Archive for the ‘Market Action’ Category

November 17, 2017

Friday, November 17th, 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 -0.2829 % 2,465.4
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.2829 % 4,524.0
Floater 3.67 % 3.91 % 96,700 17.57 3 -0.2829 % 2,607.2
OpRet 0.00 % 0.00 % 0 0.00 0 0.0982 % 3,098.5
SplitShare 4.71 % 4.67 % 48,463 4.29 6 0.0982 % 3,700.3
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0982 % 2,887.1
Perpetual-Premium 5.35 % 4.68 % 55,309 2.23 20 0.0924 % 2,837.2
Perpetual-Discount 5.22 % 5.25 % 67,770 15.05 15 0.1477 % 3,006.9
FixedReset 4.23 % 4.23 % 151,459 4.31 98 0.0421 % 2,493.6
Deemed-Retractible 5.03 % 5.38 % 88,741 5.93 30 0.1178 % 2,935.6
FloatingReset 2.78 % 2.83 % 41,374 3.97 8 0.0217 % 2,684.7
Performance Highlights
Issue Index Change Notes
MFC.PR.F FixedReset -1.37 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.05
Bid-YTW : 7.79 %
BMO.PR.T FixedReset 1.18 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-11-17
Maturity Price : 22.78
Evaluated at bid price : 23.15
Bid-YTW : 4.21 %
Volume Highlights
Issue Index Shares
Traded
Notes
RY.PR.Q FixedReset 414,067 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-05-24
Maturity Price : 25.00
Evaluated at bid price : 26.74
Bid-YTW : 3.37 %
TD.PF.G FixedReset 194,110 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-04-30
Maturity Price : 25.00
Evaluated at bid price : 26.72
Bid-YTW : 3.46 %
HSB.PR.D Deemed-Retractible 88,869 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2017-12-17
Maturity Price : 25.00
Evaluated at bid price : 25.25
Bid-YTW : 0.82 %
BAM.PF.I FixedReset 83,876 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-03-31
Maturity Price : 25.00
Evaluated at bid price : 26.18
Bid-YTW : 3.80 %
RY.PR.C Deemed-Retractible 71,430 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2017-12-17
Maturity Price : 25.00
Evaluated at bid price : 25.30
Bid-YTW : -10.70 %
BAM.PR.R FixedReset 68,400 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-11-17
Maturity Price : 20.40
Evaluated at bid price : 20.40
Bid-YTW : 4.69 %
There were 21 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
MFC.PR.M FixedReset Quote: 23.55 – 24.11
Spot Rate : 0.5600
Average : 0.4352

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.55
Bid-YTW : 5.09 %

W.PR.M FixedReset Quote: 26.40 – 26.75
Spot Rate : 0.3500
Average : 0.2269

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-10-15
Maturity Price : 25.00
Evaluated at bid price : 26.40
Bid-YTW : 3.80 %

MFC.PR.H FixedReset Quote: 25.36 – 25.78
Spot Rate : 0.4200
Average : 0.3002

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-03-19
Maturity Price : 25.00
Evaluated at bid price : 25.36
Bid-YTW : 4.65 %

W.PR.K FixedReset Quote: 26.04 – 26.50
Spot Rate : 0.4600
Average : 0.3488

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-01-15
Maturity Price : 25.00
Evaluated at bid price : 26.04
Bid-YTW : 4.02 %

MFC.PR.F FixedReset Quote: 18.05 – 18.35
Spot Rate : 0.3000
Average : 0.1986

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.05
Bid-YTW : 7.79 %

MFC.PR.G FixedReset Quote: 24.65 – 25.00
Spot Rate : 0.3500
Average : 0.2612

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-12-19
Maturity Price : 25.00
Evaluated at bid price : 24.65
Bid-YTW : 4.46 %

