Archive for the ‘Market Action’ Category

October 26, 2020

Monday, October 26th, 2020
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TXPR closed at 582.18, down 0.52% on the day. Volume today was 1.57-million, well below the median of the past thirty days.

CPD closed at 11.60, down 0.86% on the day. Volume was 81,514, about the median of the past 30 trading days.

ZPR closed at 9.16, unchanged on the day. Volume of 133,121 was well below the median of the past 30 trading days.

Five-year Canada yields were unchanged at 0.39% today.

Equities had a bad day, attributed to a familiar culprit:

A rise in coronavirus cases in the United States, new restrictions on activity in Europe and a standoff in Washington over aid for struggling businesses and out-of-work Americans left investors reeling on Monday.

The S&P 500 fell 1.9 percent in Wall Street’s worst day in over a month.

Shares in Europe also ended lower as more limits were introduced to try to combat a second wave of the coronavirus pandemic. In Spain, the government declared a state of emergency and imposed a nighttime curfew. In Italy, cinemas and gyms are closing and indoor dining ending at 6 p.m. In France, a six-week curfew for most of the country began on Friday.

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 -0.3630 % 1,634.0
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.3630 % 2,998.3
Floater 5.21 % 5.26 % 39,338 15.05 3 -0.3630 % 1,727.9
OpRet 0.00 % 0.00 % 0 0.00 0 0.0744 % 3,532.7
SplitShare 4.80 % 4.72 % 52,871 3.54 8 0.0744 % 4,218.8
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0744 % 3,291.6
Perpetual-Premium 5.31 % 0.73 % 90,021 0.09 17 -0.2685 % 3,192.0
Perpetual-Discount 5.12 % 5.10 % 77,583 15.30 17 -0.5929 % 3,593.4
FixedReset Disc 5.48 % 4.18 % 124,284 16.43 65 -1.0718 % 2,109.2
Deemed-Retractible 5.11 % 4.93 % 118,245 15.23 22 -0.6623 % 3,471.3
FloatingReset 1.97 % 2.45 % 47,506 1.25 3 -0.0841 % 1,794.2
FixedReset Prem 5.21 % 3.31 % 275,636 0.81 14 -0.1041 % 2,650.1
FixedReset Bank Non 1.94 % 2.11 % 141,751 1.24 2 0.0000 % 2,860.0
FixedReset Ins Non 5.46 % 4.21 % 79,635 16.48 22 -0.4977 % 2,213.0
Performance Highlights
Issue Index Change Notes
RY.PR.M FixedReset Disc -35.42 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-26
Maturity Price : 11.98
Evaluated at bid price : 11.98
Bid-YTW : 6.27 %
MFC.PR.F FixedReset Ins Non -4.63 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-26
Maturity Price : 10.30
Evaluated at bid price : 10.30
Bid-YTW : 4.43 %
SLF.PR.B Deemed-Retractible -4.47 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-26
Maturity Price : 23.48
Evaluated at bid price : 23.75
Bid-YTW : 5.09 %
MFC.PR.N FixedReset Ins Non -3.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-26
Maturity Price : 17.52
Evaluated at bid price : 17.52
Bid-YTW : 4.20 %
CM.PR.Q FixedReset Disc -3.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-26
Maturity Price : 18.76
Evaluated at bid price : 18.76
Bid-YTW : 4.23 %
BAM.PF.J FixedReset Disc -2.44 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-26
Maturity Price : 23.12
Evaluated at bid price : 24.00
Bid-YTW : 4.95 %
BAM.PR.Z FixedReset Disc -2.27 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-26
Maturity Price : 16.76
Evaluated at bid price : 16.76
Bid-YTW : 5.33 %
BAM.PF.F FixedReset Disc -2.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-26
Maturity Price : 16.30
Evaluated at bid price : 16.30
Bid-YTW : 5.30 %
BAM.PF.G FixedReset Disc -2.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-26
Maturity Price : 15.50
Evaluated at bid price : 15.50
Bid-YTW : 5.27 %
NA.PR.W FixedReset Disc -2.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-26
Maturity Price : 16.54
Evaluated at bid price : 16.54
Bid-YTW : 4.39 %
PWF.PR.S Perpetual-Discount -1.98 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-26
Maturity Price : 23.49
Evaluated at bid price : 23.77
Bid-YTW : 5.06 %
NA.PR.S FixedReset Disc -1.74 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-26
Maturity Price : 17.50
Evaluated at bid price : 17.50
Bid-YTW : 4.31 %
TRP.PR.D FixedReset Disc -1.71 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-26
Maturity Price : 13.19
Evaluated at bid price : 13.19
Bid-YTW : 5.72 %
SLF.PR.H FixedReset Ins Non -1.63 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-26
Maturity Price : 15.05
Evaluated at bid price : 15.05
Bid-YTW : 4.30 %
SLF.PR.A Deemed-Retractible -1.51 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-26
Maturity Price : 23.89
Evaluated at bid price : 24.14
Bid-YTW : 4.96 %
PWF.PR.L Perpetual-Discount -1.40 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-26
Maturity Price : 24.46
Evaluated at bid price : 24.70
Bid-YTW : 5.18 %
BIP.PR.B FixedReset Disc -1.31 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-26
Maturity Price : 23.05
Evaluated at bid price : 24.11
Bid-YTW : 5.72 %
BIP.PR.F FixedReset Disc -1.28 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-26
Maturity Price : 21.96
Evaluated at bid price : 22.31
Bid-YTW : 5.76 %
MFC.PR.K FixedReset Ins Non -1.25 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-26
Maturity Price : 17.42
Evaluated at bid price : 17.42
Bid-YTW : 4.17 %
SLF.PR.E Deemed-Retractible -1.24 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-26
Maturity Price : 22.88
Evaluated at bid price : 23.15
Bid-YTW : 4.89 %
BNS.PR.I FixedReset Disc -1.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-26
Maturity Price : 20.01
Evaluated at bid price : 20.01
Bid-YTW : 3.95 %
SLF.PR.D Deemed-Retractible -1.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-26
Maturity Price : 22.71
Evaluated at bid price : 23.00
Bid-YTW : 4.87 %
BAM.PR.M Perpetual-Discount -1.19 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-26
Maturity Price : 22.22
Evaluated at bid price : 22.50
Bid-YTW : 5.32 %
TRP.PR.B FixedReset Disc -1.18 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-26
Maturity Price : 8.35
Evaluated at bid price : 8.35
Bid-YTW : 5.05 %
BAM.PF.A FixedReset Disc -1.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-26
Maturity Price : 17.35
Evaluated at bid price : 17.35
Bid-YTW : 5.22 %
CU.PR.D Perpetual-Discount -1.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-26
Maturity Price : 24.41
Evaluated at bid price : 24.67
Bid-YTW : 5.03 %
MFC.PR.C Deemed-Retractible -1.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-26
Maturity Price : 22.89
Evaluated at bid price : 23.16
Bid-YTW : 4.90 %
PWF.PR.F Perpetual-Premium -1.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-26
Maturity Price : 24.53
Evaluated at bid price : 24.78
Bid-YTW : 5.31 %
BAM.PR.T FixedReset Disc -1.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-26
Maturity Price : 13.41
Evaluated at bid price : 13.41
Bid-YTW : 5.21 %
GWO.PR.H Deemed-Retractible -1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-26
Maturity Price : 23.91
Evaluated at bid price : 24.15
Bid-YTW : 5.06 %
BAM.PF.B FixedReset Disc 2.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-26
Maturity Price : 16.00
Evaluated at bid price : 16.00
Bid-YTW : 5.23 %
Volume Highlights
Issue Index Shares
Traded
Notes
TD.PF.I FixedReset Disc 113,425 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-26
Maturity Price : 22.30
Evaluated at bid price : 22.60
Bid-YTW : 3.86 %
RY.PR.M FixedReset Disc 45,059 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-26
Maturity Price : 11.98
Evaluated at bid price : 11.98
Bid-YTW : 6.27 %
NA.PR.W FixedReset Disc 39,694 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-26
Maturity Price : 16.54
Evaluated at bid price : 16.54
Bid-YTW : 4.39 %
BNS.PR.H FixedReset Prem 32,660 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-01-26
Maturity Price : 25.00
Evaluated at bid price : 25.35
Bid-YTW : 3.71 %
W.PR.K FixedReset Disc 30,100 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-26
Maturity Price : 23.87
Evaluated at bid price : 24.75
Bid-YTW : 5.30 %
TD.PF.A FixedReset Disc 28,208 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-26
Maturity Price : 17.85
Evaluated at bid price : 17.85
Bid-YTW : 3.98 %
There were 17 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
RY.PR.M FixedReset Disc Quote: 11.98 – 18.65
Spot Rate : 6.6700
Average : 4.7047

