Category: Market Action

Market Action

March 6, 2017

HIMIPref™ Preferred Indices
These values reflect the December 2008 revision of the HIMIPref™ Indices
Values are provisional and are finalized monthly
Index Mean
Current
Yield
(at bid)		 Median
YTW		 Median
Average
Trading
Value		 Median
Mod Dur
(YTW)		 Issues Day’s Perf. Index Value
Ratchet 0.00 % 0.00 % 0 0.00 0 0.3064 % 2,092.7
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.3064 % 3,839.9
Floater 3.61 % 3.80 % 51,578 17.77 4 0.3064 % 2,213.0
OpRet 0.00 % 0.00 % 0 0.00 0 0.2827 % 3,004.7
SplitShare 4.98 % 3.57 % 63,299 0.75 5 0.2827 % 3,588.2
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.2827 % 2,799.7
Perpetual-Premium 5.36 % 4.70 % 68,820 3.68 20 0.0607 % 2,739.2
Perpetual-Discount 5.16 % 5.22 % 92,444 15.05 18 0.1084 % 2,917.1
FixedReset 4.46 % 4.13 % 227,163 6.73 97 0.1941 % 2,313.1
Deemed-Retractible 5.04 % 0.06 % 135,751 0.14 31 0.0092 % 2,856.2
FloatingReset 2.48 % 3.20 % 51,413 4.63 9 0.0214 % 2,471.1
Performance Highlights
Issue Index Change Notes
HSE.PR.A FixedReset 1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-03-06
Maturity Price : 16.53
Evaluated at bid price : 16.53
Bid-YTW : 4.28 %
BNS.PR.Z FixedReset 1.06 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.94
Bid-YTW : 5.06 %
BAM.PR.R FixedReset 1.17 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-03-06
Maturity Price : 19.10
Evaluated at bid price : 19.10
Bid-YTW : 4.46 %
BAM.PR.K Floater 1.21 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-03-06
Maturity Price : 12.58
Evaluated at bid price : 12.58
Bid-YTW : 3.80 %
TRP.PR.A FixedReset 1.57 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-03-06
Maturity Price : 18.80
Evaluated at bid price : 18.80
Bid-YTW : 4.13 %
BNS.PR.Y FixedReset 1.83 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.31
Bid-YTW : 4.45 %
Volume Highlights
Issue Index Shares
Traded		 Notes
TD.PF.H FixedReset 69,487 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-10-31
Maturity Price : 25.00
Evaluated at bid price : 26.09
Bid-YTW : 3.98 %
BMO.PR.T FixedReset 54,485 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-03-06
Maturity Price : 21.49
Evaluated at bid price : 21.85
Bid-YTW : 3.96 %
BAM.PF.I FixedReset 46,732 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-03-31
Maturity Price : 25.00
Evaluated at bid price : 25.82
Bid-YTW : 4.03 %
BAM.PR.T FixedReset 37,194 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-03-06
Maturity Price : 18.72
Evaluated at bid price : 18.72
Bid-YTW : 4.72 %
FTS.PR.K FixedReset 34,590 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-03-06
Maturity Price : 19.89
Evaluated at bid price : 19.89
Bid-YTW : 4.16 %
MFC.PR.G FixedReset 33,687 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.09
Bid-YTW : 5.14 %
There were 27 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
PVS.PR.E SplitShare Quote: 26.20 – 26.50
Spot Rate : 0.3000
Average : 0.2343

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2017-04-05
Maturity Price : 26.00
Evaluated at bid price : 26.20
Bid-YTW : -4.18 %
NA.PR.X FixedReset Quote: 26.59 – 26.80
Spot Rate : 0.2100
Average : 0.1496

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-05-15
Maturity Price : 25.00
Evaluated at bid price : 26.59
Bid-YTW : 4.04 %
RY.PR.R FixedReset Quote: 27.06 – 27.25
Spot Rate : 0.1900
Average : 0.1311

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-08-24
Maturity Price : 25.00
Evaluated at bid price : 27.06
Bid-YTW : 3.56 %
SLF.PR.J FloatingReset Quote: 15.15 – 15.40
Spot Rate : 0.2500
Average : 0.1923

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 15.15
Bid-YTW : 8.91 %
TRP.PR.E FixedReset Quote: 22.73 – 23.00
Spot Rate : 0.2700
Average : 0.2131

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-03-06
Maturity Price : 22.31
Evaluated at bid price : 22.73
Bid-YTW : 3.98 %
CU.PR.H Perpetual-Premium Quote: 25.52 – 25.80
Spot Rate : 0.2800
Average : 0.2275

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

March 3, 2017

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

Wendy’s plans to install self-ordering kiosks in 1,000 of its stores — about 16 percent of its locations — by the end of the year.
…
[Wendy’s Chief Information Officer David] Trimm said the kiosks accomplish two purposes: They give younger customers an ordering experience that they prefer, and they reduce labor costs.

A typical store would get three kiosks for about $15,000. Trimm estimated the payback on those machines would be less than two years, thanks to labor savings and increased sales. Customers still could order at the counter.
…
“Last year was tough — 5 percent wage inflation,” said Bob Wright, Wendy’s chief operating officer, during his presentation to investors and analysts last week. He added that the company expects wages to rise 4 percent in 2017. “But the real question is what are we doing about it?”

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

HIMIPref™ Preferred Indices
These values reflect the December 2008 revision of the HIMIPref™ Indices
Values are provisional and are finalized monthly
Index Mean
Current
Yield
(at bid)		 Median
YTW		 Median
Average
Trading
Value		 Median
Mod Dur
(YTW)		 Issues Day’s Perf. Index Value
Ratchet 0.00 % 0.00 % 0 0.00 0 -0.5144 % 2,086.3
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.5144 % 3,828.2
Floater 3.62 % 3.81 % 53,161 17.75 4 -0.5144 % 2,206.2
OpRet 0.00 % 0.00 % 0 0.00 0 -0.1333 % 2,996.2
SplitShare 5.00 % 3.88 % 63,357 0.76 5 -0.1333 % 3,578.1
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.1333 % 2,791.8
Perpetual-Premium 5.36 % 4.76 % 68,375 3.68 20 -0.0215 % 2,737.5
Perpetual-Discount 5.17 % 5.22 % 96,113 15.05 18 -0.0589 % 2,913.9
FixedReset 4.47 % 4.10 % 226,942 6.75 97 0.0168 % 2,308.6
Deemed-Retractible 5.04 % -0.31 % 136,076 0.15 31 0.0952 % 2,856.0
FloatingReset 2.49 % 3.21 % 52,367 4.63 9 0.0161 % 2,470.5
Performance Highlights
Issue Index Change Notes
PWF.PR.A Floater -1.67 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-03-03
Maturity Price : 14.75
Evaluated at bid price : 14.75
Bid-YTW : 3.22 %
CCS.PR.C Deemed-Retractible -1.26 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.50
Bid-YTW : 5.93 %
PWF.PR.T FixedReset -1.17 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-03-03
Maturity Price : 21.57
Evaluated at bid price : 21.96
Bid-YTW : 4.03 %
HSE.PR.C FixedReset 1.26 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-03-03
Maturity Price : 22.61
Evaluated at bid price : 23.25
Bid-YTW : 4.62 %
Volume Highlights
Issue Index Shares
Traded		 Notes
TD.PF.A FixedReset 141,581 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-03-03
Maturity Price : 21.55
Evaluated at bid price : 21.94
Bid-YTW : 3.89 %
BIP.PR.D FixedReset 49,262 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-03-03
Maturity Price : 23.16
Evaluated at bid price : 25.00
Bid-YTW : 4.89 %
TRP.PR.B FixedReset 47,895 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-03-03
Maturity Price : 14.42
Evaluated at bid price : 14.42
Bid-YTW : 4.05 %
RY.PR.R FixedReset 45,092 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-08-24
Maturity Price : 25.00
Evaluated at bid price : 27.13
Bid-YTW : 3.49 %
RY.PR.G Deemed-Retractible 38,035 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2017-04-02
Maturity Price : 25.00
Evaluated at bid price : 25.16
Bid-YTW : -2.22 %
NA.PR.A FixedReset 36,602 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-08-15
Maturity Price : 25.00
Evaluated at bid price : 26.50
Bid-YTW : 4.01 %
There were 19 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
PWF.PR.A Floater Quote: 14.75 – 15.15
Spot Rate : 0.4000
Average : 0.2759

