Archive for March, 2017

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March 31, 2017

Friday, March 31st, 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 -0.2711 % 2,073.2
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.2711 % 3,804.2
Floater 3.67 % 3.81 % 43,346 17.82 4 -0.2711 % 2,192.4
OpRet 0.00 % 0.00 % 0 0.00 0 0.0850 % 3,021.7
SplitShare 4.94 % 3.56 % 62,424 0.68 6 0.0850 % 3,608.6
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0850 % 2,815.5
Perpetual-Premium 5.34 % -6.91 % 72,667 0.09 20 -0.0078 % 2,764.0
Perpetual-Discount 5.14 % 5.13 % 112,211 15.11 16 0.0026 % 2,945.7
FixedReset 4.38 % 3.99 % 242,346 6.68 94 0.1758 % 2,355.9
Deemed-Retractible 5.04 % 3.14 % 139,560 0.15 31 -0.0554 % 2,859.9
FloatingReset 2.54 % 3.28 % 55,150 4.55 9 0.0053 % 2,511.5
Performance Highlights
Issue Index Change Notes
MFC.PR.B Deemed-Retractible -1.03 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.01
Bid-YTW : 5.99 %
SLF.PR.G FixedReset 1.21 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 16.73
Bid-YTW : 8.22 %
SLF.PR.H FixedReset 1.22 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.97
Bid-YTW : 6.32 %
HSE.PR.A FixedReset 1.54 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-03-31
Maturity Price : 16.45
Evaluated at bid price : 16.45
Bid-YTW : 4.16 %
IFC.PR.A FixedReset 1.95 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.35
Bid-YTW : 6.70 %
Volume Highlights
Issue Index Shares
Traded		 Notes
BNS.PR.O Deemed-Retractible 153,500 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2017-05-26
Maturity Price : 25.00
Evaluated at bid price : 24.98
Bid-YTW : 3.14 %
TRP.PR.J FixedReset 55,549 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-05-31
Maturity Price : 25.00
Evaluated at bid price : 26.70
Bid-YTW : 3.87 %
BMO.PR.C FixedReset 51,555 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-05-25
Maturity Price : 25.00
Evaluated at bid price : 25.40
Bid-YTW : 4.23 %
CM.PR.O FixedReset 47,658 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-03-31
Maturity Price : 22.22
Evaluated at bid price : 22.55
Bid-YTW : 3.81 %
TD.PR.T FloatingReset 32,200 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.97
Bid-YTW : 3.16 %
RY.PR.M FixedReset 27,202 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-03-31
Maturity Price : 22.58
Evaluated at bid price : 23.37
Bid-YTW : 3.92 %
There were 28 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
SLF.PR.D Deemed-Retractible Quote: 22.22 – 22.65
Spot Rate : 0.4300
Average : 0.2620

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.22
Bid-YTW : 6.30 %
VNR.PR.A FixedReset Quote: 21.60 – 22.00
Spot Rate : 0.4000
Average : 0.2515

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-03-31
Maturity Price : 21.33
Evaluated at bid price : 21.60
Bid-YTW : 4.58 %
MFC.PR.B Deemed-Retractible Quote: 23.01 – 23.36
Spot Rate : 0.3500
Average : 0.2524

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.01
Bid-YTW : 5.99 %
SLF.PR.E Deemed-Retractible Quote: 22.27 – 22.50
Spot Rate : 0.2300
Average : 0.1494

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.27
Bid-YTW : 6.32 %
BNS.PR.E FixedReset Quote: 26.73 – 26.93
Spot Rate : 0.2000
Average : 0.1315

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-04-25
Maturity Price : 25.00
Evaluated at bid price : 26.73
Bid-YTW : 3.57 %
MFC.PR.N FixedReset Quote: 21.77 – 21.99
Spot Rate : 0.2200
Average : 0.1518

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.77
Bid-YTW : 5.66 %

Posted in Market Action | No Comments »

