Category: Market Action

Market Action

July 18, 2017

It is my belief that many of today’s economic problems are the result of disruption; we are experiencing change at a historically unprecedented pace. The Industrial Revolution and the Renaissance combined weren’t NUTHIN’ compared to what’s been happening since 1980. And usually the effects of disruption are difficult to foresee:

Japan thought it was on track to beat deflation. Then came the Amazon effect.

The country’s retailers have been cutting prices in response to the rise of online rivals like Amazon.com Inc., disrupting what had seemed like perfect conditions for Japan to get the stable dose of inflation it has long been looking for.

In part as a result, Japan’s central bank is likely to lower its price forecast for the current financial year at its policy meeting on Thursday, said people familiar with its thinking. That reflects continued resistance to price rises, despite Japan’s longest economic expansion in 11 years and its tightest labor market in decades. The Bank of Japan is also likely to raise its view on the economy while keeping its policy settings on hold, the people said.

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 1.5911 % 2,391.1
FixedFloater 0.00 % 0.00 % 0 0.00 0 1.5911 % 4,387.6
Floater 3.62 % 3.64 % 105,677 18.21 3 1.5911 % 2,528.6
OpRet 0.00 % 0.00 % 0 0.00 0 -0.0078 % 3,070.2
SplitShare 4.69 % 4.29 % 57,784 1.42 5 -0.0078 % 3,666.5
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.0078 % 2,860.7
Perpetual-Premium 5.39 % 4.75 % 71,802 6.11 21 -0.1283 % 2,767.9
Perpetual-Discount 5.31 % 5.30 % 89,828 14.99 15 0.2154 % 2,910.4
FixedReset 4.33 % 4.32 % 180,336 6.39 98 0.0083 % 2,398.9
Deemed-Retractible 5.09 % 5.42 % 116,888 6.15 30 -0.0028 % 2,842.7
FloatingReset 2.59 % 2.93 % 44,881 4.29 10 -0.0767 % 2,626.9
Performance Highlights
Issue Index Change Notes
TRP.PR.H FloatingReset -1.25 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-07-18
Maturity Price : 15.06
Evaluated at bid price : 15.06
Bid-YTW : 3.27 %
BAM.PR.X FixedReset -1.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-07-18
Maturity Price : 17.33
Evaluated at bid price : 17.33
Bid-YTW : 4.58 %
IAG.PR.G FixedReset -1.07 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.05
Bid-YTW : 5.28 %
GWO.PR.S Deemed-Retractible 1.21 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 25.00
Bid-YTW : 5.33 %
BAM.PR.C Floater 1.49 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-07-18
Maturity Price : 14.26
Evaluated at bid price : 14.26
Bid-YTW : 3.64 %
BAM.PR.B Floater 1.50 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-07-18
Maturity Price : 14.22
Evaluated at bid price : 14.22
Bid-YTW : 3.65 %
BAM.PR.K Floater 1.78 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-07-18
Maturity Price : 14.30
Evaluated at bid price : 14.30
Bid-YTW : 3.63 %
ELF.PR.G Perpetual-Discount 2.43 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-07-18
Maturity Price : 22.48
Evaluated at bid price : 22.74
Bid-YTW : 5.24 %
Volume Highlights
Issue Index Shares
Traded		 Notes
BMO.PR.Q FixedReset 301,045 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.55
Bid-YTW : 5.44 %
TD.PF.I FixedReset 106,693 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-07-18
Maturity Price : 23.17
Evaluated at bid price : 25.08
Bid-YTW : 4.39 %
TRP.PR.D FixedReset 106,633 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-07-18
Maturity Price : 22.10
Evaluated at bid price : 22.41
Bid-YTW : 4.33 %
RY.PR.M FixedReset 90,612 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-07-18
Maturity Price : 22.54
Evaluated at bid price : 23.25
Bid-YTW : 4.34 %
RY.PR.H FixedReset 54,000 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-07-18
Maturity Price : 21.75
Evaluated at bid price : 22.23
Bid-YTW : 4.27 %
BAM.PR.K Floater 41,600 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-07-18
Maturity Price : 14.30
Evaluated at bid price : 14.30
Bid-YTW : 3.63 %
There were 16 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
GWO.PR.Q Deemed-Retractible Quote: 24.25 – 24.81
Spot Rate : 0.5600
Average : 0.3671

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.25
Bid-YTW : 5.72 %
ELF.PR.F Perpetual-Discount Quote: 24.41 – 24.97
Spot Rate : 0.5600
Average : 0.4088

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-07-18
Maturity Price : 24.16
Evaluated at bid price : 24.41
Bid-YTW : 5.45 %
PWF.PR.F Perpetual-Premium Quote: 24.33 – 24.75
Spot Rate : 0.4200
Average : 0.3021

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-07-18
Maturity Price : 24.07
Evaluated at bid price : 24.33
Bid-YTW : 5.40 %
VNR.PR.A FixedReset Quote: 22.45 – 22.77
Spot Rate : 0.3200
Average : 0.2058

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-07-18
Maturity Price : 21.93
Evaluated at bid price : 22.45
Bid-YTW : 4.80 %
EIT.PR.A SplitShare Quote: 25.80 – 26.20
Spot Rate : 0.4000
Average : 0.3003

YTW SCENARIO
Maturity Type : Soft Maturity
Maturity Date : 2024-03-14
Maturity Price : 25.00
Evaluated at bid price : 25.80
Bid-YTW : 4.34 %
TRP.PR.H FloatingReset Quote: 15.06 – 15.69
Spot Rate : 0.6300
Average : 0.5483

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-07-18
Maturity Price : 15.06
Evaluated at bid price : 15.06
Bid-YTW : 3.27 %
Market Action

