Category: Market Action

Market Action

December 4, 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 0.6161 % 2,531.4
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.6161 % 4,645.0
Floater 3.61 % 3.81 % 33,989 17.74 4 0.6161 % 2,676.9
OpRet 0.00 % 0.00 % 0 0.00 0 -0.0525 % 3,122.1
SplitShare 4.73 % 3.70 % 54,425 1.07 6 -0.0525 % 3,728.5
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.0525 % 2,909.1
Perpetual-Premium 5.36 % 4.73 % 55,000 2.18 20 -0.0490 % 2,839.7
Perpetual-Discount 5.20 % 5.25 % 73,649 15.01 14 -0.4579 % 3,013.5
FixedReset 4.25 % 4.36 % 143,622 4.52 98 -0.1070 % 2,488.3
Deemed-Retractible 5.04 % 5.23 % 89,163 5.96 30 -0.1535 % 2,951.3
FloatingReset 2.73 % 2.74 % 40,499 3.93 8 0.1685 % 2,685.7
Performance Highlights
Issue Index Change Notes
W.PR.K FixedReset -1.90 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-01-15
Maturity Price : 25.00
Evaluated at bid price : 25.75
Bid-YTW : 4.48 %
RY.PR.M FixedReset -1.56 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-12-04
Maturity Price : 22.94
Evaluated at bid price : 23.92
Bid-YTW : 4.38 %
POW.PR.D Perpetual-Discount -1.43 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-12-04
Maturity Price : 23.95
Evaluated at bid price : 24.20
Bid-YTW : 5.23 %
CU.PR.F Perpetual-Discount -1.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-12-04
Maturity Price : 21.70
Evaluated at bid price : 22.05
Bid-YTW : 5.12 %
PWF.PR.A Floater 1.50 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-12-04
Maturity Price : 17.56
Evaluated at bid price : 17.56
Bid-YTW : 3.21 %
Volume Highlights
Issue Index Shares
Traded		 Notes
BNS.PR.H FixedReset 108,262 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-01-26
Maturity Price : 25.00
Evaluated at bid price : 26.18
Bid-YTW : 3.76 %
HSB.PR.C Deemed-Retractible 94,632 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2018-01-03
Maturity Price : 25.00
Evaluated at bid price : 25.27
Bid-YTW : 3.04 %
BMO.PR.S FixedReset 45,630 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-12-04
Maturity Price : 23.29
Evaluated at bid price : 23.72
Bid-YTW : 4.26 %
PWF.PR.Z Perpetual-Discount 42,860 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-12-04
Maturity Price : 24.36
Evaluated at bid price : 24.75
Bid-YTW : 5.25 %
BAM.PF.J FixedReset 42,289 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-12-31
Maturity Price : 25.00
Evaluated at bid price : 25.80
Bid-YTW : 3.99 %
HSB.PR.D Deemed-Retractible 40,200 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2018-01-03
Maturity Price : 25.00
Evaluated at bid price : 25.26
Bid-YTW : 3.21 %
There were 31 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
W.PR.K FixedReset Quote: 25.75 – 26.24
Spot Rate : 0.4900
Average : 0.3532

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-01-15
Maturity Price : 25.00
Evaluated at bid price : 25.75
Bid-YTW : 4.48 %
IFC.PR.A FixedReset Quote: 20.07 – 20.48
Spot Rate : 0.4100
Average : 0.2779

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.07
Bid-YTW : 7.20 %
BIP.PR.A FixedReset Quote: 24.16 – 24.50
Spot Rate : 0.3400
Average : 0.2264

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-12-04
Maturity Price : 23.12
Evaluated at bid price : 24.16
Bid-YTW : 5.30 %
POW.PR.D Perpetual-Discount Quote: 24.20 – 24.54
Spot Rate : 0.3400
Average : 0.2274

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-12-04
Maturity Price : 23.95
Evaluated at bid price : 24.20
Bid-YTW : 5.23 %
CU.PR.I FixedReset Quote: 25.55 – 26.00
Spot Rate : 0.4500
Average : 0.3450

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2020-12-01
Maturity Price : 25.00
Evaluated at bid price : 25.55
Bid-YTW : 3.75 %
PWF.PR.H Perpetual-Premium Quote: 25.72 – 25.98
Spot Rate : 0.2600
Average : 0.1764

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2018-01-03
Maturity Price : 25.00
Evaluated at bid price : 25.72
Bid-YTW : -21.16 %
Market Action

December 1, 2017

Well, the hardworking folks at FAIR Canada have finally released (some time after November 11, when I sent my still-unanswered eMail of inquiry) their Financial Statements for the Year Ended 2017-6-30 and they’re most interesting. Their good buddies and former employers at the OSC continue to regard the funds under OSC’s control as some kind of superannuation scheme.

fair_osc_170630_1
Click for Big
fair_osc_170630_2
Click for Big

It’s a disgusting situation. The source of these funds is fines and penalties levied on the investment industry, which makes this flim-flam nothing more than the most offensive kind of civil forfeiture scheme. The OSC should be required to remit all fines and penalties to the Ontario treasury immediately upon receipt to discourage this sort of backscratching. The current system is just ridiculous:

The OSC has a number of settlement agreements and orders arising from enforcement proceedings where monies from these settlements and orders are to be set aside and allocated to such third parties as the Board of the OSC may determine. As a result of an amendment to the Securities Act (Ontario) effective June 2012, these funds are eligible to be allocated to the OSC for the purpose of educating investors, or promoting or otherwise enhancing knowledge and information of persons regarding the operation of the securities and financial markets, including such designated internal costs as approved by the Board.