March 30, 2017

Friday, March 31st, 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 0.7412 % 2,078.8
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.7412 % 3,814.5
Floater 3.66 % 3.78 % 44,809 17.88 4 0.7412 % 2,198.3
OpRet 0.00 % 0.00 % 0 0.00 0 -0.1501 % 3,019.1
SplitShare 4.94 % 3.78 % 60,646 0.68 6 -0.1501 % 3,605.5
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.1501 % 2,813.1
Perpetual-Premium 5.34 % -5.36 % 73,464 0.09 20 -0.1363 % 2,764.2
Perpetual-Discount 5.14 % 5.14 % 110,339 15.14 16 0.0784 % 2,945.6
FixedReset 4.39 % 4.03 % 242,115 6.69 94 0.5766 % 2,351.8
Deemed-Retractible 5.04 % 3.06 % 138,266 0.15 31 -0.0435 % 2,861.5
FloatingReset 2.53 % 3.17 % 56,499 4.55 9 0.2692 % 2,511.4
Performance Highlights
Issue Index Change Notes
GRP.PR.A SplitShare -1.36 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2017-04-29
Maturity Price : 25.00
Evaluated at bid price : 25.30
Bid-YTW : -11.28 %
ELF.PR.H Perpetual-Premium -1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-03-30
Maturity Price : 24.88
Evaluated at bid price : 25.17
Bid-YTW : 5.47 %
MFC.PR.J FixedReset 1.01 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.98
Bid-YTW : 5.03 %
CM.PR.P FixedReset 1.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-03-30
Maturity Price : 21.79
Evaluated at bid price : 22.03
Bid-YTW : 3.82 %
SLF.PR.I FixedReset 1.09 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.25
Bid-YTW : 4.91 %
BAM.PR.B Floater 1.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-03-30
Maturity Price : 12.49
Evaluated at bid price : 12.49
Bid-YTW : 3.78 %
TD.PF.E FixedReset 1.17 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-03-30
Maturity Price : 23.03
Evaluated at bid price : 24.30
Bid-YTW : 3.98 %
TD.PF.B FixedReset 1.17 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-03-30
Maturity Price : 22.12
Evaluated at bid price : 22.41
Bid-YTW : 3.83 %
TD.PF.C FixedReset 1.18 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-03-30
Maturity Price : 21.99
Evaluated at bid price : 22.30
Bid-YTW : 3.83 %
BNS.PR.D FloatingReset 1.20 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.96
Bid-YTW : 4.44 %
CU.PR.C FixedReset 1.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-03-30
Maturity Price : 21.59
Evaluated at bid price : 21.94
Bid-YTW : 3.98 %
MFC.PR.F FixedReset 1.22 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 15.71
Bid-YTW : 9.06 %
MFC.PR.L FixedReset 1.23 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.40
Bid-YTW : 5.80 %
MFC.PR.N FixedReset 1.29 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.98
Bid-YTW : 5.51 %
BAM.PR.X FixedReset 1.29 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-03-30
Maturity Price : 16.48
Evaluated at bid price : 16.48
Bid-YTW : 4.40 %
IFC.PR.C FixedReset 1.30 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.85
Bid-YTW : 5.51 %
TD.PF.A FixedReset 1.31 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-03-30
Maturity Price : 22.11
Evaluated at bid price : 22.44
Bid-YTW : 3.81 %
BMO.PR.S FixedReset 1.38 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-03-30
Maturity Price : 22.55
Evaluated at bid price : 22.85
Bid-YTW : 3.82 %
BAM.PF.G FixedReset 1.50 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-03-30
Maturity Price : 23.08
Evaluated at bid price : 24.32
Bid-YTW : 4.06 %
HSE.PR.A FixedReset 1.50 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-03-30
Maturity Price : 16.20
Evaluated at bid price : 16.20
Bid-YTW : 4.23 %
BAM.PR.Z FixedReset 1.51 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-03-30
Maturity Price : 22.87
Evaluated at bid price : 23.51
Bid-YTW : 4.30 %
IFC.PR.A FixedReset 1.66 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.98
Bid-YTW : 6.99 %
BAM.PF.A FixedReset 1.79 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-03-30
Maturity Price : 23.40
Evaluated at bid price : 23.82
Bid-YTW : 4.21 %
BAM.PF.F FixedReset 2.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-03-30
Maturity Price : 23.19
Evaluated at bid price : 24.29
Bid-YTW : 4.07 %
BAM.PF.B FixedReset 2.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-03-30
Maturity Price : 22.12
Evaluated at bid price : 22.36
Bid-YTW : 4.21 %
BAM.PF.E FixedReset 2.28 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-03-30
Maturity Price : 22.08
Evaluated at bid price : 22.45
Bid-YTW : 4.17 %
BAM.PR.T FixedReset 2.38 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-03-30
Maturity Price : 19.34
Evaluated at bid price : 19.34
Bid-YTW : 4.41 %
BAM.PR.R FixedReset 2.48 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-03-30
Maturity Price : 19.40
Evaluated at bid price : 19.40
Bid-YTW : 4.27 %
Volume Highlights
Issue Index Shares
Traded		 Notes
BNS.PR.Y FixedReset 212,311 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.64
Bid-YTW : 4.17 %
NA.PR.X FixedReset 117,423 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-05-15
Maturity Price : 25.00
Evaluated at bid price : 27.00
Bid-YTW : 3.69 %
BMO.PR.C FixedReset 87,775 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-03-30
Maturity Price : 23.26
Evaluated at bid price : 25.33
Bid-YTW : 4.28 %
RY.PR.J FixedReset 81,844 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-03-30
Maturity Price : 22.64
Evaluated at bid price : 23.38
Bid-YTW : 4.03 %
TRP.PR.B FixedReset 65,500 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-03-30
Maturity Price : 14.59
Evaluated at bid price : 14.59
Bid-YTW : 4.00 %
SLF.PR.H FixedReset 63,400 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.73
Bid-YTW : 6.49 %
There were 48 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
PVS.PR.C SplitShare Quote: 25.26 – 25.78
Spot Rate : 0.5200
Average : 0.2994

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2017-12-10
Maturity Price : 25.00
Evaluated at bid price : 25.26
Bid-YTW : 3.78 %
GRP.PR.A SplitShare Quote: 25.30 – 25.80
Spot Rate : 0.5000
Average : 0.3736

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2017-04-29
Maturity Price : 25.00
Evaluated at bid price : 25.30
Bid-YTW : -11.28 %
W.PR.K FixedReset Quote: 26.00 – 26.26
Spot Rate : 0.2600
Average : 0.1717

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-01-15
Maturity Price : 25.00
Evaluated at bid price : 26.00
Bid-YTW : 4.06 %
NA.PR.W FixedReset Quote: 21.63 – 21.84
Spot Rate : 0.2100
Average : 0.1432

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-03-30
Maturity Price : 21.33
Evaluated at bid price : 21.63
Bid-YTW : 3.97 %
TRP.PR.A FixedReset Quote: 19.12 – 19.40
Spot Rate : 0.2800
Average : 0.2235

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-03-30
Maturity Price : 19.12
Evaluated at bid price : 19.12
Bid-YTW : 3.99 %
HSE.PR.A FixedReset Quote: 16.20 – 16.57
Spot Rate : 0.3700
Average : 0.3163

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-03-30
Maturity Price : 16.20
Evaluated at bid price : 16.20
Bid-YTW : 4.23 %

Posted in Market Action | No Comments »

March 29, 2017

Wednesday, March 29th, 2017

It looks as if increased regulation is having the intended effect:

Laurentian Bank of Canada intends to double the number of financial advisers and commercial account managers by 2020 as part of a plan to transform the Quebec lender from its traditional banking roots.

Laurentian, which for most of its 170-year history offered local banking to Montrealers, plans to have 700 in-branch advisers within three years as part of a shift away from routine teller services, Chief Executive Officer Francois Desjardins said in a March 24 interview at Bloomberg’s Toronto office.
…
Laurentian has 2,000 employees in its Quebec retail operations, including 350 in-branch advisers whose role includes helping customers with budgets, investment decisions and mortgages, Desjardins said.

