24
Maturity Price : 25.00
Evaluated at bid price : 25.25
Bid-YTW : 4.80 %

RY.PR.O Perpetual-Premium Quote: 25.07 – 25.29
Spot Rate : 0.2200
Average : 0.1420

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-03-07
Maturity Price : 24.65
Evaluated at bid price : 25.07
Bid-YTW : 4.90 %

PWF.PR.A Floater Quote: 14.80 – 15.15
Spot Rate : 0.3500
Average : 0.2758

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-03-07
Maturity Price : 14.80
Evaluated at bid price : 14.80
Bid-YTW : 3.21 %

MFC.PR.R FixedReset Quote: 25.57 – 25.75
Spot Rate : 0.1800
Average : 0.1145

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-03-19
Maturity Price : 25.00
Evaluated at bid price : 25.57
Bid-YTW : 4.33 %

March 6, 2017

Monday, March 6th, 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 0.3064 % 2,092.7
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.3064 % 3,839.9
Floater 3.61 % 3.80 % 51,578 17.77 4 0.3064 % 2,213.0
OpRet 0.00 % 0.00 % 0 0.00 0 0.2827 % 3,004.7
SplitShare 4.98 % 3.57 % 63,299 0.75 5 0.2827 % 3,588.2
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.2827 % 2,799.7
Perpetual-Premium 5.36 % 4.70 % 68,820 3.68 20 0.0607 % 2,739.2
Perpetual-Discount 5.16 % 5.22 % 92,444 15.05 18 0.1084 % 2,917.1
FixedReset 4.46 % 4.13 % 227,163 6.73 97 0.1941 % 2,313.1
Deemed-Retractible 5.04 % 0.06 % 135,751 0.14 31 0.0092 % 2,856.2
FloatingReset 2.48 % 3.20 % 51,413 4.63 9 0.0214 % 2,471.1
Performance Highlights
Issue Index Change Notes
HSE.PR.A FixedReset 1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-03-06
Maturity Price : 16.53
Evaluated at bid price : 16.53
Bid-YTW : 4.28 %
BNS.PR.Z FixedReset 1.06 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.94
Bid-YTW : 5.06 %
BAM.PR.R FixedReset 1.17 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-03-06
Maturity Price : 19.10
Evaluated at bid price : 19.10
Bid-YTW : 4.46 %
BAM.PR.K Floater 1.21 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-03-06
Maturity Price : 12.58
Evaluated at bid price : 12.58
Bid-YTW : 3.80 %
TRP.PR.A FixedReset 1.57 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-03-06
Maturity Price : 18.80
Evaluated at bid price : 18.80
Bid-YTW : 4.13 %
BNS.PR.Y FixedReset 1.83 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.31
Bid-YTW : 4.45 %
Volume Highlights
Issue Index Shares
Traded
Notes
TD.PF.H FixedReset 69,487 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-10-31
Maturity Price : 25.00
Evaluated at bid price : 26.09
Bid-YTW : 3.98 %
BMO.PR.T FixedReset 54,485 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-03-06
Maturity Price : 21.49
Evaluated at bid price : 21.85
Bid-YTW : 3.96 %
BAM.PF.I FixedReset 46,732 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-03-31
Maturity Price : 25.00
Evaluated at bid price : 25.82
Bid-YTW : 4.03 %
BAM.PR.T FixedReset 37,194 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-03-06
Maturity Price : 18.72
Evaluated at bid price : 18.72
Bid-YTW : 4.72 %
FTS.PR.K FixedReset 34,590 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-03-06
Maturity Price : 19.89
Evaluated at bid price : 19.89
Bid-YTW : 4.16 %
MFC.PR.G FixedReset 33,687 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.09
Bid-YTW : 5.14 %
There were 27 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
PVS.PR.E SplitShare Quote: 26.20 – 26.50
Spot Rate : 0.3000
Average : 0.2343

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2017-04-05
Maturity Price : 26.00
Evaluated at bid price : 26.20
Bid-YTW : -4.18 %

NA.PR.X FixedReset Quote: 26.59 – 26.80
Spot Rate : 0.2100
Average : 0.1496

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-05-15
Maturity Price : 25.00
Evaluated at bid price : 26.59
Bid-YTW : 4.04 %

RY.PR.R FixedReset Quote: 27.06 – 27.25
Spot Rate : 0.1900
Average : 0.1311

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-08-24
Maturity Price : 25.00
Evaluated at bid price : 27.06
Bid-YTW : 3.56 %

