What causes high tuition? The same thing that drives high house prices, according to David O. Lucca, Taylor Nadauld, and Karen Shen of the New York Fed:
When students fund their education through loans, changes in student borrowing and tuition are interlinked. Higher tuition costs raise loan demand, but loan supply also affects equilibrium tuition costs—for example, by relaxing students’ funding constraints. To resolve this simultaneity problem, we exploit detailed student-level financial data and changes in federal student aid programs to identify the impact of increased student loan funding on tuition. We find that institutions more exposed to changes in the subsidized federal loan program increased their tuition disproportionately around these policy changes, with a sizable pass-through effect on tuition of about 65 percent. We also find that Pell Grant aid and the unsubsidized federal loan program have pass-through effects on tuition, although these are economically and statistically not as strong. The subsidized loan effect on tuition is most pronounced for expensive, private institutions that are somewhat, but not among the most, selective.
Bloomberg provides estimates of R&D spending by country for the period 2007-12:
Click for Big
Way to go, Canada! Significantly below the world average while our biggest trading partner is well above the world average! That’s what I call an economic action plan!
The CD Howe Institute has published Mortgage Insurance as a Macroprudential Tool: Dealing with the Risk of a Housing Market Crash in Canad:
Our recommendations:
- • Redesign the government backstop to focus on events that include a severe housing crash along with rising unemployment. The backstop should be organized as a standalone fund that accumulates reserves in advance of a housing crisis up to a target level and has the capacity to borrow against future revenue if needed.
- • The Financial Institutions Supervisory Committee (FISC) should oversee the backstop fund, particularly its pricing policy, accumulation of reserves and target level for reserves.
- • Mortgage insurance backstop should be available only for the residential ownership market.
Click for BigI can’t say I’m particularly impressed. To me, the most insidious part of government insurance is the bloating of bank balance sheets as illustrated by their chart above. The reduction of the risk-weight assigned to mortgages when they are government insured has contributed to this bloating, but this effect is not discussed in their paper.
Separately, they are calling for no BoC rate cuts, with a slow rise to 1.00% (from 0.75%) over the next year, but there are some dissenting doves:
While the majority of Council members called for the overnight rate target to stay at 0.75 percent next week and in September, four called for the Bank of Canada to cut its target to 0.50 percent next week and hold it there in September. By January 2016, five members called for 0.75 percent and three for 0.50 percent, while three called for an increase to 1.00 percent. By July 2016, three members called for 0.75 percent and one for 0.50 percent, with the majority of members calling for an increase (four looking for 1.00 percent and three for 1.25 percent).
The split between members favouring no change and those favouring a cut, and the gradual pace of increases envisioned even by those favouring rate hikes over the coming year, reflected disappointment about recent Canadian growth, and concern that the disinflationary output gap in the Canadian economy will take time to close. Several members commented on divergent indicators, and although Labour Force Survey measures of employment growth are inevitably volatile, more than one member suggested that Friday’s employment figures should affect the Bank’s interest-rate decision.
Meanwhile the IMF has cut growth projections:
In its quarterly World Economic Outlook update released Thursday morning, the IMF forecast that Canada’s real gross domestic product would grow just 1.5 per cent this year, down sharply from 2.2 per cent in its April outlook. It’s the third successive quarter that the global financial body has reduced its 2015 forecast for Canada, and by far its most drastic reduction – reflecting mounting evidence that the Canadian economy dramatically underperformed expectations in the second quarter of the year.
Thomson Reuters Corporation, proud issuer of TRI.PR.B, was confirmed at Pfd-3(high) by DBRS:
DBRS Limited (DBRS) has confirmed Thomson Reuters Corporation’s (Thomson Reuters or the Company) Issuer Rating as well as its Unsecured Medium-Term Notes and Unsecured Debentures ratings at BBB (high). DBRS has also confirmed Thomson Reuters’ Commercial Paper rating at R-2 (high) and its Preferred Shares rating at Pfd-3 (high). All trends are Stable. The ratings continue to reflect the Company’s well-entrenched market position, the diverse nature of its customer base and its strong free cash flow-generating capacity. The rating confirmations also consider intensifying competition, the need for constant innovation and the risks associated with the Company’s ongoing acquisitions and divestitures.