PerpetualDiscounts now yield 5.13%, equivalent to 6.67% interest at the standard equivalency factor of 1.3x. Long corporates now yield about 3.95%, so the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) is now about 270bp, unchanged from the March 22 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 -0.1752 % 2,063.5
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.1752 % 3,786.4
Floater 3.69 % 3.83 % 45,389 17.79 4 -0.1752 % 2,182.1
OpRet 0.00 % 0.00 % 0 0.00 0 0.0134 % 3,023.7
SplitShare 4.94 % 4.07 % 60,640 0.68 6 0.0134 % 3,610.9
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0134 % 2,817.4
Perpetual-Premium 5.33 % -8.18 % 73,405 0.09 20 0.3425 % 2,767.9
Perpetual-Discount 5.13 % 5.13 % 111,172 15.13 16 0.3244 % 2,943.3
FixedReset 4.42 % 4.03 % 236,357 6.68 94 0.5619 % 2,338.3
Deemed-Retractible 5.03 % 3.01 % 137,266 0.16 31 0.2314 % 2,862.8
FloatingReset 2.54 % 3.24 % 56,449 4.55 9 0.3761 % 2,504.6
Performance Highlights
Issue Index Change Notes
BAM.PF.H FixedReset -1.08 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2020-12-31
Maturity Price : 25.00
Evaluated at bid price : 26.44
Bid-YTW : 3.36 %
W.PR.M FixedReset 1.01 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-10-15
Maturity Price : 25.00
Evaluated at bid price : 26.30
Bid-YTW : 3.91 %
W.PR.H Perpetual-Premium 1.04 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2017-04-28
Maturity Price : 25.00
Evaluated at bid price : 25.35
Bid-YTW : -14.03 %
MFC.PR.M FixedReset 1.07 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.74
Bid-YTW : 5.74 %
TD.PF.D FixedReset 1.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-03-29
Maturity Price : 22.69
Evaluated at bid price : 23.52
Bid-YTW : 4.06 %
HSE.PR.G FixedReset 1.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-03-29
Maturity Price : 23.07
Evaluated at bid price : 24.29
Bid-YTW : 4.68 %
MFC.PR.G FixedReset 1.08 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.30
Bid-YTW : 5.02 %
MFC.PR.B Deemed-Retractible 1.09 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.22
Bid-YTW : 5.85 %
W.PR.J Perpetual-Premium 1.10 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2017-04-28
Maturity Price : 25.00
Evaluated at bid price : 25.43
Bid-YTW : -17.52 %
MFC.PR.J FixedReset 1.11 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.75
Bid-YTW : 5.18 %
HSE.PR.E FixedReset 1.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-03-29
Maturity Price : 23.11
Evaluated at bid price : 24.30
Bid-YTW : 4.71 %
VNR.PR.A FixedReset 1.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-03-29
Maturity Price : 21.59
Evaluated at bid price : 21.59
Bid-YTW : 4.60 %
CM.PR.Q FixedReset 1.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-03-29
Maturity Price : 22.61
Evaluated at bid price : 23.36
Bid-YTW : 4.03 %
IAG.PR.G FixedReset 1.14 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.16
Bid-YTW : 5.10 %
TRP.PR.D FixedReset 1.26 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-03-29
Maturity Price : 21.74
Evaluated at bid price : 22.22
Bid-YTW : 3.91 %
MFC.PR.K FixedReset 1.29 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.19
Bid-YTW : 5.89 %
MFC.PR.N FixedReset 1.31 % 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 %
SLF.PR.I FixedReset 1.32 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.00
Bid-YTW : 5.07 %
BMO.PR.S FixedReset 1.44 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-03-29
Maturity Price : 22.24
Evaluated at bid price : 22.54
Bid-YTW : 3.87 %
TRP.PR.E FixedReset 1.45 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-03-29
Maturity Price : 22.17
Evaluated at bid price : 22.52
Bid-YTW : 3.89 %
HSE.PR.A FixedReset 1.46 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-03-29
Maturity Price : 15.96
Evaluated at bid price : 15.96
Bid-YTW : 4.29 %
ELF.PR.H Perpetual-Premium 1.47 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2020-04-17
Maturity Price : 25.25
Evaluated at bid price : 25.43
Bid-YTW : 5.12 %
MFC.PR.L FixedReset 1.54 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.14
Bid-YTW : 5.98 %
PWF.PR.T FixedReset 1.58 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-03-29
Maturity Price : 22.72
Evaluated at bid price : 23.08
Bid-YTW : 3.84 %
BMO.PR.Y FixedReset 1.59 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-03-29
Maturity Price : 22.73
Evaluated at bid price : 23.60
Bid-YTW : 3.99 %
TRP.PR.B FixedReset 1.66 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-03-29
Maturity Price : 14.69
Evaluated at bid price : 14.69
Bid-YTW : 3.98 %
TRP.PR.G FixedReset 1.72 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-03-29
Maturity Price : 22.70
Evaluated at bid price : 23.60
Bid-YTW : 4.21 %
TRP.PR.C FixedReset 1.73 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-03-29
Maturity Price : 15.84
Evaluated at bid price : 15.84
Bid-YTW : 4.03 %
Volume Highlights
Issue Index Shares
Traded		 Notes
TRP.PR.K FixedReset 68,301 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-05-31
Maturity Price : 25.00
Evaluated at bid price : 25.97
Bid-YTW : 4.17 %
SLF.PR.A Deemed-Retractible 63,344 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.72
Bid-YTW : 5.59 %
TRP.PR.J FixedReset 57,325 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-05-31
Maturity Price : 25.00
Evaluated at bid price : 26.68
Bid-YTW : 3.89 %
BMO.PR.C FixedReset 53,991 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-03-29
Maturity Price : 23.25
Evaluated at bid price : 25.30
Bid-YTW : 4.28 %
CU.PR.D Perpetual-Discount 53,300 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-03-29
Maturity Price : 23.54
Evaluated at bid price : 24.02
Bid-YTW : 5.13 %
RY.PR.Z FixedReset 49,045 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-03-29
Maturity Price : 21.70
Evaluated at bid price : 22.15
Bid-YTW : 3.80 %
There were 44 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: 25.52 – 25.91
Spot Rate : 0.3900
Average : 0.2368

YTW SCENARIO
Maturity Type : Soft Maturity
Maturity Date : 2024-03-14
Maturity Price : 25.00
Evaluated at bid price : 25.52
Bid-YTW : 4.51 %
IFC.PR.C FixedReset Quote: 21.57 – 21.95
Spot Rate : 0.3800
Average : 0.2670

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.57
Bid-YTW : 5.71 %
BAM.PF.H FixedReset Quote: 26.44 – 26.80
Spot Rate : 0.3600
Average : 0.2675

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2020-12-31
Maturity Price : 25.00
Evaluated at bid price : 26.44
Bid-YTW : 3.36 %
MFC.PR.J FixedReset Quote: 22.75 – 22.98
Spot Rate : 0.2300
Average : 0.1621

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.75
Bid-YTW : 5.18 %
GWO.PR.N FixedReset Quote: 15.90 – 16.14
Spot Rate : 0.2400
Average : 0.1814