SLF.PR.J FloatingReset Quote: 15.15 – 15.40
Spot Rate : 0.2500
Average : 0.1923

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 15.15
Bid-YTW : 8.91 %

TRP.PR.E FixedReset Quote: 22.73 – 23.00
Spot Rate : 0.2700
Average : 0.2131

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-03-06
Maturity Price : 22.31
Evaluated at bid price : 22.73
Bid-YTW : 3.98 %

CU.PR.H Perpetual-Premium Quote: 25.52 – 25.80
Spot Rate : 0.2800
Average : 0.2275

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-09-01
Maturity Price : 25.00
Evaluated at bid price : 25.52
Bid-YTW : 4.96 %

March 3, 2017

Saturday, March 4th, 2017

As expected, increases in the minimum wage have led to increased productivity in the US:

Wendy’s plans to install self-ordering kiosks in 1,000 of its stores — about 16 percent of its locations — by the end of the year.

[Wendy’s Chief Information Officer David] Trimm said the kiosks accomplish two purposes: They give younger customers an ordering experience that they prefer, and they reduce labor costs.

A typical store would get three kiosks for about $15,000. Trimm estimated the payback on those machines would be less than two years, thanks to labor savings and increased sales. Customers still could order at the counter.

“Last year was tough — 5 percent wage inflation,” said Bob Wright, Wendy’s chief operating officer, during his presentation to investors and analysts last week. He added that the company expects wages to rise 4 percent in 2017. “But the real question is what are we doing about it?”

Wright noted that over the past two years, Wendy’s has figured out how to eliminate 31 hours of labor per week from its restaurants and is now working to use technology, such as kiosks, to increase efficiency.

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 -0.5144 % 2,086.3
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.5144 % 3,828.2
Floater 3.62 % 3.81 % 53,161 17.75 4 -0.5144 % 2,206.2
OpRet 0.00 % 0.00 % 0 0.00 0 -0.1333 % 2,996.2
SplitShare 5.00 % 3.88 % 63,357 0.76 5 -0.1333 % 3,578.1
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.1333 % 2,791.8
Perpetual-Premium 5.36 % 4.76 % 68,375 3.68 20 -0.0215 % 2,737.5
Perpetual-Discount 5.17 % 5.22 % 96,113 15.05 18 -0.0589 % 2,913.9
FixedReset 4.47 % 4.10 % 226,942 6.75 97 0.0168 % 2,308.6
Deemed-Retractible 5.04 % -0.31 % 136,076 0.15 31 0.0952 % 2,856.0
FloatingReset 2.49 % 3.21 % 52,367 4.63 9 0.0161 % 2,470.5
Performance Highlights
Issue Index Change Notes
PWF.PR.A Floater -1.67 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-03-03
Maturity Price : 14.75
Evaluated at bid price : 14.75
Bid-YTW : 3.22 %
CCS.PR.C Deemed-Retractible -1.26 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.50
Bid-YTW : 5.93 %
PWF.PR.T FixedReset -1.17 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-03-03
Maturity Price : 21.57
Evaluated at bid price : 21.96
Bid-YTW : 4.03 %
HSE.PR.C FixedReset 1.26 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-03-03
Maturity Price : 22.61
Evaluated at bid price : 23.25
Bid-YTW : 4.62 %
Volume Highlights
Issue Index Shares
Traded
Notes
TD.PF.A FixedReset 141,581 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-03-03
Maturity Price : 21.55
Evaluated at bid price : 21.94
Bid-YTW : 3.89 %
BIP.PR.D FixedReset 49,262 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-03-03
Maturity Price : 23.16
Evaluated at bid price : 25.00
Bid-YTW : 4.89 %
TRP.PR.B FixedReset 47,895 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-03-03
Maturity Price : 14.42
Evaluated at bid price : 14.42
Bid-YTW : 4.05 %
RY.PR.R FixedReset 45,092 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-08-24
Maturity Price : 25.00
Evaluated at bid price : 27.13
Bid-YTW : 3.49 %
RY.PR.G Deemed-Retractible 38,035 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2017-04-02
Maturity Price : 25.00
Evaluated at bid price : 25.16
Bid-YTW : -2.22 %
NA.PR.A FixedReset 36,602 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-08-15
Maturity Price : 25.00
Evaluated at bid price : 26.50
Bid-YTW : 4.01 %
There were 19 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
PWF.PR.A Floater Quote: 14.75 – 15.15
Spot Rate : 0.4000
Average : 0.2759

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-03-03
Maturity Price : 14.75
Evaluated at bid price : 14.75
Bid-YTW : 3.22 %

W.PR.M FixedReset Quote: 26.10 – 26.30
Spot Rate : 0.2000
Average : 0.1292

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-10-15
Maturity Price : 25.00
Evaluated at bid price : 26.10
Bid-YTW : 4.33 %