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 1.0982 % 2,515.9
FixedFloater 0.00 % 0.00 % 0 0.00 0 1.0982 % 4,616.6
Floater 3.63 % 3.83 % 33,891 17.72 4 1.0982 % 2,660.5
OpRet 0.00 % 0.00 % 0 0.00 0 -0.0721 % 3,123.8
SplitShare 4.72 % 3.57 % 54,258 1.08 6 -0.0721 % 3,730.4
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.0721 % 2,910.6
Perpetual-Premium 5.35 % 3.50 % 53,990 0.09 20 -0.0392 % 2,841.1
Perpetual-Discount 5.18 % 5.23 % 71,496 15.04 14 -0.0727 % 3,027.4
FixedReset 4.24 % 4.28 % 144,195 4.46 98 -0.4710 % 2,491.0
Deemed-Retractible 5.03 % 5.29 % 89,953 5.97 30 -0.0561 % 2,955.8
FloatingReset 2.71 % 2.73 % 40,317 3.94 8 -0.1845 % 2,681.2
Performance Highlights
Issue Index Change Notes
TRP.PR.E FixedReset -1.67 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-12-01
Maturity Price : 22.56
Evaluated at bid price : 22.90
Bid-YTW : 4.39 %
BAM.PR.X FixedReset -1.43 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-12-01
Maturity Price : 17.95
Evaluated at bid price : 17.95
Bid-YTW : 4.59 %
HSE.PR.A FixedReset -1.43 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-12-01
Maturity Price : 17.29
Evaluated at bid price : 17.29
Bid-YTW : 4.61 %
BAM.PF.E FixedReset -1.42 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-12-01
Maturity Price : 22.91
Evaluated at bid price : 23.65
Bid-YTW : 4.46 %
BAM.PF.B FixedReset -1.32 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-12-01
Maturity Price : 23.46
Evaluated at bid price : 23.92
Bid-YTW : 4.48 %
TRP.PR.D FixedReset -1.31 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-12-01
Maturity Price : 22.26
Evaluated at bid price : 22.65
Bid-YTW : 4.43 %
RY.PR.Z FixedReset -1.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-12-01
Maturity Price : 22.80
Evaluated at bid price : 23.23
Bid-YTW : 4.13 %
SLF.PR.G FixedReset -1.13 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.44
Bid-YTW : 7.53 %
RY.PR.J FixedReset -1.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-12-01
Maturity Price : 23.27
Evaluated at bid price : 24.47
Bid-YTW : 4.30 %
IAG.PR.G FixedReset -1.04 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.85
Bid-YTW : 4.75 %
RY.PR.M FixedReset -1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-12-01
Maturity Price : 23.11
Evaluated at bid price : 24.30
Bid-YTW : 4.21 %
BAM.PR.Z FixedReset -1.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-12-01
Maturity Price : 22.94
Evaluated at bid price : 24.40
Bid-YTW : 4.68 %
MFC.PR.G FixedReset -1.01 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-12-19
Maturity Price : 25.00
Evaluated at bid price : 24.50
Bid-YTW : 4.41 %
BAM.PR.K Floater 1.37 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-12-01
Maturity Price : 14.78
Evaluated at bid price : 14.78
Bid-YTW : 3.83 %
PWF.PR.A Floater 1.76 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-12-01
Maturity Price : 17.30
Evaluated at bid price : 17.30
Bid-YTW : 3.25 %
Volume Highlights
Issue Index Shares
Traded		 Notes
BNS.PR.H FixedReset 159,215 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-01-26
Maturity Price : 25.00
Evaluated at bid price : 26.19
Bid-YTW : 3.75 %
W.PR.K FixedReset 113,160 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-01-15
Maturity Price : 25.00
Evaluated at bid price : 26.25
Bid-YTW : 3.79 %
BMO.PR.T FixedReset 56,181 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-12-01
Maturity Price : 22.56
Evaluated at bid price : 22.93
Bid-YTW : 4.21 %
BMO.PR.D FixedReset 27,250 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-08-25
Maturity Price : 25.00
Evaluated at bid price : 25.50
Bid-YTW : 3.97 %
MFC.PR.J FixedReset 23,474 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.61
Bid-YTW : 4.47 %
TD.PF.A FixedReset 21,484 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-12-01
Maturity Price : 23.03
Evaluated at bid price : 23.38
Bid-YTW : 4.15 %
There were 31 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
BAM.PF.E FixedReset Quote: 23.65 – 24.14
Spot Rate : 0.4900
Average : 0.3466

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-12-01
Maturity Price : 22.91
Evaluated at bid price : 23.65
Bid-YTW : 4.46 %
BAM.PF.B FixedReset Quote: 23.92 – 24.30
Spot Rate : 0.3800
Average : 0.2525

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-12-01
Maturity Price : 23.46
Evaluated at bid price : 23.92
Bid-YTW : 4.48 %
TRP.PR.G FixedReset Quote: 24.02 – 24.47
Spot Rate : 0.4500
Average : 0.3287

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-12-01
Maturity Price : 22.98
Evaluated at bid price : 24.02
Bid-YTW : 4.59 %
BAM.PR.Z FixedReset Quote: 24.40 – 24.70
Spot Rate : 0.3000
Average : 0.2134

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-12-01
Maturity Price : 22.94
Evaluated at bid price : 24.40
Bid-YTW : 4.68 %
IAG.PR.G FixedReset Quote: 23.85 – 24.07
Spot Rate : 0.2200
Average : 0.1352

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.85
Bid-YTW : 4.75 %
PVS.PR.B SplitShare Quote: 25.20 – 25.49
Spot Rate : 0.2900
Average : 0.2159

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2019-01-10
Maturity Price : 25.00
Evaluated at bid price : 25.20
Bid-YTW : 3.57 %
Market Action

November 30, 2017

That’s it for another month! Not a bad one at all, TXPR up 70bp.