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 15.90
Bid-YTW : 8.82 %
TD.PF.G FixedReset Quote: 27.03 – 27.24
Spot Rate : 0.2100
Average : 0.1529

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-04-30
Maturity Price : 25.00
Evaluated at bid price : 27.03
Bid-YTW : 3.60 %

Posted in Market Action | No Comments »

March 28, 2017

Wednesday, March 29th, 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 0.8443 % 2,067.1
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.8443 % 3,793.1
Floater 3.68 % 3.81 % 45,751 17.82 4 0.8443 % 2,186.0
OpRet 0.00 % 0.00 % 0 0.00 0 0.3594 % 3,023.3
SplitShare 4.92 % 4.04 % 62,695 0.69 6 0.3594 % 3,610.4
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.3594 % 2,817.0
Perpetual-Premium 5.33 % -1.97 % 68,772 0.09 20 0.1190 % 2,758.5
Perpetual-Discount 5.15 % 5.17 % 102,932 15.07 16 0.3574 % 2,933.8
FixedReset 4.44 % 4.09 % 234,020 6.67 94 0.1873 % 2,325.2
Deemed-Retractible 5.05 % 2.96 % 136,380 0.16 31 0.2292 % 2,856.2
FloatingReset 2.55 % 3.35 % 55,914 4.56 9 0.1273 % 2,495.2
Performance Highlights
Issue Index Change Notes
NA.PR.X FixedReset 1.01 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-05-15
Maturity Price : 25.00
Evaluated at bid price : 27.03
Bid-YTW : 3.66 %
IAG.PR.G FixedReset 1.06 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.90
Bid-YTW : 5.27 %
BAM.PR.C Floater 1.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-03-28
Maturity Price : 12.26
Evaluated at bid price : 12.26
Bid-YTW : 3.85 %
GWO.PR.N FixedReset 1.27 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 16.00
Bid-YTW : 8.72 %
BAM.PR.B Floater 1.31 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-03-28
Maturity Price : 12.39
Evaluated at bid price : 12.39
Bid-YTW : 3.81 %
GRP.PR.A SplitShare 1.36 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2017-04-27
Maturity Price : 25.00
Evaluated at bid price : 26.05
Bid-YTW : -26.94 %
BAM.PF.H FixedReset 1.37 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2020-12-31
Maturity Price : 25.00
Evaluated at bid price : 26.73
Bid-YTW : 3.04 %
Volume Highlights
Issue Index Shares
Traded		 Notes
NA.PR.X FixedReset 100,331 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-05-15
Maturity Price : 25.00
Evaluated at bid price : 27.03
Bid-YTW : 3.66 %
PWF.PR.P FixedReset 76,465 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-03-28
Maturity Price : 16.01
Evaluated at bid price : 16.01
Bid-YTW : 4.12 %
NA.PR.S FixedReset 60,928 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-03-28
Maturity Price : 21.74
Evaluated at bid price : 22.21
Bid-YTW : 4.00 %
RY.PR.G Deemed-Retractible 55,339 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2017-04-27
Maturity Price : 25.00
Evaluated at bid price : 25.15
Bid-YTW : 1.99 %
BMO.PR.C FixedReset 49,367 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-03-28
Maturity Price : 23.23
Evaluated at bid price : 25.25
Bid-YTW : 4.29 %
MFC.PR.R FixedReset 45,908 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-03-19
Maturity Price : 25.00
Evaluated at bid price : 25.84
Bid-YTW : 4.14 %
There were 37 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
IFC.PR.C FixedReset Quote: 21.71 – 21.94
Spot Rate : 0.2300
Average : 0.1431

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.71
Bid-YTW : 5.61 %
TRP.PR.E FixedReset Quote: 22.49 – 22.72
Spot Rate : 0.2300
Average : 0.1499

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-03-28
Maturity Price : 22.15
Evaluated at bid price : 22.49
Bid-YTW : 3.97 %
SLF.PR.J FloatingReset Quote: 15.30 – 15.55
Spot Rate : 0.2500
Average : 0.1720

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 15.30
Bid-YTW : 8.95 %
BAM.PF.E FixedReset Quote: 21.87 – 22.14
Spot Rate : 0.2700
Average : 0.2054

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-03-28
Maturity Price : 21.50
Evaluated at bid price : 21.87
Bid-YTW : 4.28 %
MFC.PR.H FixedReset Quote: 24.30 – 24.50
Spot Rate : 0.2000
Average : 0.1375

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.30
Bid-YTW : 4.68 %
BNS.PR.Y FixedReset Quote: 22.47 – 22.65
Spot Rate : 0.1800
Average : 0.1207

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.47
Bid-YTW : 4.34 %

Posted in Market Action | No Comments »

DGS.PR.A To Get Bigger

Monday, March 27th, 2017

Brompton Group has announced (although not yet on their website and they didn’t send me the usual eMail):

Dividend Growth Split Corp. (the “Company”) is pleased to announce it is undertaking an overnight treasury offering of class A and preferred shares.

The sales period of this overnight offering will end at 9:00 a.m. (ET) tomorrow, March 28, 2017. The offering is expected to close on or about April 6, 2017 and is subject to certain closing conditions including approval by the TSX.

The class A shares will be offered at a price of $8.00 for a distribution rate of 15.0% on the issue price, and the preferred shares will be offered at a price of $10.00 for a yield to maturity of 5.45%. The closing price on the Toronto Stock Exchange (“TSX”) for each of the class A and preferred shares on March 24, 2017 was $8.26 and $10.33, respectively. The class A and preferred share offering prices were determined so as to be non-dilutive to the most recently calculated net asset value per unit of the Company (calculated as at March 24, 2017), as adjusted for dividends and certain expenses to be accrued prior to or upon settlement of the offering.

The syndicate of agents for the offering is being led by RBC Capital Markets, CIBC and Scotiabank.