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-03-03
Maturity Price : 14.75
Evaluated at bid price : 14.75
Bid-YTW : 3.22 %
W.PR.M FixedReset Quote: 26.10 – 26.30
Spot Rate : 0.2000
Average : 0.1292

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-10-15
Maturity Price : 25.00
Evaluated at bid price : 26.10
Bid-YTW : 4.33 %
TRP.PR.D FixedReset Quote: 22.05 – 22.39
Spot Rate : 0.3400
Average : 0.2694

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-03-03
Maturity Price : 21.63
Evaluated at bid price : 22.05
Bid-YTW : 4.01 %
TRP.PR.B FixedReset Quote: 14.42 – 14.73
Spot Rate : 0.3100
Average : 0.2399

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-03-03
Maturity Price : 14.42
Evaluated at bid price : 14.42
Bid-YTW : 4.05 %
CCS.PR.C Deemed-Retractible Quote: 23.50 – 23.84
Spot Rate : 0.3400
Average : 0.2720

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.50
Bid-YTW : 5.93 %
IAG.PR.A Deemed-Retractible Quote: 22.75 – 22.97
Spot Rate : 0.2200
Average : 0.1675

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

March 2, 2017

HIMIPref™ Preferred Indices
These values reflect the December 2008 revision of the HIMIPref™ Indices
Values are provisional and are finalized monthly
Index Mean
Current
Yield
(at bid)		 Median
YTW		 Median
Average
Trading
Value		 Median
Mod Dur
(YTW)		 Issues Day’s Perf. Index Value
Ratchet 0.00 % 0.00 % 0 0.00 0 0.8260 % 2,097.1
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.8260 % 3,848.0
Floater 3.60 % 3.81 % 55,183 17.75 4 0.8260 % 2,217.6
OpRet 0.00 % 0.00 % 0 0.00 0 -0.0627 % 3,000.2
SplitShare 4.99 % 3.87 % 62,674 0.76 5 -0.0627 % 3,582.9
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.0627 % 2,795.5
Perpetual-Premium 5.36 % 3.47 % 68,966 0.09 20 -0.0919 % 2,738.1
Perpetual-Discount 5.17 % 5.22 % 96,719 15.07 18 0.0400 % 2,915.6
FixedReset 4.47 % 4.08 % 228,317 6.75 97 -0.3298 % 2,308.2
Deemed-Retractible 5.05 % 0.60 % 137,318 0.15 31 -0.0595 % 2,853.2
FloatingReset 2.49 % 3.20 % 51,064 4.64 9 -0.0428 % 2,470.1
Performance Highlights
Issue Index Change Notes
BAM.PF.G FixedReset -1.88 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-03-02
Maturity Price : 22.69
Evaluated at bid price : 23.52
Bid-YTW : 4.29 %
BAM.PR.X FixedReset -1.61 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-03-02
Maturity Price : 15.92
Evaluated at bid price : 15.92
Bid-YTW : 4.66 %
BAM.PF.F FixedReset -1.48 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-03-02
Maturity Price : 22.68
Evaluated at bid price : 23.32
Bid-YTW : 4.34 %
MFC.PR.N FixedReset -1.36 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.75
Bid-YTW : 5.61 %
TRP.PR.C FixedReset -1.31 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-03-02
Maturity Price : 15.85
Evaluated at bid price : 15.85
Bid-YTW : 4.07 %
BAM.PF.E FixedReset -1.29 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-03-02
Maturity Price : 21.89
Evaluated at bid price : 22.20
Bid-YTW : 4.29 %
FTS.PR.H FixedReset -1.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-03-02
Maturity Price : 15.66
Evaluated at bid price : 15.66
Bid-YTW : 4.07 %
MFC.PR.M FixedReset -1.18 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.75
Bid-YTW : 5.68 %
VNR.PR.A FixedReset -1.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-03-02
Maturity Price : 21.07
Evaluated at bid price : 21.07
Bid-YTW : 4.71 %
BAM.PR.T FixedReset -1.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-03-02
Maturity Price : 18.77
Evaluated at bid price : 18.77
Bid-YTW : 4.61 %
BAM.PR.C Floater 1.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-03-02
Maturity Price : 12.50
Evaluated at bid price : 12.50
Bid-YTW : 3.82 %
BAM.PR.B Floater 1.21 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-03-02
Maturity Price : 12.53
Evaluated at bid price : 12.53
Bid-YTW : 3.81 %
BAM.PR.K Floater 1.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-03-02
Maturity Price : 12.46
Evaluated at bid price : 12.46
Bid-YTW : 3.84 %
IFC.PR.A FixedReset 1.71 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.08
Bid-YTW : 7.05 %
Volume Highlights
Issue Index Shares
Traded		 Notes
MFC.PR.R FixedReset 157,125 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-03-19
Maturity Price : 25.00
Evaluated at bid price : 25.55
Bid-YTW : 4.33 %
BMO.PR.B FixedReset 103,692 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-02-25
Maturity Price : 25.00
Evaluated at bid price : 25.95
Bid-YTW : 4.04 %
BIP.PR.D FixedReset 84,031 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-03-02
Maturity Price : 23.17
Evaluated at bid price : 25.03
Bid-YTW : 4.89 %
MFC.PR.H FixedReset 77,512 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.75
Bid-YTW : 4.99 %
BAM.PF.I FixedReset 64,459 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-03-31
Maturity Price : 25.00
Evaluated at bid price : 25.71
Bid-YTW : 4.49 %
MFC.PR.M FixedReset 57,679 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.75
Bid-YTW : 5.68 %
There were 28 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
BIP.PR.C FixedReset Quote: 25.68 – 25.99
Spot Rate : 0.3100
Average : 0.1832

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-09-30
Maturity Price : 25.00
Evaluated at bid price : 25.68
Bid-YTW : 4.61 %
BAM.PF.G FixedReset Quote: 23.52 – 23.79
Spot Rate : 0.2700
Average : 0.1841

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-03-02
Maturity Price : 22.69
Evaluated at bid price : 23.52
Bid-YTW : 4.29 %
TRP.PR.H FloatingReset Quote: 13.14 – 13.50
Spot Rate : 0.3600
Average : 0.2742

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-03-02
Maturity Price : 13.14
Evaluated at bid price : 13.14
Bid-YTW : 3.34 %
SLF.PR.J FloatingReset Quote: 15.15 – 15.45
Spot Rate : 0.3000
Average : 0.2156

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 15.15
Bid-YTW : 8.91 %
PWF.PR.T FixedReset Quote: 22.22 – 22.60
Spot Rate : 0.3800
Average : 0.2984

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-03-02
Maturity Price : 21.74
Evaluated at bid price : 22.22
Bid-YTW : 3.98 %
FTS.PR.H FixedReset Quote: 15.66 – 15.95
Spot Rate : 0.2900
Average : 0.2156