November 16, 2017

Thursday, November 16th, 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 0.4372 % 2,472.4
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.4372 % 4,536.8
Floater 3.66 % 3.91 % 97,573 17.56 3 0.4372 % 2,614.6
OpRet 0.00 % 0.00 % 0 0.00 0 0.1245 % 3,095.5
SplitShare 4.71 % 4.69 % 50,462 4.29 6 0.1245 % 3,696.7
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.1245 % 2,884.3
Perpetual-Premium 5.36 % 4.69 % 44,793 2.24 20 0.0236 % 2,834.6
Perpetual-Discount 5.23 % 5.26 % 70,555 15.02 15 0.0654 % 3,002.4
FixedReset 4.23 % 4.22 % 145,257 4.31 99 0.1650 % 2,492.6
Deemed-Retractible 5.03 % 5.39 % 88,596 5.93 30 -0.0452 % 2,932.1
FloatingReset 2.78 % 2.84 % 42,008 3.97 8 0.2827 % 2,684.1
Performance Highlights
Issue Index Change Notes
BNS.PR.D FloatingReset 1.14 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.14
Bid-YTW : 3.91 %
PWF.PR.A Floater 1.19 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-11-16
Maturity Price : 17.05
Evaluated at bid price : 17.05
Bid-YTW : 3.30 %
Volume Highlights
Issue Index Shares
Traded
Notes
HSB.PR.C Deemed-Retractible 404,327 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2017-12-16
Maturity Price : 25.00
Evaluated at bid price : 25.25
Bid-YTW : 0.91 %
W.PR.M FixedReset 376,380 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-10-15
Maturity Price : 25.00
Evaluated at bid price : 26.45
Bid-YTW : 3.74 %
HSB.PR.D Deemed-Retractible 114,975 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2017-12-16
Maturity Price : 25.00
Evaluated at bid price : 25.25
Bid-YTW : 0.65 %
MFC.PR.O FixedReset 109,547 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-06-19
Maturity Price : 25.00
Evaluated at bid price : 27.01
Bid-YTW : 3.49 %
BNS.PR.E FixedReset 95,983 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-04-25
Maturity Price : 25.00
Evaluated at bid price : 26.94
Bid-YTW : 3.21 %
RY.PR.Q FixedReset 87,413 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-05-24
Maturity Price : 25.00
Evaluated at bid price : 26.85
Bid-YTW : 3.24 %
There were 14 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: 24.15 – 24.78
Spot Rate : 0.6300
Average : 0.4271

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-11-16
Maturity Price : 23.04
Evaluated at bid price : 24.15
Bid-YTW : 4.66 %

PVS.PR.B SplitShare Quote: 25.35 – 25.87
Spot Rate : 0.5200
Average : 0.3237

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2019-01-10
Maturity Price : 25.00
Evaluated at bid price : 25.35
Bid-YTW : 3.87 %

NA.PR.W FixedReset Quote: 22.67 – 22.99
Spot Rate : 0.3200
Average : 0.2067

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-11-16
Maturity Price : 22.32
Evaluated at bid price : 22.67
Bid-YTW : 4.32 %

HSE.PR.C FixedReset Quote: 24.52 – 24.80
Spot Rate : 0.2800
Average : 0.1898

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-11-16
Maturity Price : 23.37
Evaluated at bid price : 24.52
Bid-YTW : 4.85 %

GWO.PR.I Deemed-Retractible Quote: 22.31 – 22.65
Spot Rate : 0.3400
Average : 0.2603

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.31
Bid-YTW : 6.53 %

BMO.PR.T FixedReset Quote: 22.88 – 23.18
Spot Rate : 0.3000
Average : 0.2409

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-11-16
Maturity Price : 22.52
Evaluated at bid price : 22.88
Bid-YTW : 4.26 %

November 15, 2017

Thursday, November 16th, 2017

PerpetualDiscounts now yield 5.26%, equivalent to 6.84% interest at the standard equivalency factor of 1.3x. Long corporates now yield a little under 3.80%, so the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) is now about 305bp, unchanged from November 8.

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 0.9711 % 2,461.7
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.9711 % 4,517.0
Floater 3.67 % 3.90 % 99,104 17.59 3 0.9711 % 2,603.2
OpRet 0.00 % 0.00 % 0 0.00 0 -0.2679 % 3,091.6
SplitShare 4.72 % 4.68 % 52,505 4.29 6 -0.2679 % 3,692.1
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.2679 % 2,880.7
Perpetual-Premium 5.36 % 4.72 % 45,286 0.13 20 -0.0275 % 2,834.0
Perpetual-Discount 5.23 % 5.26 % 73,352 15.03 15 -0.1221 % 3,000.5
FixedReset 4.24 % 4.25 % 144,703 4.47 99 -0.1266 % 2,488.5
Deemed-Retractible 5.03 % 5.38 % 89,615 5.93 30 -0.0287 % 2,933.5
FloatingReset 2.79 % 2.85 % 42,448 3.97 8 -0.0272 % 2,676.6
Performance Highlights
Issue Index Change Notes
PVS.PR.F SplitShare -1.57 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2024-09-30
Maturity Price : 25.00
Evaluated at bid price : 25.10
Bid-YTW : 4.88 %
BIP.PR.A FixedReset -1.26 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-11-15
Maturity Price : 23.13
Evaluated at bid price : 24.20
Bid-YTW : 5.30 %
PWF.PR.A Floater 1.51 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-11-15
Maturity Price : 16.85
Evaluated at bid price : 16.85
Bid-YTW : 3.32 %
Volume Highlights
Issue Index Shares
Traded
Notes
HSB.PR.D Deemed-Retractible 747,864 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2017-12-15
Maturity Price : 25.00
Evaluated at bid price : 25.25
Bid-YTW : 0.49 %
BNS.PR.H FixedReset 632,800 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-01-26
Maturity Price : 25.00
Evaluated at bid price : 26.30
Bid-YTW : 3.59 %
NA.PR.X FixedReset 103,571 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-05-15
Maturity Price : 25.00
Evaluated at bid price : 26.64
Bid-YTW : 3.61 %
BNS.PR.R FixedReset 101,800 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 25.05
Bid-YTW : 3.63 %
TD.PF.B FixedReset 81,090 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-11-15
Maturity Price : 22.91
Evaluated at bid price : 23.30
Bid-YTW : 4.22 %
CM.PR.R FixedReset 77,712 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-07-31
Maturity Price : 25.00
Evaluated at bid price : 25.64
Bid-YTW : 3.87 %
There were 28 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
PVS.PR.F SplitShare Quote: 25.10 – 25.50
Spot Rate : 0.4000
Average : 0.3011