…
Going forward, DBRS expects that revenue growth will be flat in 2015 as continued weakness in the Financial & Risk segment is likely to offset modest growth across all other divisions. DBRS expects the Company to complete its legacy product and platform migrations in 2015 that are likely to position Financial & Risk to return to a positive growth path in 2016. EBITDA margins are expected to be constrained (around 27%) in 2015 as the Company’s revenue growth from migration of key products and platforms in Financial & Risk is likely to be temporarily curbed by the pricing dynamics of new offerings.As recorded in the publication The Dreadful Story of the Preferred Share Market, there was once an investor who hoped the market would be on fire today:
Click for BigEditor’s Note: This story is adapted from The Dreadful Story of the Matches, part of the excellent StruwwelPeter; a collection of cautionary tales for children.
Managing Editor’s Note: If you liked “The Producers” or other such mockery, you will also enjoy StruwwelHitler, which is not available on-line but can be purchased from Amazon. It’s hilarious 1940 British propaganda.
Publisher’s note: Hitler and Nazism should be mocked more often. I often think we’re doing ourselves a disservice by demonizing Hitler, for all that he’s the top western candidate from the twentieth century. By demonizing him, we’re separating ourselves from him and we would do better to remember that he was, at bottom, just another politician; one who was able to expose and exploit the demon that resides in all of us to some extent. Golding got it right in Lord of the Flies; but of course there are relatively few people alive today who knew him mainly from newsreels and newspapers of the thirties.
President’s note: All of this moral philosophy is a whole lot more fun than looking at the preferred share market’s returns, I assure you!
The Canadian preferred share market got whacked again today, with PerpetualDiscounts down 137bp, FixedResets losing 175bp and DeemedRetractibles off 35bp. Floaters got destroyed – for those who are keeping track, this means that total return since January 6, 2010 has been negative, although there’s a long way to go yet before we hit the depths of the Credit Crunch. As one might guess, the Performance Highlights table is enormous, with five issues losing over 5% on the day – a figure that is normally indicative of a reporting or quotation problem, as opposed to a market problem. Volume was extremely high.
Who knows how much longer this will last? The market was reasonably firm in the afternoon after a precipitous morning decline, as shown by the chart of CPD for the day:
Click for Big… but now I suspect that people are selling simply because the market has gone down. With long corporates still yielding about 3.95%, the Seniority Spread is at about 300bp, which makes PerpetualDiscounts look cheap … and yet TD came out with a new issue today!
For as long as the FixedReset market is so violently unsettled, I’ll keep publishing updates of the more interesting and meaningful series of FixedResets’ Implied Volatilities. This doesn’t include Enbridge because although Enbridge has a large number of issues outstanding, all of which are quite liquid, the range of Issue Reset Spreads is too small for decent conclusions. The low is 212bp (ENB.PR.H; second-lowest is ENB.PR.D at 237bp) and the high is a mere 268 for ENB.PF.G.
Remember that all rich /cheap assessments are:
» based on Implied Volatility Theory only
» are relative only to other FixedResets from the same issuer
» assume constant GOC-5 yield
» assume constant Implied Volatility
» assume constant spreadHere’s TRP:
Click for BigTRP.PR.B, which resets 2020-6-30 at +128, is bid at 14.56 to be $0.36 rich, while TRP.PR.C, resetting 2016-1-30 at +154, is $0.50 cheap at its bid price of 15.55.
Click for BigAnother excellent fit, but the numbers are perplexing. Implied Volatility for MFC continues to be a conundrum. It is still too high if we consider that NVCC rules will never apply to these issues; it is still too low if we consider them to be NVCC non-compliant issues (and therefore with Deemed Maturities in the call schedule).
Most expensive is MFC.PR.F, resetting at +141bp on 2016-6-19, bid at 17.00 to be $0.94 rich, while MFC.PR.K, resetting at +222bp on 2018-9-19, is bid at 20.50 to be $0.94 cheap.
Click for BigThe cheapest issue relative to its peers is BAM.PF.B, resetting at +263bp on 2019-3-31, bid at 19.96 to be $0.92 cheap. BAM.PR.X, resetting at +180bp 2017-6-30 is bid at 16.47 and appears to be $0.76 rich.
Click for BigFTS.PR.K, with a spread of +205bp, and bid at 21.24, looks $0.48 expensive and resets 2019-3-1. FTS.PR.M, with a spread of +248bp and resetting 2019-12-1, is bid at 22.40 and is $0.44 cheap.