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-26
Maturity Price : 11.98
Evaluated at bid price : 11.98
Bid-YTW : 6.27 %

IFC.PR.C FixedReset Ins Non Quote: 17.20 – 18.88
Spot Rate : 1.6800
Average : 1.0566

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-26
Maturity Price : 17.20
Evaluated at bid price : 17.20
Bid-YTW : 4.48 %

MFC.PR.F FixedReset Ins Non Quote: 10.30 – 11.30
Spot Rate : 1.0000
Average : 0.6413

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-26
Maturity Price : 10.30
Evaluated at bid price : 10.30
Bid-YTW : 4.43 %

SLF.PR.B Deemed-Retractible Quote: 23.75 – 24.53
Spot Rate : 0.7800
Average : 0.4586

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-26
Maturity Price : 23.48
Evaluated at bid price : 23.75
Bid-YTW : 5.09 %

BAM.PF.J FixedReset Disc Quote: 24.00 – 24.70
Spot Rate : 0.7000
Average : 0.4338

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-26
Maturity Price : 23.12
Evaluated at bid price : 24.00
Bid-YTW : 4.95 %

BIP.PR.B FixedReset Disc Quote: 24.11 – 24.75
Spot Rate : 0.6400
Average : 0.4332

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-26
Maturity Price : 23.05
Evaluated at bid price : 24.11
Bid-YTW : 5.72 %

