February 21, 2017

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

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

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

The Globe republished a housing affordability index from Fitch:

houseaffordability_170221
Click for Big

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

HIMIPref™ Preferred Indices
These values reflect the December 2008 revision of the HIMIPref™ Indices

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

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-02-21
Maturity Price : 22.58
Evaluated at bid price : 23.39
Bid-YTW : 4.25 %

TRP.PR.H FloatingReset Quote: 13.30 – 13.66
Spot Rate : 0.3600
Average : 0.2311

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-02-21
Maturity Price : 13.30
Evaluated at bid price : 13.30
Bid-YTW : 3.34 %

GWO.PR.N FixedReset Quote: 15.49 – 15.86
Spot Rate : 0.3700
Average : 0.2668

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 15.49
Bid-YTW : 9.22 %

BAM.PF.G FixedReset Quote: 24.33 – 24.60
Spot Rate : 0.2700
Average : 0.1849

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-02-21
Maturity Price : 23.07
Evaluated at bid price : 24.33
Bid-YTW : 4.13 %

BNS.PR.D FloatingReset Quote: 21.49 – 21.76
Spot Rate : 0.2700
Average : 0.1943

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.49
Bid-YTW : 4.65 %

BMO.PR.Y FixedReset Quote: 23.98 – 24.23
Spot Rate : 0.2500
Average : 0.1806

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

2 Responses to “February 21, 2017”

  1. pmac2015 says:

    Question about SLF-K/H preferred shares. I believe they are what you refer to as a Strong Pair. I’m wondering why there is such a huge gap recently in their prices, nearly 10%? Only thing I can think of is perhaps lower liquidity in SLF-K?

  2. liuyun88 says:

    Try buying SLF K and you will know. As President Trump would say, it’s fake offers.

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