Note that there has been a very sharp rise in calculated implied volatility lately; that is that the lower-spread issues strongly outperformed their higher-spread siblings. The current calculated level of implied volatility is currently unreasonably high; reversion to a lower level will imply underperformance of the lower-spread issues.
Click for BigI’ve had to change the scale on the chart since so many of the break-even rates went negative today!
Investment-grade pairs predict an average three-month bill yield over the next five-odd years of -0.02% (which seems a little extreme!). On the junk side, one of the six pairs is an outlier, with an implied rate exceeding 1.00%.
Click for BigShall we just say that this exhibits a high level of confidence in the continued rapacity of Canadian banks?
HIMIPref™ Preferred Indices
These values reflect the December 2008 revision of the HIMIPref™ Indices
Values are provisional and are finalized monthlyIndex Mean
Current
Yield
(at bid)Median
YTWMedian
Average
Trading
ValueMedian
Mod Dur
(YTW)Issues Day’s Perf. Index Value Ratchet 0.00 % 0.00 % 0 0.00 0 -6.9710 % 1,961.7 FixedFloater 0.00 % 0.00 % 0 0.00 0 -6.9710 % 3,429.9 Floater 3.95 % 3.98 % 59,130 17.50 3 -6.9710 % 2,085.4 OpRet 0.00 % 0.00 % 0 0.00 0 0.4324 % 2,760.7 SplitShare 4.61 % 4.90 % 68,816 3.22 3 0.4324 % 3,235.4 Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.4324 % 2,524.4 Perpetual-Premium 5.51 % 3.74 % 66,320 0.08 13 -0.2673 % 2,513.4 Perpetual-Discount 5.42 % 5.35 % 92,475 14.84 21 -1.3662 % 2,643.0 FixedReset 4.70 % 3.82 % 219,660 16.10 88 -1.7469 % 2,238.3 Deemed-Retractible 5.02 % 3.68 % 106,150 0.79 34 -0.3477 % 2,623.0 FloatingReset 2.53 % 3.18 % 56,355 6.07 10 -1.3034 % 2,278.2
Performance Highlights Issue Index Change Notes BAM.PR.B Floater -7.25 % This is reasonably accurate; the low for the day was equal to the close at 12.95, with most of the last twenty-five trades being a few pennies above 13.00.
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-07-09
Maturity Price : 12.79
Evaluated at bid price : 12.79
Bid-YTW : 3.92 %BAM.PR.C Floater -7.06 % This is also reasonable, as late-afternoon weakness took almost all of the last twenty-five trades of the day to or below 12.75.
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-07-09
Maturity Price : 12.50
Evaluated at bid price : 12.50
Bid-YTW : 4.01 %BAM.PR.K Floater -6.59 % Reasonable, given that the low was also the close for the day at 12.82, although there were few trades in the afternoon when the price of Floaters (see above) simply collapsed.
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-07-09
Maturity Price : 12.61
Evaluated at bid price : 12.61
Bid-YTW : 3.98 %NA.PR.S FixedReset -5.46 % Nothing wrong with the closing bid of 21.98; a lot of trades in the late afternoon were well below this figure, with a low for the day of 21.76.
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-07-09
Maturity Price : 21.68
Evaluated at bid price : 21.98
Bid-YTW : 3.76 %ENB.PR.N FixedReset -5.42 % Yep, there were lots of trades in the last two minutes near the closing bid of 17.45, and the low for the day was 17.22.