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 0.6967 % 2,488.6
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.6967 % 4,566.4
Floater 3.63 % 3.86 % 102,491 17.65 3 0.6967 % 2,631.6
OpRet 0.00 % 0.00 % 0 0.00 0 0.0656 % 3,126.0
SplitShare 4.72 % 3.56 % 55,006 1.08 6 0.0656 % 3,733.1
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0656 % 2,912.7
Perpetual-Premium 5.34 % 4.66 % 55,292 2.20 20 -0.0039 % 2,842.2
Perpetual-Discount 5.18 % 5.23 % 68,746 15.05 15 -0.0422 % 3,029.6
FixedReset 4.22 % 4.17 % 145,204 4.46 98 -0.0142 % 2,502.8
Deemed-Retractible 5.03 % 5.24 % 90,099 5.97 30 0.0389 % 2,957.5
FloatingReset 2.71 % 2.70 % 41,186 3.94 8 -0.1301 % 2,686.2
Performance Highlights
Issue Index Change Notes
PWF.PR.P FixedReset -1.48 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-11-30
Maturity Price : 17.94
Evaluated at bid price : 17.94
Bid-YTW : 4.32 %
BIP.PR.A FixedReset -1.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-11-30
Maturity Price : 23.16
Evaluated at bid price : 24.27
Bid-YTW : 5.18 %
GWO.PR.F Deemed-Retractible 1.04 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2017-12-30
Maturity Price : 25.00
Evaluated at bid price : 25.80
Bid-YTW : -35.06 %
SLF.PR.G FixedReset 1.08 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.65
Bid-YTW : 7.34 %
PWF.PR.A Floater 1.43 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-11-30
Maturity Price : 17.00
Evaluated at bid price : 17.00
Bid-YTW : 3.31 %
Volume Highlights
Issue Index Shares
Traded		 Notes
W.PR.M FixedReset 701,193 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-10-15
Maturity Price : 25.00
Evaluated at bid price : 26.31
Bid-YTW : 3.94 %
BMO.PR.M FixedReset 319,200 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.92
Bid-YTW : 3.40 %
BAM.PF.B FixedReset 125,650 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-11-30
Maturity Price : 23.82
Evaluated at bid price : 24.24
Bid-YTW : 4.42 %
NA.PR.A FixedReset 120,300 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-08-15
Maturity Price : 25.00
Evaluated at bid price : 26.66
Bid-YTW : 3.56 %
BAM.PF.I FixedReset 78,560 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-03-31
Maturity Price : 25.00
Evaluated at bid price : 26.06
Bid-YTW : 3.96 %
BMO.PR.C FixedReset 64,100 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-05-25
Maturity Price : 25.00
Evaluated at bid price : 25.65
Bid-YTW : 3.90 %
There were 25 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
MFC.PR.K FixedReset Quote: 22.90 – 23.31
Spot Rate : 0.4100
Average : 0.2965

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.90
Bid-YTW : 5.25 %
BAM.PF.J FixedReset Quote: 25.65 – 26.00
Spot Rate : 0.3500
Average : 0.2452

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-12-31
Maturity Price : 25.00
Evaluated at bid price : 25.65
Bid-YTW : 4.42 %
GWO.PR.G Deemed-Retractible Quote: 24.87 – 25.17
Spot Rate : 0.3000
Average : 0.1994

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.87
Bid-YTW : 5.25 %
BAM.PR.T FixedReset Quote: 21.15 – 21.38
Spot Rate : 0.2300
Average : 0.1485

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-11-30
Maturity Price : 21.15
Evaluated at bid price : 21.15
Bid-YTW : 4.58 %
BAM.PF.F FixedReset Quote: 24.80 – 25.00
Spot Rate : 0.2000
Average : 0.1236

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-11-30
Maturity Price : 23.55
Evaluated at bid price : 24.80
Bid-YTW : 4.51 %
PWF.PR.E Perpetual-Premium Quote: 25.30 – 25.57
Spot Rate : 0.2700
Average : 0.1962

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2017-12-30
Maturity Price : 25.00
Evaluated at bid price : 25.30
Bid-YTW : -3.54 %
Market Action

November 29, 2017

PerpetualDiscounts now yield 5.23%, equivalent to 6.80% interest at the standard equivalency factor of 1.3x. Long corporates now yield a little under 3.75%, so the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) is now about 305bp, a slight (and perhaps spurious) widening from the 300bp reported November 22.

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 0.2401 % 2,471.4
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.2401 % 4,534.8
Floater 3.66 % 3.88 % 105,807 17.60 3 0.2401 % 2,613.4
OpRet 0.00 % 0.00 % 0 0.00 0 0.0328 % 3,124.0
SplitShare 4.72 % 3.55 % 53,985 1.08 6 0.0328 % 3,730.7
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0328 % 2,910.8
Perpetual-Premium 5.34 % 4.72 % 56,154 0.09 20 -0.0294 % 2,842.3
Perpetual-Discount 5.18 % 5.23 % 69,712 15.06 15 -0.2078 % 3,030.9
FixedReset 4.22 % 4.17 % 143,691 4.47 98 -0.0332 % 2,503.2
Deemed-Retractible 5.01 % 5.29 % 90,475 5.90 30 -0.1282 % 2,956.3
FloatingReset 2.71 % 2.72 % 41,729 3.94 8 0.2269 % 2,689.7
Performance Highlights
Issue Index Change Notes
SLF.PR.G FixedReset -1.07 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.45
Bid-YTW : 7.51 %
BAM.PR.N Perpetual-Discount -1.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-11-29
Maturity Price : 22.07
Evaluated at bid price : 22.30
Bid-YTW : 5.41 %
HSE.PR.A FixedReset 1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-11-29
Maturity Price : 17.53
Evaluated at bid price : 17.53
Bid-YTW : 4.55 %
IFC.PR.C FixedReset 1.28 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.71
Bid-YTW : 4.73 %
PWF.PR.P FixedReset 2.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-11-29
Maturity Price : 18.21
Evaluated at bid price : 18.21
Bid-YTW : 4.25 %
Volume Highlights
Issue Index Shares
Traded		 Notes
BMO.PR.C FixedReset 176,300 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-05-25
Maturity Price : 25.00
Evaluated at bid price : 25.70
Bid-YTW : 3.85 %
RY.PR.R FixedReset 168,150 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-08-24
Maturity Price : 25.00
Evaluated at bid price : 26.87
Bid-YTW : 3.40 %
NA.PR.X FixedReset 75,000 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-05-15
Maturity Price : 25.00
Evaluated at bid price : 26.70
Bid-YTW : 3.58 %
NA.PR.A FixedReset 64,700 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-08-15
Maturity Price : 25.00
Evaluated at bid price : 26.77
Bid-YTW : 3.44 %
BNS.PR.R FixedReset 55,900 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 25.14
Bid-YTW : 3.54 %
TD.PF.G FixedReset 55,410 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-04-30
Maturity Price : 25.00
Evaluated at bid price : 26.88
Bid-YTW : 3.30 %
There were 19 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
SLF.PR.A Deemed-Retractible Quote: 23.45 – 23.84
Spot Rate : 0.3900
Average : 0.2483