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

March 1, 2017

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

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

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

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

HIMIPref™ Preferred Indices
These values reflect the December 2008 revision of the HIMIPref™ Indices
Values are provisional and are finalized monthly
Index Mean
Current
Yield
(at bid)		 Median
YTW		 Median
Average
Trading
Value		 Median
Mod Dur
(YTW)		 Issues Day’s Perf. Index Value
Ratchet 0.00 % 0.00 % 0 0.00 0 0.8915 % 2,079.9
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.8915 % 3,816.5
Floater 3.63 % 3.86 % 54,881 17.65 4 0.8915 % 2,199.5
OpRet 0.00 % 0.00 % 0 0.00 0 0.1255 % 3,002.1
SplitShare 4.99 % 4.01 % 62,769 0.76 5 0.1255 % 3,585.1
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.1255 % 2,797.3
Perpetual-Premium 5.35 % 4.74 % 68,365 0.81 20 0.0450 % 2,740.6
Perpetual-Discount 5.17 % 5.21 % 98,068 15.07 18 -0.0259 % 2,914.5
FixedReset 4.45 % 4.06 % 229,792 6.76 97 0.3397 % 2,315.9
Deemed-Retractible 5.04 % 0.38 % 132,864 0.09 31 0.0396 % 2,854.9
FloatingReset 2.49 % 3.18 % 51,745 4.64 9 0.0969 % 2,471.2
Performance Highlights
Issue Index Change Notes
IFC.PR.A FixedReset 1.30 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.76
Bid-YTW : 7.30 %
TRP.PR.C FixedReset 1.32 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-03-01
Maturity Price : 16.06
Evaluated at bid price : 16.06
Bid-YTW : 4.02 %
SLF.PR.H FixedReset 1.43 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.55
Bid-YTW : 6.56 %
FTS.PR.H FixedReset 1.47 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-03-01
Maturity Price : 15.85
Evaluated at bid price : 15.85
Bid-YTW : 4.02 %
TRP.PR.E FixedReset 1.60 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-03-01
Maturity Price : 22.40
Evaluated at bid price : 22.87
Bid-YTW : 3.88 %
PWF.PR.A Floater 1.63 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-03-01
Maturity Price : 15.00
Evaluated at bid price : 15.00
Bid-YTW : 3.17 %
TRP.PR.B FixedReset 1.82 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-03-01
Maturity Price : 14.58
Evaluated at bid price : 14.58
Bid-YTW : 4.00 %
HSE.PR.A FixedReset 1.82 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-03-01
Maturity Price : 16.20
Evaluated at bid price : 16.20
Bid-YTW : 4.28 %
BNS.PR.Y FixedReset 1.86 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.91
Bid-YTW : 4.81 %
TRP.PR.D FixedReset 2.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-03-01
Maturity Price : 21.70
Evaluated at bid price : 22.15
Bid-YTW : 3.98 %
Volume Highlights
Issue Index Shares
Traded		 Notes
MFC.PR.R FixedReset 240,155 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-03-19
Maturity Price : 25.00
Evaluated at bid price : 25.60
Bid-YTW : 4.29 %
RY.PR.Q FixedReset 109,194 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-05-24
Maturity Price : 25.00
Evaluated at bid price : 27.01
Bid-YTW : 3.48 %
PVS.PR.C SplitShare 108,628 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2017-12-10
Maturity Price : 25.00
Evaluated at bid price : 25.14
Bid-YTW : 4.01 %
BIP.PR.A FixedReset 65,400 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-03-01
Maturity Price : 22.15
Evaluated at bid price : 22.60
Bid-YTW : 5.09 %
BIP.PR.D FixedReset 59,838 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-03-01
Maturity Price : 23.16
Evaluated at bid price : 25.01
Bid-YTW : 4.89 %
NA.PR.A FixedReset 55,983 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-08-15
Maturity Price : 25.00
Evaluated at bid price : 26.52
Bid-YTW : 3.98 %
There were 38 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
BAM.PF.H FixedReset Quote: 26.45 – 26.74
Spot Rate : 0.2900
Average : 0.1908

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2020-12-31
Maturity Price : 25.00
Evaluated at bid price : 26.45
Bid-YTW : 3.62 %
GWO.PR.N FixedReset Quote: 15.08 – 15.44
Spot Rate : 0.3600
Average : 0.2759

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 15.08
Bid-YTW : 9.51 %
W.PR.K FixedReset Quote: 26.10 – 26.41
Spot Rate : 0.3100
Average : 0.2349

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-01-15
Maturity Price : 25.00
Evaluated at bid price : 26.10
Bid-YTW : 4.22 %
FTS.PR.F Perpetual-Discount Quote: 23.57 – 23.90
Spot Rate : 0.3300
Average : 0.2569

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-03-01
Maturity Price : 23.27
Evaluated at bid price : 23.57
Bid-YTW : 5.21 %
TD.PR.S FixedReset Quote: 24.65 – 24.85
Spot Rate : 0.2000
Average : 0.1332

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.65
Bid-YTW : 3.28 %
TRP.PR.A FixedReset Quote: 18.30 – 18.57
Spot Rate : 0.2700
Average : 0.2037

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

February 28, 2017

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

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

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

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

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

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

And that’s a wrap for another month!