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2024-09-30
Maturity Price : 25.00
Evaluated at bid price : 25.10
Bid-YTW : 4.88 %

PWF.PR.O Perpetual-Premium Quote: 25.91 – 26.20
Spot Rate : 0.2900
Average : 0.2034

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2017-12-15
Maturity Price : 25.25
Evaluated at bid price : 25.91
Bid-YTW : -21.58 %

NA.PR.X FixedReset Quote: 26.64 – 26.92
Spot Rate : 0.2800
Average : 0.2052

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-05-15
Maturity Price : 25.00
Evaluated at bid price : 26.64
Bid-YTW : 3.61 %

BMO.PR.T FixedReset Quote: 22.95 – 23.20
Spot Rate : 0.2500
Average : 0.1761

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-11-15
Maturity Price : 22.59
Evaluated at bid price : 22.95
Bid-YTW : 4.25 %

CU.PR.I FixedReset Quote: 25.85 – 26.23
Spot Rate : 0.3800
Average : 0.3067

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2020-12-01
Maturity Price : 25.00
Evaluated at bid price : 25.85
Bid-YTW : 3.27 %

BAM.PF.B FixedReset Quote: 23.80 – 24.00
Spot Rate : 0.2000
Average : 0.1341

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-11-15
Maturity Price : 23.35
Evaluated at bid price : 23.80
Bid-YTW : 4.54 %

November 14, 2017

Tuesday, November 14th, 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 -0.1543 % 2,438.0
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.1543 % 4,473.6
Floater 3.71 % 3.93 % 98,093 17.53 3 -0.1543 % 2,578.2
OpRet 0.00 % 0.00 % 0 0.00 0 0.3278 % 3,099.9
SplitShare 4.70 % 4.60 % 52,916 4.29 6 0.3278 % 3,702.0
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.3278 % 2,888.4
Perpetual-Premium 5.36 % 2.43 % 45,572 0.09 20 -0.1335 % 2,834.7
Perpetual-Discount 5.23 % 5.24 % 74,234 15.06 15 -0.0114 % 3,004.2
FixedReset 4.23 % 4.22 % 143,729 4.44 99 0.0013 % 2,491.6
Deemed-Retractible 5.03 % 5.38 % 90,828 5.94 30 -0.0342 % 2,934.3
FloatingReset 2.79 % 2.82 % 42,457 3.98 8 -0.0489 % 2,677.3
Performance Highlights
Issue Index Change Notes
BAM.PF.E FixedReset 1.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-11-14
Maturity Price : 22.95
Evaluated at bid price : 23.75
Bid-YTW : 4.47 %
PVS.PR.F SplitShare 1.15 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2024-09-30
Maturity Price : 25.00
Evaluated at bid price : 25.50
Bid-YTW : 4.60 %
TRP.PR.G FixedReset 1.68 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-11-14
Maturity Price : 23.06
Evaluated at bid price : 24.21
Bid-YTW : 4.64 %
Volume Highlights
Issue Index Shares
Traded
Notes
HSB.PR.D Deemed-Retractible 194,400 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2017-12-14
Maturity Price : 25.00
Evaluated at bid price : 25.25
Bid-YTW : 0.32 %
BNS.PR.R FixedReset 104,500 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 25.09
Bid-YTW : 3.59 %
NA.PR.A FixedReset 101,100 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-08-15
Maturity Price : 25.00
Evaluated at bid price : 26.73
Bid-YTW : 3.44 %
IFC.PR.F Deemed-Retractible 48,401 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 25.10
Bid-YTW : 5.49 %
GWO.PR.L Deemed-Retractible 21,300 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2017-12-31
Maturity Price : 25.25
Evaluated at bid price : 25.81
Bid-YTW : -6.05 %
BNS.PR.A FloatingReset 19,642 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2018-04-25
Maturity Price : 25.00
Evaluated at bid price : 24.85
Bid-YTW : 3.07 %
There were 17 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
TRP.PR.F FloatingReset Quote: 19.75 – 20.18
Spot Rate : 0.4300
Average : 0.2848

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-11-14
Maturity Price : 19.75
Evaluated at bid price : 19.75
Bid-YTW : 3.65 %

TRP.PR.A FixedReset Quote: 20.35 – 20.69
Spot Rate : 0.3400
Average : 0.2374

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-11-14
Maturity Price : 20.35
Evaluated at bid price : 20.35
Bid-YTW : 4.42 %

