Category: Market Action

Market Action

Tim Shufelt of the Globe penned a great piece on the stability risks posed by ETFs that included some great quotes from “Mark Kamstra, a professor of finance at York University’s Schulich School of Business, who specializes in the study of financial bubbles.”:

Mass redemptions from active funds could quickly reverse, however, if stock pickers start to reliably beat the market. “People chase returns, so if they see active investors doing great, they’ll plow back into them,” Mr. Kamstra said. Which is why it’s odd to hear active managers complain about ETFs skewing valuations, he said. If that’s actually happening, who better than a skilled stock picker to take advantage of those mispricings. “If I were an active investor, I’d be loving that stuff. It makes for opportunities,” Mr. Kamstra said.

Yep. CPD and ZPR are my best friends. However, I was disappointed that the problem of differential liquidity was not discussed in the article – I quoted the following on August 22, 2014:

The WSJ points out:

While it’s important to look at how ETF shares are trading, the fund’s underlying holdings are really the heart of the liquidity issue, experts say.

One reason: Big investors known as “authorized participants” can swap a basket of the fund’s underlying holdings for ETF shares—or vice versa. This process helps arbitrage away significant gaps between the ETF’s share price and its NAV, the value of its underlying holdings. But when the underlying holdings are costly to trade and tough to obtain, authorized participants are less willing to round up that basket of securities. That means big gaps can develop between an ETF’s share price and its NAV.

One place to watch out for these premiums and discounts is in bond ETFs, especially those focused on areas like corporate investment-grade and high-yield, or “junk,” bonds. The iShares iBoxx $ High Yield Corporate Bond Fund closed within 0.5% of NAV on only four days in the fourth quarter, iShares says, and traded at a premium as large as 2.1% in that period.
…
When underlying holdings are traded less frequently, or not at all, an ETF’s returns also may diverge from the benchmark it is designed to track. That became an issue for some bond ETFs recently as the Federal Reserve bought up large quantities of agency bonds and mortgage-backed securities, essentially removing them from the market. Vanguard Group recently changed some of its bond index funds and ETFs to benchmarks that exclude these securities purchased by the Fed.

The biggest test of bond-ETF liquidity may be yet to come. So far investors have poured money into these products, and many bond ETFs are trading at significant premiums to NAV. But if investors reverse course and stampede out, the trading could get ugly, experts say. Given the relative illiquidity of many of the underlying bonds, the ETFs could start trading at significant discounts to NAV.

“When everybody tries to get out, it’s going to be a debacle,” says Scott Freeze, president of Street One Financial.

Don’t get me wrong – I think ETFs serve a great purpose and particularly recommend them for retail bond investors. But when you have a liquidity inversion – the ETF being more liquid than all (or even just some) of the underlying assets put together – you face huge problems in that ETF cash flows can overwhelm the cash market, which will lead to galloping, self-reinforcing price trends.

Does anybody remember the financial crisis? A big part of the problem was the AAA tranches of sub-prime-mortgage-backed securities. There wasn’t really anything much wrong with the AAA tranches – the junk and mezzanine debt got whacked, but the all that happened to (most!) AAA tranches was a downgrade or two (which is why the politicians like to talk about downgrades when criticizing the banks, not actual defaults). But the downgrades caused selling pressure … and nobody wanted to buy … and the world fell apart. And the same think can happen again if you have billion-dollar cash-flows in a million-dollar market.

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	0.2139 %	2,890.5
FixedFloater	0.00 %	0.00 %	0	0.00	0	0.2139 %	5,303.8
Floater	3.44 %	3.59 %	46,384	18.31	4	0.2139 %	3,056.6
OpRet	0.00 %	0.00 %	0	0.00	0	-0.2716 %	3,150.7
SplitShare	4.66 %	4.28 %	69,104	4.15	5	-0.2716 %	3,762.6
Interest-Bearing	0.00 %	0.00 %	0	0.00	0	-0.2716 %	2,935.7
Perpetual-Premium	5.37 %	-0.89 %	66,851	0.09	18	-0.0044 %	2,867.6
Perpetual-Discount	5.28 %	5.30 %	69,503	14.97	16	0.1417 %	3,008.7
FixedReset	4.19 %	4.47 %	151,033	3.80	101	0.1689 %	2,543.2
Deemed-Retractible	5.05 %	5.44 %	83,810	5.81	28	0.0546 %	2,960.3
FloatingReset	3.03 %	2.72 %	42,566	0.97	10	0.2951 %	2,776.3

Performance Highlights
Issue	Index	Change	Notes
PVS.PR.E	SplitShare	-1.32 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-10-31 Maturity Price : 25.00 Evaluated at bid price : 26.15 Bid-YTW : 4.63 %
TRP.PR.G	FixedReset	-1.17 %	YTW SCENARIO Maturity Type : Call Maturity Date : 2020-11-30 Maturity Price : 25.00 Evaluated at bid price : 24.45 Bid-YTW : 4.89 %
CU.PR.G	Perpetual-Discount	-1.04 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-01-29 Maturity Price : 21.51 Evaluated at bid price : 21.80 Bid-YTW : 5.23 %
TRP.PR.D	FixedReset	1.02 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-01-29 Maturity Price : 23.37 Evaluated at bid price : 23.85 Bid-YTW : 4.64 %
BAM.PR.M	Perpetual-Discount	1.10 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-01-29 Maturity Price : 21.85 Evaluated at bid price : 22.09 Bid-YTW : 5.43 %
GWO.PR.N	FixedReset	1.13 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 19.72 Bid-YTW : 6.73 %
BAM.PR.T	FixedReset	1.34 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-01-29 Maturity Price : 21.57 Evaluated at bid price : 21.86 Bid-YTW : 4.81 %
BNS.PR.C	FloatingReset	1.55 %	YTW SCENARIO Maturity Type : Call Maturity Date : 2019-01-26 Maturity Price : 25.00 Evaluated at bid price : 24.91 Bid-YTW : 2.70 %
TRP.PR.C	FixedReset	1.55 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-01-29 Maturity Price : 18.35 Evaluated at bid price : 18.35 Bid-YTW : 4.66 %
BAM.PR.R	FixedReset	1.96 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-01-29 Maturity Price : 21.34 Evaluated at bid price : 21.34 Bid-YTW : 4.88 %

Volume Highlights
Issue	Index	Shares Traded	Notes
BMO.PR.T	FixedReset	171,765	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-01-29 Maturity Price : 23.60 Evaluated at bid price : 24.00 Bid-YTW : 4.51 %
NA.PR.E	FixedReset	146,694	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-01-29 Maturity Price : 23.07 Evaluated at bid price : 24.78 Bid-YTW : 4.61 %
CM.PR.S	FixedReset	101,311	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-01-29 Maturity Price : 23.12 Evaluated at bid price : 24.89 Bid-YTW : 4.46 %
RY.PR.E	Deemed-Retractible	96,450	YTW SCENARIO Maturity Type : Call Maturity Date : 2018-02-28 Maturity Price : 25.00 Evaluated at bid price : 25.24 Bid-YTW : -10.73 %
MFC.PR.R	FixedReset	82,850	YTW SCENARIO Maturity Type : Call Maturity Date : 2022-03-19 Maturity Price : 25.00 Evaluated at bid price : 26.08 Bid-YTW : 3.88 %
BMO.PR.M	FixedReset	61,120	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 25.08 Bid-YTW : 3.78 %
There were 29 other index-included issues trading in excess of 10,000 shares.