HIMIPref™ Preferred Indices
These values reflect the December 2008 revision of the HIMIPref™ Indices
Values are provisional and are finalized monthly
Index Mean
Current
Yield
(at bid)		 Median
YTW		 Median
Average
Trading
Value		 Median
Mod Dur
(YTW)		 Issues Day’s Perf. Index Value
Ratchet 0.00 % 0.00 % 0 0.00 0 0.1358 % 2,061.5
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.1358 % 3,782.8
Floater 3.66 % 3.88 % 56,604 17.61 4 0.1358 % 2,180.0
OpRet 0.00 % 0.00 % 0 0.00 0 0.0393 % 2,998.3
SplitShare 4.72 % 4.00 % 58,115 0.76 4 0.0393 % 3,580.7
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0393 % 2,793.8
Perpetual-Premium 5.41 % -5.58 % 68,425 0.09 16 0.0219 % 2,739.4
Perpetual-Discount 5.16 % 5.18 % 99,425 15.07 22 0.0762 % 2,915.2
FixedReset 4.47 % 4.10 % 229,897 6.76 97 -0.9043 % 2,308.0
Deemed-Retractible 5.01 % 0.70 % 134,063 0.16 31 -0.0181 % 2,853.8
FloatingReset 2.49 % 3.16 % 50,990 4.64 9 0.1554 % 2,468.8
Performance Highlights
Issue Index Change Notes
BNS.PR.Y FixedReset -3.11 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.51
Bid-YTW : 5.21 %
FTS.PR.M FixedReset -2.68 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-02-28
Maturity Price : 21.87
Evaluated at bid price : 22.13
Bid-YTW : 4.12 %
FTS.PR.K FixedReset -2.32 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-02-28
Maturity Price : 19.76
Evaluated at bid price : 19.76
Bid-YTW : 4.10 %
SLF.PR.H FixedReset -2.31 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.45
Bid-YTW : 6.77 %
FTS.PR.G FixedReset -2.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-02-28
Maturity Price : 20.02
Evaluated at bid price : 20.02
Bid-YTW : 4.10 %
MFC.PR.K FixedReset -1.96 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.00
Bid-YTW : 5.97 %
BNS.PR.Z FixedReset -1.94 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.73
Bid-YTW : 5.24 %
BAM.PR.R FixedReset -1.91 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-02-28
Maturity Price : 18.99
Evaluated at bid price : 18.99
Bid-YTW : 4.41 %
MFC.PR.F FixedReset -1.89 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 15.04
Bid-YTW : 9.60 %
BAM.PF.B FixedReset -1.88 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-02-28
Maturity Price : 21.53
Evaluated at bid price : 21.91
Bid-YTW : 4.35 %
TRP.PR.E FixedReset -1.87 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-02-28
Maturity Price : 22.16
Evaluated at bid price : 22.51
Bid-YTW : 3.95 %
BMO.PR.Q FixedReset -1.85 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.17
Bid-YTW : 5.45 %
SLF.PR.I FixedReset -1.83 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.03
Bid-YTW : 5.15 %
MFC.PR.J FixedReset -1.83 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.52
Bid-YTW : 5.28 %
TRP.PR.D FixedReset -1.77 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-02-28
Maturity Price : 21.38
Evaluated at bid price : 21.70
Bid-YTW : 4.08 %
MFC.PR.G FixedReset -1.70 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.16
Bid-YTW : 5.06 %
TRP.PR.C FixedReset -1.67 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-02-28
Maturity Price : 15.85
Evaluated at bid price : 15.85
Bid-YTW : 4.07 %
TRP.PR.G FixedReset -1.62 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-02-28
Maturity Price : 22.37
Evaluated at bid price : 23.02
Bid-YTW : 4.32 %
BAM.PF.A FixedReset -1.61 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-02-28
Maturity Price : 22.85
Evaluated at bid price : 23.26
Bid-YTW : 4.37 %
BAM.PR.X FixedReset -1.59 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-02-28
Maturity Price : 16.10
Evaluated at bid price : 16.10
Bid-YTW : 4.61 %
MFC.PR.L FixedReset -1.55 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.95
Bid-YTW : 6.05 %
BMO.PR.Y FixedReset -1.48 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-02-28
Maturity Price : 22.87
Evaluated at bid price : 23.92
Bid-YTW : 3.92 %
MFC.PR.O FixedReset -1.48 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-06-19
Maturity Price : 25.00
Evaluated at bid price : 26.60
Bid-YTW : 3.92 %
MFC.PR.I FixedReset -1.46 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.87
Bid-YTW : 5.30 %
PWF.PR.T FixedReset -1.46 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-02-28
Maturity Price : 21.81
Evaluated at bid price : 22.32
Bid-YTW : 3.95 %
NA.PR.W FixedReset -1.42 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-02-28
Maturity Price : 21.27
Evaluated at bid price : 21.55
Bid-YTW : 3.98 %
NA.PR.S FixedReset -1.41 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-02-28
Maturity Price : 22.06
Evaluated at bid price : 22.31
Bid-YTW : 4.00 %
TRP.PR.B FixedReset -1.38 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-02-28
Maturity Price : 14.32
Evaluated at bid price : 14.32
Bid-YTW : 4.07 %
BAM.PR.T FixedReset -1.35 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-02-28
Maturity Price : 18.99
Evaluated at bid price : 18.99
Bid-YTW : 4.55 %
BAM.PF.F FixedReset -1.34 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-02-28
Maturity Price : 22.82
Evaluated at bid price : 23.56
Bid-YTW : 4.29 %
IFC.PR.A FixedReset -1.28 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.52
Bid-YTW : 7.49 %
MFC.PR.H FixedReset -1.25 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.62
Bid-YTW : 5.07 %
HSE.PR.E FixedReset -1.24 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-02-28
Maturity Price : 22.87
Evaluated at bid price : 23.80
Bid-YTW : 4.89 %
BIP.PR.A FixedReset -1.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-02-28
Maturity Price : 22.23
Evaluated at bid price : 22.72
Bid-YTW : 5.06 %
BNS.PR.Q FixedReset -1.21 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.40
Bid-YTW : 3.69 %
FTS.PR.H FixedReset -1.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-02-28
Maturity Price : 15.62
Evaluated at bid price : 15.62
Bid-YTW : 4.07 %
TRP.PR.A FixedReset -1.19 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-02-28
Maturity Price : 18.29
Evaluated at bid price : 18.29
Bid-YTW : 4.16 %
BMO.PR.S FixedReset -1.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-02-28
Maturity Price : 21.99
Evaluated at bid price : 22.22
Bid-YTW : 3.92 %
CU.PR.I FixedReset -1.15 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2020-12-01
Maturity Price : 25.00
Evaluated at bid price : 26.60
Bid-YTW : 2.70 %
CM.PR.Q FixedReset -1.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-02-28
Maturity Price : 22.69
Evaluated at bid price : 23.54
Bid-YTW : 4.04 %
HSE.PR.A FixedReset -1.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-02-28
Maturity Price : 15.91
Evaluated at bid price : 15.91
Bid-YTW : 4.35 %
RY.PR.J FixedReset -1.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-02-28
Maturity Price : 22.48
Evaluated at bid price : 23.11
Bid-YTW : 4.08 %
TRP.PR.F FloatingReset 1.38 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-02-28
Maturity Price : 17.64
Evaluated at bid price : 17.64
Bid-YTW : 3.39 %
TRP.PR.H FloatingReset 1.87 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-02-28
Maturity Price : 13.06
Evaluated at bid price : 13.06
Bid-YTW : 3.36 %
Volume Highlights
Issue Index Shares
Traded		 Notes
BMO.PR.B FixedReset 154,321 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-02-25
Maturity Price : 25.00
Evaluated at bid price : 25.99
Bid-YTW : 4.00 %
BAM.PR.T FixedReset 66,130 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-02-28
Maturity Price : 18.99
Evaluated at bid price : 18.99
Bid-YTW : 4.55 %
TD.PF.H FixedReset 63,823 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-10-31
Maturity Price : 25.00
Evaluated at bid price : 25.94
Bid-YTW : 4.10 %
BMO.PR.S FixedReset 58,341 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-02-28
Maturity Price : 21.99
Evaluated at bid price : 22.22
Bid-YTW : 3.92 %
TRP.PR.K FixedReset 41,317 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-05-31
Maturity Price : 25.00
Evaluated at bid price : 25.75
Bid-YTW : 4.29 %
FTS.PR.M FixedReset 39,424 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-02-28
Maturity Price : 21.87
Evaluated at bid price : 22.13
Bid-YTW : 4.12 %
There were 35 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
BNS.PR.Y FixedReset Quote: 21.51 – 21.97
Spot Rate : 0.4600
Average : 0.2961

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.51
Bid-YTW : 5.21 %
SLF.PR.H FixedReset Quote: 19.45 – 19.73
Spot Rate : 0.2800
Average : 0.1725

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.45
Bid-YTW : 6.77 %
MFC.PR.K FixedReset Quote: 21.00 – 21.28
Spot Rate : 0.2800
Average : 0.1776

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.00
Bid-YTW : 5.97 %
BAM.PR.T FixedReset Quote: 18.99 – 19.22
Spot Rate : 0.2300
Average : 0.1498

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-02-28
Maturity Price : 18.99
Evaluated at bid price : 18.99
Bid-YTW : 4.55 %
HSE.PR.E FixedReset Quote: 23.80 – 24.14
Spot Rate : 0.3400
Average : 0.2602

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-02-28
Maturity Price : 22.87
Evaluated at bid price : 23.80
Bid-YTW : 4.89 %
BMO.PR.R FloatingReset Quote: 23.81 – 24.05
Spot Rate : 0.2400
Average : 0.1625