PWF.PR.T FixedReset Quote: 23.90 – 24.25
Spot Rate : 0.3500
Average : 0.2546

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-11-14
Maturity Price : 23.41
Evaluated at bid price : 23.90
Bid-YTW : 4.23 %

GWO.PR.N FixedReset Quote: 18.33 – 18.69
Spot Rate : 0.3600
Average : 0.2680

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.33
Bid-YTW : 7.49 %

EML.PR.A FixedReset Quote: 26.75 – 27.00
Spot Rate : 0.2500
Average : 0.1626

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-04-17
Maturity Price : 25.00
Evaluated at bid price : 26.75
Bid-YTW : 3.71 %

PWF.PR.F Perpetual-Discount Quote: 24.80 – 25.08
Spot Rate : 0.2800
Average : 0.1958

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-11-14
Maturity Price : 24.55
Evaluated at bid price : 24.80
Bid-YTW : 5.33 %

November 13, 2017

Monday, November 13th, 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 0.4204 % 2,441.8
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.4204 % 4,480.5
Floater 3.70 % 3.93 % 96,219 17.54 3 0.4204 % 2,582.1
OpRet 0.00 % 0.00 % 0 0.00 0 -0.0721 % 3,089.8
SplitShare 4.72 % 4.62 % 53,589 4.30 6 -0.0721 % 3,689.9
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.0721 % 2,879.0
Perpetual-Premium 5.35 % 1.75 % 45,932 0.09 20 0.0491 % 2,838.5
Perpetual-Discount 5.23 % 5.24 % 73,426 15.05 15 0.0966 % 3,004.5
FixedReset 4.23 % 4.20 % 144,802 4.32 99 0.0198 % 2,491.6
Deemed-Retractible 5.03 % 5.39 % 92,148 5.94 30 -0.0164 % 2,935.3
FloatingReset 2.79 % 2.85 % 43,761 3.98 8 0.2833 % 2,678.6
Performance Highlights
Issue Index Change Notes
TRP.PR.G FixedReset -2.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-11-13
Maturity Price : 22.88
Evaluated at bid price : 23.81
Bid-YTW : 4.73 %
SLF.PR.G FixedReset 1.03 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.60
Bid-YTW : 7.49 %
TRP.PR.F FloatingReset 1.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-11-13
Maturity Price : 19.90
Evaluated at bid price : 19.90
Bid-YTW : 3.63 %
Volume Highlights
Issue Index Shares
Traded
Notes
MFC.PR.O FixedReset 105,005 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-06-19
Maturity Price : 25.00
Evaluated at bid price : 26.96
Bid-YTW : 3.54 %
TRP.PR.K FixedReset 71,550 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-05-31
Maturity Price : 25.00
Evaluated at bid price : 26.56
Bid-YTW : 3.66 %
SLF.PR.D Deemed-Retractible 51,303 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.91
Bid-YTW : 6.78 %
TD.PF.G FixedReset 50,672 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-04-30
Maturity Price : 25.00
Evaluated at bid price : 26.72
Bid-YTW : 3.45 %
CM.PR.P FixedReset 30,300 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-11-13
Maturity Price : 23.09
Evaluated at bid price : 23.40
Bid-YTW : 4.16 %
BMO.PR.S FixedReset 24,130 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-11-13
Maturity Price : 23.45
Evaluated at bid price : 23.86
Bid-YTW : 4.18 %
There were 5 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
MFC.PR.G FixedReset Quote: 24.50 – 24.96
Spot Rate : 0.4600
Average : 0.3462

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-12-19
Maturity Price : 25.00
Evaluated at bid price : 24.50
Bid-YTW : 4.61 %

BMO.PR.R FloatingReset Quote: 24.63 – 24.91
Spot Rate : 0.2800
Average : 0.1932

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.63
Bid-YTW : 2.85 %

PVS.PR.B SplitShare Quote: 25.24 – 25.62
Spot Rate : 0.3800
Average : 0.2970

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2019-01-10
Maturity Price : 25.00
Evaluated at bid price : 25.24
Bid-YTW : 4.23 %

BAM.PR.X FixedReset Quote: 17.80 – 18.07
Spot Rate : 0.2700
Average : 0.1897

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-11-13
Maturity Price : 17.80
Evaluated at bid price : 17.80
Bid-YTW : 4.67 %

CU.PR.G Perpetual-Discount Quote: 21.90 – 22.25
Spot Rate : 0.3500
Average : 0.2704

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-11-13
Maturity Price : 21.57
Evaluated at bid price : 21.90
Bid-YTW : 5.13 %

GWO.PR.I Deemed-Retractible Quote: 22.35 – 22.64
Spot Rate : 0.2900
Average : 0.2112