TRP.PR.D FixedReset Quote: 22.05 – 22.39
Spot Rate : 0.3400
Average : 0.2694

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-03-03
Maturity Price : 21.63
Evaluated at bid price : 22.05
Bid-YTW : 4.01 %

TRP.PR.B FixedReset Quote: 14.42 – 14.73
Spot Rate : 0.3100
Average : 0.2399

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-03-03
Maturity Price : 14.42
Evaluated at bid price : 14.42
Bid-YTW : 4.05 %

CCS.PR.C Deemed-Retractible Quote: 23.50 – 23.84
Spot Rate : 0.3400
Average : 0.2720

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.50
Bid-YTW : 5.93 %

IAG.PR.A Deemed-Retractible Quote: 22.75 – 22.97
Spot Rate : 0.2200
Average : 0.1675

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.75
Bid-YTW : 6.02 %

March 2, 2017

Friday, March 3rd, 2017
HIMIPref™ Preferred Indices
These values reflect the December 2008 revision of the HIMIPref™ Indices

Values are provisional and are finalized monthly
Index Mean
Current
Yield
(at bid)
Median
YTW
Median
Average
Trading
Value
Median
Mod Dur
(YTW)
Issues Day’s Perf. Index Value
Ratchet 0.00 % 0.00 % 0 0.00 0 0.8260 % 2,097.1
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.8260 % 3,848.0
Floater 3.60 % 3.81 % 55,183 17.75 4 0.8260 % 2,217.6
OpRet 0.00 % 0.00 % 0 0.00 0 -0.0627 % 3,000.2
SplitShare 4.99 % 3.87 % 62,674 0.76 5 -0.0627 % 3,582.9
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.0627 % 2,795.5
Perpetual-Premium 5.36 % 3.47 % 68,966 0.09 20 -0.0919 % 2,738.1
Perpetual-Discount 5.17 % 5.22 % 96,719 15.07 18 0.0400 % 2,915.6
FixedReset 4.47 % 4.08 % 228,317 6.75 97 -0.3298 % 2,308.2
Deemed-Retractible 5.05 % 0.60 % 137,318 0.15 31 -0.0595 % 2,853.2
FloatingReset 2.49 % 3.20 % 51,064 4.64 9 -0.0428 % 2,470.1
Performance Highlights
Issue Index Change Notes
BAM.PF.G FixedReset -1.88 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-03-02
Maturity Price : 22.69
Evaluated at bid price : 23.52
Bid-YTW : 4.29 %
BAM.PR.X FixedReset -1.61 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-03-02
Maturity Price : 15.92
Evaluated at bid price : 15.92
Bid-YTW : 4.66 %
BAM.PF.F FixedReset -1.48 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-03-02
Maturity Price : 22.68
Evaluated at bid price : 23.32
Bid-YTW : 4.34 %
MFC.PR.N FixedReset -1.36 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.75
Bid-YTW : 5.61 %
TRP.PR.C FixedReset -1.31 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-03-02
Maturity Price : 15.85
Evaluated at bid price : 15.85
Bid-YTW : 4.07 %
BAM.PF.E FixedReset -1.29 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-03-02
Maturity Price : 21.89
Evaluated at bid price : 22.20
Bid-YTW : 4.29 %
FTS.PR.H FixedReset -1.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-03-02
Maturity Price : 15.66
Evaluated at bid price : 15.66
Bid-YTW : 4.07 %
MFC.PR.M FixedReset -1.18 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.75
Bid-YTW : 5.68 %
VNR.PR.A FixedReset -1.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-03-02
Maturity Price : 21.07
Evaluated at bid price : 21.07
Bid-YTW : 4.71 %
BAM.PR.T FixedReset -1.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-03-02
Maturity Price : 18.77
Evaluated at bid price : 18.77
Bid-YTW : 4.61 %
BAM.PR.C Floater 1.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-03-02
Maturity Price : 12.50
Evaluated at bid price : 12.50
Bid-YTW : 3.82 %
BAM.PR.B Floater 1.21 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-03-02
Maturity Price : 12.53
Evaluated at bid price : 12.53
Bid-YTW : 3.81 %
BAM.PR.K Floater 1.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-03-02
Maturity Price : 12.46
Evaluated at bid price : 12.46
Bid-YTW : 3.84 %
IFC.PR.A FixedReset 1.71 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.08
Bid-YTW : 7.05 %
Volume Highlights
Issue Index Shares
Traded
Notes
MFC.PR.R FixedReset 157,125 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-03-19
Maturity Price : 25.00
Evaluated at bid price : 25.55
Bid-YTW : 4.33 %
BMO.PR.B FixedReset 103,692 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-02-25
Maturity Price : 25.00
Evaluated at bid price : 25.95
Bid-YTW : 4.04 %
BIP.PR.D FixedReset 84,031 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-03-02
Maturity Price : 23.17
Evaluated at bid price : 25.03
Bid-YTW : 4.89 %
MFC.PR.H FixedReset 77,512 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.75
Bid-YTW : 4.99 %
BAM.PF.I FixedReset 64,459 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-03-31
Maturity Price : 25.00
Evaluated at bid price : 25.71
Bid-YTW : 4.49 %
MFC.PR.M FixedReset 57,679 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.75
Bid-YTW : 5.68 %
There were 28 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
BIP.PR.C FixedReset Quote: 25.68 – 25.99
Spot Rate : 0.3100
Average : 0.1832