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

February 27, 2017

HIMIPref™ Preferred Indices
These values reflect the December 2008 revision of the HIMIPref™ Indices
Values are provisional and are finalized monthly
Index Mean
Current
Yield
(at bid)		 Median
YTW		 Median
Average
Trading
Value		 Median
Mod Dur
(YTW)		 Issues Day’s Perf. Index Value
Ratchet 0.00 % 0.00 % 0 0.00 0 -0.5404 % 2,058.7
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.5404 % 3,777.6
Floater 3.67 % 3.90 % 56,412 17.57 4 -0.5404 % 2,177.1
OpRet 0.00 % 0.00 % 0 0.00 0 0.0393 % 2,997.2
SplitShare 4.72 % 4.11 % 58,093 0.77 4 0.0393 % 3,579.2
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0393 % 2,792.7
Perpetual-Premium 5.41 % -5.66 % 68,384 0.09 16 -0.1314 % 2,738.8
Perpetual-Discount 5.16 % 5.17 % 99,513 15.03 22 -0.2186 % 2,913.0
FixedReset 4.43 % 4.02 % 228,548 6.77 97 -0.1309 % 2,329.1
Deemed-Retractible 5.01 % 0.54 % 133,783 0.16 31 0.0920 % 2,854.3
FloatingReset 2.49 % 3.11 % 50,845 4.65 9 -0.5171 % 2,465.0
Performance Highlights
Issue Index Change Notes
TRP.PR.H FloatingReset -2.66 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-02-27
Maturity Price : 12.82
Evaluated at bid price : 12.82
Bid-YTW : 3.42 %
BNS.PR.Y FixedReset -1.46 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.20
Bid-YTW : 4.51 %
BAM.PR.B Floater -1.37 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-02-27
Maturity Price : 12.21
Evaluated at bid price : 12.21
Bid-YTW : 3.91 %
IFC.PR.C FixedReset -1.23 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.70
Bid-YTW : 5.70 %
TRP.PR.B FixedReset -1.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-02-27
Maturity Price : 14.52
Evaluated at bid price : 14.52
Bid-YTW : 4.02 %
BAM.PR.C Floater -1.21 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-02-27
Maturity Price : 12.25
Evaluated at bid price : 12.25
Bid-YTW : 3.90 %
MFC.PR.F FixedReset -1.10 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 15.33
Bid-YTW : 9.32 %
SLF.PR.G FixedReset -1.04 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 16.24
Bid-YTW : 8.69 %
GWO.PR.S Deemed-Retractible 2.87 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 25.41
Bid-YTW : 5.16 %
Volume Highlights
Issue Index Shares
Traded		 Notes
BIP.PR.D FixedReset 60,456 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-02-27
Maturity Price : 23.17
Evaluated at bid price : 25.05
Bid-YTW : 4.88 %
BAM.PF.I FixedReset 53,291 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-03-31
Maturity Price : 25.00
Evaluated at bid price : 25.78
Bid-YTW : 4.42 %
BIP.PR.B FixedReset 38,716 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2020-12-31
Maturity Price : 25.00
Evaluated at bid price : 25.80
Bid-YTW : 4.47 %
RY.PR.C Deemed-Retractible 29,500 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2017-03-29
Maturity Price : 25.00
Evaluated at bid price : 25.24
Bid-YTW : -6.48 %
BNS.PR.O Deemed-Retractible 24,500 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2017-04-26
Maturity Price : 25.00
Evaluated at bid price : 25.31
Bid-YTW : 0.30 %
TD.PF.A FixedReset 22,200 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-02-27
Maturity Price : 21.63
Evaluated at bid price : 22.05
Bid-YTW : 3.86 %
There were 18 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
SLF.PR.G FixedReset Quote: 16.24 – 16.53
Spot Rate : 0.2900
Average : 0.1831

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 16.24
Bid-YTW : 8.69 %
ELF.PR.F Perpetual-Discount Quote: 24.31 – 24.64
Spot Rate : 0.3300
Average : 0.2304

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-02-27
Maturity Price : 24.06
Evaluated at bid price : 24.31
Bid-YTW : 5.52 %
IAG.PR.G FixedReset Quote: 23.15 – 23.39
Spot Rate : 0.2400
Average : 0.1505

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.15
Bid-YTW : 5.06 %
RY.PR.P Perpetual-Premium Quote: 25.90 – 26.15
Spot Rate : 0.2500
Average : 0.1810

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-02-24
Maturity Price : 25.00
Evaluated at bid price : 25.90
Bid-YTW : 4.74 %
ELF.PR.H Perpetual-Discount Quote: 25.05 – 25.25
Spot Rate : 0.2000
Average : 0.1338

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-02-27
Maturity Price : 24.76
Evaluated at bid price : 25.05
Bid-YTW : 5.55 %
BMO.PR.Q FixedReset Quote: 21.57 – 21.91
Spot Rate : 0.3400
Average : 0.2746

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

February 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 -0.3079 % 2,069.9
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.3079 % 3,798.2
Floater 3.65 % 3.85 % 55,025 17.68 4 -0.3079 % 2,188.9
OpRet 0.00 % 0.00 % 0 0.00 0 0.1083 % 2,996.0
SplitShare 4.72 % 4.05 % 60,123 0.77 4 0.1083 % 3,577.8
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.1083 % 2,791.6
Perpetual-Premium 5.41 % -4.95 % 70,726 0.09 16 0.1316 % 2,742.4
Perpetual-Discount 5.15 % 5.14 % 99,749 15.06 22 0.0971 % 2,919.4
FixedReset 4.42 % 4.03 % 237,065 6.77 97 -0.1541 % 2,332.1
Deemed-Retractible 5.02 % 1.01 % 133,638 0.10 31 -0.1734 % 2,851.7
FloatingReset 2.48 % 3.12 % 51,422 4.65 9 0.1171 % 2,477.8
Performance Highlights
Issue Index Change Notes
GWO.PR.S Deemed-Retractible -3.70 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.70
Bid-YTW : 5.60 %
IFC.PR.A FixedReset -1.83 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.75
Bid-YTW : 7.32 %
GWO.PR.N FixedReset -1.41 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 15.40
Bid-YTW : 9.32 %
PWF.PR.A Floater -1.40 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-02-24
Maturity Price : 14.76
Evaluated at bid price : 14.76
Bid-YTW : 3.22 %
BNS.PR.Z FixedReset -1.15 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.34
Bid-YTW : 4.62 %
BAM.PR.X FixedReset -1.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-02-24
Maturity Price : 16.37
Evaluated at bid price : 16.37
Bid-YTW : 4.56 %
TRP.PR.H FloatingReset -1.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-02-24
Maturity Price : 13.17
Evaluated at bid price : 13.17
Bid-YTW : 3.33 %
SLF.PR.G FixedReset -1.03 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 16.41
Bid-YTW : 8.54 %
TRP.PR.A FixedReset 1.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-02-24
Maturity Price : 18.66
Evaluated at bid price : 18.66
Bid-YTW : 4.10 %
TRP.PR.F FloatingReset 1.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-02-24
Maturity Price : 17.55
Evaluated at bid price : 17.55
Bid-YTW : 3.41 %
BIP.PR.B FixedReset 1.25 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2020-12-31
Maturity Price : 25.00
Evaluated at bid price : 25.88
Bid-YTW : 4.37 %
Volume Highlights
Issue Index Shares
Traded		 Notes
TRP.PR.K FixedReset 134,415 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-05-31
Maturity Price : 25.00
Evaluated at bid price : 25.80
Bid-YTW : 4.24 %
BIP.PR.C FixedReset 88,896 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-09-30
Maturity Price : 25.00
Evaluated at bid price : 25.57
Bid-YTW : 4.70 %
NA.PR.W FixedReset 72,079 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-02-24
Maturity Price : 21.52
Evaluated at bid price : 21.90
Bid-YTW : 3.92 %
BIP.PR.D FixedReset 62,857 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-02-24
Maturity Price : 23.16
Evaluated at bid price : 25.00
Bid-YTW : 4.89 %
TD.PF.C FixedReset 47,763 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-02-24
Maturity Price : 21.45
Evaluated at bid price : 21.80
Bid-YTW : 3.93 %
SLF.PR.H FixedReset 46,500 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.95
Bid-YTW : 6.39 %
There were 35 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
GWO.PR.S Deemed-Retractible Quote: 24.70 – 25.80
Spot Rate : 1.1000
Average : 0.6269

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.70
Bid-YTW : 5.60 %
IFC.PR.A FixedReset Quote: 18.75 – 19.12
Spot Rate : 0.3700
Average : 0.2708

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.75
Bid-YTW : 7.32 %
BMO.PR.Q FixedReset Quote: 21.76 – 22.06
Spot Rate : 0.3000
Average : 0.2030

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.76
Bid-YTW : 4.84 %
BMO.PR.B FixedReset Quote: 25.87 – 26.10
Spot Rate : 0.2300
Average : 0.1416

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-02-25
Maturity Price : 25.00
Evaluated at bid price : 25.87
Bid-YTW : 4.10 %
TRP.PR.B FixedReset Quote: 14.70 – 14.98
Spot Rate : 0.2800
Average : 0.1935

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-02-24
Maturity Price : 14.70
Evaluated at bid price : 14.70
Bid-YTW : 4.00 %
SLF.PR.D Deemed-Retractible Quote: 22.46 – 22.70
Spot Rate : 0.2400
Average : 0.1595

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.46
Bid-YTW : 6.24 %
Market Action

February 23, 2017

Assiduous Reader Adrian2 sends me a link to a discussion of drones in Engineering school:

Among the biggest adopters of drones, and experimenters with them, have been universities. As the director of the University of California system’s Center of Excellence on Unmanned Aircraft System Safety – effectively the drone headquarters of our whole 10-campus system – I have an excellent view of the drone industry’s past, present and future.
…
Some introductory engineering classes involve students building and flying drones; more advanced students learn about flight dynamics and algorithms that help drones stay aloft.