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-07-09
Maturity Price : 17.45
Evaluated at bid price : 17.45
Bid-YTW : 5.12 %ENB.PR.P FixedReset -4.83 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-07-09
Maturity Price : 16.95
Evaluated at bid price : 16.95
Bid-YTW : 5.10 %TD.PF.A FixedReset -4.76 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-07-09
Maturity Price : 21.00
Evaluated at bid price : 21.00
Bid-YTW : 3.80 %NA.PR.W FixedReset -4.73 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-07-09
Maturity Price : 20.96
Evaluated at bid price : 20.96
Bid-YTW : 3.82 %MFC.PR.K FixedReset -4.65 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.50
Bid-YTW : 5.82 %ENB.PR.Y FixedReset -4.60 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-07-09
Maturity Price : 16.60
Evaluated at bid price : 16.60
Bid-YTW : 5.10 %BAM.PR.M Perpetual-Discount -4.56 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-07-09
Maturity Price : 19.90
Evaluated at bid price : 19.90
Bid-YTW : 6.02 %BAM.PF.E FixedReset -4.53 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-07-09
Maturity Price : 21.07
Evaluated at bid price : 21.07
Bid-YTW : 4.28 %RY.PR.Z FixedReset -4.49 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-07-09
Maturity Price : 21.38
Evaluated at bid price : 21.69
Bid-YTW : 3.67 %MFC.PR.J FixedReset -4.14 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.40
Bid-YTW : 4.44 %BAM.PF.D Perpetual-Discount -4.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-07-09
Maturity Price : 20.57
Evaluated at bid price : 20.57
Bid-YTW : 6.01 %CU.PR.E Perpetual-Discount -3.91 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-07-09
Maturity Price : 22.78
Evaluated at bid price : 23.11
Bid-YTW : 5.35 %RY.PR.H FixedReset -3.89 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-07-09
Maturity Price : 21.25
Evaluated at bid price : 21.25
Bid-YTW : 3.81 %BAM.PR.N Perpetual-Discount -3.85 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-07-09
Maturity Price : 20.00
Evaluated at bid price : 20.00
Bid-YTW : 5.99 %BAM.PF.C Perpetual-Discount -3.79 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-07-09
Maturity Price : 20.30
Evaluated at bid price : 20.30
Bid-YTW : 6.03 %CU.PR.D Perpetual-Discount -3.78 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-07-09
Maturity Price : 22.81
Evaluated at bid price : 23.14
Bid-YTW : 5.35 %ENB.PR.T FixedReset -3.71 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-07-09
Maturity Price : 17.15
Evaluated at bid price : 17.15
Bid-YTW : 5.06 %VNR.PR.A FixedReset -3.66 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-07-09
Maturity Price : 21.66
Evaluated at bid price : 22.10
Bid-YTW : 4.12 %BAM.PF.B FixedReset -3.62 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-07-09
Maturity Price : 19.96
Evaluated at bid price : 19.96
Bid-YTW : 4.49 %BAM.PF.G FixedReset -3.53 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-07-09
Maturity Price : 21.91
Evaluated at bid price : 22.39
Bid-YTW : 4.27 %BAM.PR.R FixedReset -3.48 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-07-09
Maturity Price : 18.05
Evaluated at bid price : 18.05
Bid-YTW : 4.41 %HSE.PR.E FixedReset -3.46 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-07-09
Maturity Price : 22.39
Evaluated at bid price : 23.17
Bid-YTW : 4.70 %TRP.PR.A FixedReset -3.37 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-07-09
Maturity Price : 18.94
Evaluated at bid price : 18.94
Bid-YTW : 3.74 %TD.PF.E FixedReset -3.25 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-07-09
Maturity Price : 22.81
Evaluated at bid price : 24.11
Bid-YTW : 3.69 %BAM.PR.X FixedReset -3.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-07-09
Maturity Price : 16.47
Evaluated at bid price : 16.47
Bid-YTW : 4.22 %PWF.PR.P FixedReset -3.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-07-09
Maturity Price : 17.13
Evaluated at bid price : 17.13
Bid-YTW : 3.50 %TD.PF.B FixedReset -3.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-07-09
Maturity Price : 21.21
Evaluated at bid price : 21.21
Bid-YTW : 3.76 %TRP.PR.F FloatingReset -3.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-07-09
Maturity Price : 18.04
Evaluated at bid price : 18.04
Bid-YTW : 3.40 %HSE.PR.C FixedReset -2.96 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-07-09
Maturity Price : 22.07
Evaluated at bid price : 22.61
Bid-YTW : 4.46 %IFC.PR.A FixedReset -2.91 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.00