July 17, 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 0.0000 % 2,353.7
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.0000 % 4,318.9
Floater 3.68 % 3.70 % 97,569 18.09 3 0.0000 % 2,489.0
OpRet 0.00 % 0.00 % 0 0.00 0 0.1017 % 3,070.5
SplitShare 4.69 % 4.13 % 57,166 1.42 5 0.1017 % 3,666.8
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.1017 % 2,861.0
Perpetual-Premium 5.38 % 4.75 % 70,894 6.11 21 -0.1319 % 2,771.4
Perpetual-Discount 5.32 % 5.32 % 91,316 14.99 15 -0.3423 % 2,904.2
FixedReset 4.33 % 4.32 % 179,729 6.40 98 0.0336 % 2,398.7
Deemed-Retractible 5.09 % 5.50 % 117,872 6.15 30 -0.4486 % 2,842.7
FloatingReset 2.59 % 2.85 % 45,280 4.29 10 0.1266 % 2,628.9
Performance Highlights
Issue Index Change Notes
IFC.PR.A FixedReset -1.97 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.41
Bid-YTW : 7.27 %
SLF.PR.B Deemed-Retractible -1.60 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.78
Bid-YTW : 6.38 %
TRP.PR.B FixedReset -1.40 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-07-17
Maturity Price : 15.48
Evaluated at bid price : 15.48
Bid-YTW : 4.37 %
SLF.PR.C Deemed-Retractible -1.35 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.21
Bid-YTW : 7.16 %
SLF.PR.D Deemed-Retractible -1.35 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.23
Bid-YTW : 7.14 %
SLF.PR.E Deemed-Retractible -1.20 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.32
Bid-YTW : 7.13 %
MFC.PR.C Deemed-Retractible -1.19 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.55
Bid-YTW : 6.98 %
BAM.PF.B FixedReset -1.17 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-07-17
Maturity Price : 22.39
Evaluated at bid price : 22.75
Bid-YTW : 4.56 %
ELF.PR.G Perpetual-Discount -1.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-07-17
Maturity Price : 21.97
Evaluated at bid price : 22.20
Bid-YTW : 5.37 %
TRP.PR.G FixedReset -1.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-07-17
Maturity Price : 23.04
Evaluated at bid price : 24.27
Bid-YTW : 4.45 %
PWF.PR.L Perpetual-Discount -1.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-07-17
Maturity Price : 23.69
Evaluated at bid price : 24.00
Bid-YTW : 5.32 %
PWF.PR.S Perpetual-Discount -1.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-07-17
Maturity Price : 22.30
Evaluated at bid price : 22.60
Bid-YTW : 5.31 %
GWO.PR.R Deemed-Retractible -1.04 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.93
Bid-YTW : 6.27 %
MFC.PR.M FixedReset 1.33 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.10
Bid-YTW : 5.88 %
Volume Highlights
Issue Index Shares
Traded		 Notes
TD.PF.I FixedReset 169,728 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-07-17
Maturity Price : 23.14
Evaluated at bid price : 25.00
Bid-YTW : 4.41 %
NA.PR.W FixedReset 102,111 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-07-17
Maturity Price : 21.38
Evaluated at bid price : 21.70
Bid-YTW : 4.32 %
NA.PR.A FixedReset 92,575 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-08-15
Maturity Price : 25.00
Evaluated at bid price : 26.54
Bid-YTW : 3.67 %
TD.PF.B FixedReset 86,200 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-07-17
Maturity Price : 21.52
Evaluated at bid price : 21.89
Bid-YTW : 4.29 %
TRP.PR.J FixedReset 85,526 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-05-31
Maturity Price : 25.00
Evaluated at bid price : 26.84
Bid-YTW : 3.66 %
SLF.PR.H FixedReset 61,632 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.70
Bid-YTW : 6.11 %
There were 27 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
BAM.PF.D Perpetual-Discount Quote: 22.46 – 22.98
Spot Rate : 0.5200
Average : 0.3800

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-07-17
Maturity Price : 22.19
Evaluated at bid price : 22.46
Bid-YTW : 5.49 %
POW.PR.G Perpetual-Premium Quote: 25.19 – 25.55
Spot Rate : 0.3600
Average : 0.2219

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-07-17
Maturity Price : 24.70
Evaluated at bid price : 25.19
Bid-YTW : 5.57 %
CU.PR.G Perpetual-Discount Quote: 21.68 – 22.00
Spot Rate : 0.3200
Average : 0.2009

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-07-17
Maturity Price : 21.40
Evaluated at bid price : 21.68
Bid-YTW : 5.25 %
IFC.PR.A FixedReset Quote: 19.41 – 19.75
Spot Rate : 0.3400
Average : 0.2284

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.41
Bid-YTW : 7.27 %
GWO.PR.S Deemed-Retractible Quote: 24.70 – 25.00
Spot Rate : 0.3000
Average : 0.2007

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.70
Bid-YTW : 5.52 %
TRP.PR.G FixedReset Quote: 24.27 – 24.70
Spot Rate : 0.4300
Average : 0.3381

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-07-17
Maturity Price : 23.04
Evaluated at bid price : 24.27
Bid-YTW : 4.45 %
Market Action

July 14, 2017

A red letter day today! Aided by a small bump in the GOC-5 rate, the calculated median YTW for the FixedResets subindex is greater than its mean current yield for the first time since 2008!

HIMIPref™ Preferred Indices
These values reflect the December 2008 revision of the HIMIPref™ Indices
Values are provisional and are finalized monthly
Index Mean
Current
Yield
(at bid)		 Median
YTW		 Median
Average
Trading
Value		 Median
Mod Dur
(YTW)		 Issues Day’s Perf. Index Value
Ratchet 0.00 % 0.00 % 0 0.00 0 -1.7499 % 2,353.7
FixedFloater 0.00 % 0.00 % 0 0.00 0 -1.7499 % 4,318.9
Floater 3.68 % 3.70 % 97,796 18.09 3 -1.7499 % 2,489.0
OpRet 0.00 % 0.00 % 0 0.00 0 0.0783 % 3,067.3
SplitShare 4.69 % 4.21 % 57,892 1.43 5 0.0783 % 3,663.1
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0783 % 2,858.1
Perpetual-Premium 5.37 % 4.73 % 69,759 5.93 21 -0.1468 % 2,775.1
Perpetual-Discount 5.30 % 5.29 % 92,632 14.99 15 -0.2113 % 2,914.2
FixedReset 4.33 % 4.34 % 180,669 6.41 98 -0.0626 % 2,397.9
Deemed-Retractible 5.07 % 5.41 % 117,300 6.16 30 -0.2596 % 2,855.5
FloatingReset 2.60 % 2.99 % 45,439 4.30 10 -0.0497 % 2,625.6
Performance Highlights
Issue Index Change Notes
BAM.PR.K Floater -2.59 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-07-14
Maturity Price : 13.93
Evaluated at bid price : 13.93
Bid-YTW : 3.73 %
PWF.PR.P FixedReset -1.57 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-07-14
Maturity Price : 16.93
Evaluated at bid price : 16.93
Bid-YTW : 4.37 %
BAM.PR.C Floater -1.47 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-07-14
Maturity Price : 14.05
Evaluated at bid price : 14.05
Bid-YTW : 3.70 %
GWO.PR.I Deemed-Retractible -1.32 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.64
Bid-YTW : 6.88 %
ELF.PR.H Perpetual-Premium -1.24 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-07-14
Maturity Price : 24.18
Evaluated at bid price : 24.69
Bid-YTW : 5.58 %
BAM.PR.B Floater -1.19 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-07-14
Maturity Price : 14.13
Evaluated at bid price : 14.13
Bid-YTW : 3.68 %
CU.PR.H Perpetual-Premium -1.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-07-14
Maturity Price : 24.59
Evaluated at bid price : 25.01
Bid-YTW : 5.30 %
CU.PR.F Perpetual-Discount -1.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-07-14
Maturity Price : 21.56
Evaluated at bid price : 21.56
Bid-YTW : 5.29 %
IAG.PR.A Deemed-Retractible -1.10 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.51
Bid-YTW : 6.35 %
HSE.PR.A FixedReset -1.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-07-14
Maturity Price : 16.30
Evaluated at bid price : 16.30
Bid-YTW : 4.72 %
IFC.PR.C FixedReset 1.11 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.70
Bid-YTW : 5.21 %
VNR.PR.A FixedReset 2.19 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-07-14
Maturity Price : 21.89
Evaluated at bid price : 22.39
Bid-YTW : 4.81 %
Volume Highlights
Issue Index Shares
Traded		 Notes
TD.PF.I FixedReset 775,498 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-07-14
Maturity Price : 23.14
Evaluated at bid price : 25.00
Bid-YTW : 4.41 %
MFC.PR.O FixedReset 298,785 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-06-19
Maturity Price : 25.00
Evaluated at bid price : 26.78
Bid-YTW : 3.77 %
TRP.PR.J FixedReset 176,767 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-05-31
Maturity Price : 25.00
Evaluated at bid price : 26.87
Bid-YTW : 3.62 %
CM.PR.R FixedReset 176,654 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-07-31
Maturity Price : 25.00
Evaluated at bid price : 25.12
Bid-YTW : 4.44 %
RY.PR.R FixedReset 103,900 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-08-24
Maturity Price : 25.00
Evaluated at bid price : 26.95
Bid-YTW : 3.67 %
BMO.PR.B FixedReset 79,483 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-02-25
Maturity Price : 25.00
Evaluated at bid price : 26.25
Bid-YTW : 3.84 %
There were 23 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
BMO.PR.Q FixedReset Quote: 21.50 – 21.99
Spot Rate : 0.4900
Average : 0.3274