In recent years, though, our engineering departments are focusing less on building the aircraft and more on improving safety, navigation and ability to carry equipment that allows drones to help with different tasks.

For example, researchers are developing navigation systems that don’t rely on GPS satellites. This could help allow drones to navigate autonomously inside buildings, in deep canyons, underground or other places where GPS signals are unavailable or unreliable.
…
Another research group is working on ways for drones to help detect gas leaks from oil pipelines. With millions of miles of pipelines across the country, that is a monumental task. Attaching methane-sniffing sensors to drones could make it much easier: Autonomous drones could fly the routes of every pipeline nearly constantly, registering the location and volume of leaks, and alerting repair and cleanup crews.
…
For example, drones with special thermal cameras are allowing researchers to investigate water consumption rates of several varieties of crops in the Sacramento-San Joaquin Delta. The drones’ data collection is so detailed that the scholars can count individual melons, allowing much better estimates of crop yield.
…
For instance, when monitoring giant sequoias, a team of five to seven people would have to map the area, which would take about a week. A drone flight has been able to replace that work with a two-minute flight. That makes it easier to track how the trees are growing and responding to changes in their environment.

There will be some Assiduous Readers, of course, who hate drones and hate it when I talk about them. For you guys, I recommend Siberian Tigers.

I remember once trying to find a chart showing the federal deficit during the nineties, to buttress a point I was making on social media. I couldn’t find one … so in memory of that wasted hour, here’s a federal deficit chart from Bloomberg:

federaldeficit
Click for Big
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 0.5611 % 2,076.3
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.5611 % 3,809.9
Floater 3.64 % 3.87 % 55,463 17.65 4 0.5611 % 2,195.7
OpRet 0.00 % 0.00 % 0 0.00 0 0.1775 % 2,992.7
SplitShare 4.72 % 4.08 % 62,448 0.78 4 0.1775 % 3,574.0
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.1775 % 2,788.6
Perpetual-Premium 5.41 % -6.50 % 73,431 0.09 16 0.0976 % 2,738.8
Perpetual-Discount 5.16 % 5.14 % 99,235 15.06 22 0.2480 % 2,916.6
FixedReset 4.41 % 4.02 % 231,790 6.78 97 0.1947 % 2,335.7
Deemed-Retractible 5.01 % 0.84 % 135,448 0.10 31 0.3316 % 2,856.7
FloatingReset 2.48 % 3.10 % 51,386 4.66 9 0.2886 % 2,474.9
Performance Highlights
Issue Index Change Notes
CU.PR.C FixedReset -1.30 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-02-23
Maturity Price : 21.60
Evaluated at bid price : 21.96
Bid-YTW : 3.99 %
PWF.PR.P FixedReset -1.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-02-23
Maturity Price : 15.56
Evaluated at bid price : 15.56
Bid-YTW : 4.26 %
TRP.PR.G FixedReset -1.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-02-23
Maturity Price : 22.62
Evaluated at bid price : 23.46
Bid-YTW : 4.24 %
TRP.PR.D FixedReset 1.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-02-23
Maturity Price : 21.54
Evaluated at bid price : 21.92
Bid-YTW : 4.05 %
SLF.PR.D Deemed-Retractible 1.03 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.63
Bid-YTW : 6.11 %
MFC.PR.N FixedReset 1.13 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.37
Bid-YTW : 5.19 %
MFC.PR.B Deemed-Retractible 1.17 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.28
Bid-YTW : 5.72 %
TRP.PR.E FixedReset 1.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-02-23
Maturity Price : 22.36
Evaluated at bid price : 22.82
Bid-YTW : 3.91 %
MFC.PR.M FixedReset 1.23 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.30
Bid-YTW : 5.30 %
TRP.PR.B FixedReset 1.30 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-02-23
Maturity Price : 14.84
Evaluated at bid price : 14.84
Bid-YTW : 4.01 %
BMO.PR.S FixedReset 1.31 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-02-23
Maturity Price : 22.16
Evaluated at bid price : 22.45
Bid-YTW : 3.90 %
BMO.PR.T FixedReset 1.34 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-02-23
Maturity Price : 21.58
Evaluated at bid price : 21.99
Bid-YTW : 3.87 %
MFC.PR.C Deemed-Retractible 1.40 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.50
Bid-YTW : 6.09 %
SLF.PR.C Deemed-Retractible 1.53 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.56
Bid-YTW : 6.16 %
TRP.PR.H FloatingReset 1.74 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-02-23
Maturity Price : 13.43
Evaluated at bid price : 13.43
Bid-YTW : 3.31 %
BMO.PR.Y FixedReset 1.86 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-02-23
Maturity Price : 22.98
Evaluated at bid price : 24.15
Bid-YTW : 3.88 %
IFC.PR.A FixedReset 1.92 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.10
Bid-YTW : 7.03 %
TRP.PR.C FixedReset 1.96 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-02-23
Maturity Price : 16.16
Evaluated at bid price : 16.16
Bid-YTW : 4.02 %
Volume Highlights
Issue Index Shares
Traded		 Notes
MFC.PR.I FixedReset 182,362 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.16
Bid-YTW : 5.11 %
BNS.PR.G FixedReset 153,700 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-07-25
Maturity Price : 25.00
Evaluated at bid price : 26.99
Bid-YTW : 3.66 %
MFC.PR.R FixedReset 150,510 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-03-19
Maturity Price : 25.00
Evaluated at bid price : 25.60
Bid-YTW : 4.27 %
BAM.PR.T FixedReset 143,975 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-02-23
Maturity Price : 19.47
Evaluated at bid price : 19.47
Bid-YTW : 4.46 %
TRP.PR.K FixedReset 106,005 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-05-31
Maturity Price : 25.00
Evaluated at bid price : 25.81
Bid-YTW : 4.23 %
MFC.PR.H FixedReset 85,278 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.98
Bid-YTW : 4.85 %
There were 38 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
MFC.PR.F FixedReset Quote: 15.42 – 15.75
Spot Rate : 0.3300
Average : 0.1966

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 15.42
Bid-YTW : 9.23 %
CU.PR.C FixedReset Quote: 21.96 – 22.32
Spot Rate : 0.3600
Average : 0.2350

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-02-23
Maturity Price : 21.60
Evaluated at bid price : 21.96
Bid-YTW : 3.99 %
PWF.PR.P FixedReset Quote: 15.56 – 15.84
Spot Rate : 0.2800
Average : 0.1730

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-02-23
Maturity Price : 15.56
Evaluated at bid price : 15.56
Bid-YTW : 4.26 %
RY.PR.Z FixedReset Quote: 21.94 – 22.24
Spot Rate : 0.3000
Average : 0.1999

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-02-23
Maturity Price : 21.55
Evaluated at bid price : 21.94
Bid-YTW : 3.86 %
SLF.PR.I FixedReset Quote: 23.60 – 23.88
Spot Rate : 0.2800
Average : 0.1898

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.60
Bid-YTW : 4.78 %
TD.PF.E FixedReset Quote: 24.39 – 24.59
Spot Rate : 0.2000
Average : 0.1254

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-02-23
Maturity Price : 23.06
Evaluated at bid price : 24.39
Bid-YTW : 3.96 %
Market Action

February 21, 2017

You know, if Trump can put a dent in supply management, I’ll forgive him one of his lies:

While growers and exporters of U.S. crops and food products have expressed anxiety over Trump’s restrictive immigration policies and determination to renegotiate trade deals, dairies see him as an opportunity to crack what they see as Canada’s protectionist milk practices and to help ease oversupply in some regions.