Bid-YTW : 6.49 %ENB.PR.H FixedReset -2.79 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-07-09
Maturity Price : 15.70
Evaluated at bid price : 15.70
Bid-YTW : 4.97 %ENB.PR.F FixedReset -2.73 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-07-09
Maturity Price : 16.75
Evaluated at bid price : 16.75
Bid-YTW : 5.13 %ENB.PF.C FixedReset -2.73 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-07-09
Maturity Price : 18.19
Evaluated at bid price : 18.19
Bid-YTW : 5.10 %SLF.PR.H FixedReset -2.71 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.10
Bid-YTW : 5.79 %MFC.PR.M FixedReset -2.59 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.48
Bid-YTW : 5.48 %ENB.PF.E FixedReset -2.40 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-07-09
Maturity Price : 18.30
Evaluated at bid price : 18.30
Bid-YTW : 5.10 %SLF.PR.I FixedReset -2.36 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.03
Bid-YTW : 4.16 %BNS.PR.D FloatingReset -2.26 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.06
Bid-YTW : 3.48 %IAG.PR.G FixedReset -2.25 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.30
Bid-YTW : 4.15 %BAM.PR.T FixedReset -2.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-07-09
Maturity Price : 19.00
Evaluated at bid price : 19.00
Bid-YTW : 4.25 %TD.PF.C FixedReset -2.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-07-09
Maturity Price : 21.09
Evaluated at bid price : 21.09
Bid-YTW : 3.77 %IFC.PR.C FixedReset -2.13 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.02
Bid-YTW : 5.15 %ENB.PR.D FixedReset -2.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-07-09
Maturity Price : 16.54
Evaluated at bid price : 16.54
Bid-YTW : 4.99 %BMO.PR.T FixedReset -2.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-07-09
Maturity Price : 21.32
Evaluated at bid price : 21.32
Bid-YTW : 3.78 %SLF.PR.C Deemed-Retractible -2.11 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.30
Bid-YTW : 6.00 %ENB.PF.A FixedReset -2.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-07-09
Maturity Price : 18.22
Evaluated at bid price : 18.22
Bid-YTW : 5.09 %CM.PR.Q FixedReset -2.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-07-09
Maturity Price : 22.86
Evaluated at bid price : 24.20
Bid-YTW : 3.58 %MFC.PR.L FixedReset -2.00 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.02
Bid-YTW : 5.59 %BNS.PR.B FloatingReset -1.99 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.19
Bid-YTW : 3.37 %BAM.PF.F FixedReset -1.98 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-07-09
Maturity Price : 22.21
Evaluated at bid price : 22.80
Bid-YTW : 4.16 %ENB.PF.G FixedReset -1.91 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-07-09
Maturity Price : 18.44
Evaluated at bid price : 18.44
Bid-YTW : 5.10 %GWO.PR.I Deemed-Retractible -1.90 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.77
Bid-YTW : 5.77 %TRP.PR.G FixedReset -1.82 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-07-09
Maturity Price : 22.88
Evaluated at bid price : 24.30
Bid-YTW : 3.78 %MFC.PR.G FixedReset -1.79 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.75
Bid-YTW : 3.95 %PWF.PR.T FixedReset -1.76 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-07-09
Maturity Price : 22.93
Evaluated at bid price : 24.07
Bid-YTW : 3.35 %TRP.PR.C FixedReset -1.58 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-07-09
Maturity Price : 15.55
Evaluated at bid price : 15.55
Bid-YTW : 3.76 %BMO.PR.S FixedReset -1.57 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-07-09
Maturity Price : 21.62
Evaluated at bid price : 21.90
Bid-YTW : 3.75 %SLF.PR.B Deemed-Retractible -1.51 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.53
Bid-YTW : 5.65 %SLF.PR.E Deemed-Retractible -1.48 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.66
Bid-YTW : 5.84 %HSE.PR.A FixedReset -1.46 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-07-09
Maturity Price : 15.55
Evaluated at bid price : 15.55
Bid-YTW : 4.17 %BMO.PR.W FixedReset -1.45 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-07-09
Maturity Price : 21.10
Evaluated at bid price : 21.10
Bid-YTW : 3.79 %BAM.PF.A FixedReset -1.43 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-07-09
Maturity Price : 21.73
Evaluated at bid price : 22.00
Bid-YTW : 4.33 %SLF.PR.D Deemed-Retractible -1.33 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.31
Bid-YTW : 5.99 %TD.PR.Z FloatingReset -1.30 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.45