Wide Spread Highlights
Issue	Index	Quote Data and Yield Notes
POW.PR.G	Perpetual-Premium	Quote: 25.65 – 26.25 Spot Rate : 0.6000 Average : 0.3633 YTW SCENARIO Maturity Type : Call Maturity Date : 2020-04-15 Maturity Price : 25.25 Evaluated at bid price : 25.65 Bid-YTW : 4.92 %
RY.PR.M	FixedReset	Quote: 24.52 – 25.00 Spot Rate : 0.4800 Average : 0.2899 YTW SCENARIO Maturity Type : Call Maturity Date : 2020-11-24 Maturity Price : 25.00 Evaluated at bid price : 24.52 Bid-YTW : 4.26 %
GWO.PR.N	FixedReset	Quote: 19.72 – 20.20 Spot Rate : 0.4800 Average : 0.3043 YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 19.72 Bid-YTW : 6.73 %
CU.PR.G	Perpetual-Discount	Quote: 21.80 – 22.30 Spot Rate : 0.5000 Average : 0.3255 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-01-29 Maturity Price : 21.51 Evaluated at bid price : 21.80 Bid-YTW : 5.23 %
GWO.PR.S	Deemed-Retractible	Quote: 25.30 – 25.68 Spot Rate : 0.3800 Average : 0.2127 YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 25.30 Bid-YTW : 5.15 %
PWF.PR.E	Perpetual-Premium	Quote: 25.12 – 25.45 Spot Rate : 0.3300 Average : 0.2025 YTW SCENARIO Maturity Type : Call Maturity Date : 2018-02-28 Maturity Price : 25.00 Evaluated at bid price : 25.12 Bid-YTW : -0.89 %

Market Action

January 26, 2018

HIMIPref™ Preferred Indices These values reflect the December 2008 revision of the HIMIPref™ Indices Values are provisional and are finalized monthly
Index	Mean Current Yield (at bid)	Median YTW	Median Average Trading Value	Median Mod Dur (YTW)	Issues	Day’s Perf.	Index Value
Ratchet	0.00 %	0.00 %	0	0.00	0	-0.2560 %	2,884.3
FixedFloater	0.00 %	0.00 %	0	0.00	0	-0.2560 %	5,292.5
Floater	3.44 %	3.59 %	44,325	18.32	4	-0.2560 %	3,050.1
OpRet	0.00 %	0.00 %	0	0.00	0	-0.2014 %	3,159.2
SplitShare	4.65 %	4.12 %	66,489	3.37	5	-0.2014 %	3,772.8
Interest-Bearing	0.00 %	0.00 %	0	0.00	0	-0.2014 %	2,943.7
Perpetual-Premium	5.37 %	-0.95 %	66,793	0.09	18	0.0656 %	2,867.7
Perpetual-Discount	5.29 %	5.31 %	69,621	14.96	16	0.0964 %	3,004.5
FixedReset	4.20 %	4.45 %	152,687	3.82	101	0.0629 %	2,538.9
Deemed-Retractible	5.05 %	5.42 %	82,919	5.82	28	0.0798 %	2,958.7
FloatingReset	3.05 %	2.93 %	44,212	3.76	10	-0.1127 %	2,768.1

Performance Highlights
Issue	Index	Change	Notes
BNS.PR.C	FloatingReset	-1.60 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.53 Bid-YTW : 3.40 %
BMO.PR.Y	FixedReset	1.02 %	YTW SCENARIO Maturity Type : Call Maturity Date : 2020-08-25 Maturity Price : 25.00 Evaluated at bid price : 24.72 Bid-YTW : 4.56 %
MFC.PR.F	FixedReset	1.16 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 19.15 Bid-YTW : 7.15 %

Volume Highlights
Issue	Index	Shares Traded	Notes
TRP.PR.D	FixedReset	106,727	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-01-26 Maturity Price : 23.12 Evaluated at bid price : 23.61 Bid-YTW : 4.63 %
TD.PR.T	FloatingReset	104,900	YTW SCENARIO Maturity Type : Call Maturity Date : 2018-07-31 Maturity Price : 25.00 Evaluated at bid price : 24.86 Bid-YTW : 2.49 %
BAM.PR.K	Floater	102,412	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-01-26 Maturity Price : 16.96 Evaluated at bid price : 16.96 Bid-YTW : 3.59 %
BMO.PR.T	FixedReset	83,819	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-01-26 Maturity Price : 23.45 Evaluated at bid price : 23.85 Bid-YTW : 4.48 %
CM.PR.S	FixedReset	69,965	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-01-26 Maturity Price : 23.14 Evaluated at bid price : 24.94 Bid-YTW : 4.41 %
NA.PR.E	FixedReset	65,220	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-01-26 Maturity Price : 23.07 Evaluated at bid price : 24.79 Bid-YTW : 4.57 %
There were 26 other index-included issues trading in excess of 10,000 shares.

Wide Spread Highlights
Issue	Index	Quote Data and Yield Notes
BNS.PR.C	FloatingReset	Quote: 24.53 – 24.95 Spot Rate : 0.4200 Average : 0.2409 YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.53 Bid-YTW : 3.40 %
TRP.PR.C	FixedReset	Quote: 18.07 – 18.34 Spot Rate : 0.2700 Average : 0.1803 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-01-26 Maturity Price : 18.07 Evaluated at bid price : 18.07 Bid-YTW : 4.67 %
BIP.PR.E	FixedReset	Quote: 24.72 – 24.95 Spot Rate : 0.2300 Average : 0.1517 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-01-26 Maturity Price : 23.05 Evaluated at bid price : 24.72 Bid-YTW : 5.01 %
BAM.PR.T	FixedReset	Quote: 21.57 – 21.90 Spot Rate : 0.3300 Average : 0.2599 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-01-26 Maturity Price : 21.29 Evaluated at bid price : 21.57 Bid-YTW : 4.83 %
W.PR.M	FixedReset	Quote: 26.35 – 26.60 Spot Rate : 0.2500 Average : 0.1811 YTW SCENARIO Maturity Type : Call Maturity Date : 2021-10-15 Maturity Price : 25.00 Evaluated at bid price : 26.35 Bid-YTW : 3.71 %
BAM.PR.R	FixedReset	Quote: 20.93 – 21.10 Spot Rate : 0.1700 Average : 0.1129 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-01-26 Maturity Price : 20.93 Evaluated at bid price : 20.93 Bid-YTW : 4.92 %

Market Action

January 25, 2018

So, how about the industry reactions to the Pacific trade deal, eh?:

The Comprehensive and Progressive Agreement for Trans-Pacific Partnership, which Trade Minister François-Philippe Champagne announced on Tuesday, will benefit Canada’s agricultural sector, chiefly beef and pork producers, which are being granted market access to the once-sheltered Japanese market – access that rivals in Australia already enjoy.

But Canada’s dairy farmers, the head of the country’s largest private-sector union and a major portion of the Canadian auto industry say the new deal makes major concessions to foreign competitors that will cost jobs in Canada without yielding sufficient reciprocal benefits.
…
Key sectors of the auto industry in Canada oppose the new agreement.
…
Auto-parts makers say the TPP would open them up to more intense competition from low-cost countries such as Vietnam and Malaysia. The Detroit Three auto makers say it will eliminate tariffs on Japan-made vehicles entering the Canadian market while not removing existing non-tariff barriers in Japan.