A key battleground is the little known market for ultrafiltered milk, a concentrated ingredient used to boost protein content in cheese and yogurt. Canada is creating incentives for processors to buy from domestic manufacturers. U.S. producers say that could be a disaster, and they allege the new policy would violate trade agreements. Companies in Wisconsin and New York alone might lose $150 million in sales north of the border.

The Globe republished a housing affordability index from Fitch:

houseaffordability_170221
Click for Big

I have problems with this kind of graph: it looks at the income per capita for the whole population, instead of just the upper two-thirds who have historically been the owners among us. While I am sure that Price to Income ratio will still increase once the “income” is defined according to the upper two thirds, I am also sure – given rising income inequality – that the increase will be less dramatic.

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 0.4699 % 2,049.9
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.4699 % 3,761.5
Floater 3.68 % 3.91 % 55,639 17.56 4 0.4699 % 2,167.8
OpRet 0.00 % 0.00 % 0 0.00 0 0.0888 % 2,986.8
SplitShare 4.73 % 4.12 % 59,314 0.78 4 0.0888 % 3,566.9
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0888 % 2,783.1
Perpetual-Premium 5.41 % -9.13 % 74,238 0.09 16 0.1856 % 2,738.4
Perpetual-Discount 5.17 % 5.16 % 101,171 15.02 22 -0.0191 % 2,907.0
FixedReset 4.44 % 4.10 % 232,062 6.79 97 0.8960 % 2,321.5
Deemed-Retractible 5.03 % 3.49 % 125,871 0.11 31 0.0040 % 2,844.2
FloatingReset 2.48 % 3.17 % 53,338 4.66 9 0.4987 % 2,472.4
Performance Highlights
Issue Index Change Notes
MFC.PR.G FixedReset 1.03 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.47
Bid-YTW : 4.85 %
TD.PF.D FixedReset 1.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-02-21
Maturity Price : 22.64
Evaluated at bid price : 23.44
Bid-YTW : 4.08 %
PWF.PR.T FixedReset 1.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-02-21
Maturity Price : 22.52
Evaluated at bid price : 22.85
Bid-YTW : 3.89 %
BMO.PR.S FixedReset 1.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-02-21
Maturity Price : 21.61
Evaluated at bid price : 22.03
Bid-YTW : 3.96 %
SLF.PR.I FixedReset 1.16 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.48
Bid-YTW : 4.70 %
IFC.PR.C FixedReset 1.17 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.70
Bid-YTW : 5.69 %
BMO.PR.Y FixedReset 1.18 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-02-21
Maturity Price : 22.90
Evaluated at bid price : 23.98
Bid-YTW : 3.92 %
BAM.PF.E FixedReset 1.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-02-21
Maturity Price : 22.25
Evaluated at bid price : 22.72
Bid-YTW : 4.18 %
NA.PR.W FixedReset 1.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-02-21
Maturity Price : 21.34
Evaluated at bid price : 21.65
Bid-YTW : 3.97 %
BAM.PF.F FixedReset 1.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-02-21
Maturity Price : 23.03
Evaluated at bid price : 23.98
Bid-YTW : 4.21 %
BAM.PF.B FixedReset 1.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-02-21
Maturity Price : 22.08
Evaluated at bid price : 22.32
Bid-YTW : 4.29 %
RY.PR.J FixedReset 1.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-02-21
Maturity Price : 22.49
Evaluated at bid price : 23.13
Bid-YTW : 4.09 %
BAM.PF.A FixedReset 1.28 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-02-21
Maturity Price : 23.39
Evaluated at bid price : 23.79
Bid-YTW : 4.29 %
FTS.PR.H FixedReset 1.28 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-02-21
Maturity Price : 15.82
Evaluated at bid price : 15.82
Bid-YTW : 4.04 %
BAM.PR.R FixedReset 1.30 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-02-21
Maturity Price : 19.43
Evaluated at bid price : 19.43
Bid-YTW : 4.33 %
MFC.PR.F FixedReset 1.33 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 15.20
Bid-YTW : 9.43 %
HSE.PR.A FixedReset 1.35 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-02-21
Maturity Price : 15.72
Evaluated at bid price : 15.72
Bid-YTW : 4.43 %
PWF.PR.P FixedReset 1.36 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-02-21
Maturity Price : 15.63
Evaluated at bid price : 15.63
Bid-YTW : 4.24 %
FTS.PR.K FixedReset 1.36 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-02-21
Maturity Price : 20.08
Evaluated at bid price : 20.08
Bid-YTW : 4.05 %
TRP.PR.B FixedReset 1.40 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-02-21
Maturity Price : 14.48
Evaluated at bid price : 14.48
Bid-YTW : 4.11 %
RY.PR.H FixedReset 1.41 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-02-21
Maturity Price : 21.27
Evaluated at bid price : 21.56
Bid-YTW : 3.98 %
BAM.PR.Z FixedReset 1.42 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-02-21
Maturity Price : 22.17
Evaluated at bid price : 22.88
Bid-YTW : 4.50 %
BAM.PR.X FixedReset 1.42 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-02-21
Maturity Price : 16.38
Evaluated at bid price : 16.38
Bid-YTW : 4.55 %
NA.PR.S FixedReset 1.44 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-02-21
Maturity Price : 22.18
Evaluated at bid price : 22.47
Bid-YTW : 3.98 %
TRP.PR.D FixedReset 1.45 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-02-21
Maturity Price : 21.34
Evaluated at bid price : 21.64
Bid-YTW : 4.11 %
CM.PR.P FixedReset 1.52 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-02-21
Maturity Price : 21.44
Evaluated at bid price : 21.44
Bid-YTW : 4.02 %
TD.PF.C FixedReset 1.52 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-02-21
Maturity Price : 21.42
Evaluated at bid price : 21.42
Bid-YTW : 4.02 %
BMO.PR.W FixedReset 1.52 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-02-21
Maturity Price : 21.40
Evaluated at bid price : 21.40
Bid-YTW : 3.99 %
MFC.PR.N FixedReset 1.57 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.97
Bid-YTW : 5.45 %
MFC.PR.M FixedReset 1.57 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.96
Bid-YTW : 5.53 %
GWO.PR.N FixedReset 1.57 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 15.49
Bid-YTW : 9.22 %
MFC.PR.K FixedReset 1.63 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.23
Bid-YTW : 5.81 %
RY.PR.M FixedReset 1.63 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-02-21
Maturity Price : 22.41
Evaluated at bid price : 23.09
Bid-YTW : 3.98 %
FTS.PR.M FixedReset 1.64 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-02-21
Maturity Price : 21.97
Evaluated at bid price : 22.27
Bid-YTW : 4.10 %
CM.PR.Q FixedReset 1.67 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-02-21
Maturity Price : 22.76
Evaluated at bid price : 23.68
Bid-YTW : 4.03 %
CU.PR.I FixedReset 1.70 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2020-12-01
Maturity Price : 25.00
Evaluated at bid price : 26.92
Bid-YTW : 2.34 %
BMO.PR.T FixedReset 1.70 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-02-21
Maturity Price : 21.48
Evaluated at bid price : 21.48
Bid-YTW : 4.00 %
TRP.PR.A FixedReset 1.75 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-02-21
Maturity Price : 18.57
Evaluated at bid price : 18.57
Bid-YTW : 4.18 %
MFC.PR.L FixedReset 1.82 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.23
Bid-YTW : 5.85 %
TD.PF.A FixedReset 1.83 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-02-21
Maturity Price : 21.41
Evaluated at bid price : 21.74
Bid-YTW : 3.94 %
TRP.PR.E FixedReset 1.83 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-02-21
Maturity Price : 21.97
Evaluated at bid price : 22.25
Bid-YTW : 4.02 %
FTS.PR.G FixedReset 1.83 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-02-21
Maturity Price : 20.57
Evaluated at bid price : 20.57
Bid-YTW : 4.01 %
CM.PR.O FixedReset 1.86 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-02-21
Maturity Price : 21.52
Evaluated at bid price : 21.90
Bid-YTW : 3.99 %
RY.PR.Z FixedReset 1.89 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-02-21
Maturity Price : 21.29
Evaluated at bid price : 21.58
Bid-YTW : 3.93 %
TD.PF.B FixedReset 1.89 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-02-21
Maturity Price : 21.28
Evaluated at bid price : 21.57
Bid-YTW : 3.99 %
BAM.PR.T FixedReset 1.90 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-02-21
Maturity Price : 19.32
Evaluated at bid price : 19.32
Bid-YTW : 4.49 %
CU.PR.C FixedReset 1.91 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-02-21
Maturity Price : 21.91
Evaluated at bid price : 22.42
Bid-YTW : 3.89 %
IFC.PR.A FixedReset 2.02 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.66
Bid-YTW : 7.38 %
TRP.PR.C FixedReset 2.29 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-02-21
Maturity Price : 15.64
Evaluated at bid price : 15.64
Bid-YTW : 4.15 %
TRP.PR.F FloatingReset 2.94 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-02-21
Maturity Price : 17.50
Evaluated at bid price : 17.50
Bid-YTW : 3.46 %
Volume Highlights
Issue Index Shares
Traded		 Notes
TD.PF.H FixedReset 204,856 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-10-31
Maturity Price : 25.00
Evaluated at bid price : 25.88
Bid-YTW : 4.14 %
BIP.PR.C FixedReset 160,845 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-09-30
Maturity Price : 25.00
Evaluated at bid price : 25.73
Bid-YTW : 4.86 %
RY.PR.Q FixedReset 154,949 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-05-24
Maturity Price : 25.00
Evaluated at bid price : 26.80
Bid-YTW : 3.67 %
BNS.PR.E FixedReset 116,083 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-04-25
Maturity Price : 25.00
Evaluated at bid price : 26.88
Bid-YTW : 3.66 %
BNS.PR.H FixedReset 111,545 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-01-26
Maturity Price : 25.00
Evaluated at bid price : 26.06
Bid-YTW : 4.00 %
BMO.PR.R FloatingReset 83,000 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.85
Bid-YTW : 3.07 %
There were 73 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: 23.39 – 23.77
Spot Rate : 0.3800
Average : 0.2435