October 23, 2020

Friday, October 23rd, 2020
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 0.4050 % 1,639.9
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.4050 % 3,009.2
Floater 5.19 % 5.24 % 39,035 15.09 3 0.4050 % 1,734.2
OpRet 0.00 % 0.00 % 0 0.00 0 -0.1387 % 3,530.0
SplitShare 4.80 % 4.72 % 51,523 3.55 8 -0.1387 % 4,215.6
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.1387 % 3,289.2
Perpetual-Premium 5.30 % -2.25 % 90,081 0.09 17 0.0643 % 3,200.6
Perpetual-Discount 5.09 % 5.03 % 78,247 15.03 17 0.2216 % 3,614.9
FixedReset Disc 5.43 % 4.10 % 132,817 16.59 65 0.3277 % 2,132.0
Deemed-Retractible 5.08 % 4.86 % 118,606 15.24 22 -0.2104 % 3,494.4
FloatingReset 1.97 % 2.44 % 44,235 1.26 3 -0.0673 % 1,795.7
FixedReset Prem 5.21 % 3.16 % 277,658 0.79 14 0.0302 % 2,652.8
FixedReset Bank Non 1.94 % 2.08 % 140,781 1.25 2 0.0201 % 2,860.0
FixedReset Ins Non 5.43 % 4.17 % 80,352 16.69 22 0.1729 % 2,224.1
Performance Highlights
Issue Index Change Notes
BAM.PF.B FixedReset Disc -4.97 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-23
Maturity Price : 15.68
Evaluated at bid price : 15.68
Bid-YTW : 5.30 %
TRP.PR.D FixedReset Disc -2.54 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-23
Maturity Price : 13.42
Evaluated at bid price : 13.42
Bid-YTW : 5.56 %
BAM.PR.Z FixedReset Disc -2.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-23
Maturity Price : 17.15
Evaluated at bid price : 17.15
Bid-YTW : 5.16 %
CU.PR.C FixedReset Disc -1.42 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-23
Maturity Price : 16.66
Evaluated at bid price : 16.66
Bid-YTW : 4.27 %
CM.PR.P FixedReset Disc -1.37 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-23
Maturity Price : 18.05
Evaluated at bid price : 18.05
Bid-YTW : 4.02 %
MFC.PR.J FixedReset Ins Non -1.29 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-23
Maturity Price : 19.10
Evaluated at bid price : 19.10
Bid-YTW : 4.21 %
IFC.PR.C FixedReset Ins Non -1.27 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-23
Maturity Price : 17.10
Evaluated at bid price : 17.10
Bid-YTW : 4.46 %
TD.PF.L FixedReset Disc -1.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-23
Maturity Price : 23.12
Evaluated at bid price : 24.50
Bid-YTW : 3.89 %
BAM.PF.G FixedReset Disc -1.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-23
Maturity Price : 15.82
Evaluated at bid price : 15.82
Bid-YTW : 5.12 %
PVS.PR.F SplitShare -1.10 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2024-09-30
Maturity Price : 25.00
Evaluated at bid price : 25.12
Bid-YTW : 4.86 %
TRP.PR.A FixedReset Disc -1.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-23
Maturity Price : 11.75
Evaluated at bid price : 11.75
Bid-YTW : 5.56 %
BAM.PF.F FixedReset Disc -1.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-23
Maturity Price : 16.67
Evaluated at bid price : 16.67
Bid-YTW : 5.14 %
TD.PF.J FixedReset Disc 1.24 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-23
Maturity Price : 20.35
Evaluated at bid price : 20.35
Bid-YTW : 4.02 %
BMO.PR.Y FixedReset Disc 1.58 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-23
Maturity Price : 19.30
Evaluated at bid price : 19.30
Bid-YTW : 4.02 %
CU.PR.F Perpetual-Discount 1.62 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-23
Maturity Price : 23.38
Evaluated at bid price : 23.88
Bid-YTW : 4.75 %
PWF.PR.P FixedReset Disc 1.97 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-23
Maturity Price : 10.35
Evaluated at bid price : 10.35
Bid-YTW : 4.73 %
IAF.PR.G FixedReset Ins Non 4.38 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-23
Maturity Price : 19.05
Evaluated at bid price : 19.05
Bid-YTW : 4.30 %
RY.PR.M FixedReset Disc 56.72 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-23
Maturity Price : 18.55
Evaluated at bid price : 18.55
Bid-YTW : 4.00 %
Volume Highlights
Issue Index Shares
Traded
Notes
GWO.PR.N FixedReset Ins Non 305,550 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-23
Maturity Price : 10.02
Evaluated at bid price : 10.02
Bid-YTW : 4.17 %
TD.PF.A FixedReset Disc 180,550 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-23
Maturity Price : 17.85
Evaluated at bid price : 17.85
Bid-YTW : 3.94 %
TD.PF.F Perpetual-Premium 113,700 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-10-31
Maturity Price : 25.75
Evaluated at bid price : 25.97
Bid-YTW : 3.81 %
TD.PF.H FixedReset Prem 74,580 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-10-31
Maturity Price : 25.00
Evaluated at bid price : 25.33
Bid-YTW : 3.44 %
BNS.PR.H FixedReset Prem 61,710 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-01-26
Maturity Price : 25.00
Evaluated at bid price : 25.45
Bid-YTW : 3.36 %
CM.PR.Q FixedReset Disc 59,400 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-23
Maturity Price : 19.35
Evaluated at bid price : 19.35
Bid-YTW : 4.07 %
There were 40 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
BAM.PF.B FixedReset Disc Quote: 15.68 – 16.36
Spot Rate : 0.6800
Average : 0.4015

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-23
Maturity Price : 15.68
Evaluated at bid price : 15.68
Bid-YTW : 5.30 %

IFC.PR.C FixedReset Ins Non Quote: 17.10 – 17.70
Spot Rate : 0.6000
Average : 0.3730

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-23
Maturity Price : 17.10
Evaluated at bid price : 17.10
Bid-YTW : 4.46 %

CM.PR.P FixedReset Disc Quote: 18.05 – 18.68
Spot Rate : 0.6300
Average : 0.4331

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-23
Maturity Price : 18.05
Evaluated at bid price : 18.05
Bid-YTW : 4.02 %

