February 28, 2017

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

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

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

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

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

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

And that’s a wrap for another month!

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

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

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.51
Bid-YTW : 5.21 %

SLF.PR.H FixedReset Quote: 19.45 – 19.73
Spot Rate : 0.2800
Average : 0.1725

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.45
Bid-YTW : 6.77 %

MFC.PR.K FixedReset Quote: 21.00 – 21.28
Spot Rate : 0.2800
Average : 0.1776

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.00
Bid-YTW : 5.97 %

BAM.PR.T FixedReset Quote: 18.99 – 19.22
Spot Rate : 0.2300
Average : 0.1498

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-02-28
Maturity Price : 18.99
Evaluated at bid price : 18.99
Bid-YTW : 4.55 %

HSE.PR.E FixedReset Quote: 23.80 – 24.14
Spot Rate : 0.3400
Average : 0.2602

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-02-28
Maturity Price : 22.87
Evaluated at bid price : 23.80
Bid-YTW : 4.89 %

BMO.PR.R FloatingReset Quote: 23.81 – 24.05
Spot Rate : 0.2400
Average : 0.1625

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

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