Bid-YTW : 3.16 %PWF.PR.L Perpetual-Discount -1.25 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-07-09
Maturity Price : 24.21
Evaluated at bid price : 24.50
Bid-YTW : 5.20 %CM.PR.O FixedReset -1.18 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-07-09
Maturity Price : 21.41
Evaluated at bid price : 21.74
Bid-YTW : 3.72 %SLF.PR.G FixedReset -1.15 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 16.40
Bid-YTW : 7.32 %PWF.PR.R Perpetual-Premium -1.13 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2020-04-30
Maturity Price : 25.25
Evaluated at bid price : 25.46
Bid-YTW : 5.20 %MFC.PR.H FixedReset -1.12 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2017-03-19
Maturity Price : 25.00
Evaluated at bid price : 25.51
Bid-YTW : 3.52 %CU.PR.F Perpetual-Discount -1.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-07-09
Maturity Price : 21.67
Evaluated at bid price : 22.00
Bid-YTW : 5.16 %RY.PR.K FloatingReset -1.12 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.93
Bid-YTW : 3.17 %BNS.PR.A FloatingReset -1.11 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.95
Bid-YTW : 3.18 %BNS.PR.Y FixedReset -1.07 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.26
Bid-YTW : 3.69 %BMO.PR.R FloatingReset -1.05 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.60
Bid-YTW : 3.12 %RY.PR.J FixedReset -1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-07-09
Maturity Price : 22.85
Evaluated at bid price : 24.15
Bid-YTW : 3.59 %PVS.PR.B SplitShare 1.02 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2019-01-10
Maturity Price : 25.00
Evaluated at bid price : 24.77
Bid-YTW : 4.78 %HSE.PR.G FixedReset 1.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-07-09
Maturity Price : 22.84
Evaluated at bid price : 24.15
Bid-YTW : 4.47 %GWO.PR.N FixedReset 1.09 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 16.70
Bid-YTW : 7.03 %FTS.PR.M FixedReset 1.82 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-07-09
Maturity Price : 21.94
Evaluated at bid price : 22.40
Bid-YTW : 3.83 %
Volume Highlights Issue Index Shares
TradedNotes BMO.PR.S FixedReset 223,171 RBC crossed six blocks totalling 145,200 shares, all at 21.90.
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-07-09
Maturity Price : 21.62
Evaluated at bid price : 21.90
Bid-YTW : 3.75 %TD.PF.D FixedReset 146,020 Desjardins crossed 29,700 at 24.10; RBC crossed blocks of 50,000 and 25,000 at the same price.
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-07-09
Maturity Price : 22.77
Evaluated at bid price : 24.00
Bid-YTW : 3.62 %TRP.PR.D FixedReset 131,131 RBC Crossed three blocks of 25,000 each, all at 21.55.
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-07-09
Maturity Price : 21.31
Evaluated at bid price : 21.31
Bid-YTW : 3.88 %FTS.PR.M FixedReset 82,714 RBC crossed blocks of 23,800 at 24,500, both at 22.85.
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-07-09
Maturity Price : 21.94
Evaluated at bid price : 22.40
Bid-YTW : 3.83 %CM.PR.O FixedReset 79,049 RBC crossed 46,700 at 21.65.
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-07-09
Maturity Price : 21.41
Evaluated at bid price : 21.74
Bid-YTW : 3.72 %RY.PR.Z FixedReset 70,757 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-07-09
Maturity Price : 21.38
Evaluated at bid price : 21.69
Bid-YTW : 3.67 %There were 70 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights Issue Index Quote Data and Yield Notes MFC.PR.K FixedReset Quote: 20.50 – 22.64
Spot Rate : 2.1400
Average : 1.2800YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.50
Bid-YTW : 5.82 %SLF.PR.I FixedReset Quote: 24.03 – 24.90
Spot Rate : 0.8700
Average : 0.5897YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.03
Bid-YTW : 4.16 %TRP.PR.F FloatingReset Quote: 18.04 – 18.82
Spot Rate : 0.7800
Average : 0.5253YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-07-09
Maturity Price : 18.04
Evaluated at bid price : 18.04
Bid-YTW : 3.40 %PWF.PR.P FixedReset Quote: 17.13 – 17.70
Spot Rate : 0.5700
Average : 0.3623YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-07-09
Maturity Price : 17.13
Evaluated at bid price : 17.13
Bid-YTW : 3.50 %SLF.PR.H FixedReset Quote: 20.10 – 20.75
Spot Rate : 0.6500
Average : 0.4463YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.10
Bid-YTW : 5.79 %RY.PR.J FixedReset Quote: 24.15 – 24.75
Spot Rate : 0.6000
Average : 0.4000YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2045-07-09
Maturity Price : 22.85
Evaluated at bid price : 24.15
Bid-YTW : 3.59 %