BIK.PR.A FixedReset Prem Quote: 25.05 – 25.60
Spot Rate : 0.5500
Average : 0.3579

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-23
Maturity Price : 23.33
Evaluated at bid price : 25.05
Bid-YTW : 5.82 %

IFC.PR.E Deemed-Retractible Quote: 25.15 – 25.95
Spot Rate : 0.8000
Average : 0.6446

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-23
Maturity Price : 24.66
Evaluated at bid price : 25.15
Bid-YTW : 5.20 %

PVS.PR.G SplitShare Quote: 25.15 – 25.50
Spot Rate : 0.3500
Average : 0.2416

YTW SCENARIO
Maturity Type : Option Certainty
Maturity Date : 2026-02-28
Maturity Price : 25.00
Evaluated at bid price : 25.15
Bid-YTW : 4.93 %

October 22, 2020

Thursday, October 22nd, 2020
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 -0.1214 % 1,633.3
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.1214 % 2,997.1
Floater 5.21 % 5.27 % 39,645 15.04 3 -0.1214 % 1,727.2
OpRet 0.00 % 0.00 % 0 0.00 0 -0.0050 % 3,534.9
SplitShare 4.80 % 4.68 % 51,812 3.55 8 -0.0050 % 4,221.5
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.0050 % 3,293.8
Perpetual-Premium 5.29 % -1.74 % 88,220 0.09 17 0.0138 % 3,198.5
Perpetual-Discount 5.10 % 5.00 % 79,260 15.02 17 0.4329 % 3,606.9
FixedReset Disc 5.44 % 4.12 % 130,598 16.59 65 -0.3319 % 2,125.0
Deemed-Retractible 5.07 % 4.83 % 120,314 15.24 22 0.0074 % 3,501.8
FloatingReset 1.97 % 2.43 % 42,664 1.26 3 -0.0168 % 1,796.9
FixedReset Prem 5.20 % 3.27 % 266,226 0.81 14 0.1491 % 2,652.0
FixedReset Bank Non 1.94 % 2.24 % 130,322 1.25 2 0.0000 % 2,859.4
FixedReset Ins Non 5.44 % 4.15 % 80,655 16.62 22 -0.0275 % 2,220.3
Performance Highlights
Issue Index Change Notes
RY.PR.M FixedReset Disc -36.55 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-22
Maturity Price : 11.98
Evaluated at bid price : 11.98
Bid-YTW : 6.32 %
IAF.PR.G FixedReset Ins Non -4.70 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-22
Maturity Price : 18.25
Evaluated at bid price : 18.25
Bid-YTW : 4.49 %
PWF.PR.P FixedReset Disc -2.50 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-22
Maturity Price : 10.15
Evaluated at bid price : 10.15
Bid-YTW : 4.83 %
NA.PR.W FixedReset Disc -1.81 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-22
Maturity Price : 16.86
Evaluated at bid price : 16.86
Bid-YTW : 4.26 %
BMO.PR.D FixedReset Disc 1.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-22
Maturity Price : 22.74
Evaluated at bid price : 23.10
Bid-YTW : 3.93 %
MFC.PR.F FixedReset Ins Non 1.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-22
Maturity Price : 10.83
Evaluated at bid price : 10.83
Bid-YTW : 4.13 %
BAM.PR.R FixedReset Disc 1.36 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-22
Maturity Price : 13.38
Evaluated at bid price : 13.38
Bid-YTW : 5.02 %
CU.PR.D Perpetual-Discount 1.43 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-22
Maturity Price : 24.54
Evaluated at bid price : 24.80
Bid-YTW : 5.00 %
CU.PR.C FixedReset Disc 1.50 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-22
Maturity Price : 16.90
Evaluated at bid price : 16.90
Bid-YTW : 4.21 %
CM.PR.Q FixedReset Disc 1.53 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-22
Maturity Price : 19.30
Evaluated at bid price : 19.30
Bid-YTW : 4.08 %
TD.PF.I FixedReset Disc 1.57 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-22
Maturity Price : 22.35
Evaluated at bid price : 22.65
Bid-YTW : 3.82 %
TD.PF.D FixedReset Disc 1.65 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-22
Maturity Price : 19.73
Evaluated at bid price : 19.73
Bid-YTW : 4.01 %
CU.PR.F Perpetual-Discount 6.53 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-22
Maturity Price : 23.06
Evaluated at bid price : 23.50
Bid-YTW : 4.83 %
Volume Highlights
Issue Index Shares
Traded
Notes
BNS.PR.G FixedReset Prem 511,872 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-07-25
Maturity Price : 25.00
Evaluated at bid price : 25.40
Bid-YTW : 3.27 %
CM.PR.R FixedReset Disc 197,320 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-22
Maturity Price : 22.94
Evaluated at bid price : 23.32
Bid-YTW : 4.06 %
BMO.PR.C FixedReset Disc 99,249 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-22
Maturity Price : 23.61
Evaluated at bid price : 24.00
Bid-YTW : 3.93 %
MFC.PR.M FixedReset Ins Non 66,175 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-22
Maturity Price : 18.20
Evaluated at bid price : 18.20
Bid-YTW : 4.08 %
TD.PF.J FixedReset Disc 42,395 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-22
Maturity Price : 20.10
Evaluated at bid price : 20.10
Bid-YTW : 4.07 %
TRP.PR.K FixedReset Disc 29,461 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-22
Maturity Price : 23.66
Evaluated at bid price : 24.90
Bid-YTW : 4.92 %
There were 21 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
RY.PR.M FixedReset Disc Quote: 11.98 – 18.99
Spot Rate : 7.0100
Average : 3.9201