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.50
Bid-YTW : 5.48 %
PWF.PR.P FixedReset Quote: 16.93 – 17.43
Spot Rate : 0.5000
Average : 0.3403

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-07-14
Maturity Price : 16.93
Evaluated at bid price : 16.93
Bid-YTW : 4.37 %
BAM.PF.E FixedReset Quote: 22.65 – 23.08
Spot Rate : 0.4300
Average : 0.2742

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-07-14
Maturity Price : 22.25
Evaluated at bid price : 22.65
Bid-YTW : 4.54 %
CU.PR.H Perpetual-Premium Quote: 25.01 – 25.40
Spot Rate : 0.3900
Average : 0.2464

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-07-14
Maturity Price : 24.59
Evaluated at bid price : 25.01
Bid-YTW : 5.30 %
GWO.PR.I Deemed-Retractible Quote: 21.64 – 22.05
Spot Rate : 0.4100
Average : 0.2675

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.64
Bid-YTW : 6.88 %
BAM.PR.K Floater Quote: 13.93 – 14.35
Spot Rate : 0.4200
Average : 0.2826

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-07-14
Maturity Price : 13.93
Evaluated at bid price : 13.93
Bid-YTW : 3.73 %
Market Action

July 13, 2017

Yesterday’s BoC policy rate hike continues to cause turmoil for Canadian bonds:

Canadian government bonds extended their slump, pushing two-year yields to the highest since 2013, the day after the Bank of Canada raised interest rates for the first time in seven years and signaled more tightening may be ahead.

Yields rose across maturities. The Canadian dollar was little changed near a one-year high rallying 1.3 percent Wednesday.

While the decision to boost rates was expected by a majority of economists surveyed by Bloomberg, investors were surprised by the Bank of Canada’s effort to downplay weak inflation and signal that the economy’s output gap will close earlier than previously forecast.
…
There’s a 74 percent probability that policy makers led by Governor Stephen Poloz will increase rates again this year, according to overnight index swaps data compiled by Bloomberg, which would reverse the two cuts the central bank carried out in early 2015 to counter the effects of falling oil prices. There’s also a 26 percent chance of two additional hikes this year.

Yields fell back a bit as the day wore on – the Canada five-year closed at 1.53%.

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 2.4868 % 2,395.6
FixedFloater 0.00 % 0.00 % 0 0.00 0 2.4868 % 4,395.8
Floater 3.61 % 3.63 % 96,213 18.24 3 2.4868 % 2,533.3
OpRet 0.00 % 0.00 % 0 0.00 0 -0.1251 % 3,064.9
SplitShare 4.70 % 4.38 % 57,688 1.43 5 -0.1251 % 3,660.2
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.1251 % 2,855.8
Perpetual-Premium 5.37 % 4.68 % 69,953 5.94 21 -0.1391 % 2,779.2
Perpetual-Discount 5.29 % 5.26 % 91,660 15.04 15 -0.6672 % 2,920.3
FixedReset 4.33 % 4.29 % 187,159 6.42 97 -0.0026 % 2,399.4
Deemed-Retractible 5.05 % 5.38 % 116,870 6.17 30 -0.3317 % 2,863.0
FloatingReset 2.64 % 2.94 % 45,949 4.30 10 0.1448 % 2,626.9
Performance Highlights
Issue Index Change Notes
MFC.PR.H FixedReset -1.51 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.76
Bid-YTW : 4.82 %
VNR.PR.A FixedReset -1.44 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-07-13
Maturity Price : 21.57
Evaluated at bid price : 21.91
Bid-YTW : 4.88 %
HSE.PR.G FixedReset -1.34 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-07-13
Maturity Price : 23.11
Evaluated at bid price : 24.30
Bid-YTW : 5.03 %
GWO.PR.G Deemed-Retractible -1.12 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.63
Bid-YTW : 5.51 %
CU.PR.D Perpetual-Discount -1.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-07-13
Maturity Price : 23.57
Evaluated at bid price : 23.84
Bid-YTW : 5.19 %
BAM.PF.D Perpetual-Discount -1.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-07-13
Maturity Price : 22.12
Evaluated at bid price : 22.37
Bid-YTW : 5.51 %
GWO.PR.I Deemed-Retractible -1.04 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.93
Bid-YTW : 6.66 %
HSE.PR.A FixedReset -1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-07-13
Maturity Price : 16.48
Evaluated at bid price : 16.48
Bid-YTW : 4.62 %
MFC.PR.J FixedReset 1.02 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.85
Bid-YTW : 4.86 %
MFC.PR.K FixedReset 1.21 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.70
Bid-YTW : 5.96 %
SLF.PR.J FloatingReset 1.38 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 16.85
Bid-YTW : 7.97 %
IAG.PR.G FixedReset 1.96 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.40
Bid-YTW : 5.02 %
BAM.PR.K Floater 2.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-07-13
Maturity Price : 14.30
Evaluated at bid price : 14.30
Bid-YTW : 3.63 %
BAM.PR.C Floater 2.37 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-07-13
Maturity Price : 14.26
Evaluated at bid price : 14.26
Bid-YTW : 3.64 %
BAM.PR.B Floater 2.88 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-07-13
Maturity Price : 14.30
Evaluated at bid price : 14.30
Bid-YTW : 3.63 %
Volume Highlights
Issue Index Shares
Traded		 Notes
CM.PR.R FixedReset 150,468 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-07-31
Maturity Price : 25.00
Evaluated at bid price : 25.07
Bid-YTW : 4.48 %
RY.PR.R FixedReset 117,837 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-08-24
Maturity Price : 25.00
Evaluated at bid price : 26.92
Bid-YTW : 3.69 %
TD.PF.C FixedReset 109,792 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-07-13
Maturity Price : 21.41
Evaluated at bid price : 21.75
Bid-YTW : 4.25 %
CU.PR.C FixedReset 108,000 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-07-13
Maturity Price : 21.95
Evaluated at bid price : 22.45
Bid-YTW : 4.31 %
BMO.PR.C FixedReset 92,900 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-05-25
Maturity Price : 25.00
Evaluated at bid price : 25.65
Bid-YTW : 4.28 %
RY.PR.Q FixedReset 64,796 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-05-24
Maturity Price : 25.00
Evaluated at bid price : 26.85
Bid-YTW : 3.66 %
There were 35 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: 24.30 – 24.65
Spot Rate : 0.3500
Average : 0.2392

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-07-13
Maturity Price : 23.11
Evaluated at bid price : 24.30
Bid-YTW : 5.03 %
MFC.PR.H FixedReset Quote: 24.76 – 25.14
Spot Rate : 0.3800
Average : 0.2701