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.45
Bid-YTW : 5.78 %
POW.PR.B Perpetual-Discount Quote: 25.16 – 25.50
Spot Rate : 0.3400
Average : 0.2305

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-11-29
Maturity Price : 24.87
Evaluated at bid price : 25.16
Bid-YTW : 5.38 %
BAM.PF.H FixedReset Quote: 26.03 – 26.30
Spot Rate : 0.2700
Average : 0.1866

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2020-12-31
Maturity Price : 25.00
Evaluated at bid price : 26.03
Bid-YTW : 3.88 %
IFC.PR.A FixedReset Quote: 20.08 – 20.34
Spot Rate : 0.2600
Average : 0.1777

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.08
Bid-YTW : 7.06 %
MFC.PR.M FixedReset Quote: 23.51 – 23.84
Spot Rate : 0.3300
Average : 0.2479

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.51
Bid-YTW : 4.94 %
SLF.PR.D Deemed-Retractible Quote: 22.14 – 22.40
Spot Rate : 0.2600
Average : 0.1841

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.14
Bid-YTW : 6.43 %
Market Action

November 28, 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 0.1530 % 2,465.4
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.1530 % 4,524.0
Floater 3.67 % 3.90 % 105,759 17.57 3 0.1530 % 2,607.2
OpRet 0.00 % 0.00 % 0 0.00 0 -0.1441 % 3,122.9
SplitShare 4.72 % 4.21 % 50,393 1.09 6 -0.1441 % 3,729.5
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.1441 % 2,909.9
Perpetual-Premium 5.34 % 4.57 % 54,533 0.09 20 0.0490 % 2,843.1
Perpetual-Discount 5.17 % 5.25 % 70,414 15.03 15 0.2252 % 3,037.2
FixedReset 4.22 % 4.16 % 145,920 4.44 98 -0.0966 % 2,504.0
Deemed-Retractible 5.00 % 5.28 % 90,899 5.90 30 0.2510 % 2,960.1
FloatingReset 2.71 % 2.78 % 40,299 3.94 8 -0.1558 % 2,683.6
Performance Highlights
Issue Index Change Notes
HSE.PR.A FixedReset -2.69 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-11-28
Maturity Price : 17.35
Evaluated at bid price : 17.35
Bid-YTW : 4.59 %
TRP.PR.A FixedReset -1.77 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-11-28
Maturity Price : 20.53
Evaluated at bid price : 20.53
Bid-YTW : 4.34 %
TRP.PR.B FixedReset -1.63 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-11-28
Maturity Price : 16.34
Evaluated at bid price : 16.34
Bid-YTW : 4.34 %
MFC.PR.K FixedReset -1.25 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.90
Bid-YTW : 5.24 %
GWO.PR.I Deemed-Retractible 1.11 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.80
Bid-YTW : 6.20 %
SLF.PR.B Deemed-Retractible 1.18 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.68
Bid-YTW : 5.67 %
Volume Highlights
Issue Index Shares
Traded		 Notes
TD.PF.H FixedReset 163,228 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-10-31
Maturity Price : 25.00
Evaluated at bid price : 26.18
Bid-YTW : 3.67 %
TD.PF.C FixedReset 83,532 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-11-28
Maturity Price : 22.95
Evaluated at bid price : 23.26
Bid-YTW : 4.16 %
BMO.PR.C FixedReset 59,504 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-05-25
Maturity Price : 25.00
Evaluated at bid price : 25.68
Bid-YTW : 3.86 %
BAM.PR.K Floater 40,400 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-11-28
Maturity Price : 14.52
Evaluated at bid price : 14.52
Bid-YTW : 3.90 %
TD.PF.B FixedReset 33,522 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-11-28
Maturity Price : 23.09
Evaluated at bid price : 23.49
Bid-YTW : 4.14 %
TRP.PR.J FixedReset 31,250 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-05-31
Maturity Price : 25.00
Evaluated at bid price : 26.60
Bid-YTW : 3.55 %
There were 25 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: 26.15 – 26.60
Spot Rate : 0.4500
Average : 0.2980

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2017-12-28
Maturity Price : 26.00
Evaluated at bid price : 26.15
Bid-YTW : -3.28 %
TD.PF.H FixedReset Quote: 26.18 – 26.54
Spot Rate : 0.3600
Average : 0.2248

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-10-31
Maturity Price : 25.00
Evaluated at bid price : 26.18
Bid-YTW : 3.67 %
MFC.PR.H FixedReset Quote: 24.91 – 25.30
Spot Rate : 0.3900
Average : 0.2939