The Company invests in a portfolio of common shares of high quality, large capitalization companies, which have among the highest dividend growth rates of those companies included in the S&P/TSX Composite Index. Currently, the portfolio consists of common shares of the following 20 companies:

Great-West Lifeco Inc. The Bank of Nova Scotia CI Financial Corp. Shaw Communications Inc.
Industrial Alliance Insurance and Financial Services Inc. Canadian Imperial Bank of Commerce IGM Financial Inc. TELUS Corporation
Manulife Financial Corporation National Bank of Canada Power Corporation of Canada Canadian Utilities Limited
Sun Life Financial Inc. Royal Bank of Canada BCE Inc. Enbridge Inc.
Bank of Montreal The Toronto-Dominion Bank Rogers Communications Inc. TransCanada Corporation

The investment objectives for the class A shares are to provide holders with regular monthly cash distributions targeted to be $0.10 per class A share and to provide the opportunity for growth in the net asset value per class A share.

The investment objectives for the preferred shares are to provide holders with fixed cumulative preferential quarterly cash distributions, currently in the amount of $0.13125 per preferred share, and to return the original issue price to holders of preferred shares on the Company’s maturity date (November 28, 2019).

It’s getting to be quite the size, with assets of $415-million as of February month-end. Their previous treasury offering was in September 2016.

Update, 2017-03-29: The offering was very successful:

Dividend Growth Split Corp. (the “Company”) is pleased to announce a successful overnight treasury offering of class A and preferred shares. Gross proceeds of the offering are expected to be approximately $86 million. The offering is expected to close on or about April 6, 2017 and is subject to customary closing conditions including approval from the Toronto Stock Exchange (the “TSX”). The Company has granted the Agents (as defined below) an over-allotment option, exercisable for 30 days following the closing date of the offering, to purchase up to an additional 15% of the number of class A and preferred shares issued at the closing of the offering.

The class A shares were offered at a price of $8.00 for a distribution rate of 15.0% on the issue price, and the preferred shares were offered at a price of $10.00 for a yield to maturity of 5.45%. The class A and preferred share offering prices were determined so as to be non-dilutive to the most recently calculated net asset value per unit of the Company (calculated as at March 24, 2017), as adjusted for dividends and certain expenses to be accrued prior to or upon settlement of the offering.

Update, 2017-04-06: The offering was very successful:

Dividend Growth Split Corp. (the “Company”) is pleased to announce that it has completed the previously announced treasury offering of class A shares and preferred shares for aggregate gross proceeds of approximately $86 million.

Posted in Issue Comments | No Comments »

March 27, 2017

Monday, March 27th, 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 -0.5468 % 2,049.8
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.5468 % 3,761.3
Floater 3.71 % 3.85 % 47,493 17.73 4 -0.5468 % 2,167.7
OpRet 0.00 % 0.00 % 0 0.00 0 -0.2152 % 3,012.4
SplitShare 4.94 % 4.08 % 63,698 0.69 6 -0.2152 % 3,597.5
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.2152 % 2,806.9
Perpetual-Premium 5.34 % 2.24 % 71,586 0.09 20 0.0566 % 2,755.2
Perpetual-Discount 5.17 % 5.19 % 103,810 15.07 16 0.0768 % 2,923.4
FixedReset 4.45 % 4.11 % 241,590 6.68 94 -0.2453 % 2,320.9
Deemed-Retractible 5.06 % 1.84 % 137,643 0.16 31 -0.0596 % 2,849.6
FloatingReset 2.55 % 3.38 % 55,611 4.56 9 -0.2117 % 2,492.1
Performance Highlights
Issue Index Change Notes
SLF.PR.J FloatingReset -2.24 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 15.30
Bid-YTW : 8.95 %
IFC.PR.A FixedReset -1.75 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.52
Bid-YTW : 7.35 %
BMO.PR.Y FixedReset -1.56 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-03-27
Maturity Price : 22.62
Evaluated at bid price : 23.40
Bid-YTW : 4.03 %
MFC.PR.N FixedReset -1.39 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.30
Bid-YTW : 5.98 %
BAM.PR.C Floater -1.38 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-03-27
Maturity Price : 12.13
Evaluated at bid price : 12.13
Bid-YTW : 3.89 %
PVS.PR.E SplitShare -1.10 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2017-04-26
Maturity Price : 26.00
Evaluated at bid price : 26.11
Bid-YTW : 3.68 %
BAM.PR.X FixedReset -1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-03-27
Maturity Price : 16.16
Evaluated at bid price : 16.16
Bid-YTW : 4.49 %
BAM.PR.T FixedReset -1.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-03-27
Maturity Price : 18.76
Evaluated at bid price : 18.76
Bid-YTW : 4.54 %
Volume Highlights
Issue Index Shares
Traded		 Notes
EIT.PR.A SplitShare 103,525 YTW SCENARIO
Maturity Type : Soft Maturity
Maturity Date : 2024-03-14
Maturity Price : 25.00
Evaluated at bid price : 25.48
Bid-YTW : 4.53 %
BAM.PF.D Perpetual-Discount 45,800 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-03-27
Maturity Price : 22.92
Evaluated at bid price : 23.30
Bid-YTW : 5.26 %
BAM.PF.C Perpetual-Discount 37,262 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-03-27
Maturity Price : 22.50
Evaluated at bid price : 22.83
Bid-YTW : 5.32 %
RY.PR.G Deemed-Retractible 37,050 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2017-04-26
Maturity Price : 25.00
Evaluated at bid price : 25.15
Bid-YTW : 1.84 %
TRP.PR.J FixedReset 29,024 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-05-31
Maturity Price : 25.00
Evaluated at bid price : 26.65
Bid-YTW : 3.91 %
TRP.PR.C FixedReset 27,431 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-03-27
Maturity Price : 15.72
Evaluated at bid price : 15.72
Bid-YTW : 4.11 %
There were 30 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
CU.PR.H Perpetual-Premium Quote: 25.25 – 25.60
Spot Rate : 0.3500
Average : 0.2139

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-09-01
Maturity Price : 25.00
Evaluated at bid price : 25.25
Bid-YTW : 5.18 %
PVS.PR.E SplitShare Quote: 26.11 – 26.55
Spot Rate : 0.4400
Average : 0.3076

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2017-04-26
Maturity Price : 26.00
Evaluated at bid price : 26.11
Bid-YTW : 3.68 %
IFC.PR.A FixedReset Quote: 18.52 – 18.89
Spot Rate : 0.3700
Average : 0.2403

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.52
Bid-YTW : 7.35 %
IAG.PR.A Deemed-Retractible Quote: 22.65 – 22.93
Spot Rate : 0.2800
Average : 0.2071

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.65
Bid-YTW : 6.15 %
EML.PR.A FixedReset Quote: 26.30 – 26.59
Spot Rate : 0.2900
Average : 0.2173