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.76
Bid-YTW : 4.82 %
PVS.PR.B SplitShare Quote: 25.22 – 25.50
Spot Rate : 0.2800
Average : 0.1707

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2019-01-10
Maturity Price : 25.00
Evaluated at bid price : 25.22
Bid-YTW : 4.06 %
NA.PR.W FixedReset Quote: 21.58 – 21.91
Spot Rate : 0.3300
Average : 0.2209

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-07-13
Maturity Price : 21.29
Evaluated at bid price : 21.58
Bid-YTW : 4.30 %
VNR.PR.A FixedReset Quote: 21.91 – 22.31
Spot Rate : 0.4000
Average : 0.2971

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-07-13
Maturity Price : 21.57
Evaluated at bid price : 21.91
Bid-YTW : 4.88 %
HSE.PR.A FixedReset Quote: 16.48 – 16.75
Spot Rate : 0.2700
Average : 0.1809

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-07-13
Maturity Price : 16.48
Evaluated at bid price : 16.48
Bid-YTW : 4.62 %
Market Action

July 12, 2017

The big news of the day was the Canadian policy rate hike, but Yellen’s remarks were also important:

Federal Reserve Chair Janet Yellen said the U.S. economy should continue to expand over the next few years, allowing the central bank to keep raising interest rates, while also stressing a gradual approach to tightening as the Fed monitors too-low inflation.

“Considerable uncertainty always attends the economic outlook,” Yellen said Wednesday in remarks delivered to the U.S House Financial Services Committee. “There is, for example, uncertainty about when — and how much — inflation will respond to tightening resource utilization.”
…
On monetary policy, Yellen didn’t diverge far from the comments she made at a press conference after the June policy meeting. She sounded slightly more cautious on the inflation outlook, while sticking to an expectation for continued rate hikes and maintaining the initiative to begin reducing the Fed’s balance sheet “relatively soon.”

PerpetualDiscounts now yield 5.24%, equivalent to 6.81% interest at the standard equivalency factor of 1.3x. Long corporates now yield a little under 3.85%, so the pre-tax interest-equivalent spread is now 300bp, a slight (and perhaps spurious) widening from the 295bp reported July 12.

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 1.5295 % 2,337.5
FixedFloater 0.00 % 0.00 % 0 0.00 0 1.5295 % 4,289.1
Floater 3.39 % 3.41 % 93,439 18.75 3 1.5295 % 2,471.8
OpRet 0.00 % 0.00 % 0 0.00 0 0.0547 % 3,068.8
SplitShare 4.69 % 4.26 % 57,788 1.44 5 0.0547 % 3,664.8
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0547 % 2,859.4
Perpetual-Premium 5.36 % 4.69 % 70,614 5.90 21 0.0489 % 2,783.0
Perpetual-Discount 5.26 % 5.24 % 89,733 15.10 15 -0.0086 % 2,939.9
FixedReset 4.33 % 4.29 % 182,766 6.42 97 0.2283 % 2,399.5
Deemed-Retractible 5.04 % 5.30 % 115,578 6.17 30 0.0895 % 2,872.5
FloatingReset 2.64 % 3.02 % 47,826 4.30 10 0.4728 % 2,623.1
Performance Highlights
Issue Index Change Notes
MFC.PR.H FixedReset 1.05 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-03-19
Maturity Price : 25.00
Evaluated at bid price : 25.14
Bid-YTW : 4.55 %
BAM.PR.B Floater 1.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-07-12
Maturity Price : 13.90
Evaluated at bid price : 13.90
Bid-YTW : 3.42 %
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 : 19.67
Bid-YTW : 7.00 %
TRP.PR.F FloatingReset 1.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-07-12
Maturity Price : 20.09
Evaluated at bid price : 20.09
Bid-YTW : 3.30 %
TRP.PR.E FixedReset 1.18 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-07-12
Maturity Price : 22.59
Evaluated at bid price : 23.09
Bid-YTW : 4.15 %
BAM.PR.K Floater 1.75 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-07-12
Maturity Price : 13.99
Evaluated at bid price : 13.99
Bid-YTW : 3.40 %
BAM.PR.C Floater 1.75 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-07-12
Maturity Price : 13.93
Evaluated at bid price : 13.93
Bid-YTW : 3.41 %
TRP.PR.C FixedReset 1.91 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-07-12
Maturity Price : 17.06
Evaluated at bid price : 17.06
Bid-YTW : 4.21 %
HSE.PR.A FixedReset 2.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-07-12
Maturity Price : 16.65
Evaluated at bid price : 16.65
Bid-YTW : 4.58 %
PWF.PR.P FixedReset 2.33 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-07-12
Maturity Price : 17.10
Evaluated at bid price : 17.10
Bid-YTW : 4.28 %
TRP.PR.H FloatingReset 3.85 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-07-12
Maturity Price : 15.37
Evaluated at bid price : 15.37
Bid-YTW : 3.27 %
Volume Highlights
Issue Index Shares
Traded		 Notes
CM.PR.R FixedReset 348,960 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-07-31
Maturity Price : 25.00
Evaluated at bid price : 25.14
Bid-YTW : 4.42 %
BMO.PR.D FixedReset 288,726 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-08-25
Maturity Price : 25.00
Evaluated at bid price : 25.02
Bid-YTW : 4.44 %
RY.PR.I FixedReset 157,300 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.74
Bid-YTW : 3.81 %
TRP.PR.A FixedReset 103,575 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-07-12
Maturity Price : 20.11
Evaluated at bid price : 20.11
Bid-YTW : 4.21 %
BAM.PR.K Floater 98,400 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-07-12
Maturity Price : 13.99
Evaluated at bid price : 13.99
Bid-YTW : 3.40 %
CU.PR.C FixedReset 91,600 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-07-12
Maturity Price : 21.99
Evaluated at bid price : 22.52
Bid-YTW : 4.30 %
There were 33 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
TRP.PR.G FixedReset Quote: 24.29 – 24.75
Spot Rate : 0.4600
Average : 0.3090

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-07-12
Maturity Price : 23.05
Evaluated at bid price : 24.29
Bid-YTW : 4.40 %
MFC.PR.M FixedReset Quote: 22.02 – 22.39
Spot Rate : 0.3700
Average : 0.2602

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.02
Bid-YTW : 5.89 %
MFC.PR.F FixedReset Quote: 17.00 – 17.30
Spot Rate : 0.3000
Average : 0.2208

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 17.00
Bid-YTW : 8.31 %
IFC.PR.C FixedReset Quote: 22.56 – 22.80
Spot Rate : 0.2400
Average : 0.1624

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.56
Bid-YTW : 5.28 %
IAG.PR.G FixedReset Quote: 22.95 – 23.23
Spot Rate : 0.2800
Average : 0.2026

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.95
Bid-YTW : 5.33 %
EIT.PR.A SplitShare Quote: 25.69 – 26.20
Spot Rate : 0.5100
Average : 0.4345

YTW SCENARIO
Maturity Type : Soft Maturity
Maturity Date : 2024-03-14
Maturity Price : 25.00
Evaluated at bid price : 25.69
Bid-YTW : 4.41 %
Market Action

July 11, 2017

Solactive, purveyor of the index upon which ZPR is based, is opening a Toronto office:

Award-winning Solactive is delighted to announce three new key appointments to its management team and the establishment of the first overseas office in Toronto, in addition to the main location in Frankfurt. The new hires include Bernd Henseler as Head of Americas, Stephen Chew as Head of Platform Management and Timo Pfeiffer as Head of Research & Business Development.