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-22
Maturity Price : 11.98
Evaluated at bid price : 11.98
Bid-YTW : 6.32 %

IAF.PR.G FixedReset Ins Non Quote: 18.25 – 19.40
Spot Rate : 1.1500
Average : 0.7255

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-22
Maturity Price : 18.25
Evaluated at bid price : 18.25
Bid-YTW : 4.49 %

BIP.PR.B FixedReset Disc Quote: 24.43 – 24.90
Spot Rate : 0.4700
Average : 0.3124

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-22
Maturity Price : 23.40
Evaluated at bid price : 24.43
Bid-YTW : 5.64 %

ELF.PR.F Perpetual-Discount Quote: 24.75 – 25.26
Spot Rate : 0.5100
Average : 0.3669

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-22
Maturity Price : 24.50
Evaluated at bid price : 24.75
Bid-YTW : 5.38 %

MFC.PR.M FixedReset Ins Non Quote: 18.20 – 18.60
Spot Rate : 0.4000
Average : 0.2678

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-22
Maturity Price : 18.20
Evaluated at bid price : 18.20
Bid-YTW : 4.08 %

IFC.PR.E Deemed-Retractible Quote: 25.00 – 25.60
Spot Rate : 0.6000
Average : 0.4742

YTW SCENARIO
Maturity Type : Option Certainty
Maturity Date : 2050-10-22
Maturity Price : 25.00
Evaluated at bid price : 25.00
Bid-YTW : 5.26 %

October 21, 2020

Wednesday, October 21st, 2020

PerpetualDiscounts now yield 5.07%, equivalent to 6.59% interest at the standard equivalency factor of 1.3x. Long corporates now yield 2.91%, so the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) has widened slightly (and perhaps spuriously) to 370bp from the 365bp reported October 14.

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 -0.1616 % 1,635.3
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.1616 % 3,000.7
Floater 5.20 % 5.25 % 39,734 15.08 3 -0.1616 % 1,729.3
OpRet 0.00 % 0.00 % 0 0.00 0 0.2034 % 3,535.1
SplitShare 4.80 % 4.70 % 52,347 3.56 8 0.2034 % 4,221.7
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.2034 % 3,293.9
Perpetual-Premium 5.29 % -1.66 % 88,600 0.09 17 0.0367 % 3,198.1
Perpetual-Discount 5.12 % 5.07 % 80,283 15.07 17 -0.4795 % 3,591.3
FixedReset Disc 5.42 % 4.15 % 127,947 16.65 65 0.0597 % 2,132.1
Deemed-Retractible 5.07 % 4.84 % 117,387 15.19 22 0.1683 % 3,501.5
FloatingReset 1.97 % 2.79 % 42,728 1.26 3 0.1010 % 1,797.3
FixedReset Prem 5.20 % 3.33 % 276,615 0.81 14 0.1211 % 2,648.1
FixedReset Bank Non 1.94 % 2.23 % 129,032 1.26 2 0.0402 % 2,859.4
FixedReset Ins Non 5.44 % 4.16 % 80,843 16.65 22 0.3292 % 2,220.9
Performance Highlights
Issue Index Change Notes
CU.PR.F Perpetual-Discount -8.46 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-21
Maturity Price : 21.65
Evaluated at bid price : 22.06
Bid-YTW : 5.15 %
CM.PR.Q FixedReset Disc -2.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-21
Maturity Price : 19.01
Evaluated at bid price : 19.01
Bid-YTW : 4.15 %
MFC.PR.F FixedReset Ins Non -1.74 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-21
Maturity Price : 10.72
Evaluated at bid price : 10.72
Bid-YTW : 4.18 %
CU.PR.D Perpetual-Discount -1.41 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-21
Maturity Price : 24.20
Evaluated at bid price : 24.45
Bid-YTW : 5.07 %
TD.PF.E FixedReset Disc 1.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-21
Maturity Price : 20.05
Evaluated at bid price : 20.05
Bid-YTW : 4.03 %
RY.PR.H FixedReset Disc 1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-21
Maturity Price : 18.50
Evaluated at bid price : 18.50
Bid-YTW : 3.86 %
PVS.PR.F SplitShare 1.11 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2024-09-30
Maturity Price : 25.00
Evaluated at bid price : 25.40
Bid-YTW : 4.54 %
TRP.PR.C FixedReset Disc 1.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-21
Maturity Price : 9.02
Evaluated at bid price : 9.02
Bid-YTW : 5.27 %
TD.PF.I FixedReset Disc 1.32 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-21
Maturity Price : 22.08
Evaluated at bid price : 22.30
Bid-YTW : 3.89 %
TRP.PR.B FixedReset Disc 1.81 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-21
Maturity Price : 8.45
Evaluated at bid price : 8.45
Bid-YTW : 4.92 %
CU.PR.C FixedReset Disc 1.96 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-21
Maturity Price : 16.65
Evaluated at bid price : 16.65
Bid-YTW : 4.27 %
SLF.PR.G FixedReset Ins Non 2.25 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-21
Maturity Price : 10.89
Evaluated at bid price : 10.89
Bid-YTW : 4.11 %
IAF.PR.I FixedReset Ins Non 3.31 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-21
Maturity Price : 19.99
Evaluated at bid price : 19.99
Bid-YTW : 4.21 %
Volume Highlights
Issue Index Shares
Traded
Notes
BMO.PR.Z Perpetual-Premium 35,184 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2020-11-20
Maturity Price : 26.00
Evaluated at bid price : 26.25
Bid-YTW : 2.22 %
TRP.PR.F FloatingReset 32,018 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-21
Maturity Price : 10.11
Evaluated at bid price : 10.11
Bid-YTW : 5.02 %
TD.PF.K FixedReset Disc 27,889 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-21
Maturity Price : 19.81
Evaluated at bid price : 19.81
Bid-YTW : 4.07 %
TRP.PR.B FixedReset Disc 26,600 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-21
Maturity Price : 8.45
Evaluated at bid price : 8.45
Bid-YTW : 4.92 %
TD.PF.L FixedReset Disc 23,038 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-21
Maturity Price : 23.23
Evaluated at bid price : 24.78
Bid-YTW : 3.83 %
BAM.PF.D Perpetual-Discount 22,800 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-21
Maturity Price : 23.06
Evaluated at bid price : 23.35
Bid-YTW : 5.28 %
There were 12 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
CU.PR.F Perpetual-Discount Quote: 22.06 – 24.27
Spot Rate : 2.2100
Average : 1.2245