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-09-30
Maturity Price : 25.00
Evaluated at bid price : 25.68
Bid-YTW : 4.61 %

BAM.PF.G FixedReset Quote: 23.52 – 23.79
Spot Rate : 0.2700
Average : 0.1841

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-03-02
Maturity Price : 22.69
Evaluated at bid price : 23.52
Bid-YTW : 4.29 %

TRP.PR.H FloatingReset Quote: 13.14 – 13.50
Spot Rate : 0.3600
Average : 0.2742

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-03-02
Maturity Price : 13.14
Evaluated at bid price : 13.14
Bid-YTW : 3.34 %

SLF.PR.J FloatingReset Quote: 15.15 – 15.45
Spot Rate : 0.3000
Average : 0.2156

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 15.15
Bid-YTW : 8.91 %

PWF.PR.T FixedReset Quote: 22.22 – 22.60
Spot Rate : 0.3800
Average : 0.2984

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-03-02
Maturity Price : 21.74
Evaluated at bid price : 22.22
Bid-YTW : 3.98 %

FTS.PR.H FixedReset Quote: 15.66 – 15.95
Spot Rate : 0.2900
Average : 0.2156

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-03-02
Maturity Price : 15.66
Evaluated at bid price : 15.66
Bid-YTW : 4.07 %

March 1, 2017

Thursday, March 2nd, 2017

In today’s top news, Canadian regulators are thinking about maybe doing something at some point about binary options fraud:

Regulators from provincial securities commissions across Canada have now formed a task force to try to crack down on binary options after receiving more than 800 reports and inquiries from investors in 2016 alone, saying the schemes have become Canada’s most widespread securities fraud targeting individual investors.

I won’t hold my breath. It’s much easier and just as well rewarded to simply sit in the office and play ticky-box with desperately cooperative Canadian firms.

PerpetualDiscounts now yield 5.21%, equivalent to 6.77% interest at the standard equivalency factor of 1.3x. Long corporates now yield about 4.05%, so the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) is now about 270bp, a significant narrowing from the 280bp reported February 8.

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 0.8915 % 2,079.9
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.8915 % 3,816.5
Floater 3.63 % 3.86 % 54,881 17.65 4 0.8915 % 2,199.5
OpRet 0.00 % 0.00 % 0 0.00 0 0.1255 % 3,002.1
SplitShare 4.99 % 4.01 % 62,769 0.76 5 0.1255 % 3,585.1
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.1255 % 2,797.3
Perpetual-Premium 5.35 % 4.74 % 68,365 0.81 20 0.0450 % 2,740.6
Perpetual-Discount 5.17 % 5.21 % 98,068 15.07 18 -0.0259 % 2,914.5
FixedReset 4.45 % 4.06 % 229,792 6.76 97 0.3397 % 2,315.9
Deemed-Retractible 5.04 % 0.38 % 132,864 0.09 31 0.0396 % 2,854.9
FloatingReset 2.49 % 3.18 % 51,745 4.64 9 0.0969 % 2,471.2
Performance Highlights
Issue Index Change Notes
IFC.PR.A FixedReset 1.30 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.76
Bid-YTW : 7.30 %
TRP.PR.C FixedReset 1.32 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-03-01
Maturity Price : 16.06
Evaluated at bid price : 16.06
Bid-YTW : 4.02 %
SLF.PR.H FixedReset 1.43 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.55
Bid-YTW : 6.56 %
FTS.PR.H FixedReset 1.47 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-03-01
Maturity Price : 15.85
Evaluated at bid price : 15.85
Bid-YTW : 4.02 %
TRP.PR.E FixedReset 1.60 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-03-01
Maturity Price : 22.40
Evaluated at bid price : 22.87
Bid-YTW : 3.88 %
PWF.PR.A Floater 1.63 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-03-01
Maturity Price : 15.00
Evaluated at bid price : 15.00
Bid-YTW : 3.17 %
TRP.PR.B FixedReset 1.82 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-03-01
Maturity Price : 14.58
Evaluated at bid price : 14.58
Bid-YTW : 4.00 %
HSE.PR.A FixedReset 1.82 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-03-01
Maturity Price : 16.20
Evaluated at bid price : 16.20
Bid-YTW : 4.28 %
BNS.PR.Y FixedReset 1.86 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.91
Bid-YTW : 4.81 %
TRP.PR.D FixedReset 2.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-03-01
Maturity Price : 21.70
Evaluated at bid price : 22.15
Bid-YTW : 3.98 %
Volume Highlights
Issue Index Shares
Traded
Notes
MFC.PR.R FixedReset 240,155 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-03-19
Maturity Price : 25.00
Evaluated at bid price : 25.60
Bid-YTW : 4.29 %
RY.PR.Q FixedReset 109,194 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-05-24
Maturity Price : 25.00
Evaluated at bid price : 27.01
Bid-YTW : 3.48 %
PVS.PR.C SplitShare 108,628 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2017-12-10
Maturity Price : 25.00
Evaluated at bid price : 25.14
Bid-YTW : 4.01 %
BIP.PR.A FixedReset 65,400 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-03-01
Maturity Price : 22.15
Evaluated at bid price : 22.60
Bid-YTW : 5.09 %
BIP.PR.D FixedReset 59,838 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-03-01
Maturity Price : 23.16
Evaluated at bid price : 25.01
Bid-YTW : 4.89 %
NA.PR.A FixedReset 55,983 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-08-15
Maturity Price : 25.00
Evaluated at bid price : 26.52
Bid-YTW : 3.98 %
There were 38 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: 26.45 – 26.74
Spot Rate : 0.2900
Average : 0.1908

