February 25, 2016

Just the bare bones today, I’m afraid!

Liquidity in the FX market

Rules for lightweight drones

Towards a formal theory of bank interconnectedness

The bond market hates energy

Financial analysis jobs being automated.

HSBC confirmed

DC.PR.E post updated with Dundee’s estimate of the warrant value.

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 5.59 % 6.78 % 14,283 15.77 1 1.3542 % 1,401.2
FixedFloater 7.85 % 6.87 % 22,828 15.31 1 0.0000 % 2,532.2
Floater 4.95 % 5.21 % 77,306 15.07 4 -0.8052 % 1,549.3
OpRet 0.00 % 0.00 % 0 0.00 0 0.2703 % 2,743.4
SplitShare 4.86 % 5.72 % 74,780 2.68 6 0.2703 % 3,210.3
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.2703 % 2,504.8
Perpetual-Premium 5.86 % 5.85 % 81,656 13.92 6 -0.2795 % 2,517.1
Perpetual-Discount 5.83 % 5.85 % 97,422 14.07 33 -0.2051 % 2,482.7
FixedReset 5.86 % 5.29 % 204,483 13.90 85 -0.6471 % 1,734.5
Deemed-Retractible 5.37 % 6.11 % 121,339 5.15 34 0.2333 % 2,518.8
FloatingReset 3.18 % 5.40 % 49,140 5.48 16 0.1795 % 1,924.8
Performance Highlights
Issue Index Change Notes
TRP.PR.A FixedReset -4.93 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-02-25
Maturity Price : 12.25
Evaluated at bid price : 12.25
Bid-YTW : 5.49 %
SLF.PR.H FixedReset -4.70 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 14.20
Bid-YTW : 10.59 %
MFC.PR.L FixedReset -3.77 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 14.82
Bid-YTW : 10.39 %
MFC.PR.M FixedReset -3.38 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 15.70
Bid-YTW : 9.79 %
IAG.PR.A Deemed-Retractible -3.15 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.97
Bid-YTW : 7.94 %
MFC.PR.K FixedReset -2.99 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 14.28
Bid-YTW : 10.77 %
BAM.PF.D Perpetual-Discount -2.90 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-02-25
Maturity Price : 19.10
Evaluated at bid price : 19.10
Bid-YTW : 6.54 %
TRP.PR.B FixedReset -2.68 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-02-25
Maturity Price : 9.50
Evaluated at bid price : 9.50
Bid-YTW : 5.14 %
IFC.PR.C FixedReset -2.55 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 15.30
Bid-YTW : 10.20 %
PWF.PR.P FixedReset -2.43 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-02-25
Maturity Price : 11.22
Evaluated at bid price : 11.22
Bid-YTW : 5.04 %
MFC.PR.J FixedReset -2.42 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 15.70
Bid-YTW : 9.78 %
CU.PR.C FixedReset -2.36 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-02-25
Maturity Price : 14.92
Evaluated at bid price : 14.92
Bid-YTW : 5.18 %
HSE.PR.G FixedReset -2.27 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-02-25
Maturity Price : 14.66
Evaluated at bid price : 14.66
Bid-YTW : 7.45 %
BAM.PR.B Floater -2.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-02-25
Maturity Price : 9.19
Evaluated at bid price : 9.19
Bid-YTW : 5.22 %
CM.PR.Q FixedReset -2.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-02-25
Maturity Price : 17.33
Evaluated at bid price : 17.33
Bid-YTW : 5.03 %
BAM.PF.F FixedReset -1.96 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-02-25
Maturity Price : 16.50
Evaluated at bid price : 16.50
Bid-YTW : 5.70 %
BAM.PF.C Perpetual-Discount -1.94 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-02-25
Maturity Price : 19.20
Evaluated at bid price : 19.20
Bid-YTW : 6.44 %
BAM.PF.A FixedReset -1.93 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-02-25
Maturity Price : 16.26
Evaluated at bid price : 16.26
Bid-YTW : 5.75 %
BAM.PR.N Perpetual-Discount -1.82 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-02-25
Maturity Price : 18.90
Evaluated at bid price : 18.90
Bid-YTW : 6.41 %
BAM.PF.E FixedReset -1.80 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-02-25
Maturity Price : 15.81
Evaluated at bid price : 15.81
Bid-YTW : 5.57 %
BNS.PR.E FixedReset -1.69 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-02-25
Maturity Price : 23.16
Evaluated at bid price : 25.02
Bid-YTW : 5.22 %
TD.PF.E FixedReset -1.68 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-02-25
Maturity Price : 18.09
Evaluated at bid price : 18.09
Bid-YTW : 4.94 %
MFC.PR.I FixedReset -1.63 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 16.30