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-21
Maturity Price : 21.65
Evaluated at bid price : 22.06
Bid-YTW : 5.15 %

CU.PR.D Perpetual-Discount Quote: 24.45 – 24.99
Spot Rate : 0.5400
Average : 0.3517

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-21
Maturity Price : 24.20
Evaluated at bid price : 24.45
Bid-YTW : 5.07 %

IFC.PR.A FixedReset Ins Non Quote: 12.65 – 13.10
Spot Rate : 0.4500
Average : 0.2960

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-21
Maturity Price : 12.65
Evaluated at bid price : 12.65
Bid-YTW : 4.47 %

TD.PF.D FixedReset Disc Quote: 19.41 – 20.00
Spot Rate : 0.5900
Average : 0.4406

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-21
Maturity Price : 19.41
Evaluated at bid price : 19.41
Bid-YTW : 4.08 %

IFC.PR.E Deemed-Retractible Quote: 25.15 – 25.60
Spot Rate : 0.4500
Average : 0.3362

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-21
Maturity Price : 24.66
Evaluated at bid price : 25.15
Bid-YTW : 5.19 %

PWF.PR.E Perpetual-Premium Quote: 25.10 – 25.43
Spot Rate : 0.3300
Average : 0.2290

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2020-11-20
Maturity Price : 25.00
Evaluated at bid price : 25.10
Bid-YTW : -1.20 %

October 20, 2020

Tuesday, October 20th, 2020
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 0.2835 % 1,638.0
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.2835 % 3,005.6
Floater 5.19 % 5.25 % 40,173 15.08 3 0.2835 % 1,732.1
OpRet 0.00 % 0.00 % 0 0.00 0 -0.0694 % 3,527.9
SplitShare 4.81 % 4.70 % 50,950 3.55 8 -0.0694 % 4,213.1
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.0694 % 3,287.2
Perpetual-Premium 5.29 % -1.64 % 90,469 0.09 17 0.1056 % 3,196.9
Perpetual-Discount 5.10 % 5.05 % 83,243 15.05 17 -0.0705 % 3,608.6
FixedReset Disc 5.42 % 4.10 % 127,310 16.59 65 0.0976 % 2,130.8
Deemed-Retractible 5.08 % 4.85 % 118,403 15.19 22 -0.1938 % 3,495.6
FloatingReset 1.97 % 2.79 % 40,373 1.27 3 0.1686 % 1,795.4
FixedReset Prem 5.21 % 3.31 % 280,649 0.82 14 0.0676 % 2,644.9
FixedReset Bank Non 1.94 % 2.23 % 127,365 1.26 2 0.0000 % 2,858.3
FixedReset Ins Non 5.46 % 4.17 % 83,383 16.63 22 0.3050 % 2,213.6
Performance Highlights
Issue Index Change Notes
TRP.PR.B FixedReset Disc -2.92 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-20
Maturity Price : 8.30
Evaluated at bid price : 8.30
Bid-YTW : 5.01 %
SLF.PR.C Deemed-Retractible -1.69 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-20
Maturity Price : 22.93
Evaluated at bid price : 23.20
Bid-YTW : 4.82 %
TRP.PR.C FixedReset Disc -1.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-20
Maturity Price : 8.91
Evaluated at bid price : 8.91
Bid-YTW : 5.33 %
PWF.PR.Z Perpetual-Discount 1.12 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-07-31
Maturity Price : 25.25
Evaluated at bid price : 25.30
Bid-YTW : 5.05 %
BAM.PF.B FixedReset Disc 1.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-20
Maturity Price : 16.45
Evaluated at bid price : 16.45
Bid-YTW : 5.04 %
TRP.PR.G FixedReset Disc 1.52 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-20
Maturity Price : 15.33
Evaluated at bid price : 15.33
Bid-YTW : 5.49 %
BIP.PR.A FixedReset Disc 1.61 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-20
Maturity Price : 17.07
Evaluated at bid price : 17.07
Bid-YTW : 5.82 %
RY.PR.J FixedReset Disc 2.80 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-20
Maturity Price : 19.86
Evaluated at bid price : 19.86
Bid-YTW : 3.98 %
MFC.PR.G FixedReset Ins Non 3.85 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-20
Maturity Price : 19.94
Evaluated at bid price : 19.94
Bid-YTW : 4.16 %
Volume Highlights
Issue Index Shares
Traded
Notes
CM.PR.R FixedReset Disc 89,010 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-20
Maturity Price : 22.81
Evaluated at bid price : 23.18
Bid-YTW : 4.08 %
CM.PR.Q FixedReset Disc 63,900 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-20
Maturity Price : 19.40
Evaluated at bid price : 19.40
Bid-YTW : 4.06 %
TD.PF.G FixedReset Prem 53,878 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-04-30
Maturity Price : 25.00
Evaluated at bid price : 25.30
Bid-YTW : 2.84 %
RY.PR.M FixedReset Disc 53,315 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-20
Maturity Price : 18.95
Evaluated at bid price : 18.95
Bid-YTW : 3.97 %
NA.PR.C FixedReset Disc 53,200 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-20
Maturity Price : 23.49
Evaluated at bid price : 23.81
Bid-YTW : 4.02 %
BAM.PR.Z FixedReset Disc 52,000 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-20
Maturity Price : 17.35
Evaluated at bid price : 17.35
Bid-YTW : 5.09 %
There were 26 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
EIT.PR.B SplitShare Quote: 25.21 – 26.17
Spot Rate : 0.9600
Average : 0.5792