These additions come at a time of significant growth for the German index engineer. The past year has indeed been marked by the win of multiple awards and the launch of indices in various categories bringing the number of ETFs linked to its indices up to 250. Now Solactive is ready for the next big step as part of its plans of international expansion, starting with a first branch office in Canada.
…
Bernd Henseler has joined Solactive in May 2017 as the Head of Americas with the mandate of overseeing the establishment of the first overseas office in Toronto. This strategic move will allow the company to be closer to its North American customers and easily respond to the growing demand in the region. In this new role, Bernd brings with him many years of experience in the indexing industry as a former Vice President Global Head Channel Management Structured Products at S&P Dow Jones Indices.

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 -0.8426 % 2,302.2
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.8426 % 4,224.5
Floater 3.44 % 3.45 % 86,297 18.65 3 -0.8426 % 2,434.6
OpRet 0.00 % 0.00 % 0 0.00 0 0.0391 % 3,067.1
SplitShare 4.69 % 4.27 % 58,566 1.44 5 0.0391 % 3,662.8
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0391 % 2,857.8
Perpetual-Premium 5.36 % 4.73 % 71,275 2.55 21 -0.0845 % 2,781.7
Perpetual-Discount 5.25 % 5.25 % 92,856 15.09 15 -0.3753 % 2,940.2
FixedReset 4.34 % 4.30 % 184,532 6.42 97 0.2524 % 2,394.0
Deemed-Retractible 5.04 % 5.33 % 117,550 6.17 30 -0.2323 % 2,869.9
FloatingReset 2.66 % 3.04 % 48,583 4.30 10 0.3055 % 2,610.7
Performance Highlights
Issue Index Change Notes
BAM.PR.C Floater -1.51 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-07-11
Maturity Price : 13.69
Evaluated at bid price : 13.69
Bid-YTW : 3.47 %
BAM.PR.X FixedReset 1.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-07-11
Maturity Price : 17.44
Evaluated at bid price : 17.44
Bid-YTW : 4.51 %
HSE.PR.G FixedReset 1.41 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-07-11
Maturity Price : 23.17
Evaluated at bid price : 24.44
Bid-YTW : 4.99 %
TRP.PR.E FixedReset 1.42 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-07-11
Maturity Price : 22.41
Evaluated at bid price : 22.82
Bid-YTW : 4.21 %
TRP.PR.F FloatingReset 1.59 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-07-11
Maturity Price : 19.86
Evaluated at bid price : 19.86
Bid-YTW : 3.34 %
TRP.PR.H FloatingReset 1.65 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-07-11
Maturity Price : 14.80
Evaluated at bid price : 14.80
Bid-YTW : 3.40 %
SLF.PR.H FixedReset 1.66 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.86
Bid-YTW : 5.95 %
TRP.PR.B FixedReset 1.90 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-07-11
Maturity Price : 15.59
Evaluated at bid price : 15.59
Bid-YTW : 4.28 %
TRP.PR.C FixedReset 2.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-07-11
Maturity Price : 16.74
Evaluated at bid price : 16.74
Bid-YTW : 4.29 %
Volume Highlights
Issue Index Shares
Traded		 Notes
CM.PR.R FixedReset 187,338 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-07-31
Maturity Price : 25.00
Evaluated at bid price : 25.09
Bid-YTW : 4.46 %
BAM.PF.G FixedReset 125,770 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-07-11
Maturity Price : 23.03
Evaluated at bid price : 24.11
Bid-YTW : 4.45 %
NA.PR.C FixedReset 99,357 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-11-15
Maturity Price : 25.00
Evaluated at bid price : 25.07
Bid-YTW : 4.49 %
RY.PR.C Deemed-Retractible 89,900 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2017-08-10
Maturity Price : 25.00
Evaluated at bid price : 25.28
Bid-YTW : -1.65 %
RY.PR.B Deemed-Retractible 77,065 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2017-08-10
Maturity Price : 25.00
Evaluated at bid price : 25.33
Bid-YTW : -3.77 %
TRP.PR.D FixedReset 65,090 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-07-11
Maturity Price : 22.19
Evaluated at bid price : 22.51
Bid-YTW : 4.27 %
There were 32 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
EIT.PR.A SplitShare Quote: 25.69 – 26.20
Spot Rate : 0.5100
Average : 0.3518

YTW SCENARIO
Maturity Type : Soft Maturity
Maturity Date : 2024-03-14
Maturity Price : 25.00
Evaluated at bid price : 25.69
Bid-YTW : 4.40 %
BAM.PF.H FixedReset Quote: 26.05 – 26.39
Spot Rate : 0.3400
Average : 0.2151

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2020-12-31
Maturity Price : 25.00
Evaluated at bid price : 26.05
Bid-YTW : 3.77 %
GWO.PR.N FixedReset Quote: 17.15 – 17.48
Spot Rate : 0.3300
Average : 0.2111

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 17.15
Bid-YTW : 8.12 %
GWO.PR.I Deemed-Retractible Quote: 22.00 – 22.34
Spot Rate : 0.3400
Average : 0.2265

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.00
Bid-YTW : 6.60 %
BAM.PR.C Floater Quote: 13.69 – 13.97
Spot Rate : 0.2800
Average : 0.1855

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-07-11
Maturity Price : 13.69
Evaluated at bid price : 13.69
Bid-YTW : 3.47 %
PWF.PR.P FixedReset Quote: 16.71 – 17.05
Spot Rate : 0.3400
Average : 0.2538

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-07-11
Maturity Price : 16.71
Evaluated at bid price : 16.71
Bid-YTW : 4.38 %
Market Action