Bid-YTW : 9.54 %
BMO.PR.Y FixedReset -1.60 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-02-25
Maturity Price : 17.82
Evaluated at bid price : 17.82
Bid-YTW : 4.85 %
FTS.PR.M FixedReset -1.56 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-02-25
Maturity Price : 15.80
Evaluated at bid price : 15.80
Bid-YTW : 5.26 %
TD.PF.A FixedReset -1.52 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-02-25
Maturity Price : 16.15
Evaluated at bid price : 16.15
Bid-YTW : 4.79 %
MFC.PR.H FixedReset -1.46 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.27
Bid-YTW : 8.15 %
RY.PR.H FixedReset -1.45 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-02-25
Maturity Price : 16.27
Evaluated at bid price : 16.27
Bid-YTW : 4.74 %
MFC.PR.F FixedReset -1.45 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 12.22
Bid-YTW : 11.27 %
BIP.PR.B FixedReset -1.42 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-02-25
Maturity Price : 22.63
Evaluated at bid price : 23.66
Bid-YTW : 5.89 %
MFC.PR.C Deemed-Retractible -1.32 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.50
Bid-YTW : 7.99 %
PWF.PR.O Perpetual-Premium -1.28 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-02-25
Maturity Price : 24.36
Evaluated at bid price : 24.68
Bid-YTW : 5.93 %
BMO.PR.S FixedReset -1.25 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-02-25
Maturity Price : 16.55
Evaluated at bid price : 16.55
Bid-YTW : 4.75 %
MFC.PR.N FixedReset -1.25 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 15.81
Bid-YTW : 9.61 %
TRP.PR.D FixedReset -1.25 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-02-25
Maturity Price : 15.05
Evaluated at bid price : 15.05
Bid-YTW : 5.34 %
TRP.PR.E FixedReset -1.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-02-25
Maturity Price : 16.00
Evaluated at bid price : 16.00
Bid-YTW : 5.10 %
SLF.PR.I FixedReset -1.19 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 16.55
Bid-YTW : 9.21 %
NA.PR.W FixedReset -1.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-02-25
Maturity Price : 14.54
Evaluated at bid price : 14.54
Bid-YTW : 5.37 %
PWF.PR.L Perpetual-Discount -1.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-02-25
Maturity Price : 21.54
Evaluated at bid price : 21.80
Bid-YTW : 5.91 %
BAM.PF.B FixedReset -1.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-02-25
Maturity Price : 15.04
Evaluated at bid price : 15.04
Bid-YTW : 5.80 %
BMO.PR.W FixedReset -1.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-02-25
Maturity Price : 16.15
Evaluated at bid price : 16.15
Bid-YTW : 4.72 %
BMO.PR.T FixedReset -1.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-02-25
Maturity Price : 16.37
Evaluated at bid price : 16.37
Bid-YTW : 4.69 %
RY.PR.Q FixedReset -1.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-02-25
Maturity Price : 23.17
Evaluated at bid price : 25.08
Bid-YTW : 5.22 %
SLF.PR.G FixedReset -1.06 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 13.01
Bid-YTW : 10.74 %
CU.PR.H Perpetual-Discount -1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-02-25
Maturity Price : 22.44
Evaluated at bid price : 22.76
Bid-YTW : 5.78 %
RY.PR.B Deemed-Retractible 1.06 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.72
Bid-YTW : 4.95 %
PVS.PR.E SplitShare 1.08 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-10-31
Maturity Price : 25.00
Evaluated at bid price : 23.30
Bid-YTW : 6.80 %
TD.PR.Y FixedReset 1.10 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.06
Bid-YTW : 4.46 %
BNS.PR.M Deemed-Retractible 1.10 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.91
Bid-YTW : 5.46 %
RY.PR.A Deemed-Retractible 1.10 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.80
Bid-YTW : 5.44 %
RY.PR.F Deemed-Retractible 1.11 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.72
Bid-YTW : 5.51 %
BIP.PR.A FixedReset 1.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-02-25
Maturity Price : 17.11
Evaluated at bid price : 17.11
Bid-YTW : 6.22 %
BNS.PR.Z FixedReset 1.14 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.67
Bid-YTW : 7.46 %
RY.PR.E Deemed-Retractible 1.27 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.90
Bid-YTW : 5.41 %
PWF.PR.T FixedReset 1.29 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-02-25