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.91
Bid-YTW : 4.79 %
CU.PR.F Perpetual-Discount Quote: 22.33 – 22.65
Spot Rate : 0.3200
Average : 0.2292

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-11-28
Maturity Price : 22.01
Evaluated at bid price : 22.33
Bid-YTW : 5.05 %
SLF.PR.G FixedReset Quote: 18.65 – 18.99
Spot Rate : 0.3400
Average : 0.2592

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.65
Bid-YTW : 7.34 %
GWO.PR.L Deemed-Retractible Quote: 26.00 – 26.24
Spot Rate : 0.2400
Average : 0.1592

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2017-12-31
Maturity Price : 25.25
Evaluated at bid price : 26.00
Bid-YTW : -16.37 %
Market Action

November 27, 2017

Publication of the November 27 preferred share report has been delayed. I intend to post it shortly before publication of the November 28 report.

Update, 2017-11-29, finally:

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 0.1971 % 2,461.7
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.1971 % 4,517.0
Floater 3.67 % 3.90 % 97,871 17.58 3 0.1971 % 2,603.2
OpRet 0.00 % 0.00 % 0 0.00 0 0.5203 % 3,127.4
SplitShare 4.72 % 4.26 % 50,072 1.09 6 0.5203 % 3,734.8
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.5203 % 2,914.1
Perpetual-Premium 5.34 % 4.67 % 44,065 0.10 20 -0.0431 % 2,841.8
Perpetual-Discount 5.18 % 5.22 % 65,513 15.03 15 0.1043 % 3,030.3
FixedReset 4.21 % 4.14 % 148,136 4.40 98 -0.0423 % 2,506.4
Deemed-Retractible 5.00 % 5.27 % 87,153 5.90 30 0.0804 % 2,952.7
FloatingReset 2.70 % 2.75 % 41,958 3.95 8 -0.1028 % 2,687.8
Performance Highlights
Issue Index Change Notes
W.PR.M FixedReset -1.28 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-10-15
Maturity Price : 25.00
Evaluated at bid price : 26.30
Bid-YTW : 3.94 %
CU.PR.G Perpetual-Discount 1.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-11-27
Maturity Price : 21.97
Evaluated at bid price : 22.30
Bid-YTW : 5.05 %
BAM.PR.N Perpetual-Discount 1.17 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-11-27
Maturity Price : 22.12
Evaluated at bid price : 22.40
Bid-YTW : 5.38 %
MFC.PR.K FixedReset 1.27 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.19
Bid-YTW : 5.04 %
PVS.PR.E SplitShare 1.51 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2017-12-27
Maturity Price : 26.00
Evaluated at bid price : 26.15
Bid-YTW : -3.46 %
Volume Highlights
Issue Index Shares
Traded		 Notes
NA.PR.A FixedReset 57,135 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-08-15
Maturity Price : 25.00
Evaluated at bid price : 26.75
Bid-YTW : 3.46 %
BAM.PF.F FixedReset 53,503 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-11-27
Maturity Price : 23.58
Evaluated at bid price : 24.88
Bid-YTW : 4.49 %
BMO.PR.M FixedReset 53,136 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.90
Bid-YTW : 3.41 %
HSB.PR.C Deemed-Retractible 44,300 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2017-12-27
Maturity Price : 25.00
Evaluated at bid price : 25.27
Bid-YTW : 1.80 %
BAM.PF.C Perpetual-Discount 32,410 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-11-27
Maturity Price : 22.46
Evaluated at bid price : 22.81
Bid-YTW : 5.39 %
IFC.PR.E Deemed-Retractible 26,456 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 25.15
Bid-YTW : 5.27 %
There were 24 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
MFC.PR.G FixedReset Quote: 24.53 – 24.99
Spot Rate : 0.4600
Average : 0.2853

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-12-19
Maturity Price : 25.00
Evaluated at bid price : 24.53
Bid-YTW : 4.36 %
RY.PR.L FixedReset Quote: 25.32 – 25.63
Spot Rate : 0.3100
Average : 0.2183

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2019-02-24
Maturity Price : 25.00
Evaluated at bid price : 25.32
Bid-YTW : 3.25 %
TRP.PR.B FixedReset Quote: 16.61 – 16.86
Spot Rate : 0.2500
Average : 0.1708

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-11-27
Maturity Price : 16.61
Evaluated at bid price : 16.61
Bid-YTW : 4.27 %
MFC.PR.F FixedReset Quote: 18.00 – 18.28
Spot Rate : 0.2800
Average : 0.2135

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.00
Bid-YTW : 7.72 %
HSE.PR.C FixedReset Quote: 24.70 – 24.90
Spot Rate : 0.2000
Average : 0.1343

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-11-27
Maturity Price : 23.45
Evaluated at bid price : 24.70
Bid-YTW : 4.70 %
PWF.PR.F Perpetual-Discount Quote: 24.86 – 25.07
Spot Rate : 0.2100
Average : 0.1448

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-11-27
Maturity Price : 24.60
Evaluated at bid price : 24.86
Bid-YTW : 5.33 %
Market Action

