May 27, 2017

Janet Yellen did some modest sabre-rattling:

Federal Reserve Chair Janet Yellen said the ongoing improvement in the U.S. economy would warrant another interest rate increase “in the coming months,” stopping short of giving an explicit hint that the central bank would act in June.

“It’s appropriate — and I’ve said this in the past — for the Fed to gradually and cautiously increase our overnight interest rate over time,” Yellen said Friday during remarks at Harvard University in Cambridge, Massachusetts. “Probably in the coming months such a move would be appropriate.”

“The economy is continuing to improve,” she said in a discussion with Harvard economics professor Gregory Mankiw. She added that she expects “inflation will move up over the next couple of years to our 2 percent objective,” provided headwinds holding down price pressures, including energy prices and a stronger dollar, stabilize alongside an improving labor market.

Several regional Fed presidents, ranging from Boston Fed President Eric Rosengren to San Francisco’s John Williams, have in recent weeks urged financial market participants to take more seriously the chances of a rate hike in the next two months, pointing to continued signs of steady if unspectacular growth in the U.S. economy and the waning of risks posed by global economic and financial conditions.

hikeChance_160527
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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 4.64 % 5.62 % 10,825 17.16 1 0.7328 % 1,706.1
FixedFloater 6.51 % 5.65 % 17,890 16.89 1 3.5461 % 3,106.0
Floater 4.34 % 4.46 % 42,921 16.43 4 1.6321 % 1,790.8
OpRet 0.00 % 0.00 % 0 0.00 0 -0.0489 % 2,832.8
SplitShare 4.94 % 5.18 % 80,930 3.92 7 -0.0489 % 3,314.9
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.0489 % 2,586.4
Perpetual-Premium 5.74 % -14.32 % 86,088 0.09 6 0.1375 % 2,607.2
Perpetual-Discount 5.44 % 5.54 % 106,458 14.53 33 0.2040 % 2,697.2
FixedReset 5.15 % 4.65 % 165,326 7.42 88 0.4436 % 1,989.5
Deemed-Retractible 5.10 % 5.61 % 129,747 4.99 33 0.1107 % 2,691.2
FloatingReset 3.17 % 4.99 % 25,906 5.26 17 0.0215 % 2,108.1
Performance Highlights
Issue Index Change Notes
PWF.PR.Q FloatingReset -3.69 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-05-27
Maturity Price : 12.52
Evaluated at bid price : 12.52
Bid-YTW : 4.33 %
IAG.PR.A Deemed-Retractible -1.79 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.90
Bid-YTW : 6.65 %
HSE.PR.B FloatingReset -1.40 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-05-27
Maturity Price : 10.60
Evaluated at bid price : 10.60
Bid-YTW : 5.46 %
BMO.PR.T FixedReset -1.37 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-05-27
Maturity Price : 18.01
Evaluated at bid price : 18.01
Bid-YTW : 4.41 %
BNS.PR.R FixedReset -1.27 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.35
Bid-YTW : 4.60 %
CIU.PR.C FixedReset -1.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-05-27
Maturity Price : 12.00
Evaluated at bid price : 12.00
Bid-YTW : 4.47 %
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 : 19.51
Bid-YTW : 6.88 %
BAM.PF.G FixedReset 1.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-05-27
Maturity Price : 20.01
Evaluated at bid price : 20.01
Bid-YTW : 4.84 %
TRP.PR.F FloatingReset 1.18 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-05-27
Maturity Price : 13.61
Evaluated at bid price : 13.61
Bid-YTW : 4.53 %
BAM.PF.E FixedReset 1.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-05-27
Maturity Price : 18.52
Evaluated at bid price : 18.52
Bid-YTW : 4.88 %
BAM.PR.X FixedReset 1.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-05-27
Maturity Price : 14.02
Evaluated at bid price : 14.02
Bid-YTW : 4.89 %
BAM.PF.A FixedReset 1.26 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-05-27
Maturity Price : 19.29
Evaluated at bid price : 19.29
Bid-YTW : 4.98 %
BMO.PR.Q FixedReset 1.30 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.26
Bid-YTW : 5.98 %
TRP.PR.G FixedReset 1.31 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-05-27
Maturity Price : 19.30
Evaluated at bid price : 19.30
Bid-YTW : 4.88 %
TRP.PR.H FloatingReset 1.36 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-05-27
Maturity Price : 10.45
Evaluated at bid price : 10.45
Bid-YTW : 4.37 %
BAM.PF.B FixedReset 1.36 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-05-27
Maturity Price : 17.85
Evaluated at bid price : 17.85
Bid-YTW : 5.03 %
TD.PF.D FixedReset 1.46 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-05-27
Maturity Price : 20.10
Evaluated at bid price : 20.10
Bid-YTW : 4.48 %
NA.PR.Q FixedReset 1.47 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.15
Bid-YTW : 4.08 %
BAM.PR.B Floater 1.51 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-05-27
Maturity Price : 10.73
Evaluated at bid price : 10.73
Bid-YTW : 4.46 %
BAM.PR.K Floater 1.92 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-05-27
Maturity Price : 10.61
Evaluated at bid price : 10.61
Bid-YTW : 4.51 %
HSE.PR.E FixedReset 1.92 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-05-27
Maturity Price : 19.62
Evaluated at bid price : 19.62
Bid-YTW : 5.68 %
BAM.PF.F FixedReset 1.99 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-05-27
Maturity Price : 19.95
Evaluated at bid price : 19.95
Bid-YTW : 4.83 %
BIP.PR.B FixedReset 2.30 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2020-12-31
Maturity Price : 25.00
Evaluated at bid price : 25.19
Bid-YTW : 5.22 %
IFC.PR.A FixedReset 2.58 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 15.91
Bid-YTW : 9.16 %
BNS.PR.Y FixedReset 2.60 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.51
Bid-YTW : 5.58 %
BNS.PR.Z FixedReset 2.72 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.41
Bid-YTW : 5.98 %
BAM.PR.Z FixedReset 3.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-05-27
Maturity Price : 19.50
Evaluated at bid price : 19.50
Bid-YTW : 4.99 %
BAM.PR.T FixedReset 3.21 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-05-27
Maturity Price : 15.75
Evaluated at bid price : 15.75
Bid-YTW : 5.08 %
BAM.PR.G FixedFloater 3.55 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-05-27
Maturity Price : 25.00
Evaluated at bid price : 14.60
Bid-YTW : 5.65 %
BAM.PR.C Floater 3.82 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-05-27
Maturity Price : 10.60
Evaluated at bid price : 10.60
Bid-YTW : 4.51 %
Volume Highlights
Issue Index Shares
Traded
Notes
TRP.PR.J FixedReset 91,027 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-05-31
Maturity Price : 25.00
Evaluated at bid price : 25.70
Bid-YTW : 4.88 %
TD.PF.G FixedReset 86,663 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-04-30
Maturity Price : 25.00
Evaluated at bid price : 26.12
Bid-YTW : 4.59 %
BNS.PR.G FixedReset 58,250 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-07-25
Maturity Price : 25.00
Evaluated at bid price : 26.15
Bid-YTW : 4.76 %
BAM.PF.H FixedReset 57,633 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2020-12-31
Maturity Price : 25.00
Evaluated at bid price : 26.07
Bid-YTW : 4.18 %
BAM.PR.M Perpetual-Discount 43,100 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-05-27
Maturity Price : 20.83
Evaluated at bid price : 20.83
Bid-YTW : 5.80 %
MFC.PR.F FixedReset 41,095 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 13.85
Bid-YTW : 10.01 %
There were 23 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
GWO.PR.M Deemed-Retractible Believe it or not, the actual quote for GWO.PR.M, sold to me at an enormous price by the Exchange, was 25.55-55.13, 8×2. See the picture below for proof! I have not checked whether this lamentable state of affairs is due to inadequate Toronto Stock Exchange reporting or inadequate Toronto Stock Exchange supervision of market-makers.