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-04-17
Maturity Price : 25.00
Evaluated at bid price : 26.30
Bid-YTW : 4.28 %
MFC.PR.C Deemed-Retractible Quote: 22.05 – 22.30
Spot Rate : 0.2500
Average : 0.1896

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.05
Bid-YTW : 6.49 %

Posted in Market Action | No Comments »

March 24, 2017

Friday, March 24th, 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 0.0586 % 2,061.1
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.0586 % 3,782.0
Floater 3.69 % 3.83 % 49,416 17.78 4 0.0586 % 2,179.6
OpRet 0.00 % 0.00 % 0 0.00 0 0.1764 % 3,018.9
SplitShare 4.93 % 4.03 % 62,555 0.70 6 0.1764 % 3,605.3
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.1764 % 2,813.0
Perpetual-Premium 5.34 % -1.97 % 69,385 0.09 20 0.2152 % 2,753.7
Perpetual-Discount 5.17 % 5.20 % 104,268 15.08 16 0.0185 % 2,921.1
FixedReset 4.44 % 4.18 % 244,320 6.66 94 0.0864 % 2,326.6
Deemed-Retractible 5.05 % 1.39 % 138,116 0.17 31 -0.0648 % 2,851.3
FloatingReset 2.49 % 3.28 % 57,894 4.57 9 0.0371 % 2,497.4
Performance Highlights
Issue Index Change Notes
CU.PR.E Perpetual-Discount -1.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-03-24
Maturity Price : 23.17
Evaluated at bid price : 23.61
Bid-YTW : 5.22 %
ELF.PR.F Perpetual-Discount 1.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-03-24
Maturity Price : 24.62
Evaluated at bid price : 24.88
Bid-YTW : 5.41 %
BIP.PR.A FixedReset 1.25 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-03-24
Maturity Price : 22.72
Evaluated at bid price : 23.56
Bid-YTW : 4.96 %
VNR.PR.A FixedReset 1.37 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-03-24
Maturity Price : 21.40
Evaluated at bid price : 21.40
Bid-YTW : 4.77 %
Volume Highlights
Issue Index Shares
Traded		 Notes
RY.PR.J FixedReset 108,000 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-03-24
Maturity Price : 22.50
Evaluated at bid price : 23.13
Bid-YTW : 4.18 %
BMO.PR.C FixedReset 78,435 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-05-25
Maturity Price : 25.00
Evaluated at bid price : 25.25
Bid-YTW : 4.34 %
TRP.PR.D FixedReset 74,966 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-03-24
Maturity Price : 21.66
Evaluated at bid price : 22.10
Bid-YTW : 4.12 %
RY.PR.H FixedReset 74,221 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-03-24
Maturity Price : 21.69
Evaluated at bid price : 22.15
Bid-YTW : 3.96 %
RY.PR.Z FixedReset 68,580 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-03-24
Maturity Price : 21.66
Evaluated at bid price : 22.10
Bid-YTW : 3.92 %
BAM.PF.H FixedReset 46,700 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2020-12-31
Maturity Price : 25.00
Evaluated at bid price : 26.23
Bid-YTW : 3.58 %
There were 28 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
CU.PR.I FixedReset Quote: 26.01 – 26.47
Spot Rate : 0.4600
Average : 0.3253

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2020-12-01
Maturity Price : 25.00
Evaluated at bid price : 26.01
Bid-YTW : 3.42 %
PVS.PR.D SplitShare Quote: 25.50 – 25.95
Spot Rate : 0.4500
Average : 0.3413

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2021-10-08
Maturity Price : 25.00
Evaluated at bid price : 25.50
Bid-YTW : 4.08 %
BNS.PR.H FixedReset Quote: 26.21 – 26.49
Spot Rate : 0.2800
Average : 0.1827

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-01-26
Maturity Price : 25.00
Evaluated at bid price : 26.21
Bid-YTW : 3.94 %
HSE.PR.C FixedReset Quote: 23.06 – 23.33
Spot Rate : 0.2700
Average : 0.1968

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-03-24
Maturity Price : 22.50
Evaluated at bid price : 23.06
Bid-YTW : 4.70 %
GWO.PR.N FixedReset Quote: 15.90 – 16.15
Spot Rate : 0.2500
Average : 0.1808

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 15.90
Bid-YTW : 8.87 %
PWF.PR.K Perpetual-Discount Quote: 24.11 – 24.35
Spot Rate : 0.2400
Average : 0.1769

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-03-24
Maturity Price : 23.86
Evaluated at bid price : 24.11
Bid-YTW : 5.20 %

Posted in Market Action | No Comments »

March 23, 2017

Thursday, March 23rd, 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 0.5106 % 2,059.9
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.5106 % 3,779.8
Floater 3.69 % 3.83 % 50,101 17.78 4 0.5106 % 2,178.3
OpRet 0.00 % 0.00 % 0 0.00 0 0.0588 % 3,013.6
SplitShare 4.94 % 4.01 % 62,641 0.70 6 0.0588 % 3,598.9
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0588 % 2,808.0
Perpetual-Premium 5.36 % 1.78 % 69,948 0.09 20 -0.0450 % 2,747.7
Perpetual-Discount 5.17 % 5.21 % 96,563 15.06 16 0.0928 % 2,920.6
FixedReset 4.44 % 4.18 % 245,522 6.66 94 0.2456 % 2,324.6
Deemed-Retractible 5.05 % 2.61 % 139,179 0.17 31 0.0994 % 2,853.2
FloatingReset 2.49 % 3.28 % 57,135 4.58 9 0.0848 % 2,496.4
Performance Highlights
Issue Index Change Notes
IAG.PR.A Deemed-Retractible 1.06 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.89
Bid-YTW : 5.98 %
PWF.PR.S Perpetual-Discount 1.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-03-23
Maturity Price : 23.27
Evaluated at bid price : 23.72
Bid-YTW : 5.11 %
MFC.PR.M FixedReset 1.22 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.62
Bid-YTW : 5.89 %
BAM.PR.C Floater 1.32 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-03-23
Maturity Price : 12.30
Evaluated at bid price : 12.30
Bid-YTW : 3.84 %
IFC.PR.C FixedReset 1.40 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.80
Bid-YTW : 5.58 %
HSE.PR.A FixedReset 2.18 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-03-23
Maturity Price : 15.91
Evaluated at bid price : 15.91
Bid-YTW : 4.44 %
Volume Highlights
Issue Index Shares
Traded		 Notes
RY.PR.J FixedReset 160,700 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-03-23
Maturity Price : 22.47
Evaluated at bid price : 23.08
Bid-YTW : 4.19 %
BMO.PR.C FixedReset 131,055 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-05-25
Maturity Price : 25.00
Evaluated at bid price : 25.25
Bid-YTW : 4.34 %
BMO.PR.T FixedReset 94,000 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-03-23
Maturity Price : 21.58
Evaluated at bid price : 21.98
Bid-YTW : 3.97 %
RY.PR.H FixedReset 64,426 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-03-23
Maturity Price : 21.69
Evaluated at bid price : 22.15
Bid-YTW : 3.96 %
BAM.PR.X FixedReset 57,110 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-03-23
Maturity Price : 16.22
Evaluated at bid price : 16.22
Bid-YTW : 4.64 %
BAM.PR.N Perpetual-Discount 53,700 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-03-23
Maturity Price : 22.35
Evaluated at bid price : 22.62
Bid-YTW : 5.26 %
There were 24 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
PVS.PR.D SplitShare Quote: 25.35 – 25.70
Spot Rate : 0.3500
Average : 0.2222