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.35
Bid-YTW : 6.49 %

November 10, 2017

Friday, November 10th, 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 0.3330 % 2,431.5
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.3330 % 4,461.8
Floater 3.72 % 3.95 % 96,428 17.49 3 0.3330 % 2,571.3
OpRet 0.00 % 0.00 % 0 0.00 0 0.1904 % 3,092.0
SplitShare 4.72 % 4.68 % 53,206 4.31 6 0.1904 % 3,692.5
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.1904 % 2,881.1
Perpetual-Premium 5.35 % 1.68 % 46,350 0.14 20 -0.0726 % 2,837.1
Perpetual-Discount 5.23 % 5.24 % 73,797 15.06 15 -0.0596 % 3,001.6
FixedReset 4.23 % 4.22 % 146,441 4.33 99 0.0311 % 2,491.1
Deemed-Retractible 5.03 % 5.36 % 93,328 5.94 30 0.0794 % 2,935.8
FloatingReset 2.80 % 2.92 % 44,511 3.98 8 -0.0925 % 2,671.0
Performance Highlights
Issue Index Change Notes
SLF.PR.G FixedReset -1.55 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.41
Bid-YTW : 7.65 %
CU.PR.F Perpetual-Discount -1.18 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-11-10
Maturity Price : 21.48
Evaluated at bid price : 21.76
Bid-YTW : 5.17 %
Volume Highlights
Issue Index Shares
Traded
Notes
TRP.PR.J FixedReset 156,600 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-05-31
Maturity Price : 25.00
Evaluated at bid price : 26.87
Bid-YTW : 3.58 %
BMO.PR.S FixedReset 114,933 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-11-10
Maturity Price : 23.52
Evaluated at bid price : 23.93
Bid-YTW : 4.16 %
TRP.PR.K FixedReset 103,437 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-05-31
Maturity Price : 25.00
Evaluated at bid price : 26.45
Bid-YTW : 3.75 %
CM.PR.R FixedReset 88,072 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-07-31
Maturity Price : 25.00
Evaluated at bid price : 25.50
Bid-YTW : 3.99 %
BMO.PR.T FixedReset 79,225 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-11-10
Maturity Price : 22.73
Evaluated at bid price : 23.10
Bid-YTW : 4.22 %
NA.PR.C FixedReset 72,930 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-11-15
Maturity Price : 25.00
Evaluated at bid price : 25.63
Bid-YTW : 3.90 %
There were 18 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
MFC.PR.H FixedReset Quote: 25.30 – 25.60
Spot Rate : 0.3000
Average : 0.1769

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-03-19
Maturity Price : 25.00
Evaluated at bid price : 25.30
Bid-YTW : 4.69 %

TD.PF.E FixedReset Quote: 24.61 – 24.87
Spot Rate : 0.2600
Average : 0.1752

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2020-10-31
Maturity Price : 25.00
Evaluated at bid price : 24.61
Bid-YTW : 4.32 %

W.PR.H Perpetual-Premium Quote: 25.07 – 25.33
Spot Rate : 0.2600
Average : 0.1833

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-11-10
Maturity Price : 24.84
Evaluated at bid price : 25.07
Bid-YTW : 5.54 %

IFC.PR.F Deemed-Retractible Quote: 25.00 – 25.21
Spot Rate : 0.2100
Average : 0.1335

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 25.00
Bid-YTW : 5.55 %

PVS.PR.B SplitShare Quote: 25.27 – 25.55
Spot Rate : 0.2800
Average : 0.2060

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2019-01-10
Maturity Price : 25.00
Evaluated at bid price : 25.27
Bid-YTW : 4.10 %

CU.PR.F Perpetual-Discount Quote: 21.76 – 22.12
Spot Rate : 0.3600
Average : 0.2881

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-11-10
Maturity Price : 21.48
Evaluated at bid price : 21.76
Bid-YTW : 5.17 %