July 10, 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 0.7519 % 2,321.8
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.7519 % 4,260.4
Floater 3.41 % 3.43 % 86,443 18.71 3 0.7519 % 2,455.3
OpRet 0.00 % 0.00 % 0 0.00 0 -0.1250 % 3,065.9
SplitShare 4.69 % 4.29 % 59,453 1.44 5 -0.1250 % 3,661.3
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.1250 % 2,856.7
Perpetual-Premium 5.36 % 4.50 % 72,374 0.09 21 -0.0713 % 2,784.0
Perpetual-Discount 5.24 % 5.19 % 86,010 15.13 15 -0.3312 % 2,951.3
FixedReset 4.35 % 4.32 % 189,090 6.42 97 0.0018 % 2,388.0
Deemed-Retractible 5.03 % 5.27 % 117,759 6.18 30 -0.2591 % 2,876.6
FloatingReset 2.66 % 3.07 % 48,856 4.31 10 0.2056 % 2,602.8
Performance Highlights
Issue Index Change Notes
CCS.PR.C Deemed-Retractible -2.08 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.50
Bid-YTW : 6.06 %
MFC.PR.H FixedReset -1.04 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.77
Bid-YTW : 4.80 %
TRP.PR.C FixedReset 1.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-07-10
Maturity Price : 16.40
Evaluated at bid price : 16.40
Bid-YTW : 4.38 %
TD.PF.D FixedReset 1.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-07-10
Maturity Price : 22.87
Evaluated at bid price : 23.80
Bid-YTW : 4.30 %
BAM.PF.I FixedReset 1.17 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-03-31
Maturity Price : 25.00
Evaluated at bid price : 26.05
Bid-YTW : 3.87 %
TD.PF.H FixedReset 1.17 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-10-31
Maturity Price : 25.00
Evaluated at bid price : 26.00
Bid-YTW : 3.78 %
SLF.PR.J FloatingReset 1.49 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 16.35
Bid-YTW : 8.42 %
TRP.PR.A FixedReset 1.80 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-07-10
Maturity Price : 19.80
Evaluated at bid price : 19.80
Bid-YTW : 4.28 %
Volume Highlights
Issue Index Shares
Traded		 Notes
RY.PR.C Deemed-Retractible 172,162 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2017-08-09
Maturity Price : 25.00
Evaluated at bid price : 25.26
Bid-YTW : -0.85 %
TRP.PR.C FixedReset 71,678 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-07-10
Maturity Price : 16.40
Evaluated at bid price : 16.40
Bid-YTW : 4.38 %
TRP.PR.B FixedReset 70,200 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-07-10
Maturity Price : 15.30
Evaluated at bid price : 15.30
Bid-YTW : 4.36 %
TRP.PR.A FixedReset 65,411 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-07-10
Maturity Price : 19.80
Evaluated at bid price : 19.80
Bid-YTW : 4.28 %
BAM.PR.C Floater 53,781 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-07-10
Maturity Price : 13.90
Evaluated at bid price : 13.90
Bid-YTW : 3.42 %
BNS.PR.H FixedReset 52,100 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-01-26
Maturity Price : 25.00
Evaluated at bid price : 26.11
Bid-YTW : 3.75 %
There were 19 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
NA.PR.W FixedReset Quote: 21.40 – 21.95
Spot Rate : 0.5500
Average : 0.3321

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-07-10
Maturity Price : 21.40
Evaluated at bid price : 21.40
Bid-YTW : 4.36 %
PWF.PR.E Perpetual-Premium Quote: 25.19 – 25.71
Spot Rate : 0.5200
Average : 0.3094

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2017-08-09
Maturity Price : 25.00
Evaluated at bid price : 25.19
Bid-YTW : -7.43 %
CCS.PR.C Deemed-Retractible Quote: 23.50 – 24.10
Spot Rate : 0.6000
Average : 0.4031

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.50
Bid-YTW : 6.06 %
TRP.PR.H FloatingReset Quote: 14.56 – 15.20
Spot Rate : 0.6400
Average : 0.4864

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-07-10
Maturity Price : 14.56
Evaluated at bid price : 14.56
Bid-YTW : 3.45 %
TRP.PR.D FixedReset Quote: 22.36 – 22.62
Spot Rate : 0.2600
Average : 0.1695

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-07-10
Maturity Price : 21.84
Evaluated at bid price : 22.36
Bid-YTW : 4.28 %
NA.PR.A FixedReset Quote: 26.30 – 26.57
Spot Rate : 0.2700
Average : 0.1801

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-08-15
Maturity Price : 25.00
Evaluated at bid price : 26.30
Bid-YTW : 3.90 %
Market Action

July 7, 2017

Jobs, jobs, jobs!

U.S. hiring picked up in June while wage gains disappointed yet again, a mix that may continue to be a puzzle for the economy and policy makers, Labor Department figures showed Friday.

Highlights of Employment (June)

•Payrolls rose 222k (est. 178k); April-May revisions added 47k jobs
•Unemployment rate, derived from a separate survey of households, rose to 4.4% (est. 4.3%) from 16-year low of 4.3%
•Average hourly earnings rose by 0.2% m/m (est. 0.3% rise); up 2.5% y/y (est. 2.6%)

… but there are worries about wages:

While payrolls grew by more than analysts forecast and the unemployment rate barely ticked up from a 16-year low, worker pay rose a less-than-expected 2.5 percent in June from a year earlier. Separate figures on labor flows showed a record number of people found employment after joining the workforce, helping push up the participation rate.

The entry of so many people is a sign that the labor market is still absorbing slack, supporting the views of both President Donald Trump — who has talked about the need to get millions of Americans into jobs — and Federal Reserve Chair Janet Yellen, who has mentioned the pool of those who could still find work.

That could help explain part of the puzzle of why hiring has shown sustained strength at the same time that worker pay has been relatively weak. One hope is that a tight labor market will eventually result in an acceleration in wages, but with more people getting into the labor force, that threshold may still be some ways away.

and here in the frozen North:

Canada added more than four times the number of jobs economists had expected in June, capping the best quarter since 2010 and solidifying the view the Bank of Canada will raise interest rates at its meeting next week.

The 45,300 gain was the seventh in a row, taking the jobless rate to 6.5 percent from 6.6 percent, Statistics Canada reported Friday from Ottawa. Economists surveyed by Bloomberg projected a 10,000 job increase, with the highest prediction at 21,400, and no change in the unemployment rate.

Faster employment growth adds to evidence of a broadening economic recovery. Bank of Canada Governor Stephen Poloz has touted the improvement in recent weeks and signaled it may be time to raise interest rates from extraordinarily low levels.

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 -0.3866 % 2,304.5
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.3866 % 4,228.6
Floater 3.44 % 3.45 % 80,187 18.66 3 -0.3866 % 2,437.0
OpRet 0.00 % 0.00 % 0 0.00 0 -0.0312 % 3,069.7
SplitShare 4.69 % 4.25 % 60,414 1.45 5 -0.0312 % 3,665.9
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.0312 % 2,860.3
Perpetual-Premium 5.35 % 4.30 % 72,745 0.09 21 -0.0056 % 2,786.0
Perpetual-Discount 5.22 % 5.19 % 85,814 15.19 15 -0.4519 % 2,961.1
FixedReset 4.35 % 4.30 % 190,591 6.43 97 0.1592 % 2,387.9
Deemed-Retractible 5.02 % 5.24 % 116,888 6.19 30 -0.1779 % 2,884.1
FloatingReset 2.65 % 3.03 % 49,272 4.32 10 0.1969 % 2,597.4
Performance Highlights
Issue Index Change Notes
IAG.PR.A Deemed-Retractible -1.44 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.52
Bid-YTW : 6.32 %
BAM.PF.C Perpetual-Discount -1.33 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-07-07
Maturity Price : 21.99
Evaluated at bid price : 22.32
Bid-YTW : 5.46 %
TD.PF.H FixedReset -1.31 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-10-31
Maturity Price : 25.00
Evaluated at bid price : 25.70
Bid-YTW : 4.08 %
BAM.PR.N Perpetual-Discount -1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-07-07
Maturity Price : 21.63
Evaluated at bid price : 21.88
Bid-YTW : 5.46 %
MFC.PR.H FixedReset 1.05 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 25.03
Bid-YTW : 4.61 %
IFC.PR.C FixedReset 1.08 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.50
Bid-YTW : 5.31 %
SLF.PR.G FixedReset 1.17 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 17.31
Bid-YTW : 8.16 %
TRP.PR.B FixedReset 1.27 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-07-07
Maturity Price : 15.20
Evaluated at bid price : 15.20
Bid-YTW : 4.36 %
Volume Highlights
Issue Index Shares
Traded		 Notes
RY.PR.C Deemed-Retractible 149,990 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2017-08-06
Maturity Price : 25.00
Evaluated at bid price : 25.26
Bid-YTW : -1.30 %
BAM.PR.R FixedReset 101,670 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-07-07
Maturity Price : 19.95
Evaluated at bid price : 19.95
Bid-YTW : 4.53 %
BAM.PF.C Perpetual-Discount 94,320 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-07-07
Maturity Price : 21.99
Evaluated at bid price : 22.32
Bid-YTW : 5.46 %
W.PR.M FixedReset 83,700 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-10-15
Maturity Price : 25.00
Evaluated at bid price : 26.06
Bid-YTW : 4.11 %
TRP.PR.A FixedReset 74,600 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-07-07
Maturity Price : 19.45
Evaluated at bid price : 19.45
Bid-YTW : 4.33 %
NA.PR.W FixedReset 71,900 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-07-07
Maturity Price : 21.45
Evaluated at bid price : 21.45
Bid-YTW : 4.33 %
There were 35 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
TRP.PR.A FixedReset Quote: 19.45 – 19.87
Spot Rate : 0.4200
Average : 0.2551