So confident exporters love it and coddled parasites hate it? I like this deal already!

Clare O’Hara of the Globe continues the whitewashing of the Canadian discount brokerages negligence:

Online discount brokerages at Canada’s Big Six banks are continuing to see a surge in trading volumes and new account openings amid the investor frenzy centred on cannabis and cryptocurrency-related stocks.

The increased activity has been testing the limits of what some of the brokerages can handle during peak periods in the North American trading day.

Royal Bank of Canada’s RBC Direct Investing experienced outages on Tuesday morning that blocked some investors from accessing their online trading accounts for approximately an hour.

Meanwhile, Toronto-Dominion Bank has had to postpone a new online system for opening accounts, forcing investors to visit branches in person and endure at least a one-week waiting period.
…
Officials for other online brokerages at Bank of Montreal, National Bank of Canada, Canadian Imperial Bank of Commerce and Bank of Nova Scotia have all confirmed they also have been seeing higher-than-normal trading volumes.

For some of them, account opening requests have been running more than three times the average rates of 2017.
…
Scotiabank confirmed it has seen an increase of account openings of more than three times the daily average of last year, as well as almost double the trading volume than expected for this month.

BMO InvestorLine has seen its traffic volume increase steadily each month since September; since November, it has a 26-per-cent increase in new accounts, according to the bank.

I don’t give a rat’s putootie about “double the trading volume expected for this month.” I have two questions instead: How was the expectation developed? And mainly, how does that expectation compare with what might be reasonably expected during an actual market break?

I also don’t give a rat’s putootie about account openings of “three times the average rates of 2017”. 2017 was a nothing year. Nothing significant happened. Who cares about 2017? What might the account opening rate be during an actual market break?

These clowns have had a mild stress test and failed miserably.

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	0.3712 %	2,891.7
FixedFloater	0.00 %	0.00 %	0	0.00	0	0.3712 %	5,306.1
Floater	3.44 %	3.57 %	43,525	18.36	4	0.3712 %	3,057.9
OpRet	0.00 %	0.00 %	0	0.00	0	0.1163 %	3,165.6
SplitShare	4.64 %	4.11 %	66,526	3.38	5	0.1163 %	3,780.4
Interest-Bearing	0.00 %	0.00 %	0	0.00	0	0.1163 %	2,949.6
Perpetual-Premium	5.37 %	-1.13 %	67,476	0.09	18	0.0656 %	2,865.9
Perpetual-Discount	5.30 %	5.29 %	69,172	14.98	16	-0.0963 %	3,001.6
FixedReset	4.20 %	4.47 %	147,433	3.89	101	0.2177 %	2,537.3
Deemed-Retractible	5.06 %	5.48 %	83,606	5.82	28	0.0547 %	2,956.3
FloatingReset	3.04 %	2.96 %	40,932	3.78	10	0.0694 %	2,771.2

Performance Highlights
Issue	Index	Change	Notes
PWF.PR.Z	Perpetual-Discount	-1.22 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-01-25 Maturity Price : 23.99 Evaluated at bid price : 24.36 Bid-YTW : 5.29 %
MFC.PR.M	FixedReset	1.00 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.24 Bid-YTW : 4.86 %
SLF.PR.H	FixedReset	1.04 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.24 Bid-YTW : 5.43 %
BAM.PR.B	Floater	1.13 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-01-25 Maturity Price : 17.03 Evaluated at bid price : 17.03 Bid-YTW : 3.57 %
MFC.PR.J	FixedReset	1.18 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.79 Bid-YTW : 4.88 %
TRP.PR.H	FloatingReset	1.41 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-01-25 Maturity Price : 17.25 Evaluated at bid price : 17.25 Bid-YTW : 3.61 %
IFC.PR.C	FixedReset	1.91 %	YTW SCENARIO Maturity Type : Call Maturity Date : 2021-09-30 Maturity Price : 25.00 Evaluated at bid price : 23.96 Bid-YTW : 4.66 %

Volume Highlights
Issue	Index	Shares Traded	Notes
TD.PF.A	FixedReset	308,100	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-01-25 Maturity Price : 23.49 Evaluated at bid price : 23.86 Bid-YTW : 4.43 %
BNS.PR.G	FixedReset	208,500	YTW SCENARIO Maturity Type : Call Maturity Date : 2021-07-25 Maturity Price : 25.00 Evaluated at bid price : 26.72 Bid-YTW : 3.41 %
BAM.PR.Z	FixedReset	132,393	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-01-25 Maturity Price : 23.11 Evaluated at bid price : 24.85 Bid-YTW : 4.89 %
RY.PR.Q	FixedReset	107,957	YTW SCENARIO Maturity Type : Call Maturity Date : 2021-05-24 Maturity Price : 25.00 Evaluated at bid price : 26.56 Bid-YTW : 3.38 %
BNS.PR.Q	FixedReset	102,700	YTW SCENARIO Maturity Type : Call Maturity Date : 2018-10-25 Maturity Price : 25.00 Evaluated at bid price : 24.99 Bid-YTW : 3.68 %
BMO.PR.S	FixedReset	102,635	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-01-25 Maturity Price : 24.00 Evaluated at bid price : 24.40 Bid-YTW : 4.48 %
There were 24 other index-included issues trading in excess of 10,000 shares.

Wide Spread Highlights
Issue	Index	Quote Data and Yield Notes
BAM.PF.J	FixedReset	Quote: 25.50 – 26.39 Spot Rate : 0.8900 Average : 0.5165 YTW SCENARIO Maturity Type : Call Maturity Date : 2022-12-31 Maturity Price : 25.00 Evaluated at bid price : 25.50 Bid-YTW : 4.39 %
BAM.PR.N	Perpetual-Discount	Quote: 21.84 – 22.23 Spot Rate : 0.3900 Average : 0.2462 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-01-25 Maturity Price : 21.58 Evaluated at bid price : 21.84 Bid-YTW : 5.48 %
BAM.PF.E	FixedReset	Quote: 24.10 – 24.45 Spot Rate : 0.3500 Average : 0.2277 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-01-25 Maturity Price : 23.17 Evaluated at bid price : 24.10 Bid-YTW : 4.72 %
PWF.PR.Z	Perpetual-Discount	Quote: 24.36 – 24.75 Spot Rate : 0.3900 Average : 0.2683 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-01-25 Maturity Price : 23.99 Evaluated at bid price : 24.36 Bid-YTW : 5.29 %
BMO.PR.Q	FixedReset	Quote: 22.81 – 23.07 Spot Rate : 0.2600 Average : 0.1664 YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.81 Bid-YTW : 4.46 %
BAM.PF.H	FixedReset	Quote: 26.24 – 26.50 Spot Rate : 0.2600 Average : 0.1813 YTW SCENARIO Maturity Type : Call Maturity Date : 2020-12-31 Maturity Price : 25.00 Evaluated at bid price : 26.24 Bid-YTW : 3.35 %

Market Action

January 24, 2018

Well, here’s one way to compete in the financial industry:

When Edward Jones broker Paul Betenbaugh in California wanted to exact revenge on a rival, he went too far. He impersonated the competitor and posted ads on the Internet that solicited men for sexual encounters, according to a Tuesday order from the Financial Industry Regulatory Authority. The ads included the other broker’s business cell phone number, resulting in a number of unwanted calls and text messages, Finra said.