November 24, 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 0.1975 % 2,456.8
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.1975 % 4,508.2
Floater 3.68 % 3.92 % 96,293 17.54 3 0.1975 % 2,598.1
OpRet 0.00 % 0.00 % 0 0.00 0 -0.1906 % 3,111.3
SplitShare 4.74 % 4.53 % 67,110 4.32 6 -0.1906 % 3,715.5
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.1906 % 2,899.0
Perpetual-Premium 5.34 % 4.68 % 56,311 0.11 20 -0.0078 % 2,843.0
Perpetual-Discount 5.19 % 5.22 % 64,825 15.03 15 0.0451 % 3,027.2
FixedReset 4.21 % 4.20 % 151,009 4.34 98 0.1152 % 2,507.5
Deemed-Retractible 5.00 % 5.31 % 86,800 5.91 30 0.1091 % 2,950.3
FloatingReset 2.70 % 2.74 % 42,231 3.96 8 0.1517 % 2,690.5
Performance Highlights
Issue Index Change Notes
BAM.PR.N Perpetual-Discount -1.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-11-24
Maturity Price : 21.90
Evaluated at bid price : 22.14
Bid-YTW : 5.44 %
MFC.PR.K FixedReset -1.08 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.90
Bid-YTW : 5.28 %
HSE.PR.E FixedReset 1.00 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2020-03-31
Maturity Price : 25.00
Evaluated at bid price : 24.98
Bid-YTW : 4.35 %
HSE.PR.G FixedReset 1.03 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2020-06-30
Maturity Price : 25.00
Evaluated at bid price : 25.00
Bid-YTW : 4.43 %
IFC.PR.A FixedReset 1.16 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.14
Bid-YTW : 7.05 %
HSE.PR.C FixedReset 1.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-11-24
Maturity Price : 23.48
Evaluated at bid price : 24.78
Bid-YTW : 4.73 %
PWF.PR.P FixedReset 7.46 % Just a reversal of yesterday‘s nonsense.

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-11-24
Maturity Price : 18.00
Evaluated at bid price : 18.00
Bid-YTW : 4.36 %
Volume Highlights
Issue Index Shares
Traded		 Notes
RY.PR.R FixedReset 147,625 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-08-24
Maturity Price : 25.00
Evaluated at bid price : 27.00
Bid-YTW : 3.24 %
IFC.PR.E Deemed-Retractible 83,950 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 25.00
Bid-YTW : 5.37 %
CM.PR.P FixedReset 51,728 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-11-24
Maturity Price : 23.11
Evaluated at bid price : 23.42
Bid-YTW : 4.17 %
TRP.PR.G FixedReset 35,390 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-11-24
Maturity Price : 23.08
Evaluated at bid price : 24.25
Bid-YTW : 4.58 %
TD.PF.H FixedReset 20,466 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-10-31
Maturity Price : 25.00
Evaluated at bid price : 26.21
Bid-YTW : 3.63 %
BMO.PR.C FixedReset 19,675 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-05-25
Maturity Price : 25.00
Evaluated at bid price : 25.60
Bid-YTW : 3.93 %
There were 14 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
BAM.PR.N Perpetual-Discount Quote: 22.14 – 22.57
Spot Rate : 0.4300
Average : 0.2793

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-11-24
Maturity Price : 21.90
Evaluated at bid price : 22.14
Bid-YTW : 5.44 %
MFC.PR.K FixedReset Quote: 22.90 – 23.42
Spot Rate : 0.5200
Average : 0.3957

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.90
Bid-YTW : 5.28 %
PWF.PR.A Floater Quote: 16.76 – 17.09
Spot Rate : 0.3300
Average : 0.2280

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-11-24
Maturity Price : 16.76
Evaluated at bid price : 16.76
Bid-YTW : 3.36 %
IFC.PR.F Deemed-Retractible Quote: 25.20 – 25.47
Spot Rate : 0.2700
Average : 0.1850

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 25.20
Bid-YTW : 5.45 %
MFC.PR.C Deemed-Retractible Quote: 22.15 – 22.40
Spot Rate : 0.2500
Average : 0.1685

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.15
Bid-YTW : 6.49 %
BMO.PR.T FixedReset Quote: 23.10 – 23.35
Spot Rate : 0.2500
Average : 0.1690

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-11-24
Maturity Price : 22.73
Evaluated at bid price : 23.10
Bid-YTW : 4.22 %
Market Action

November 23, 2017

Chris Bourke of Bloomberg wrote a piece about Australia’s housing market that interested me because of Canada’s presence in the charts:

housingbook
Click for Big

That represents the failure of Canada’s housing policy since 2006 – the vast expansion of the CMHC insurance books has enabled the banks – through lower risk and, importantly, lower risk weights feeding into their capital ratios – to load up on mortgages. It astonishes me that there are some people who are surprised by the housing bubble in Toronto and Vancouver; I am flabbergasted that there are some who blame foreign money for the problem.

The other chart I liked was:

cranes
Click for Big

Wow. In Toronto, you can’t throw a brick without hitting a crane – Sydney must be something else!

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 -0.2626 % 2,452.0
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.2626 % 4,499.3
Floater 3.69 % 3.91 % 99,610 17.55 3 -0.2626 % 2,593.0
OpRet 0.00 % 0.00 % 0 0.00 0 0.0987 % 3,117.2
SplitShare 4.73 % 4.14 % 53,442 1.10 6 0.0987 % 3,722.6
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0987 % 2,904.5
Perpetual-Premium 5.34 % 4.69 % 45,043 0.16 20 -0.0020 % 2,843.2
Perpetual-Discount 5.19 % 5.23 % 62,934 15.06 15 0.0338 % 3,025.8
FixedReset 4.22 % 4.20 % 152,585 4.41 98 -0.1509 % 2,504.6
Deemed-Retractible 5.01 % 5.31 % 87,901 5.91 30 -0.0450 % 2,947.1
FloatingReset 2.70 % 2.77 % 41,823 3.96 8 -0.1353 % 2,686.5
Performance Highlights
Issue Index Change Notes
PWF.PR.P FixedReset -7.36 % Clearly a bogus quote (16.75-18.10), since the low for the day was 18.00 (three trades of 100 shares each, timestamped 3:36). I have not checked whether this lamentable state of affairs is due to inadequate Toronto Stock Exchange reporting or inadequate Toronto Stock Exchange supervision of market-makers.