Maturity Price : 18.85
Evaluated at bid price : 18.85
Bid-YTW : 4.24 %
CU.PR.I FixedReset 1.30 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-02-25
Maturity Price : 23.16
Evaluated at bid price : 24.96
Bid-YTW : 4.41 %
BAM.PR.E Ratchet 1.35 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-02-25
Maturity Price : 25.00
Evaluated at bid price : 12.10
Bid-YTW : 6.78 %
HSE.PR.A FixedReset 1.36 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-02-25
Maturity Price : 8.20
Evaluated at bid price : 8.20
Bid-YTW : 7.30 %
BMO.PR.Q FixedReset 1.37 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 17.75
Bid-YTW : 8.22 %
NA.PR.Q FixedReset 1.39 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.60
Bid-YTW : 5.22 %
BAM.PR.R FixedReset 1.43 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-02-25
Maturity Price : 12.78
Evaluated at bid price : 12.78
Bid-YTW : 5.89 %
BAM.PR.T FixedReset 1.44 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-02-25
Maturity Price : 13.43
Evaluated at bid price : 13.43
Bid-YTW : 5.74 %
RY.PR.D Deemed-Retractible 1.48 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.96
Bid-YTW : 5.36 %
GWO.PR.N FixedReset 1.54 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 12.51
Bid-YTW : 11.14 %
BNS.PR.Y FixedReset 1.67 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.84
Bid-YTW : 6.94 %
BNS.PR.D FloatingReset 1.72 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 17.75
Bid-YTW : 7.59 %
HSE.PR.C FixedReset 2.59 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-02-25
Maturity Price : 13.45
Evaluated at bid price : 13.45
Bid-YTW : 7.50 %
TRP.PR.F FloatingReset 3.56 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-02-25
Maturity Price : 10.17
Evaluated at bid price : 10.17
Bid-YTW : 5.79 %
BAM.PR.X FixedReset 4.43 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-02-25
Maturity Price : 12.01
Evaluated at bid price : 12.01
Bid-YTW : 5.49 %
Volume Highlights
Issue Index Shares
Traded
Notes
RY.PR.Q FixedReset 860,432 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-02-25
Maturity Price : 23.17
Evaluated at bid price : 25.08
Bid-YTW : 5.22 %
MFC.PR.O FixedReset 753,902 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.86
Bid-YTW : 5.71 %
TD.PF.G FixedReset 359,845 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-02-25
Maturity Price : 23.18
Evaluated at bid price : 25.09
Bid-YTW : 5.29 %
BNS.PR.E FixedReset 194,018 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-02-25
Maturity Price : 23.16
Evaluated at bid price : 25.02
Bid-YTW : 5.22 %
FTS.PR.M FixedReset 109,370 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-02-25
Maturity Price : 15.80
Evaluated at bid price : 15.80
Bid-YTW : 5.26 %
BNS.PR.O Deemed-Retractible 101,800 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2017-04-26
Maturity Price : 25.00
Evaluated at bid price : 25.35
Bid-YTW : 4.70 %
NA.PR.X FixedReset 100,160 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-02-25
Maturity Price : 23.15
Evaluated at bid price : 25.01
Bid-YTW : 5.51 %
There were 35 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
TRP.PR.B FixedReset Quote: 9.50 – 10.42
Spot Rate : 0.9200
Average : 0.5842

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-02-25
Maturity Price : 9.50
Evaluated at bid price : 9.50
Bid-YTW : 5.14 %

IAG.PR.A Deemed-Retractible Quote: 19.97 – 21.08
Spot Rate : 1.1100
Average : 0.8337

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.97
Bid-YTW : 7.94 %

SLF.PR.H FixedReset Quote: 14.20 – 15.00
Spot Rate : 0.8000
Average : 0.5335

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 14.20
Bid-YTW : 10.59 %

HSE.PR.G FixedReset Quote: 14.66 – 15.50
Spot Rate : 0.8400
Average : 0.6108

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-02-25
Maturity Price : 14.66
Evaluated at bid price : 14.66
Bid-YTW : 7.45 %

TD.PR.T FloatingReset Quote: 20.97 – 21.78
Spot Rate : 0.8100
Average : 0.5812

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.97
Bid-YTW : 5.20 %

TRP.PR.A FixedReset Quote: 12.25 – 12.88
Spot Rate : 0.6300
Average : 0.4309

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-02-25
Maturity Price : 12.25
Evaluated at bid price : 12.25
Bid-YTW : 5.49 %

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