November 9, 2017

Thursday, November 9th, 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 -0.1773 % 2,423.5
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.1773 % 4,446.9
Floater 3.73 % 3.97 % 95,770 17.46 3 -0.1773 % 2,562.8
OpRet 0.00 % 0.00 % 0 0.00 0 0.0197 % 3,086.2
SplitShare 4.73 % 4.73 % 54,070 4.31 6 0.0197 % 3,685.5
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0197 % 2,875.6
Perpetual-Premium 5.35 % 0.34 % 46,982 0.09 20 0.0020 % 2,839.2
Perpetual-Discount 5.23 % 5.24 % 74,331 15.07 15 -0.1531 % 3,003.4
FixedReset 4.23 % 4.16 % 145,208 4.33 99 0.0093 % 2,490.3
Deemed-Retractible 5.03 % 5.33 % 96,997 5.95 30 0.0027 % 2,933.5
FloatingReset 2.75 % 2.81 % 45,633 3.99 8 -0.0054 % 2,673.5
Performance Highlights
Issue Index Change Notes
PWF.PR.T FixedReset -1.82 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-11-09
Maturity Price : 23.25
Evaluated at bid price : 23.74
Bid-YTW : 4.22 %
CU.PR.G Perpetual-Discount -1.26 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-11-09
Maturity Price : 21.55
Evaluated at bid price : 21.87
Bid-YTW : 5.14 %
HSE.PR.A FixedReset -1.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-11-09
Maturity Price : 17.80
Evaluated at bid price : 17.80
Bid-YTW : 4.51 %
SLF.PR.G FixedReset 1.63 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.70
Bid-YTW : 7.36 %
TRP.PR.G FixedReset 1.68 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-11-09
Maturity Price : 23.06
Evaluated at bid price : 24.20
Bid-YTW : 4.61 %
Volume Highlights
Issue Index Shares
Traded
Notes
PWF.PR.T FixedReset 435,250 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-11-09
Maturity Price : 23.25
Evaluated at bid price : 23.74
Bid-YTW : 4.22 %
HSB.PR.D Deemed-Retractible 320,500 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2017-12-09
Maturity Price : 25.00
Evaluated at bid price : 25.24
Bid-YTW : -0.02 %
RY.PR.J FixedReset 266,300 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2020-05-24
Maturity Price : 25.00
Evaluated at bid price : 24.63
Bid-YTW : 4.18 %
NA.PR.Q FixedReset 200,100 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2017-12-15
Maturity Price : 25.00
Evaluated at bid price : 24.99
Bid-YTW : 3.60 %
MFC.PR.R FixedReset 71,509 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-03-19
Maturity Price : 25.00
Evaluated at bid price : 26.35
Bid-YTW : 3.69 %
GWO.PR.T Deemed-Retractible 69,500 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.92
Bid-YTW : 5.33 %
There were 25 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
BAM.PF.J FixedReset Quote: 25.67 – 26.67
Spot Rate : 1.0000
Average : 0.5563

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-12-31
Maturity Price : 25.00
Evaluated at bid price : 25.67
Bid-YTW : 4.35 %

TRP.PR.G FixedReset Quote: 24.20 – 24.98
Spot Rate : 0.7800
Average : 0.5485

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-11-09
Maturity Price : 23.06
Evaluated at bid price : 24.20
Bid-YTW : 4.61 %

MFC.PR.J FixedReset Quote: 24.62 – 24.94
Spot Rate : 0.3200
Average : 0.1956

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.62
Bid-YTW : 4.60 %

CU.PR.G Perpetual-Discount Quote: 21.87 – 22.19
Spot Rate : 0.3200
Average : 0.2304

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-11-09
Maturity Price : 21.55
Evaluated at bid price : 21.87
Bid-YTW : 5.14 %

PWF.PR.E Perpetual-Premium Quote: 25.35 – 25.60
Spot Rate : 0.2500
Average : 0.1631

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2017-12-09
Maturity Price : 25.00
Evaluated at bid price : 25.35
Bid-YTW : -9.56 %

CU.PR.D Perpetual-Discount Quote: 24.33 – 24.60
Spot Rate : 0.2700
Average : 0.1839

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-11-09
Maturity Price : 23.86
Evaluated at bid price : 24.33
Bid-YTW : 5.02 %

November 8, 2017

Wednesday, November 8th, 2017

PerpetualDiscounts now yield 5.24%, equivalent to 6.81% interest at the standard equivalency factor of 1.3x. Long corporates now yield a little over 3.75%, so the pre-tax interest-equivalent spread is now about 305bp, a slight (and perhaps spurious) widening from the 300bp reported November 1.

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 0.2444 % 2,427.8
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.2444 % 4,454.8
Floater 3.72 % 3.96 % 96,873 17.47 3 0.2444 % 2,567.3
OpRet 0.00 % 0.00 % 0 0.00 0 0.0723 % 3,085.5
SplitShare 4.73 % 4.76 % 54,613 4.31 6 0.0723 % 3,684.8
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0723 % 2,875.0
Perpetual-Premium 5.35 % 0.16 % 47,420 0.09 20 0.1135 % 2,839.1
Perpetual-Discount 5.22 % 5.24 % 74,829 15.06 15 0.2138 % 3,008.0
FixedReset 4.23 % 4.17 % 143,192 4.33 99 0.0237 % 2,490.1
Deemed-Retractible 5.03 % 5.34 % 98,221 5.95 30 0.1261 % 2,933.4
FloatingReset 2.75 % 2.78 % 47,309 4.00 8 0.0654 % 2,673.7
Performance Highlights
Issue Index Change Notes
MFC.PR.B Deemed-Retractible 1.05 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.10
Bid-YTW : 6.11 %
GWO.PR.R Deemed-Retractible 1.11 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.76
Bid-YTW : 5.77 %
MFC.PR.C Deemed-Retractible 1.14 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.25
Bid-YTW : 6.58 %
CU.PR.G Perpetual-Discount 1.27 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-11-08
Maturity Price : 21.86
Evaluated at bid price : 22.15
Bid-YTW : 5.07 %
Volume Highlights
Issue Index Shares
Traded
Notes
TRP.PR.E FixedReset 195,976 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-11-08
Maturity Price : 22.67
Evaluated at bid price : 23.00
Bid-YTW : 4.36 %
BMO.PR.W FixedReset 108,550 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-11-08
Maturity Price : 22.84
Evaluated at bid price : 23.17
Bid-YTW : 4.13 %
RY.PR.H FixedReset 90,940 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-11-08
Maturity Price : 23.24
Evaluated at bid price : 23.61
Bid-YTW : 4.10 %
NA.PR.C FixedReset 77,557 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-11-15
Maturity Price : 25.00
Evaluated at bid price : 25.55
Bid-YTW : 3.97 %
BMO.PR.C FixedReset 74,729 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-05-25
Maturity Price : 25.00
Evaluated at bid price : 25.55
Bid-YTW : 3.94 %
BMO.PR.S FixedReset 70,796 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-11-08
Maturity Price : 23.54
Evaluated at bid price : 23.95
Bid-YTW : 4.12 %
There were 26 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: 23.15 – 23.49
Spot Rate : 0.3400
Average : 0.1930