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2020-12-31
Maturity Price : 25.00
Evaluated at bid price : 26.45
Bid-YTW : 3.62 %

GWO.PR.N FixedReset Quote: 15.08 – 15.44
Spot Rate : 0.3600
Average : 0.2759

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 15.08
Bid-YTW : 9.51 %

W.PR.K FixedReset Quote: 26.10 – 26.41
Spot Rate : 0.3100
Average : 0.2349

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-01-15
Maturity Price : 25.00
Evaluated at bid price : 26.10
Bid-YTW : 4.22 %

FTS.PR.F Perpetual-Discount Quote: 23.57 – 23.90
Spot Rate : 0.3300
Average : 0.2569

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-03-01
Maturity Price : 23.27
Evaluated at bid price : 23.57
Bid-YTW : 5.21 %

TD.PR.S FixedReset Quote: 24.65 – 24.85
Spot Rate : 0.2000
Average : 0.1332

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.65
Bid-YTW : 3.28 %

TRP.PR.A FixedReset Quote: 18.30 – 18.57
Spot Rate : 0.2700
Average : 0.2037

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-03-01
Maturity Price : 18.30
Evaluated at bid price : 18.30
Bid-YTW : 4.16 %

February 28, 2017

Wednesday, March 1st, 2017

Our poor little banks are complaining they don’t get enough subsidies:

Canada’s financial industry is urging the federal government to consider alternatives to proposals that could require them to take on a greater share of mortgage defaults through a deductible — calling it one of the biggest shakeups to hit housing finance in 50 years.

“This submission has questioned whether a deductible is the most effective way to rebalance risks within the housing finance system,” the Canadian Bankers Association said in a report on Tuesday. “The industry believes that policy alternatives should be considered to achieve the same ends, but are simpler and less disruptive to the existing lending structure.”

Policy alternatives could include allowing mortgage insurers to buy reinsurance, and increasing Canada’s covered bond limit to boost private funding of uninsured mortgages and reduce taxpayer support for mortgage financing, the association said. Covered bond issuance in Canada is capped at 4 percent of bank assets, which is lower than in most advanced economies, the group said.

I support allowing an increase in covered bond issuance, but it should be noted that this will not reduce risk: it will simply move it to the non-mortgage portion of the banks’ balance sheets since the assets used to cover will not be available to cover other liabilities in the event of bankruptcy. Additionally, I believe that Bankers’ Acceptances should be considered ‘covered’ money market instruments and this will soak up a good portion – at least! – of any increase in the cap.

I have no problems with allowing mortgage insurers to buy reinsurance (from similarly regulated bodies), provided that this does not lead to a reduction of capital in the system.

And that’s a wrap for another month!