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-11-23
Maturity Price : 16.75
Evaluated at bid price : 16.75
Bid-YTW : 4.68 %
IFC.PR.A FixedReset -1.24 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.91
Bid-YTW : 7.24 %
W.PR.K FixedReset -1.02 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-01-15
Maturity Price : 25.00
Evaluated at bid price : 26.15
Bid-YTW : 3.90 %
VNR.PR.A FixedReset 1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-11-23
Maturity Price : 22.89
Evaluated at bid price : 24.25
Bid-YTW : 4.63 %
Volume Highlights
Issue Index Shares
Traded		 Notes
CU.PR.E Perpetual-Discount 115,800 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-11-23
Maturity Price : 23.93
Evaluated at bid price : 24.41
Bid-YTW : 5.01 %
NA.PR.A FixedReset 62,700 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-08-15
Maturity Price : 25.00
Evaluated at bid price : 26.77
Bid-YTW : 3.42 %
GWO.PR.N FixedReset 24,000 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.43
Bid-YTW : 7.44 %
TRP.PR.J FixedReset 22,540 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-05-31
Maturity Price : 25.00
Evaluated at bid price : 26.70
Bid-YTW : 3.42 %
PWF.PR.Z Perpetual-Discount 14,436 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-11-23
Maturity Price : 24.39
Evaluated at bid price : 24.78
Bid-YTW : 5.23 %
BMO.PR.D FixedReset 13,190 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-08-25
Maturity Price : 25.00
Evaluated at bid price : 25.56
Bid-YTW : 3.90 %
There were 3 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
PWF.PR.P FixedReset Quote: 16.75 – 18.10
Spot Rate : 1.3500
Average : 0.7509

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-11-23
Maturity Price : 16.75
Evaluated at bid price : 16.75
Bid-YTW : 4.68 %
MFC.PR.L FixedReset Quote: 22.70 – 23.00
Spot Rate : 0.3000
Average : 0.1832

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.70
Bid-YTW : 5.39 %
TRP.PR.G FixedReset Quote: 24.23 – 24.75
Spot Rate : 0.5200
Average : 0.4106

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-11-23
Maturity Price : 23.08
Evaluated at bid price : 24.23
Bid-YTW : 4.58 %
W.PR.K FixedReset Quote: 26.15 – 26.50
Spot Rate : 0.3500
Average : 0.2650

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-01-15
Maturity Price : 25.00
Evaluated at bid price : 26.15
Bid-YTW : 3.90 %
SLF.PR.C Deemed-Retractible Quote: 22.10 – 22.32
Spot Rate : 0.2200
Average : 0.1519

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.10
Bid-YTW : 6.66 %
IFC.PR.A FixedReset Quote: 19.91 – 20.20
Spot Rate : 0.2900
Average : 0.2252

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.91
Bid-YTW : 7.24 %
Market Action

November 22, 2017

PerpetualDiscounts now yield 5.23%, equivalent to 6.80% interest at the standard equivalency factor of 1.3x. Long corporates now yield about 3.80%, so the pre-tax, interest-equivalent spread (in this context, the “Seniority Spread”) is now about 300bp, a slight (and perhaps spurious) narrowing from the 305bp reported November 15

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 0.0876 % 2,458.4
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.0876 % 4,511.1
Floater 3.68 % 3.90 % 98,567 17.57 3 0.0876 % 2,599.8
OpRet 0.00 % 0.00 % 0 0.00 0 0.0593 % 3,114.1
SplitShare 4.74 % 4.52 % 66,104 4.33 6 0.0593 % 3,718.9
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0593 % 2,901.7
Perpetual-Premium 5.34 % 2.46 % 44,925 0.11 20 0.1275 % 2,843.3
Perpetual-Discount 5.19 % 5.23 % 64,539 15.04 15 0.0734 % 3,024.8
FixedReset 4.21 % 4.19 % 155,101 4.41 98 0.1274 % 2,508.4
Deemed-Retractible 5.01 % 5.28 % 88,488 5.91 30 0.1625 % 2,948.4
FloatingReset 2.70 % 2.74 % 43,079 3.96 8 0.1463 % 2,690.1
Performance Highlights
Issue Index Change Notes
VNR.PR.A FixedReset -1.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-11-22
Maturity Price : 22.78
Evaluated at bid price : 24.00
Bid-YTW : 4.68 %
MFC.PR.B Deemed-Retractible 1.46 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.94
Bid-YTW : 6.06 %
HSE.PR.A FixedReset 1.54 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-11-22
Maturity Price : 17.84
Evaluated at bid price : 17.84
Bid-YTW : 4.57 %
Volume Highlights
Issue Index Shares
Traded		 Notes
RY.PR.I FixedReset 466,895 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2019-02-24
Maturity Price : 25.00
Evaluated at bid price : 25.01
Bid-YTW : 3.49 %
RY.PR.Q FixedReset 289,136 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-05-24
Maturity Price : 25.00
Evaluated at bid price : 26.90
Bid-YTW : 3.20 %
TRP.PR.J FixedReset 257,205 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-05-31
Maturity Price : 25.00
Evaluated at bid price : 26.67
Bid-YTW : 3.45 %
TD.PF.G FixedReset 187,549 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-04-30
Maturity Price : 25.00
Evaluated at bid price : 27.00
Bid-YTW : 3.14 %
NA.PR.A FixedReset 178,206 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-08-15
Maturity Price : 25.00
Evaluated at bid price : 26.89
Bid-YTW : 3.29 %
SLF.PR.H FixedReset 76,912 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.41
Bid-YTW : 5.11 %
There were 23 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
VNR.PR.A FixedReset Quote: 24.00 – 24.40
Spot Rate : 0.4000
Average : 0.2975