YTW SCENARIO
Maturity Type : Soft Maturity
Maturity Date : 2025-03-14
Maturity Price : 25.00
Evaluated at bid price : 25.21
Bid-YTW : 4.73 %

TRP.PR.C FixedReset Disc Quote: 8.91 – 9.44
Spot Rate : 0.5300
Average : 0.3483

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-20
Maturity Price : 8.91
Evaluated at bid price : 8.91
Bid-YTW : 5.33 %

TD.PF.E FixedReset Disc Quote: 19.85 – 20.25
Spot Rate : 0.4000
Average : 0.3031

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-20
Maturity Price : 19.85
Evaluated at bid price : 19.85
Bid-YTW : 4.07 %

TD.PF.K FixedReset Disc Quote: 19.86 – 20.20
Spot Rate : 0.3400
Average : 0.2487

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-20
Maturity Price : 19.86
Evaluated at bid price : 19.86
Bid-YTW : 4.06 %

TRP.PR.B FixedReset Disc Quote: 8.30 – 8.64
Spot Rate : 0.3400
Average : 0.2615

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-20
Maturity Price : 8.30
Evaluated at bid price : 8.30
Bid-YTW : 5.01 %

GWO.PR.G Deemed-Retractible Quote: 25.05 – 25.35
Spot Rate : 0.3000
Average : 0.2223

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-20
Maturity Price : 24.83
Evaluated at bid price : 25.05
Bid-YTW : 5.23 %