PerpetualDiscounts now yield 5.24%, equivalent to 6.81% interest at the standard equivalency factor of 1.3x. Long corporates now yield about 385bp, so the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) is now about 295bp, a significant narrowing from the 305bp reported January 17.

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	-0.0267 %	2,881.0
FixedFloater	0.00 %	0.00 %	0	0.00	0	-0.0267 %	5,286.5
Floater	3.45 %	3.60 %	40,187	18.30	4	-0.0267 %	3,046.6
OpRet	0.00 %	0.00 %	0	0.00	0	-0.1471 %	3,161.9
SplitShare	4.64 %	4.11 %	66,550	3.38	5	-0.1471 %	3,776.0
Interest-Bearing	0.00 %	0.00 %	0	0.00	0	-0.1471 %	2,946.2
Perpetual-Premium	5.37 %	-2.28 %	68,527	0.09	18	-0.0072 %	2,864.0
Perpetual-Discount	5.29 %	5.24 %	70,346	15.01	16	0.1258 %	3,004.5
FixedReset	4.21 %	4.50 %	144,687	4.04	101	-0.0610 %	2,531.8
Deemed-Retractible	5.06 %	5.50 %	83,537	5.82	28	0.1414 %	2,954.7
FloatingReset	3.04 %	2.92 %	41,391	3.78	10	-0.0043 %	2,769.3

Performance Highlights
Issue	Index	Change	Notes
MFC.PR.M	FixedReset	-1.11 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.00 Bid-YTW : 5.03 %
MFC.PR.J	FixedReset	-1.05 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.50 Bid-YTW : 5.08 %

Volume Highlights
Issue	Index	Shares Traded	Notes
RY.PR.I	FixedReset	133,135	YTW SCENARIO Maturity Type : Call Maturity Date : 2019-02-24 Maturity Price : 25.00 Evaluated at bid price : 24.97 Bid-YTW : 3.38 %
BIP.PR.E	FixedReset	129,274	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-01-24 Maturity Price : 23.12 Evaluated at bid price : 24.90 Bid-YTW : 4.97 %
NA.PR.E	FixedReset	86,785	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-01-24 Maturity Price : 23.06 Evaluated at bid price : 24.75 Bid-YTW : 4.57 %
CM.PR.S	FixedReset	53,519	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-01-24 Maturity Price : 23.13 Evaluated at bid price : 24.90 Bid-YTW : 4.42 %
TD.PF.C	FixedReset	52,627	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-01-24 Maturity Price : 23.11 Evaluated at bid price : 23.45 Bid-YTW : 4.50 %
RY.PR.D	Deemed-Retractible	33,695	YTW SCENARIO Maturity Type : Call Maturity Date : 2018-02-23 Maturity Price : 25.00 Evaluated at bid price : 25.29 Bid-YTW : -13.70 %
There were 38 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: 19.45 – 20.00 Spot Rate : 0.5500 Average : 0.3724 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-01-24 Maturity Price : 19.45 Evaluated at bid price : 19.45 Bid-YTW : 3.10 %
MFC.PR.M	FixedReset	Quote: 24.00 – 24.48 Spot Rate : 0.4800 Average : 0.3077 YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.00 Bid-YTW : 5.03 %
MFC.PR.F	FixedReset	Quote: 18.95 – 19.47 Spot Rate : 0.5200 Average : 0.3792 YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 18.95 Bid-YTW : 7.31 %
BAM.PF.D	Perpetual-Discount	Quote: 22.44 – 22.88 Spot Rate : 0.4400 Average : 0.3118 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-01-24 Maturity Price : 22.08 Evaluated at bid price : 22.44 Bid-YTW : 5.50 %
SLF.PR.H	FixedReset	Quote: 22.01 – 22.30 Spot Rate : 0.2900 Average : 0.1907 YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.01 Bid-YTW : 5.60 %
POW.PR.D	Perpetual-Discount	Quote: 24.02 – 24.30 Spot Rate : 0.2800 Average : 0.1837 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-01-24 Maturity Price : 23.71 Evaluated at bid price : 24.02 Bid-YTW : 5.23 %

Market Action

January 23, 2018

HIMIPref™ Preferred Indices These values reflect the December 2008 revision of the HIMIPref™ Indices Values are provisional and are finalized monthly
Index	Mean Current Yield (at bid)	Median YTW	Median Average Trading Value	Median Mod Dur (YTW)	Issues	Day’s Perf.	Index Value
Ratchet	0.00 %	0.00 %	0	0.00	0	-0.7214 %	2,881.8
FixedFloater	0.00 %	0.00 %	0	0.00	0	-0.7214 %	5,287.9
Floater	3.44 %	3.60 %	37,098	18.30	4	-0.7214 %	3,047.4
OpRet	0.00 %	0.00 %	0	0.00	0	-0.0464 %	3,166.6
SplitShare	4.64 %	4.11 %	67,593	3.38	5	-0.0464 %	3,781.6
Interest-Bearing	0.00 %	0.00 %	0	0.00	0	-0.0464 %	2,950.5
Perpetual-Premium	5.36 %	-0.87 %	66,296	0.09	18	0.1551 %	2,864.2
Perpetual-Discount	5.30 %	5.26 %	71,152	14.98	16	0.3304 %	3,000.7
FixedReset	4.21 %	4.48 %	144,838	4.04	101	0.0487 %	2,533.3
Deemed-Retractible	5.05 %	5.42 %	80,959	5.82	28	0.1524 %	2,950.5
FloatingReset	3.04 %	2.91 %	42,028	3.78	10	0.1042 %	2,769.4

Performance Highlights
Issue	Index	Change	Notes
BAM.PR.K	Floater	-1.29 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-01-23 Maturity Price : 16.88 Evaluated at bid price : 16.88 Bid-YTW : 3.60 %
TRP.PR.C	FixedReset	1.17 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-01-23 Maturity Price : 18.11 Evaluated at bid price : 18.11 Bid-YTW : 4.66 %
GWO.PR.N	FixedReset	1.21 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 19.23 Bid-YTW : 7.09 %
BAM.PF.C	Perpetual-Discount	1.27 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-01-23 Maturity Price : 22.00 Evaluated at bid price : 22.28 Bid-YTW : 5.49 %

Volume Highlights
Issue	Index	Shares Traded	Notes
BIP.PR.E	FixedReset	421,809	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-01-23 Maturity Price : 23.13 Evaluated at bid price : 24.93 Bid-YTW : 4.96 %
NA.PR.E	FixedReset	241,868	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-01-23 Maturity Price : 23.05 Evaluated at bid price : 24.74 Bid-YTW : 4.57 %
TD.PF.E	FixedReset	101,392	YTW SCENARIO Maturity Type : Call Maturity Date : 2020-10-31 Maturity Price : 25.00 Evaluated at bid price : 24.80 Bid-YTW : 4.00 %
BAM.PR.X	FixedReset	85,538	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-01-23 Maturity Price : 18.32 Evaluated at bid price : 18.32 Bid-YTW : 4.91 %
CM.PR.S	FixedReset	68,803	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-01-23 Maturity Price : 23.13 Evaluated at bid price : 24.92 Bid-YTW : 4.41 %
BAM.PR.T	FixedReset	59,600	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-01-23 Maturity Price : 21.38 Evaluated at bid price : 21.38 Bid-YTW : 4.89 %
There were 38 other index-included issues trading in excess of 10,000 shares.