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2021-10-08
Maturity Price : 25.00
Evaluated at bid price : 25.35
Bid-YTW : 4.23 %
RY.PR.M FixedReset Quote: 22.91 – 23.28
Spot Rate : 0.3700
Average : 0.2518

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-03-23
Maturity Price : 22.32
Evaluated at bid price : 22.91
Bid-YTW : 4.11 %
BNS.PR.R FixedReset Quote: 24.53 – 24.82
Spot Rate : 0.2900
Average : 0.1740

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.53
Bid-YTW : 3.91 %
MFC.PR.K FixedReset Quote: 20.90 – 21.23
Spot Rate : 0.3300
Average : 0.2201

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.90
Bid-YTW : 6.19 %
BAM.PR.K Floater Quote: 12.26 – 12.61
Spot Rate : 0.3500
Average : 0.2404

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-03-23
Maturity Price : 12.26
Evaluated at bid price : 12.26
Bid-YTW : 3.85 %
MFC.PR.L FixedReset Quote: 20.89 – 21.21
Spot Rate : 0.3200
Average : 0.2134

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.89
Bid-YTW : 6.23 %

Posted in Market Action | No Comments »

March 22, 2017

Wednesday, March 22nd, 2017

Profits from High Frequency Trading are getting harder to come by:

Revenues at HFT firms from U.S. equities trading were an estimated $1.1 billion last year, down from $7.2 billion in 2009, according to research firm Tabb Group.
…
Such strategies are more successful when markets are volatile, because big price swings offer traders more opportunities to capture profits. But volatility has come down drastically since the years just after the global financial crisis. The CBOE Volatility Index, or VIX, a measure of U.S. stock market volatility, has averaged just 11.6 so far this year, down from 24.2 in 2011, according to the WSJ Market Data Group.
…
It is an expensive arms race. When many high-speed traders got their start in the 2000s, the leading technology for transmitting data was fiber-optic cable.

But starting in 2010, the speediest firms began to use microwave networks, shaving milliseconds off the time it takes to transmit information on routes such as the Chicago-New York corridor. Upgrading to microwave networks—and later millimeter-wave and laser technology—added to the costs, traders say. All this hurt HFT firms’ bottom lines just as slumping volatility was eroding their top-line revenues.
…
HFT firms also grumble about mounting costs for the market data they buy from operators like the New York Stock Exchange and Nasdaq Inc., as well as for co-location, the practice of putting a computer server directly in the exchange’s data center to cut down the time it takes to execute trades.

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 widening from the 260bp reported March 15.