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-07-07
Maturity Price : 19.45
Evaluated at bid price : 19.45
Bid-YTW : 4.33 %
TD.PF.H FixedReset Quote: 25.70 – 26.09
Spot Rate : 0.3900
Average : 0.2293

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-10-31
Maturity Price : 25.00
Evaluated at bid price : 25.70
Bid-YTW : 4.08 %
MFC.PR.L FixedReset Quote: 21.11 – 21.52
Spot Rate : 0.4100
Average : 0.2705

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.11
Bid-YTW : 6.37 %
MFC.PR.I FixedReset Quote: 23.99 – 24.22
Spot Rate : 0.2300
Average : 0.1343

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.99
Bid-YTW : 5.01 %
PWF.PR.T FixedReset Quote: 22.90 – 23.22
Spot Rate : 0.3200
Average : 0.2351

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-07-07
Maturity Price : 22.51
Evaluated at bid price : 22.90
Bid-YTW : 4.17 %
TRP.PR.E FixedReset Quote: 22.55 – 22.75
Spot Rate : 0.2000
Average : 0.1292

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-07-07
Maturity Price : 22.22
Evaluated at bid price : 22.55
Bid-YTW : 4.24 %
Market Action

July 6, 2017

The BoC has a lot of people convinced there will be a hike next week:

In Canada, there is now an 89 per cent probability of a rate hike next week, marking a radical shift from negligible chances of a rate hike just a month ago.

I’ll go along with that … certainly there has been no back-pedalling by the bank as the market has become progressively more sure that This Is It. But the fat lady hasn’t sung yet … if they stand pat, there will be carnage!

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 3.0627 % 2,313.4
FixedFloater 0.00 % 0.00 % 0 0.00 0 3.0627 % 4,245.0
Floater 3.42 % 3.45 % 76,901 18.67 3 3.0627 % 2,446.4
OpRet 0.00 % 0.00 % 0 0.00 0 0.0313 % 3,070.7
SplitShare 4.69 % 4.25 % 61,274 1.45 5 0.0313 % 3,667.1
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0313 % 2,861.2
Perpetual-Premium 5.35 % 3.15 % 71,162 0.09 21 -0.0005 % 2,786.2
Perpetual-Discount 5.19 % 5.17 % 87,176 15.23 15 -0.5615 % 2,974.5
FixedReset 4.36 % 4.30 % 189,127 6.43 97 -0.0957 % 2,384.1
Deemed-Retractible 5.01 % 5.22 % 115,547 6.19 30 -0.1039 % 2,889.2
FloatingReset 2.65 % 3.06 % 50,882 4.32 10 0.0999 % 2,592.3
Performance Highlights
Issue Index Change Notes
HSE.PR.G FixedReset -2.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-07-06
Maturity Price : 22.96
Evaluated at bid price : 23.97
Bid-YTW : 5.09 %
BAM.PF.D Perpetual-Discount -2.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-07-06
Maturity Price : 22.61
Evaluated at bid price : 22.95
Bid-YTW : 5.36 %
BAM.PR.M Perpetual-Discount -1.82 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-07-06
Maturity Price : 21.84
Evaluated at bid price : 22.08
Bid-YTW : 5.40 %
BAM.PR.N Perpetual-Discount -1.73 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-07-06
Maturity Price : 21.87
Evaluated at bid price : 22.11
Bid-YTW : 5.40 %
BAM.PF.C Perpetual-Discount -1.39 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-07-06
Maturity Price : 22.31
Evaluated at bid price : 22.62
Bid-YTW : 5.38 %
NA.PR.W FixedReset -1.18 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-07-06
Maturity Price : 21.30
Evaluated at bid price : 21.30
Bid-YTW : 4.36 %
BAM.PF.I FixedReset -1.15 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-03-31
Maturity Price : 25.00
Evaluated at bid price : 25.75
Bid-YTW : 4.14 %
MFC.PR.L FixedReset -1.12 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.11
Bid-YTW : 6.36 %
TRP.PR.H FloatingReset 1.46 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-07-06
Maturity Price : 14.55
Evaluated at bid price : 14.55
Bid-YTW : 3.42 %
BAM.PR.T FixedReset 1.85 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-07-06
Maturity Price : 20.37
Evaluated at bid price : 20.37
Bid-YTW : 4.54 %
BAM.PR.B Floater 2.68 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-07-06
Maturity Price : 13.77
Evaluated at bid price : 13.77
Bid-YTW : 3.45 %
BAM.PR.C Floater 3.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-07-06
Maturity Price : 13.77
Evaluated at bid price : 13.77
Bid-YTW : 3.45 %
BAM.PR.K Floater 3.44 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-07-06
Maturity Price : 13.85
Evaluated at bid price : 13.85
Bid-YTW : 3.43 %
Volume Highlights
Issue Index Shares
Traded		 Notes
TD.PF.E FixedReset 729,530 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-07-06
Maturity Price : 22.87
Evaluated at bid price : 23.88
Bid-YTW : 4.34 %
CM.PR.R FixedReset 266,887 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-07-31
Maturity Price : 25.00
Evaluated at bid price : 25.11
Bid-YTW : 4.43 %
TD.PF.B FixedReset 167,773 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-07-06
Maturity Price : 21.39
Evaluated at bid price : 21.71
Bid-YTW : 4.26 %
TD.PF.H FixedReset 111,993 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-10-31
Maturity Price : 25.00
Evaluated at bid price : 26.04
Bid-YTW : 3.73 %
RY.PR.H FixedReset 111,280 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-07-06
Maturity Price : 21.59
Evaluated at bid price : 22.00
Bid-YTW : 4.25 %
BAM.PR.Z FixedReset 105,860 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-07-06
Maturity Price : 23.31
Evaluated at bid price : 24.08
Bid-YTW : 4.56 %
TRP.PR.E FixedReset 103,600 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-07-06
Maturity Price : 22.13
Evaluated at bid price : 22.42
Bid-YTW : 4.27 %
There were 17 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
TD.PR.T FloatingReset Quote: 24.40 – 25.33
Spot Rate : 0.9300
Average : 0.5203

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.40
Bid-YTW : 2.71 %
TD.PF.F Perpetual-Premium Quote: 25.06 – 25.39
Spot Rate : 0.3300
Average : 0.2161