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-02-21
Maturity Price : 22.58
Evaluated at bid price : 23.39
Bid-YTW : 4.25 %
TRP.PR.H FloatingReset Quote: 13.30 – 13.66
Spot Rate : 0.3600
Average : 0.2311

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-02-21
Maturity Price : 13.30
Evaluated at bid price : 13.30
Bid-YTW : 3.34 %
GWO.PR.N FixedReset Quote: 15.49 – 15.86
Spot Rate : 0.3700
Average : 0.2668

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 15.49
Bid-YTW : 9.22 %
BAM.PF.G FixedReset Quote: 24.33 – 24.60
Spot Rate : 0.2700
Average : 0.1849

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-02-21
Maturity Price : 23.07
Evaluated at bid price : 24.33
Bid-YTW : 4.13 %
BNS.PR.D FloatingReset Quote: 21.49 – 21.76
Spot Rate : 0.2700
Average : 0.1943

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.49
Bid-YTW : 4.65 %
BMO.PR.Y FixedReset Quote: 23.98 – 24.23
Spot Rate : 0.2500
Average : 0.1806

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-02-21
Maturity Price : 22.90
Evaluated at bid price : 23.98
Bid-YTW : 3.92 %
Market Action

February 17, 2017

Let’s close the week off with some rather dated (2014) anti-drone news:

Watch how a US Military Naval ship equipped with a LaWS laser weapon-system destroys an enemy target.

The laser locks onto its target and opens ‘fire’. The target explodes leaving the platform unscathed.

The laser then neatly incinerates a Scan Eagle drone, which plunges to the sea below.

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 1.4098 % 2,040.3
FixedFloater 0.00 % 0.00 % 0 0.00 0 1.4098 % 3,743.9
Floater 3.70 % 3.94 % 54,166 17.50 4 1.4098 % 2,157.6
OpRet 0.00 % 0.00 % 0 0.00 0 0.4508 % 2,984.2
SplitShare 4.74 % 4.01 % 59,074 0.79 4 0.4508 % 3,563.8
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.4508 % 2,780.6
Perpetual-Premium 5.42 % -3.02 % 72,726 0.09 16 0.0073 % 2,733.3
Perpetual-Discount 5.17 % 5.16 % 96,865 15.07 22 -0.1810 % 2,907.5
FixedReset 4.48 % 4.13 % 227,641 6.78 97 0.1783 % 2,300.9
Deemed-Retractible 5.03 % 0.47 % 126,437 0.12 31 0.0016 % 2,844.1
FloatingReset 2.48 % 3.13 % 51,355 4.67 9 0.2796 % 2,460.1
Performance Highlights
Issue Index Change Notes
NA.PR.W FixedReset 1.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-02-17
Maturity Price : 21.39
Evaluated at bid price : 21.39
Bid-YTW : 4.02 %
TRP.PR.A FixedReset 1.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-02-17
Maturity Price : 18.25
Evaluated at bid price : 18.25
Bid-YTW : 4.23 %
TRP.PR.D FixedReset 1.57 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-02-17
Maturity Price : 21.33
Evaluated at bid price : 21.33
Bid-YTW : 4.17 %
PWF.PR.A Floater 4.31 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-02-17
Maturity Price : 14.75
Evaluated at bid price : 14.75
Bid-YTW : 3.22 %
Volume Highlights
Issue Index Shares
Traded		 Notes
BIP.PR.C FixedReset 171,858 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-09-30
Maturity Price : 25.00
Evaluated at bid price : 25.75
Bid-YTW : 4.82 %
BAM.PR.K Floater 155,300 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-02-17
Maturity Price : 12.10
Evaluated at bid price : 12.10
Bid-YTW : 3.94 %
BAM.PR.C Floater 130,583 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-02-17
Maturity Price : 12.10
Evaluated at bid price : 12.10
Bid-YTW : 3.94 %
BAM.PR.B Floater 120,956 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-02-17
Maturity Price : 12.12
Evaluated at bid price : 12.12
Bid-YTW : 3.94 %
TD.PR.Z FloatingReset 99,000 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.80
Bid-YTW : 3.13 %
TRP.PR.K FixedReset 89,297 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-05-31
Maturity Price : 25.00
Evaluated at bid price : 25.71
Bid-YTW : 4.30 %
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.F FloatingReset Quote: 17.00 – 17.35
Spot Rate : 0.3500
Average : 0.2413

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-02-17
Maturity Price : 17.00
Evaluated at bid price : 17.00
Bid-YTW : 3.55 %
MFC.PR.L FixedReset Quote: 20.85 – 21.11
Spot Rate : 0.2600
Average : 0.1649

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.85
Bid-YTW : 6.10 %
ELF.PR.F Perpetual-Discount Quote: 24.30 – 24.54
Spot Rate : 0.2400
Average : 0.1549

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-02-17
Maturity Price : 24.05
Evaluated at bid price : 24.30
Bid-YTW : 5.51 %
TD.PF.G FixedReset Quote: 26.85 – 27.06
Spot Rate : 0.2100
Average : 0.1297

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-04-30
Maturity Price : 25.00
Evaluated at bid price : 26.85
Bid-YTW : 3.67 %
CM.PR.O FixedReset Quote: 21.50 – 21.72
Spot Rate : 0.2200
Average : 0.1438

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-02-17
Maturity Price : 21.50
Evaluated at bid price : 21.50
Bid-YTW : 4.08 %
MFC.PR.H FixedReset Quote: 23.76 – 23.96
Spot Rate : 0.2000
Average : 0.1274

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.76
Bid-YTW : 4.96 %