HIMIPref™ Preferred Indices
These values reflect the December 2008 revision of the HIMIPref™ Indices
Values are provisional and are finalized monthly
Index Mean
Current
Yield
(at bid)		 Median
YTW		 Median
Average
Trading
Value		 Median
Mod Dur
(YTW)		 Issues Day’s Perf. Index Value
Ratchet 0.00 % 0.00 % 0 0.00 0 -1.8315 % 2,049.4
FixedFloater 0.00 % 0.00 % 0 0.00 0 -1.8315 % 3,760.6
Floater 3.71 % 3.85 % 51,846 17.75 4 -1.8315 % 2,167.2
OpRet 0.00 % 0.00 % 0 0.00 0 -0.0457 % 3,011.9
SplitShare 4.94 % 4.00 % 63,484 0.70 6 -0.0457 % 3,596.8
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.0457 % 2,806.4
Perpetual-Premium 5.35 % 4.67 % 70,595 0.09 20 -0.0376 % 2,749.0
Perpetual-Discount 5.18 % 5.21 % 95,994 15.06 16 -0.3558 % 2,917.9
FixedReset 4.45 % 4.20 % 246,848 6.66 94 -0.7144 % 2,318.9
Deemed-Retractible 5.06 % 2.95 % 140,857 0.18 31 -0.3130 % 2,850.3
FloatingReset 2.49 % 3.27 % 52,890 4.58 9 -0.1006 % 2,494.3
Performance Highlights
Issue Index Change Notes
PWF.PR.A Floater -3.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-03-22
Maturity Price : 14.30
Evaluated at bid price : 14.30
Bid-YTW : 3.33 %
MFC.PR.M FixedReset -2.33 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.36
Bid-YTW : 6.07 %
SLF.PR.H FixedReset -2.29 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.61
Bid-YTW : 6.61 %
MFC.PR.N FixedReset -2.21 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.28
Bid-YTW : 6.06 %
IAG.PR.G FixedReset -2.16 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.61
Bid-YTW : 5.57 %
CU.PR.C FixedReset -2.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-03-22
Maturity Price : 21.51
Evaluated at bid price : 21.51
Bid-YTW : 4.21 %
MFC.PR.I FixedReset -1.91 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.54
Bid-YTW : 5.67 %
PWF.PR.S Perpetual-Discount -1.84 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-03-22
Maturity Price : 23.03
Evaluated at bid price : 23.45
Bid-YTW : 5.17 %
MFC.PR.K FixedReset -1.84 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.82
Bid-YTW : 6.24 %
MFC.PR.G FixedReset -1.81 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.83
Bid-YTW : 5.36 %
SLF.PR.G FixedReset -1.76 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 16.18
Bid-YTW : 8.76 %
PWF.PR.T FixedReset -1.65 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-03-22
Maturity Price : 22.34
Evaluated at bid price : 22.67
Bid-YTW : 4.02 %
HSE.PR.A FixedReset -1.64 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-03-22
Maturity Price : 15.57
Evaluated at bid price : 15.57
Bid-YTW : 4.53 %
MFC.PR.L FixedReset -1.61 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.79
Bid-YTW : 6.30 %
BAM.PR.B Floater -1.53 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-03-22
Maturity Price : 12.22
Evaluated at bid price : 12.22
Bid-YTW : 3.86 %
RY.PR.J FixedReset -1.46 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-03-22
Maturity Price : 22.42
Evaluated at bid price : 23.01
Bid-YTW : 4.21 %
MFC.PR.F 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 : 9.39 %
SLF.PR.I FixedReset -1.40 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.60
Bid-YTW : 5.37 %
TD.PF.B FixedReset -1.39 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-03-22
Maturity Price : 21.56
Evaluated at bid price : 21.95
Bid-YTW : 4.01 %
BMO.PR.S FixedReset -1.38 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-03-22
Maturity Price : 21.70
Evaluated at bid price : 22.15
Bid-YTW : 4.03 %
IFC.PR.C FixedReset -1.38 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.50
Bid-YTW : 5.79 %
RY.PR.M FixedReset -1.37 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-03-22
Maturity Price : 22.36
Evaluated at bid price : 22.99
Bid-YTW : 4.09 %
TD.PF.A FixedReset -1.34 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-03-22
Maturity Price : 21.86
Evaluated at bid price : 22.10
Bid-YTW : 3.99 %
CU.PR.I FixedReset -1.32 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2020-12-01
Maturity Price : 25.00
Evaluated at bid price : 26.15
Bid-YTW : 3.26 %
BNS.PR.Y FixedReset -1.31 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.55
Bid-YTW : 4.27 %
BAM.PR.C Floater -1.30 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-03-22
Maturity Price : 12.14
Evaluated at bid price : 12.14
Bid-YTW : 3.89 %
BIP.PR.A FixedReset -1.28 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-03-22
Maturity Price : 22.50
Evaluated at bid price : 23.15
Bid-YTW : 5.06 %
MFC.PR.J FixedReset -1.28 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.41
Bid-YTW : 5.50 %
BAM.PR.K Floater -1.21 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-03-22
Maturity Price : 12.26
Evaluated at bid price : 12.26
Bid-YTW : 3.85 %
MFC.PR.H FixedReset -1.19 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.10
Bid-YTW : 4.91 %
VNR.PR.A FixedReset -1.18 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-03-22
Maturity Price : 21.00
Evaluated at bid price : 21.00
Bid-YTW : 4.86 %
POW.PR.D Perpetual-Discount -1.17 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-03-22
Maturity Price : 23.63
Evaluated at bid price : 23.90
Bid-YTW : 5.23 %
RY.PR.H FixedReset -1.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-03-22
Maturity Price : 21.67
Evaluated at bid price : 22.11
Bid-YTW : 3.97 %
RY.PR.Z FixedReset -1.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-03-22
Maturity Price : 21.67
Evaluated at bid price : 22.11
Bid-YTW : 3.92 %
IAG.PR.A Deemed-Retractible -1.05 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.65
Bid-YTW : 6.14 %
Volume Highlights
Issue Index Shares
Traded		 Notes
BMO.PR.C FixedReset 278,289 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-05-25
Maturity Price : 25.00
Evaluated at bid price : 25.26
Bid-YTW : 4.33 %
TD.PF.G FixedReset 115,567 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-04-30
Maturity Price : 25.00
Evaluated at bid price : 26.95
Bid-YTW : 3.66 %
IAG.PR.G FixedReset 92,662 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.61
Bid-YTW : 5.57 %
POW.PR.D Perpetual-Discount 53,314 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-03-22
Maturity Price : 23.63
Evaluated at bid price : 23.90
Bid-YTW : 5.23 %
RY.PR.I FixedReset 41,883 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.48
Bid-YTW : 3.83 %
BNS.PR.P FixedReset 41,627 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.75
Bid-YTW : 3.61 %
There were 48 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: 16.18 – 16.73
Spot Rate : 0.5500
Average : 0.3483

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 16.18
Bid-YTW : 8.76 %
PWF.PR.A Floater Quote: 14.30 – 15.00
Spot Rate : 0.7000
Average : 0.5048

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-03-22
Maturity Price : 14.30
Evaluated at bid price : 14.30
Bid-YTW : 3.33 %
IFC.PR.C FixedReset Quote: 21.50 – 21.79
Spot Rate : 0.2900
Average : 0.1880

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.50
Bid-YTW : 5.79 %
GWO.PR.S Deemed-Retractible Quote: 25.10 – 25.38
Spot Rate : 0.2800
Average : 0.1792

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 25.10
Bid-YTW : 5.20 %
SLF.PR.H FixedReset Quote: 19.61 – 19.94
Spot Rate : 0.3300
Average : 0.2319

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.61
Bid-YTW : 6.61 %
PWF.PR.S Perpetual-Discount Quote: 23.45 – 23.70
Spot Rate : 0.2500
Average : 0.1584

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-03-22
Maturity Price : 23.03
Evaluated at bid price : 23.45
Bid-YTW : 5.17 %

Posted in Market Action | No Comments »

BAM.PR.T : No Conversion to FloatingReset

Wednesday, March 22nd, 2017

Brookfield Asset Management Inc. has announced:

that after having taken into account all election notices received by the March 16, 2017 deadline for the conversion of the Cumulative Class A Preference Shares, Series 26 (the “Series 26 Shares”) (TSX: BAM.PR.T) into Cumulative Class A Preference Shares, Series 27 (the “Series 27 Shares”), the holders of Series 26 Shares are not entitled to convert their Series 26 Shares into Series 27 Shares. There were 183,036 Series 26 Shares tendered for conversion, which is less than the one million shares required to give effect to conversions into Series 27 Shares.

Assiduous Readers will remember that I recommended against conversion after the reset to 3.471% for BAM.PR.T.

So BAM.PR.T is now a FixedReset, 3.471%+231. It is tracked by HIMIPref™ and is assigned to the FixedReset subindex.

Posted in Issue Comments | No Comments »

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