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-10-31
Maturity Price : 25.00
Evaluated at bid price : 25.06
Bid-YTW : 4.83 %
BAM.PF.I FixedReset Quote: 25.75 – 26.06
Spot Rate : 0.3100
Average : 0.1975

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-03-31
Maturity Price : 25.00
Evaluated at bid price : 25.75
Bid-YTW : 4.14 %
BAM.PF.F FixedReset Quote: 23.95 – 24.25
Spot Rate : 0.3000
Average : 0.1879

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-07-06
Maturity Price : 23.08
Evaluated at bid price : 23.95
Bid-YTW : 4.48 %
HSE.PR.G FixedReset Quote: 23.97 – 24.47
Spot Rate : 0.5000
Average : 0.3911

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-07-06
Maturity Price : 22.96
Evaluated at bid price : 23.97
Bid-YTW : 5.09 %
EIT.PR.A SplitShare Quote: 25.90 – 26.20
Spot Rate : 0.3000
Average : 0.1916

YTW SCENARIO
Maturity Type : Soft Maturity
Maturity Date : 2024-03-14
Maturity Price : 25.00
Evaluated at bid price : 25.90
Bid-YTW : 4.25 %
Market Action

July 5, 2017

PerpetualDiscounts now yield 5.16%, equivalent to 6.71% interest at the standard equivalency factor of 1.3x. Long corporates now yield about 3.75%, so the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) is now about 295bp, unchanged from the June 28 report.

HIMIPref™ Preferred Indices
These values reflect the December 2008 revision of the HIMIPref™ Indices
Values are provisional and are finalized monthly
Index Mean
Current
Yield
(at bid)		 Median
YTW		 Median
Average
Trading
Value		 Median
Mod Dur
(YTW)		 Issues Day’s Perf. Index Value
Ratchet 0.00 % 0.00 % 0 0.00 0 3.1330 % 2,244.7
FixedFloater 0.00 % 0.00 % 0 0.00 0 3.1330 % 4,118.9
Floater 3.53 % 3.55 % 76,565 18.45 3 3.1330 % 2,373.7
OpRet 0.00 % 0.00 % 0 0.00 0 0.0234 % 3,069.7
SplitShare 4.69 % 4.25 % 56,731 1.46 5 0.0234 % 3,665.9
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0234 % 2,860.3
Perpetual-Premium 5.32 % 3.48 % 71,239 0.09 21 -0.2068 % 2,786.2
Perpetual-Discount 5.15 % 5.16 % 87,953 15.07 15 -0.1407 % 2,991.3
FixedReset 4.34 % 4.30 % 188,260 6.44 97 0.2874 % 2,386.4
Deemed-Retractible 5.00 % 5.13 % 119,465 6.19 30 -0.0437 % 2,892.2
FloatingReset 2.65 % 3.07 % 49,789 4.30 10 0.0046 % 2,589.7
Performance Highlights
Issue Index Change Notes
IAG.PR.A Deemed-Retractible -1.39 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.66
Bid-YTW : 6.21 %
TD.PF.C FixedReset 1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-07-05
Maturity Price : 21.45
Evaluated at bid price : 21.80
Bid-YTW : 4.28 %
MFC.PR.F FixedReset 1.02 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 16.82
Bid-YTW : 8.44 %
MFC.PR.L FixedReset 1.04 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.35
Bid-YTW : 6.18 %
SLF.PR.H FixedReset 1.09 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.47
Bid-YTW : 6.22 %
PWF.PR.P FixedReset 1.21 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-07-05
Maturity Price : 16.70
Evaluated at bid price : 16.70
Bid-YTW : 4.41 %
VNR.PR.A FixedReset 1.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-07-05
Maturity Price : 21.79
Evaluated at bid price : 22.23
Bid-YTW : 4.85 %
HSE.PR.C FixedReset 1.33 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-07-05
Maturity Price : 22.85
Evaluated at bid price : 23.60
Bid-YTW : 4.81 %
HSE.PR.G FixedReset 1.45 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-07-05
Maturity Price : 23.19
Evaluated at bid price : 24.50
Bid-YTW : 4.96 %
MFC.PR.M FixedReset 1.46 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.18
Bid-YTW : 5.75 %
BAM.PR.R FixedReset 1.57 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-07-05
Maturity Price : 20.06
Evaluated at bid price : 20.06
Bid-YTW : 4.50 %
BAM.PR.K Floater 2.76 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-07-05
Maturity Price : 13.39
Evaluated at bid price : 13.39
Bid-YTW : 3.55 %
BAM.PR.B Floater 3.31 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-07-05
Maturity Price : 13.41
Evaluated at bid price : 13.41
Bid-YTW : 3.54 %
BAM.PR.C Floater 3.33 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-07-05
Maturity Price : 13.36
Evaluated at bid price : 13.36
Bid-YTW : 3.55 %
Volume Highlights
Issue Index Shares
Traded		 Notes
CM.PR.R FixedReset 400,779 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-07-31
Maturity Price : 25.00
Evaluated at bid price : 25.07
Bid-YTW : 4.46 %
BMO.PR.D FixedReset 332,505 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-08-25
Maturity Price : 25.00
Evaluated at bid price : 24.98
Bid-YTW : 4.46 %
BAM.PR.C Floater 111,800 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-07-05
Maturity Price : 13.36
Evaluated at bid price : 13.36
Bid-YTW : 3.55 %
RY.PR.M FixedReset 81,800 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-07-05
Maturity Price : 22.55
Evaluated at bid price : 23.27
Bid-YTW : 4.27 %
NA.PR.C FixedReset 68,250 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-11-15
Maturity Price : 25.00
Evaluated at bid price : 24.99
Bid-YTW : 4.54 %
TD.PF.H FixedReset 66,237 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-10-31
Maturity Price : 25.00
Evaluated at bid price : 26.37
Bid-YTW : 3.70 %
There were 28 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
TRP.PR.J FixedReset Quote: 26.90 – 27.40
Spot Rate : 0.5000
Average : 0.2988

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-05-31
Maturity Price : 25.00
Evaluated at bid price : 26.90
Bid-YTW : 3.56 %
BAM.PR.T FixedReset Quote: 20.00 – 20.35
Spot Rate : 0.3500
Average : 0.2467

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-07-05
Maturity Price : 20.00
Evaluated at bid price : 20.00
Bid-YTW : 4.63 %
NA.PR.W FixedReset Quote: 21.80 – 22.00
Spot Rate : 0.2000
Average : 0.1303

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-07-05
Maturity Price : 21.45
Evaluated at bid price : 21.80
Bid-YTW : 4.30 %
MFC.PR.H FixedReset Quote: 24.78 – 25.00
Spot Rate : 0.2200
Average : 0.1573

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.78
Bid-YTW : 4.77 %
PWF.PR.P FixedReset Quote: 16.70 – 17.02
Spot Rate : 0.3200
Average : 0.2577

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-07-05
Maturity Price : 16.70
Evaluated at bid price : 16.70
Bid-YTW : 4.41 %
TRP.PR.H FloatingReset Quote: 14.34 – 14.85
Spot Rate : 0.5100
Average : 0.4505

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-07-05
Maturity Price : 14.34
Evaluated at bid price : 14.34
Bid-YTW : 3.47 %