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 0.1358 % 2,061.5
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.1358 % 3,782.8
Floater 3.66 % 3.88 % 56,604 17.61 4 0.1358 % 2,180.0
OpRet 0.00 % 0.00 % 0 0.00 0 0.0393 % 2,998.3
SplitShare 4.72 % 4.00 % 58,115 0.76 4 0.0393 % 3,580.7
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0393 % 2,793.8
Perpetual-Premium 5.41 % -5.58 % 68,425 0.09 16 0.0219 % 2,739.4
Perpetual-Discount 5.16 % 5.18 % 99,425 15.07 22 0.0762 % 2,915.2
FixedReset 4.47 % 4.10 % 229,897 6.76 97 -0.9043 % 2,308.0
Deemed-Retractible 5.01 % 0.70 % 134,063 0.16 31 -0.0181 % 2,853.8
FloatingReset 2.49 % 3.16 % 50,990 4.64 9 0.1554 % 2,468.8
Performance Highlights
Issue Index Change Notes
BNS.PR.Y FixedReset -3.11 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.51
Bid-YTW : 5.21 %
FTS.PR.M FixedReset -2.68 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-02-28
Maturity Price : 21.87
Evaluated at bid price : 22.13
Bid-YTW : 4.12 %
FTS.PR.K FixedReset -2.32 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-02-28
Maturity Price : 19.76
Evaluated at bid price : 19.76
Bid-YTW : 4.10 %
SLF.PR.H FixedReset -2.31 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.45
Bid-YTW : 6.77 %
FTS.PR.G FixedReset -2.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-02-28
Maturity Price : 20.02
Evaluated at bid price : 20.02
Bid-YTW : 4.10 %
MFC.PR.K FixedReset -1.96 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.00
Bid-YTW : 5.97 %
BNS.PR.Z FixedReset -1.94 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.73
Bid-YTW : 5.24 %
BAM.PR.R FixedReset -1.91 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-02-28
Maturity Price : 18.99
Evaluated at bid price : 18.99
Bid-YTW : 4.41 %
MFC.PR.F FixedReset -1.89 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 15.04
Bid-YTW : 9.60 %
BAM.PF.B FixedReset -1.88 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-02-28
Maturity Price : 21.53
Evaluated at bid price : 21.91
Bid-YTW : 4.35 %
TRP.PR.E FixedReset -1.87 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-02-28
Maturity Price : 22.16
Evaluated at bid price : 22.51
Bid-YTW : 3.95 %
BMO.PR.Q FixedReset -1.85 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.17
Bid-YTW : 5.45 %
SLF.PR.I FixedReset -1.83 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.03
Bid-YTW : 5.15 %
MFC.PR.J FixedReset -1.83 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.52
Bid-YTW : 5.28 %
TRP.PR.D FixedReset -1.77 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-02-28
Maturity Price : 21.38
Evaluated at bid price : 21.70
Bid-YTW : 4.08 %
MFC.PR.G FixedReset -1.70 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.16
Bid-YTW : 5.06 %
TRP.PR.C FixedReset -1.67 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-02-28
Maturity Price : 15.85
Evaluated at bid price : 15.85
Bid-YTW : 4.07 %
TRP.PR.G FixedReset -1.62 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-02-28
Maturity Price : 22.37
Evaluated at bid price : 23.02
Bid-YTW : 4.32 %
BAM.PF.A FixedReset -1.61 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-02-28
Maturity Price : 22.85
Evaluated at bid price : 23.26
Bid-YTW : 4.37 %
BAM.PR.X FixedReset -1.59 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-02-28
Maturity Price : 16.10
Evaluated at bid price : 16.10
Bid-YTW : 4.61 %
MFC.PR.L FixedReset -1.55 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.95
Bid-YTW : 6.05 %
BMO.PR.Y FixedReset -1.48 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-02-28
Maturity Price : 22.87
Evaluated at bid price : 23.92
Bid-YTW : 3.92 %
MFC.PR.O FixedReset -1.48 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-06-19
Maturity Price : 25.00
Evaluated at bid price : 26.60
Bid-YTW : 3.92 %
MFC.PR.I FixedReset -1.46 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.87
Bid-YTW : 5.30 %
PWF.PR.T FixedReset -1.46 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-02-28