Wide Spread Highlights
Issue	Index	Quote Data and Yield Notes
MFC.PR.F	FixedReset	Quote: 19.13 – 19.46 Spot Rate : 0.3300 Average : 0.2247 YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 19.13 Bid-YTW : 7.15 %
CU.PR.C	FixedReset	Quote: 22.41 – 22.80 Spot Rate : 0.3900 Average : 0.2864 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-01-23 Maturity Price : 21.95 Evaluated at bid price : 22.41 Bid-YTW : 4.70 %
BAM.PR.M	Perpetual-Discount	Quote: 21.92 – 22.17 Spot Rate : 0.2500 Average : 0.1774 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-01-23 Maturity Price : 21.67 Evaluated at bid price : 21.92 Bid-YTW : 5.46 %
IAG.PR.G	FixedReset	Quote: 24.23 – 24.47 Spot Rate : 0.2400 Average : 0.1727 YTW SCENARIO Maturity Type : Call Maturity Date : 2022-06-30 Maturity Price : 25.00 Evaluated at bid price : 24.23 Bid-YTW : 4.64 %
CCS.PR.C	Deemed-Retractible	Quote: 24.20 – 24.47 Spot Rate : 0.2700 Average : 0.2084 YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.20 Bid-YTW : 5.65 %
PVS.PR.E	SplitShare	Quote: 26.60 – 26.89 Spot Rate : 0.2900 Average : 0.2329 YTW SCENARIO Maturity Type : Call Maturity Date : 2018-02-22 Maturity Price : 26.00 Evaluated at bid price : 26.60 Bid-YTW : -13.78 %

Market Action

January 22, 2018

HIMIPref™ Preferred Indices These values reflect the December 2008 revision of the HIMIPref™ Indices Values are provisional and are finalized monthly
Index	Mean Current Yield (at bid)	Median YTW	Median Average Trading Value	Median Mod Dur (YTW)	Issues	Day’s Perf.	Index Value
Ratchet	0.00 %	0.00 %	0	0.00	0	-0.1694 %	2,902.7
FixedFloater	0.00 %	0.00 %	0	0.00	0	-0.1694 %	5,326.3
Floater	3.42 %	3.55 %	35,475	18.40	4	-0.1694 %	3,069.6
OpRet	0.00 %	0.00 %	0	0.00	0	0.3339 %	3,168.1
SplitShare	4.63 %	4.15 %	66,251	3.39	5	0.3339 %	3,783.3
Interest-Bearing	0.00 %	0.00 %	0	0.00	0	0.3339 %	2,951.9
Perpetual-Premium	5.37 %	-0.07 %	64,785	0.09	18	0.2101 %	2,859.7
Perpetual-Discount	5.32 %	5.26 %	72,074	14.98	16	0.2342 %	2,990.8
FixedReset	4.20 %	4.46 %	144,249	3.83	100	0.0906 %	2,532.1
Deemed-Retractible	5.06 %	5.43 %	79,434	5.83	28	0.1556 %	2,946.0
FloatingReset	3.05 %	2.92 %	40,234	3.79	10	0.0261 %	2,766.5

Performance Highlights
Issue	Index	Change	Notes
BAM.PR.B	Floater	-1.40 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-01-22 Maturity Price : 16.96 Evaluated at bid price : 16.96 Bid-YTW : 3.58 %
BNS.PR.Z	FixedReset	-1.29 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.00 Bid-YTW : 4.57 %
GWO.PR.N	FixedReset	1.01 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 19.00 Bid-YTW : 7.28 %
PWF.PR.A	Floater	1.03 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-01-22 Maturity Price : 19.70 Evaluated at bid price : 19.70 Bid-YTW : 3.09 %
EIT.PR.A	SplitShare	1.14 %	YTW SCENARIO Maturity Type : Soft Maturity Maturity Date : 2024-03-14 Maturity Price : 25.00 Evaluated at bid price : 25.82 Bid-YTW : 4.31 %
BAM.PR.X	FixedReset	1.28 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-01-22 Maturity Price : 18.21 Evaluated at bid price : 18.21 Bid-YTW : 4.94 %
PWF.PR.L	Perpetual-Discount	1.31 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-01-22 Maturity Price : 23.73 Evaluated at bid price : 24.04 Bid-YTW : 5.31 %
RY.PR.N	Perpetual-Premium	1.31 %	YTW SCENARIO Maturity Type : Call Maturity Date : 2024-11-24 Maturity Price : 25.00 Evaluated at bid price : 25.43 Bid-YTW : 4.77 %
PWF.PR.T	FixedReset	1.63 %	YTW SCENARIO Maturity Type : Call Maturity Date : 2019-01-31 Maturity Price : 25.00 Evaluated at bid price : 25.01 Bid-YTW : 4.08 %

Volume Highlights
Issue	Index	Shares Traded	Notes
NA.PR.E	FixedReset	357,595	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-01-22 Maturity Price : 23.07 Evaluated at bid price : 24.78 Bid-YTW : 4.56 %
TRP.PR.K	FixedReset	211,554	YTW SCENARIO Maturity Type : Call Maturity Date : 2022-05-31 Maturity Price : 25.00 Evaluated at bid price : 26.13 Bid-YTW : 3.96 %
CM.PR.S	FixedReset	136,969	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-01-22 Maturity Price : 23.14 Evaluated at bid price : 24.93 Bid-YTW : 4.41 %
POW.PR.G	Perpetual-Premium	84,500	YTW SCENARIO Maturity Type : Call Maturity Date : 2020-04-15 Maturity Price : 25.25 Evaluated at bid price : 25.42 Bid-YTW : 5.31 %
MFC.PR.I	FixedReset	83,823	YTW SCENARIO Maturity Type : Call Maturity Date : 2022-09-19 Maturity Price : 25.00 Evaluated at bid price : 25.19 Bid-YTW : 4.29 %
NA.PR.C	FixedReset	80,195	YTW SCENARIO Maturity Type : Call Maturity Date : 2022-11-15 Maturity Price : 25.00 Evaluated at bid price : 25.18 Bid-YTW : 4.24 %
There were 33 other index-included issues trading in excess of 10,000 shares.