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.15
Bid-YTW : 4.08 %

PWF.PR.A Floater Quote: 16.60 – 17.00
Spot Rate : 0.4000
Average : 0.2874

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-11-08
Maturity Price : 16.60
Evaluated at bid price : 16.60
Bid-YTW : 3.37 %

TRP.PR.E FixedReset Quote: 23.00 – 23.32
Spot Rate : 0.3200
Average : 0.2237

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-11-08
Maturity Price : 22.67
Evaluated at bid price : 23.00
Bid-YTW : 4.36 %

CM.PR.Q FixedReset Quote: 24.48 – 24.73
Spot Rate : 0.2500
Average : 0.1810

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-11-08
Maturity Price : 23.23
Evaluated at bid price : 24.48
Bid-YTW : 4.33 %

PVS.PR.B SplitShare Quote: 25.26 – 25.52
Spot Rate : 0.2600
Average : 0.1961

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2019-01-10
Maturity Price : 25.00
Evaluated at bid price : 25.26
Bid-YTW : 4.11 %

BNS.PR.R FixedReset Quote: 25.10 – 25.30
Spot Rate : 0.2000
Average : 0.1453

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 25.10
Bid-YTW : 3.53 %

November 7, 2017

Tuesday, November 7th, 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 -0.1331 % 2,421.9
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.1331 % 4,444.0
Floater 3.73 % 3.96 % 93,301 17.47 3 -0.1331 % 2,561.1
OpRet 0.00 % 0.00 % 0 0.00 0 0.0592 % 3,083.3
SplitShare 4.73 % 4.73 % 56,866 4.31 6 0.0592 % 3,682.1
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0592 % 2,873.0
Perpetual-Premium 5.35 % 0.15 % 47,866 0.15 20 0.0609 % 2,835.9
Perpetual-Discount 5.21 % 5.23 % 74,121 15.06 15 0.0907 % 3,001.6
FixedReset 4.23 % 4.15 % 145,022 4.45 99 0.0859 % 2,489.5
Deemed-Retractible 5.04 % 5.37 % 94,905 5.95 30 0.0082 % 2,929.7
FloatingReset 2.75 % 2.92 % 47,836 4.00 8 -0.0218 % 2,671.9
Performance Highlights
Issue Index Change Notes
SLF.PR.G FixedReset 1.04 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.45
Bid-YTW : 7.57 %
PWF.PR.P FixedReset 1.26 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-11-07
Maturity Price : 17.65
Evaluated at bid price : 17.65
Bid-YTW : 4.38 %
HSE.PR.A FixedReset 2.86 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-11-07
Maturity Price : 18.00
Evaluated at bid price : 18.00
Bid-YTW : 4.46 %
Volume Highlights
Issue Index Shares
Traded
Notes
HSB.PR.C Deemed-Retractible 221,540 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2017-12-07
Maturity Price : 25.00
Evaluated at bid price : 25.26
Bid-YTW : -1.09 %
TD.PF.E FixedReset 132,700 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2020-10-31
Maturity Price : 25.00
Evaluated at bid price : 24.75
Bid-YTW : 4.10 %
TRP.PR.K FixedReset 113,400 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-05-31
Maturity Price : 25.00
Evaluated at bid price : 26.46
Bid-YTW : 3.74 %
BAM.PF.I FixedReset 112,110 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-03-31
Maturity Price : 25.00
Evaluated at bid price : 26.25
Bid-YTW : 3.71 %
TRP.PR.J FixedReset 102,700 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-05-31
Maturity Price : 25.00
Evaluated at bid price : 26.80
Bid-YTW : 3.66 %
TD.PF.A FixedReset 85,100 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-11-07
Maturity Price : 23.26
Evaluated at bid price : 23.60
Bid-YTW : 4.10 %
There were 22 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
PVS.PR.F SplitShare Quote: 25.29 – 26.00
Spot Rate : 0.7100
Average : 0.4028

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2024-09-30
Maturity Price : 25.00
Evaluated at bid price : 25.29
Bid-YTW : 4.73 %