Maturity Price : 21.81
Evaluated at bid price : 22.32
Bid-YTW : 3.95 %
NA.PR.W FixedReset -1.42 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-02-28
Maturity Price : 21.27
Evaluated at bid price : 21.55
Bid-YTW : 3.98 %
NA.PR.S FixedReset -1.41 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-02-28
Maturity Price : 22.06
Evaluated at bid price : 22.31
Bid-YTW : 4.00 %
TRP.PR.B FixedReset -1.38 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-02-28
Maturity Price : 14.32
Evaluated at bid price : 14.32
Bid-YTW : 4.07 %
BAM.PR.T FixedReset -1.35 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-02-28
Maturity Price : 18.99
Evaluated at bid price : 18.99
Bid-YTW : 4.55 %
BAM.PF.F FixedReset -1.34 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-02-28
Maturity Price : 22.82
Evaluated at bid price : 23.56
Bid-YTW : 4.29 %
IFC.PR.A FixedReset -1.28 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.52
Bid-YTW : 7.49 %
MFC.PR.H FixedReset -1.25 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.62
Bid-YTW : 5.07 %
HSE.PR.E FixedReset -1.24 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-02-28
Maturity Price : 22.87
Evaluated at bid price : 23.80
Bid-YTW : 4.89 %
BIP.PR.A FixedReset -1.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-02-28
Maturity Price : 22.23
Evaluated at bid price : 22.72
Bid-YTW : 5.06 %
BNS.PR.Q FixedReset -1.21 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.40
Bid-YTW : 3.69 %
FTS.PR.H FixedReset -1.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-02-28
Maturity Price : 15.62
Evaluated at bid price : 15.62
Bid-YTW : 4.07 %
TRP.PR.A FixedReset -1.19 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-02-28
Maturity Price : 18.29
Evaluated at bid price : 18.29
Bid-YTW : 4.16 %
BMO.PR.S FixedReset -1.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-02-28
Maturity Price : 21.99
Evaluated at bid price : 22.22
Bid-YTW : 3.92 %
CU.PR.I FixedReset -1.15 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2020-12-01
Maturity Price : 25.00
Evaluated at bid price : 26.60
Bid-YTW : 2.70 %
CM.PR.Q FixedReset -1.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-02-28
Maturity Price : 22.69
Evaluated at bid price : 23.54
Bid-YTW : 4.04 %
HSE.PR.A FixedReset -1.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-02-28
Maturity Price : 15.91
Evaluated at bid price : 15.91
Bid-YTW : 4.35 %
RY.PR.J FixedReset -1.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-02-28
Maturity Price : 22.48
Evaluated at bid price : 23.11
Bid-YTW : 4.08 %
TRP.PR.F FloatingReset 1.38 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-02-28
Maturity Price : 17.64
Evaluated at bid price : 17.64
Bid-YTW : 3.39 %
TRP.PR.H FloatingReset 1.87 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-02-28
Maturity Price : 13.06
Evaluated at bid price : 13.06
Bid-YTW : 3.36 %
Volume Highlights
Issue Index Shares
Traded
Notes
BMO.PR.B FixedReset 154,321 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-02-25
Maturity Price : 25.00
Evaluated at bid price : 25.99
Bid-YTW : 4.00 %
BAM.PR.T FixedReset 66,130 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-02-28
Maturity Price : 18.99
Evaluated at bid price : 18.99
Bid-YTW : 4.55 %
TD.PF.H FixedReset 63,823 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-10-31
Maturity Price : 25.00
Evaluated at bid price : 25.94
Bid-YTW : 4.10 %
BMO.PR.S FixedReset 58,341 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-02-28
Maturity Price : 21.99
Evaluated at bid price : 22.22
Bid-YTW : 3.92 %
TRP.PR.K FixedReset 41,317 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-05-31
Maturity Price : 25.00
Evaluated at bid price : 25.75
Bid-YTW : 4.29 %
FTS.PR.M FixedReset 39,424 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-02-28
Maturity Price : 21.87
Evaluated at bid price : 22.13
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.Y FixedReset Quote: 21.51 – 21.97
Spot Rate : 0.4600
Average : 0.2961