Quote: 25.55 – 27.55
Spot Rate : 2.0000
Average : 1.1139

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2018-03-31
Maturity Price : 25.25
Evaluated at bid price : 25.55
Bid-YTW : 5.62 %

PWF.PR.T FixedReset Quote: 21.56 – 22.67
Spot Rate : 1.1100
Average : 0.6563

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-05-27
Maturity Price : 21.27
Evaluated at bid price : 21.56
Bid-YTW : 3.83 %

BAM.PF.G FixedReset Quote: 20.01 – 20.87
Spot Rate : 0.8600
Average : 0.5903

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-05-27
Maturity Price : 20.01
Evaluated at bid price : 20.01
Bid-YTW : 4.84 %

CM.PR.Q FixedReset Quote: 20.06 – 20.65
Spot Rate : 0.5900
Average : 0.3605

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-05-27
Maturity Price : 20.06
Evaluated at bid price : 20.06
Bid-YTW : 4.49 %

PWF.PR.Q FloatingReset Quote: 12.52 – 13.39
Spot Rate : 0.8700
Average : 0.6542

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-05-27
Maturity Price : 12.52
Evaluated at bid price : 12.52
Bid-YTW : 4.33 %

BAM.PR.Z FixedReset Quote: 19.50 – 19.95
Spot Rate : 0.4500
Average : 0.3057

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-05-27
Maturity Price : 19.50
Evaluated at bid price : 19.50
Bid-YTW : 4.99 %

GWOPRM_160527
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