GWO.PR.N FixedReset Quote: 18.41 – 18.82
Spot Rate : 0.4100
Average : 0.2886

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.41
Bid-YTW : 7.38 %

MFC.PR.O FixedReset Quote: 27.01 – 27.30
Spot Rate : 0.2900
Average : 0.1960

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-06-19
Maturity Price : 25.00
Evaluated at bid price : 27.01
Bid-YTW : 3.47 %

BAM.PF.D Perpetual-Discount Quote: 22.68 – 23.00
Spot Rate : 0.3200
Average : 0.2266

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-11-07
Maturity Price : 22.37
Evaluated at bid price : 22.68
Bid-YTW : 5.46 %

MFC.PR.G FixedReset Quote: 24.60 – 24.99
Spot Rate : 0.3900
Average : 0.2988

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-12-19
Maturity Price : 25.00
Evaluated at bid price : 24.60
Bid-YTW : 4.48 %

CCS.PR.C Deemed-Retractible Quote: 23.80 – 24.31
Spot Rate : 0.5100
Average : 0.4370

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.80
Bid-YTW : 5.95 %

November 6, 2017

Monday, November 6th, 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 0.5354 % 2,425.1
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.5354 % 4,449.9
Floater 3.73 % 3.95 % 92,226 17.51 3 0.5354 % 2,564.5
OpRet 0.00 % 0.00 % 0 0.00 0 -0.0263 % 3,081.5
SplitShare 4.73 % 4.78 % 58,923 4.31 6 -0.0263 % 3,680.0
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.0263 % 2,871.3
Perpetual-Premium 5.36 % -0.03 % 48,631 0.15 20 0.0609 % 2,834.2
Perpetual-Discount 5.22 % 5.24 % 73,439 15.07 15 -0.0340 % 2,998.9
FixedReset 4.23 % 4.15 % 144,859 4.49 99 0.0480 % 2,487.4
Deemed-Retractible 5.04 % 5.41 % 95,736 5.95 30 0.0947 % 2,929.4
FloatingReset 2.75 % 2.79 % 47,497 4.00 8 -0.0381 % 2,672.5
Performance Highlights
Issue Index Change Notes
HSE.PR.A FixedReset -2.56 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-11-06
Maturity Price : 17.50
Evaluated at bid price : 17.50
Bid-YTW : 4.58 %
BAM.PR.X FixedReset -1.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-11-06
Maturity Price : 17.70
Evaluated at bid price : 17.70
Bid-YTW : 4.65 %
BMO.PR.Q FixedReset 2.05 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.45
Bid-YTW : 4.57 %
Volume Highlights
Issue Index Shares
Traded
Notes
HSB.PR.C Deemed-Retractible 245,258 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2017-12-06
Maturity Price : 25.00
Evaluated at bid price : 25.25
Bid-YTW : -0.78 %
TRP.PR.E FixedReset 176,575 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-11-06
Maturity Price : 22.79
Evaluated at bid price : 23.13
Bid-YTW : 4.33 %
CM.PR.P FixedReset 154,865 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-11-06
Maturity Price : 23.20
Evaluated at bid price : 23.50
Bid-YTW : 4.10 %
RY.PR.J FixedReset 135,760 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-11-06
Maturity Price : 23.27
Evaluated at bid price : 24.50
Bid-YTW : 4.28 %
TRP.PR.K FixedReset 80,947 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-05-31
Maturity Price : 25.00
Evaluated at bid price : 26.40
Bid-YTW : 3.50 %
TRP.PR.J FixedReset 78,300 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-05-31
Maturity Price : 25.00
Evaluated at bid price : 26.81
Bid-YTW : 3.24 %
There were 16 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: 24.13 – 24.78
Spot Rate : 0.6500
Average : 0.4277

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-11-06
Maturity Price : 23.02
Evaluated at bid price : 24.13
Bid-YTW : 4.56 %

HSE.PR.C FixedReset Quote: 24.48 – 25.00
Spot Rate : 0.5200
Average : 0.3279

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-11-06
Maturity Price : 23.34
Evaluated at bid price : 24.48
Bid-YTW : 4.81 %

CCS.PR.C Deemed-Retractible Quote: 23.83 – 24.34
Spot Rate : 0.5100
Average : 0.3569

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.83
Bid-YTW : 5.93 %

TRP.PR.F FloatingReset Quote: 19.54 – 19.99
Spot Rate : 0.4500
Average : 0.3379

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-11-06
Maturity Price : 19.54
Evaluated at bid price : 19.54
Bid-YTW : 3.64 %

PVS.PR.B SplitShare Quote: 25.20 – 25.51
Spot Rate : 0.3100
Average : 0.2095

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2019-01-10
Maturity Price : 25.00
Evaluated at bid price : 25.20
Bid-YTW : 4.30 %

MFC.PR.R FixedReset Quote: 26.17 – 26.45
Spot Rate : 0.2800
Average : 0.1896

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-03-19
Maturity Price : 25.00
Evaluated at bid price : 26.17
Bid-YTW : 3.86 %