Wide Spread Highlights
Issue	Index	Quote Data and Yield Notes
HSE.PR.G	FixedReset	Quote: 25.24 – 25.56 Spot Rate : 0.3200 Average : 0.2149 YTW SCENARIO Maturity Type : Call Maturity Date : 2020-06-30 Maturity Price : 25.00 Evaluated at bid price : 25.24 Bid-YTW : 4.33 %
PVS.PR.B	SplitShare	Quote: 25.31 – 25.63 Spot Rate : 0.3200 Average : 0.2370 YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2019-01-10 Maturity Price : 25.00 Evaluated at bid price : 25.31 Bid-YTW : 3.64 %
BAM.PR.B	Floater	Quote: 16.96 – 17.25 Spot Rate : 0.2900 Average : 0.2151 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-01-22 Maturity Price : 16.96 Evaluated at bid price : 16.96 Bid-YTW : 3.58 %
GWO.PR.R	Deemed-Retractible	Quote: 23.00 – 23.25 Spot Rate : 0.2500 Average : 0.1768 YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.00 Bid-YTW : 6.32 %
W.PR.M	FixedReset	Quote: 26.15 – 26.39 Spot Rate : 0.2400 Average : 0.1674 YTW SCENARIO Maturity Type : Call Maturity Date : 2021-10-15 Maturity Price : 25.00 Evaluated at bid price : 26.15 Bid-YTW : 3.92 %
TRP.PR.E	FixedReset	Quote: 24.03 – 24.25 Spot Rate : 0.2200 Average : 0.1505 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-01-22 Maturity Price : 23.68 Evaluated at bid price : 24.03 Bid-YTW : 4.54 %

Market Action

January 19, 2018

HIMIPref™ Preferred Indices These values reflect the December 2008 revision of the HIMIPref™ Indices Values are provisional and are finalized monthly
Index	Mean Current Yield (at bid)	Median YTW	Median Average Trading Value	Median Mod Dur (YTW)	Issues	Day’s Perf.	Index Value
Ratchet	0.00 %	0.00 %	0	0.00	0	0.1414 %	2,907.6
FixedFloater	0.00 %	0.00 %	0	0.00	0	0.1414 %	5,335.4
Floater	3.41 %	3.53 %	35,924	18.45	4	0.1414 %	3,074.8
OpRet	0.00 %	0.00 %	0	0.00	0	-0.1628 %	3,157.5
SplitShare	4.65 %	4.03 %	66,775	3.39	5	-0.1628 %	3,770.8
Interest-Bearing	0.00 %	0.00 %	0	0.00	0	-0.1628 %	2,942.1
Perpetual-Premium	5.38 %	0.68 %	65,028	0.09	18	-0.1268 %	2,853.7
Perpetual-Discount	5.33 %	5.28 %	72,777	14.94	16	-0.1532 %	2,983.8
FixedReset	4.20 %	4.42 %	142,604	4.05	99	0.0368 %	2,529.8
Deemed-Retractible	5.07 %	5.44 %	79,965	5.83	28	-0.0622 %	2,941.5
FloatingReset	3.04 %	2.92 %	41,876	3.80	10	-0.0391 %	2,765.8

Performance Highlights
Issue	Index	Change	Notes
IFC.PR.C	FixedReset	-1.67 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.50 Bid-YTW : 5.00 %
TRP.PR.C	FixedReset	-1.37 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-01-19 Maturity Price : 17.96 Evaluated at bid price : 17.96 Bid-YTW : 4.64 %
BNS.PR.Z	FixedReset	-1.27 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.30 Bid-YTW : 4.21 %
BAM.PF.F	FixedReset	-1.20 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-01-19 Maturity Price : 23.53 Evaluated at bid price : 24.65 Bid-YTW : 4.85 %
TRP.PR.H	FloatingReset	-1.16 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-01-19 Maturity Price : 17.01 Evaluated at bid price : 17.01 Bid-YTW : 3.64 %
RY.PR.N	Perpetual-Premium	-1.10 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-01-19 Maturity Price : 24.67 Evaluated at bid price : 25.10 Bid-YTW : 4.93 %
PWF.PR.L	Perpetual-Discount	-1.00 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-01-19 Maturity Price : 23.44 Evaluated at bid price : 23.73 Bid-YTW : 5.38 %
NA.PR.S	FixedReset	1.03 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-01-19 Maturity Price : 23.06 Evaluated at bid price : 23.53 Bid-YTW : 4.61 %
BAM.PR.R	FixedReset	1.22 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-01-19 Maturity Price : 20.75 Evaluated at bid price : 20.75 Bid-YTW : 4.91 %
SLF.PR.J	FloatingReset	1.33 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 19.76 Bid-YTW : 6.35 %
GWO.PR.N	FixedReset	1.40 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 18.81 Bid-YTW : 7.40 %
BAM.PR.T	FixedReset	1.58 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-01-19 Maturity Price : 21.26 Evaluated at bid price : 21.26 Bid-YTW : 4.87 %
TRP.PR.G	FixedReset	1.74 %	YTW SCENARIO Maturity Type : Call Maturity Date : 2020-11-30 Maturity Price : 25.00 Evaluated at bid price : 24.55 Bid-YTW : 4.69 %

Volume Highlights
Issue	Index	Shares Traded	Notes
BNS.PR.B	FloatingReset	377,974	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.69 Bid-YTW : 3.03 %
POW.PR.G	Perpetual-Premium	228,678	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-01-19 Maturity Price : 24.83 Evaluated at bid price : 25.17 Bid-YTW : 5.59 %
POW.PR.C	Perpetual-Premium	226,257	YTW SCENARIO Maturity Type : Call Maturity Date : 2018-02-18 Maturity Price : 25.00 Evaluated at bid price : 25.69 Bid-YTW : -24.90 %
PWF.PR.L	Perpetual-Discount	209,698	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-01-19 Maturity Price : 23.44 Evaluated at bid price : 23.73 Bid-YTW : 5.38 %
CM.PR.S	FixedReset	191,800	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-01-19 Maturity Price : 23.15 Evaluated at bid price : 24.96 Bid-YTW : 4.36 %
BNS.PR.Q	FixedReset	141,500	YTW SCENARIO Maturity Type : Call Maturity Date : 2018-10-25 Maturity Price : 25.00 Evaluated at bid price : 25.00 Bid-YTW : 3.54 %
TD.PR.T	FloatingReset	127,183	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.70 Bid-YTW : 2.92 %
SLF.PR.J	FloatingReset	125,476	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 19.76 Bid-YTW : 6.35 %
BNS.PR.D	FloatingReset	118,802	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.79 Bid-YTW : 3.47 %
TRP.PR.K	FixedReset	107,895	YTW SCENARIO Maturity Type : Call Maturity Date : 2022-05-31 Maturity Price : 25.00 Evaluated at bid price : 26.15 Bid-YTW : 3.93 %
There were 33 other index-included issues trading in excess of 10,000 shares.

Wide Spread Highlights
Issue	Index	Quote Data and Yield Notes
GWO.PR.I	Deemed-Retractible	Quote: 21.91 – 22.32 Spot Rate : 0.4100 Average : 0.2596 YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.91 Bid-YTW : 6.82 %
RY.PR.N	Perpetual-Premium	Quote: 25.10 – 25.50 Spot Rate : 0.4000 Average : 0.2564 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-01-19 Maturity Price : 24.67 Evaluated at bid price : 25.10 Bid-YTW : 4.93 %
CM.PR.O	FixedReset	Quote: 23.71 – 24.09 Spot Rate : 0.3800 Average : 0.2421 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-01-19 Maturity Price : 23.29 Evaluated at bid price : 23.71 Bid-YTW : 4.48 %
PWF.PR.T	FixedReset	Quote: 24.61 – 25.03 Spot Rate : 0.4200 Average : 0.2951 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-01-19 Maturity Price : 24.18 Evaluated at bid price : 24.61 Bid-YTW : 4.40 %
BAM.PF.F	FixedReset	Quote: 24.65 – 25.00 Spot Rate : 0.3500 Average : 0.2400 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-01-19 Maturity Price : 23.53 Evaluated at bid price : 24.65 Bid-YTW : 4.85 %
POW.PR.G	Perpetual-Premium	Quote: 25.17 – 25.45 Spot Rate : 0.2800 Average : 0.1766 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-01-19 Maturity Price : 24.83 Evaluated at bid price : 25.17 Bid-YTW : 5.59 %