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.51
Bid-YTW : 5.21 %

SLF.PR.H FixedReset Quote: 19.45 – 19.73
Spot Rate : 0.2800
Average : 0.1725

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.45
Bid-YTW : 6.77 %

MFC.PR.K FixedReset Quote: 21.00 – 21.28
Spot Rate : 0.2800
Average : 0.1776

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.00
Bid-YTW : 5.97 %

BAM.PR.T FixedReset Quote: 18.99 – 19.22
Spot Rate : 0.2300
Average : 0.1498

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-02-28
Maturity Price : 18.99
Evaluated at bid price : 18.99
Bid-YTW : 4.55 %

HSE.PR.E FixedReset Quote: 23.80 – 24.14
Spot Rate : 0.3400
Average : 0.2602

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-02-28
Maturity Price : 22.87
Evaluated at bid price : 23.80
Bid-YTW : 4.89 %

BMO.PR.R FloatingReset Quote: 23.81 – 24.05
Spot Rate : 0.2400
Average : 0.1625

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.81
Bid-YTW : 3.12 %

February 27, 2017

Tuesday, February 28th, 2017
HIMIPref™ Preferred Indices
These values reflect the December 2008 revision of the HIMIPref™ Indices

Values are provisional and are finalized monthly
Index Mean
Current
Yield
(at bid)
Median
YTW
Median
Average
Trading
Value
Median
Mod Dur
(YTW)
Issues Day’s Perf. Index Value
Ratchet 0.00 % 0.00 % 0 0.00 0 -0.5404 % 2,058.7
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.5404 % 3,777.6
Floater 3.67 % 3.90 % 56,412 17.57 4 -0.5404 % 2,177.1
OpRet 0.00 % 0.00 % 0 0.00 0 0.0393 % 2,997.2
SplitShare 4.72 % 4.11 % 58,093 0.77 4 0.0393 % 3,579.2
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0393 % 2,792.7
Perpetual-Premium 5.41 % -5.66 % 68,384 0.09 16 -0.1314 % 2,738.8
Perpetual-Discount 5.16 % 5.17 % 99,513 15.03 22 -0.2186 % 2,913.0
FixedReset 4.43 % 4.02 % 228,548 6.77 97 -0.1309 % 2,329.1
Deemed-Retractible 5.01 % 0.54 % 133,783 0.16 31 0.0920 % 2,854.3
FloatingReset 2.49 % 3.11 % 50,845 4.65 9 -0.5171 % 2,465.0
Performance Highlights
Issue Index Change Notes
TRP.PR.H FloatingReset -2.66 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-02-27
Maturity Price : 12.82
Evaluated at bid price : 12.82
Bid-YTW : 3.42 %
BNS.PR.Y FixedReset -1.46 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.20
Bid-YTW : 4.51 %
BAM.PR.B Floater -1.37 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-02-27
Maturity Price : 12.21
Evaluated at bid price : 12.21
Bid-YTW : 3.91 %
IFC.PR.C FixedReset -1.23 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.70
Bid-YTW : 5.70 %
TRP.PR.B FixedReset -1.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-02-27
Maturity Price : 14.52
Evaluated at bid price : 14.52
Bid-YTW : 4.02 %
BAM.PR.C Floater -1.21 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-02-27
Maturity Price : 12.25
Evaluated at bid price : 12.25
Bid-YTW : 3.90 %
MFC.PR.F FixedReset -1.10 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 15.33
Bid-YTW : 9.32 %
SLF.PR.G FixedReset -1.04 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 16.24
Bid-YTW : 8.69 %
GWO.PR.S Deemed-Retractible 2.87 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 25.41
Bid-YTW : 5.16 %
Volume Highlights
Issue Index Shares
Traded
Notes
BIP.PR.D FixedReset 60,456 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-02-27
Maturity Price : 23.17
Evaluated at bid price : 25.05
Bid-YTW : 4.88 %
BAM.PF.I FixedReset 53,291 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-03-31
Maturity Price : 25.00
Evaluated at bid price : 25.78
Bid-YTW : 4.42 %
BIP.PR.B FixedReset 38,716 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2020-12-31
Maturity Price : 25.00
Evaluated at bid price : 25.80
Bid-YTW : 4.47 %
RY.PR.C Deemed-Retractible 29,500 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2017-03-29
Maturity Price : 25.00
Evaluated at bid price : 25.24
Bid-YTW : -6.48 %
BNS.PR.O Deemed-Retractible 24,500 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2017-04-26
Maturity Price : 25.00
Evaluated at bid price : 25.31
Bid-YTW : 0.30 %
TD.PF.A FixedReset 22,200 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-02-27
Maturity Price : 21.63
Evaluated at bid price : 22.05
Bid-YTW : 3.86 %
There were 18 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
SLF.PR.G FixedReset Quote: 16.24 – 16.53
Spot Rate : 0.2900
Average : 0.1831

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 16.24
Bid-YTW : 8.69 %

ELF.PR.F Perpetual-Discount Quote: 24.31 – 24.64
Spot Rate : 0.3300
Average : 0.2304

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-02-27
Maturity Price : 24.06
Evaluated at bid price : 24.31
Bid-YTW : 5.52 %

IAG.PR.G FixedReset Quote: 23.15 – 23.39
Spot Rate : 0.2400
Average : 0.1505

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.15
Bid-YTW : 5.06 %

RY.PR.P Perpetual-Premium Quote: 25.90 – 26.15
Spot Rate : 0.2500
Average : 0.1810

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-02-24
Maturity Price : 25.00
Evaluated at bid price : 25.90
Bid-YTW : 4.74 %

ELF.PR.H Perpetual-Discount Quote: 25.05 – 25.25
Spot Rate : 0.2000
Average : 0.1338

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-02-27
Maturity Price : 24.76
Evaluated at bid price : 25.05
Bid-YTW : 5.55 %

BMO.PR.Q FixedReset Quote: 21.57 – 21.91
Spot Rate : 0.3400
Average : 0.2746

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.57
Bid-YTW : 5.04 %