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-11-22
Maturity Price : 22.78
Evaluated at bid price : 24.00
Bid-YTW : 4.68 %
MFC.PR.R FixedReset Quote: 26.18 – 26.39
Spot Rate : 0.2100
Average : 0.1517

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-03-19
Maturity Price : 25.00
Evaluated at bid price : 26.18
Bid-YTW : 3.59 %
BMO.PR.Y FixedReset Quote: 24.79 – 25.00
Spot Rate : 0.2100
Average : 0.1523

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2020-08-25
Maturity Price : 25.00
Evaluated at bid price : 24.79
Bid-YTW : 4.14 %
CU.PR.I FixedReset Quote: 26.00 – 26.25
Spot Rate : 0.2500
Average : 0.1956

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2020-12-01
Maturity Price : 25.00
Evaluated at bid price : 26.00
Bid-YTW : 3.08 %
RY.PR.A Deemed-Retractible Quote: 25.42 – 25.58
Spot Rate : 0.1600
Average : 0.1106

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2017-12-22
Maturity Price : 25.00
Evaluated at bid price : 25.42
Bid-YTW : -15.50 %
BAM.PF.J FixedReset Quote: 25.88 – 26.15
Spot Rate : 0.2700
Average : 0.2217

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-12-31
Maturity Price : 25.00
Evaluated at bid price : 25.88
Bid-YTW : 4.20 %
Market Action

November 21, 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 0.4843 % 2,456.3
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.4843 % 4,507.2
Floater 3.68 % 3.90 % 97,362 17.57 3 0.4843 % 2,597.5
OpRet 0.00 % 0.00 % 0 0.00 0 0.4971 % 3,112.3
SplitShare 4.74 % 4.53 % 50,368 4.33 6 0.4971 % 3,716.7
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.4971 % 2,899.9
Perpetual-Premium 5.35 % 1.78 % 44,224 0.11 20 0.0451 % 2,839.6
Perpetual-Discount 5.20 % 5.22 % 66,720 15.08 15 0.3398 % 3,022.6
FixedReset 4.22 % 4.20 % 151,634 4.35 98 0.2440 % 2,505.2
Deemed-Retractible 5.02 % 5.31 % 88,261 5.92 30 0.0437 % 2,943.7
FloatingReset 2.70 % 2.76 % 43,378 3.96 8 0.0922 % 2,686.2
Performance Highlights
Issue Index Change Notes
MFC.PR.B Deemed-Retractible -1.31 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.61
Bid-YTW : 6.30 %
TRP.PR.G FixedReset 1.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-11-21
Maturity Price : 23.09
Evaluated at bid price : 24.26
Bid-YTW : 4.58 %
BAM.PR.X FixedReset 1.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-11-21
Maturity Price : 18.10
Evaluated at bid price : 18.10
Bid-YTW : 4.60 %
PVS.PR.F SplitShare 1.15 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2024-09-30
Maturity Price : 25.00
Evaluated at bid price : 25.30
Bid-YTW : 4.59 %
BAM.PF.D Perpetual-Discount 1.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-11-21
Maturity Price : 22.66
Evaluated at bid price : 23.01
Bid-YTW : 5.39 %
MFC.PR.N FixedReset 1.24 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.69
Bid-YTW : 4.76 %
VNR.PR.A FixedReset 1.38 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-11-21
Maturity Price : 22.89
Evaluated at bid price : 24.25
Bid-YTW : 4.62 %
TD.PF.D FixedReset 1.40 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2020-07-31
Maturity Price : 25.00
Evaluated at bid price : 24.64
Bid-YTW : 4.27 %
PWF.PR.A Floater 1.58 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-11-21
Maturity Price : 16.76
Evaluated at bid price : 16.76
Bid-YTW : 3.36 %
Volume Highlights
Issue Index Shares
Traded		 Notes
TD.PF.D FixedReset 130,775 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2020-07-31
Maturity Price : 25.00
Evaluated at bid price : 24.64
Bid-YTW : 4.27 %
BNS.PR.H FixedReset 118,127 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-01-26
Maturity Price : 25.00
Evaluated at bid price : 26.56
Bid-YTW : 3.34 %
BAM.PF.B FixedReset 78,450 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-11-21
Maturity Price : 23.67
Evaluated at bid price : 24.10
Bid-YTW : 4.49 %
MFC.PR.N FixedReset 68,771 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.69
Bid-YTW : 4.76 %
MFC.PR.M FixedReset 51,227 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.54
Bid-YTW : 4.94 %
IFC.PR.F Deemed-Retractible 40,417 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 25.35
Bid-YTW : 5.34 %
There were 20 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: 17.57 – 18.09
Spot Rate : 0.5200
Average : 0.3663

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-11-21
Maturity Price : 17.57
Evaluated at bid price : 17.57
Bid-YTW : 4.64 %
IFC.PR.C FixedReset Quote: 23.50 – 23.85
Spot Rate : 0.3500
Average : 0.2325

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.50
Bid-YTW : 4.88 %
MFC.PR.B Deemed-Retractible Quote: 22.61 – 22.90
Spot Rate : 0.2900
Average : 0.1970

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.61
Bid-YTW : 6.30 %
MFC.PR.K FixedReset Quote: 23.09 – 23.45
Spot Rate : 0.3600
Average : 0.2686

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 %
RY.PR.M FixedReset Quote: 24.34 – 24.63
Spot Rate : 0.2900
Average : 0.2042

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-11-21
Maturity Price : 23.12
Evaluated at bid price : 24.34
Bid-YTW : 4.23 %
POW.PR.A Perpetual-Premium Quote: 25.40 – 25.69
Spot Rate : 0.2900
Average : 0.2074

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2017-12-21
Maturity Price : 25.00
Evaluated at bid price : 25.40
Bid-YTW : -6.77 %