Market Action

January 18, 2018

HIMIPref™ Preferred Indices These values reflect the December 2008 revision of the HIMIPref™ Indices Values are provisional and are finalized monthly
Index	Mean Current Yield (at bid)	Median YTW	Median Average Trading Value	Median Mod Dur (YTW)	Issues	Day’s Perf.	Index Value
Ratchet	0.00 %	0.00 %	0	0.00	0	0.3405 %	2,903.5
FixedFloater	0.00 %	0.00 %	0	0.00	0	0.3405 %	5,327.8
Floater	3.41 %	3.55 %	35,366	18.41	4	0.3405 %	3,070.5
OpRet	0.00 %	0.00 %	0	0.00	0	0.4125 %	3,162.7
SplitShare	4.64 %	4.01 %	64,907	3.40	5	0.4125 %	3,776.9
Interest-Bearing	0.00 %	0.00 %	0	0.00	0	0.4125 %	2,946.9
Perpetual-Premium	5.37 %	1.21 %	62,859	0.09	18	0.1445 %	2,857.4
Perpetual-Discount	5.32 %	5.29 %	73,476	14.97	16	0.1589 %	2,988.4
FixedReset	4.20 %	4.44 %	142,181	4.05	99	0.1569 %	2,528.9
Deemed-Retractible	5.07 %	5.36 %	79,272	5.84	28	0.1795 %	2,943.3
FloatingReset	3.04 %	2.88 %	38,775	1.00	10	-0.0651 %	2,766.9

Performance Highlights
Issue	Index	Change	Notes
TRP.PR.G	FixedReset	-1.87 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-01-18 Maturity Price : 23.05 Evaluated at bid price : 24.13 Bid-YTW : 4.93 %
TRP.PR.B	FixedReset	-1.22 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-01-18 Maturity Price : 17.07 Evaluated at bid price : 17.07 Bid-YTW : 4.60 %
TRP.PR.C	FixedReset	-1.14 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-01-18 Maturity Price : 18.21 Evaluated at bid price : 18.21 Bid-YTW : 4.57 %
TRP.PR.A	FixedReset	-1.06 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-01-18 Maturity Price : 20.61 Evaluated at bid price : 20.61 Bid-YTW : 4.69 %
GWO.PR.N	FixedReset	-1.01 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 18.55 Bid-YTW : 7.63 %
BAM.PR.T	FixedReset	1.01 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-01-18 Maturity Price : 20.93 Evaluated at bid price : 20.93 Bid-YTW : 4.94 %
IFC.PR.A	FixedReset	1.13 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.50 Bid-YTW : 6.80 %
BAM.PF.F	FixedReset	1.22 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-01-18 Maturity Price : 23.65 Evaluated at bid price : 24.95 Bid-YTW : 4.78 %
IFC.PR.C	FixedReset	1.62 %	YTW SCENARIO Maturity Type : Call Maturity Date : 2021-09-30 Maturity Price : 25.00 Evaluated at bid price : 23.90 Bid-YTW : 4.71 %
BAM.PF.I	FixedReset	2.49 %	YTW SCENARIO Maturity Type : Call Maturity Date : 2022-03-31 Maturity Price : 25.00 Evaluated at bid price : 25.90 Bid-YTW : 3.94 %

Volume Highlights
Issue	Index	Shares Traded	Notes
CM.PR.S	FixedReset	734,395	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-01-18 Maturity Price : 23.15 Evaluated at bid price : 24.96 Bid-YTW : 4.36 %
TRP.PR.K	FixedReset	161,668	YTW SCENARIO Maturity Type : Call Maturity Date : 2022-05-31 Maturity Price : 25.00 Evaluated at bid price : 26.15 Bid-YTW : 3.93 %
BMO.PR.R	FloatingReset	152,813	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.92 Bid-YTW : 2.91 %
CU.PR.C	FixedReset	57,720	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-01-18 Maturity Price : 21.91 Evaluated at bid price : 22.35 Bid-YTW : 4.67 %
TD.PF.H	FixedReset	48,788	YTW SCENARIO Maturity Type : Call Maturity Date : 2021-10-31 Maturity Price : 25.00 Evaluated at bid price : 26.02 Bid-YTW : 3.66 %
TRP.PR.J	FixedReset	37,520	YTW SCENARIO Maturity Type : Call Maturity Date : 2021-05-31 Maturity Price : 25.00 Evaluated at bid price : 26.55 Bid-YTW : 3.78 %
There were 24 other index-included issues trading in excess of 10,000 shares.

Wide Spread Highlights
Issue	Index	Quote Data and Yield Notes
TRP.PR.A	FixedReset	Quote: 20.61 – 21.17 Spot Rate : 0.5600 Average : 0.3637 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-01-18 Maturity Price : 20.61 Evaluated at bid price : 20.61 Bid-YTW : 4.69 %
TRP.PR.G	FixedReset	Quote: 24.13 – 24.57 Spot Rate : 0.4400 Average : 0.3190 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-01-18 Maturity Price : 23.05 Evaluated at bid price : 24.13 Bid-YTW : 4.93 %
CU.PR.G	Perpetual-Discount	Quote: 21.96 – 22.28 Spot Rate : 0.3200 Average : 0.2011 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-01-18 Maturity Price : 21.63 Evaluated at bid price : 21.96 Bid-YTW : 5.18 %
NA.PR.S	FixedReset	Quote: 23.29 – 23.59 Spot Rate : 0.3000 Average : 0.1963 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-01-18 Maturity Price : 22.83 Evaluated at bid price : 23.29 Bid-YTW : 4.66 %
HSE.PR.E	FixedReset	Quote: 25.05 – 25.33 Spot Rate : 0.2800 Average : 0.1774 YTW SCENARIO Maturity Type : Call Maturity Date : 2020-03-31 Maturity Price : 25.00 Evaluated at bid price : 25.05 Bid-YTW : 4.53 %
BMO.PR.T	FixedReset	Quote: 23.82 – 24.09 Spot Rate : 0.2700 Average : 0.1689 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-01-18 Maturity Price : 23.42 Evaluated at bid price : 23.82 Bid-YTW : 4.44 %

Market Action

January 17, 2018

PerpetualDiscounts now yield 5.30%, equivalent to 6.89% interest at the standard equivalency factor of 1.3x. Long corporates now yield about 3.85%, so the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) is now about 305bp, a significant widening from the 295bp reported January 10.

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	1.5855 %	2,893.7
FixedFloater	0.00 %	0.00 %	0	0.00	0	1.5855 %	5,309.7
Floater	3.18 %	3.31 %	35,275	18.97	4	1.5855 %	3,060.0
OpRet	0.00 %	0.00 %	0	0.00	0	0.1169 %	3,149.7
SplitShare	4.66 %	4.07 %	60,088	3.40	5	0.1169 %	3,761.4
Interest-Bearing	0.00 %	0.00 %	0	0.00	0	0.1169 %	2,934.8
Perpetual-Premium	5.38 %	1.10 %	61,993	0.09	18	0.0701 %	2,853.3
Perpetual-Discount	5.33 %	5.30 %	74,034	14.94	16	0.1645 %	2,983.7
FixedReset	4.20 %	4.44 %	140,325	4.10	98	0.1686 %	2,524.9
Deemed-Retractible	5.08 %	5.42 %	78,611	5.84	28	0.1010 %	2,938.0
FloatingReset	3.03 %	2.87 %	40,279	1.01	10	0.3134 %	2,768.7

Performance Highlights
Issue	Index	Change	Notes
BAM.PF.I	FixedReset	-3.22 %	YTW SCENARIO Maturity Type : Call Maturity Date : 2022-03-31 Maturity Price : 25.00 Evaluated at bid price : 25.27 Bid-YTW : 4.60 %
RY.PR.Z	FixedReset	1.01 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-01-17 Maturity Price : 23.44 Evaluated at bid price : 23.89 Bid-YTW : 4.40 %
PWF.PR.P	FixedReset	1.08 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-01-17 Maturity Price : 18.72 Evaluated at bid price : 18.72 Bid-YTW : 4.52 %
TRP.PR.A	FixedReset	1.12 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-01-17 Maturity Price : 20.83 Evaluated at bid price : 20.83 Bid-YTW : 4.64 %
BAM.PR.B	Floater	1.19 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-01-17 Maturity Price : 17.00 Evaluated at bid price : 17.00 Bid-YTW : 3.31 %
TRP.PR.H	FloatingReset	1.24 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-01-17 Maturity Price : 17.11 Evaluated at bid price : 17.11 Bid-YTW : 3.62 %
RY.PR.H	FixedReset	1.31 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-01-17 Maturity Price : 23.66 Evaluated at bid price : 24.05 Bid-YTW : 4.41 %
PWF.PR.A	Floater	1.55 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-01-17 Maturity Price : 19.60 Evaluated at bid price : 19.60 Bid-YTW : 2.88 %
BAM.PR.C	Floater	1.75 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-01-17 Maturity Price : 16.90 Evaluated at bid price : 16.90 Bid-YTW : 3.33 %
BAM.PR.K	Floater	1.86 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-01-17 Maturity Price : 16.98 Evaluated at bid price : 16.98 Bid-YTW : 3.32 %
NA.PR.W	FixedReset	1.90 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-01-17 Maturity Price : 22.76 Evaluated at bid price : 23.08 Bid-YTW : 4.53 %
TRP.PR.F	FloatingReset	2.32 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-01-17 Maturity Price : 20.72 Evaluated at bid price : 20.72 Bid-YTW : 3.76 %

Volume Highlights
Issue	Index	Shares Traded	Notes
TD.PF.H	FixedReset	140,015	YTW SCENARIO Maturity Type : Call Maturity Date : 2021-10-31 Maturity Price : 25.00 Evaluated at bid price : 26.01 Bid-YTW : 3.67 %
BNS.PR.B	FloatingReset	133,904	YTW SCENARIO Maturity Type : Call Maturity Date : 2018-10-25 Maturity Price : 25.00 Evaluated at bid price : 24.87 Bid-YTW : 2.57 %
BMO.PR.B	FixedReset	74,522	YTW SCENARIO Maturity Type : Call Maturity Date : 2022-02-25 Maturity Price : 25.00 Evaluated at bid price : 26.13 Bid-YTW : 3.86 %
CM.PR.O	FixedReset	67,151	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-01-17 Maturity Price : 23.22 Evaluated at bid price : 23.64 Bid-YTW : 4.50 %
RY.PR.H	FixedReset	53,876	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-01-17 Maturity Price : 23.66 Evaluated at bid price : 24.05 Bid-YTW : 4.41 %
TRP.PR.C	FixedReset	49,136	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-01-17 Maturity Price : 18.42 Evaluated at bid price : 18.42 Bid-YTW : 4.52 %
There were 24 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: 25.27 – 26.15 Spot Rate : 0.8800 Average : 0.5060 YTW SCENARIO Maturity Type : Call Maturity Date : 2022-03-31 Maturity Price : 25.00 Evaluated at bid price : 25.27 Bid-YTW : 4.60 %
IFC.PR.F	Deemed-Retractible	Quote: 25.01 – 25.44 Spot Rate : 0.4300 Average : 0.3232 YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 25.01 Bid-YTW : 5.38 %
IFC.PR.A	FixedReset	Quote: 20.27 – 20.52 Spot Rate : 0.2500 Average : 0.1586 YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.27 Bid-YTW : 6.99 %
BAM.PF.H	FixedReset	Quote: 26.24 – 26.55 Spot Rate : 0.3100 Average : 0.2283 YTW SCENARIO Maturity Type : Call Maturity Date : 2020-12-31 Maturity Price : 25.00 Evaluated at bid price : 26.24 Bid-YTW : 3.33 %
GWO.PR.N	FixedReset	Quote: 18.74 – 18.94 Spot Rate : 0.2000 Average : 0.1395 YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 18.74 Bid-YTW : 7.46 %
BAM.PR.T	FixedReset	Quote: 20.72 – 21.00 Spot Rate : 0.2800 Average : 0.2196 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-01-17 Maturity Price : 20.72 Evaluated at bid price : 20.72 Bid-YTW : 4.99 %

Volume Highlights
Issue	Index	Shares Traded	Notes
BNS.PR.Q	FixedReset	201,200	YTW SCENARIO Maturity Type : Call Maturity Date : 2018-10-25 Maturity Price : 25.00 Evaluated at bid price : 24.98 Bid-YTW : 3.80 %
IFC.PR.E	Deemed-Retractible	188,000	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.76 Bid-YTW : 5.48 %
MFC.PR.R	FixedReset	163,100	YTW SCENARIO Maturity Type : Call Maturity Date : 2022-03-19 Maturity Price : 25.00 Evaluated at bid price : 26.15 Bid-YTW : 3.81 %
CM.PR.S	FixedReset	136,756	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-01-30 Maturity Price : 23.12 Evaluated at bid price : 24.88 Bid-YTW : 4.47 %
RY.PR.Q	FixedReset	133,000	YTW SCENARIO Maturity Type : Call Maturity Date : 2021-05-24 Maturity Price : 25.00 Evaluated at bid price : 26.52 Bid-YTW : 3.45 %
CM.PR.O	FixedReset	111,900	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2048-01-30 Maturity Price : 23.59 Evaluated at bid price : 24.00 Bid-YTW : 4.53 %
TD.PF.D	FixedReset	104,751	YTW SCENARIO Maturity Type : Call Maturity Date : 2020-07-31 Maturity Price : 25.00 Evaluated at bid price : 24.70 Bid-YTW : 4.13 %
BNS.PR.E	FixedReset	103,589	YTW SCENARIO Maturity Type : Call Maturity Date : 2021-04-25 Maturity Price : 25.00 Evaluated at bid price : 26.61 Bid-YTW : 3.42 %
There were 20 other index-included issues trading in excess of 10,000 shares.

PrefBlog

Category: Market Action

January 30, 2018

January 29, 2018

January 26, 2018

January 25, 2018

January 24, 2018

January 23, 2018

January 22, 2018

January 19, 2018

January 18, 2018

January 17, 2018

Archives

Of Interest