October 19, 2020

Monday, October 19th, 2020
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 0.0811 % 1,633.3
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.0811 % 2,997.1
Floater 5.21 % 5.26 % 41,655 15.06 3 0.0811 % 1,727.2
OpRet 0.00 % 0.00 % 0 0.00 0 -0.0793 % 3,530.4
SplitShare 4.80 % 4.72 % 51,329 3.56 8 -0.0793 % 4,216.0
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.0793 % 3,289.5
Perpetual-Premium 5.30 % -1.56 % 93,605 0.09 17 -0.1261 % 3,193.5
Perpetual-Discount 5.10 % 5.02 % 86,504 15.25 17 -0.0851 % 3,611.2
FixedReset Disc 5.43 % 4.10 % 125,919 16.62 65 0.0541 % 2,128.8
Deemed-Retractible 5.07 % 4.86 % 115,587 15.17 22 -0.0811 % 3,502.4
FloatingReset 1.97 % 2.78 % 41,828 1.27 3 -0.1010 % 1,792.4
FixedReset Prem 5.21 % 3.50 % 282,659 0.82 14 0.0338 % 2,643.1
FixedReset Bank Non 1.94 % 2.22 % 126,417 1.26 2 0.0603 % 2,858.3
FixedReset Ins Non 5.47 % 4.19 % 76,999 16.63 22 0.2501 % 2,206.9
Performance Highlights
Issue Index Change Notes
MFC.PR.G FixedReset Ins Non -4.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-19
Maturity Price : 19.20
Evaluated at bid price : 19.20
Bid-YTW : 4.33 %
RY.PR.J FixedReset Disc -2.52 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-19
Maturity Price : 19.32
Evaluated at bid price : 19.32
Bid-YTW : 4.09 %
IAF.PR.I FixedReset Ins Non -2.52 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-19
Maturity Price : 19.35
Evaluated at bid price : 19.35
Bid-YTW : 4.35 %
CU.PR.C FixedReset Disc -2.28 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-19
Maturity Price : 16.30
Evaluated at bid price : 16.30
Bid-YTW : 4.36 %
SLF.PR.E Deemed-Retractible -1.81 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-19
Maturity Price : 23.01
Evaluated at bid price : 23.28
Bid-YTW : 4.86 %
TRP.PR.A FixedReset Disc -1.60 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-19
Maturity Price : 11.72
Evaluated at bid price : 11.72
Bid-YTW : 5.57 %
SLF.PR.G FixedReset Ins Non -1.56 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-19
Maturity Price : 10.75
Evaluated at bid price : 10.75
Bid-YTW : 4.16 %
BIP.PR.A FixedReset Disc -1.18 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-19
Maturity Price : 16.80
Evaluated at bid price : 16.80
Bid-YTW : 5.91 %
BAM.PF.H FixedReset Disc -1.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-19
Maturity Price : 24.14
Evaluated at bid price : 24.95
Bid-YTW : 5.01 %
MFC.PR.Q FixedReset Ins Non 1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-19
Maturity Price : 19.40
Evaluated at bid price : 19.40
Bid-YTW : 4.10 %
PWF.PR.T FixedReset Disc 1.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-19
Maturity Price : 16.80
Evaluated at bid price : 16.80
Bid-YTW : 4.45 %
MFC.PR.L FixedReset Ins Non 1.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-19
Maturity Price : 16.60
Evaluated at bid price : 16.60
Bid-YTW : 4.19 %
BAM.PR.T FixedReset Disc 1.26 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-19
Maturity Price : 13.63
Evaluated at bid price : 13.63
Bid-YTW : 5.07 %
PWF.PR.P FixedReset Disc 1.38 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-19
Maturity Price : 10.30
Evaluated at bid price : 10.30
Bid-YTW : 4.75 %
MFC.PR.J FixedReset Ins Non 1.68 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-19
Maturity Price : 19.35
Evaluated at bid price : 19.35
Bid-YTW : 4.15 %
IAF.PR.G FixedReset Ins Non 2.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-19
Maturity Price : 19.25
Evaluated at bid price : 19.25
Bid-YTW : 4.26 %
TRP.PR.G FixedReset Disc 2.30 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-19
Maturity Price : 15.10
Evaluated at bid price : 15.10
Bid-YTW : 5.57 %
IFC.PR.A FixedReset Ins Non 2.35 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-19
Maturity Price : 12.65
Evaluated at bid price : 12.65
Bid-YTW : 4.47 %
TRP.PR.C FixedReset Disc 3.45 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-19
Maturity Price : 9.00
Evaluated at bid price : 9.00
Bid-YTW : 5.28 %
MFC.PR.I FixedReset Ins Non 3.85 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-19
Maturity Price : 20.25
Evaluated at bid price : 20.25
Bid-YTW : 4.14 %
Volume Highlights
Issue Index Shares
Traded
Notes
RY.PR.Q FixedReset Prem 113,300 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-05-24
Maturity Price : 25.00
Evaluated at bid price : 25.53
Bid-YTW : 3.30 %
BNS.PR.Z FixedReset Bank Non 65,900 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.87
Bid-YTW : 2.15 %
BNS.PR.H FixedReset Prem 41,075 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-01-26
Maturity Price : 25.00
Evaluated at bid price : 25.30
Bid-YTW : 3.81 %
RY.PR.M FixedReset Disc 35,700 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-19
Maturity Price : 18.77
Evaluated at bid price : 18.77
Bid-YTW : 4.01 %
NA.PR.G FixedReset Disc 30,139 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-19
Maturity Price : 20.00
Evaluated at bid price : 20.00
Bid-YTW : 4.26 %
BNS.PR.G FixedReset Prem 26,797 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-07-25
Maturity Price : 25.00
Evaluated at bid price : 25.35
Bid-YTW : 3.50 %
There were 24 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
MFC.PR.Q FixedReset Ins Non Quote: 19.40 – 21.50
Spot Rate : 2.1000
Average : 1.4027

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-19
Maturity Price : 19.40
Evaluated at bid price : 19.40
Bid-YTW : 4.10 %

CU.PR.C FixedReset Disc Quote: 16.30 – 18.00
Spot Rate : 1.7000
Average : 1.1709

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-19
Maturity Price : 16.30
Evaluated at bid price : 16.30
Bid-YTW : 4.36 %

MFC.PR.G FixedReset Ins Non Quote: 19.20 – 20.26
Spot Rate : 1.0600
Average : 0.7293

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-19
Maturity Price : 19.20
Evaluated at bid price : 19.20
Bid-YTW : 4.33 %

IAF.PR.I FixedReset Ins Non Quote: 19.35 – 20.45
Spot Rate : 1.1000
Average : 0.7701

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-19
Maturity Price : 19.35
Evaluated at bid price : 19.35
Bid-YTW : 4.35 %

CM.PR.P FixedReset Disc Quote: 18.15 – 19.00
Spot Rate : 0.8500
Average : 0.5992

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-19
Maturity Price : 18.15
Evaluated at bid price : 18.15
Bid-YTW : 3.99 %

RY.PR.J FixedReset Disc Quote: 19.32 – 19.90
Spot Rate : 0.5800
Average : 0.4267

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-19
Maturity Price : 19.32
Evaluated at bid price : 19.32
Bid-YTW : 4.09 %

October 16, 2020

Friday, October 16th, 2020
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 0.0000 % 1,632.0
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.0000 % 2,994.6
Floater 5.21 % 5.27 % 42,068 15.05 3 0.0000 % 1,725.8
OpRet 0.00 % 0.00 % 0 0.00 0 0.0744 % 3,533.2
SplitShare 4.80 % 4.69 % 49,217 3.57 8 0.0744 % 4,219.4
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0744 % 3,292.1
Perpetual-Premium 5.29 % -6.96 % 96,893 0.09 17 0.0390 % 3,197.6
Perpetual-Discount 5.09 % 5.04 % 89,940 15.34 17 0.1046 % 3,614.2
FixedReset Disc 5.43 % 4.16 % 126,875 16.55 65 0.1877 % 2,127.6
Deemed-Retractible 5.06 % 4.83 % 116,705 15.18 22 0.0277 % 3,505.3
FloatingReset 1.97 % 2.76 % 41,522 1.28 3 0.0505 % 1,794.2
FixedReset Prem 5.22 % 3.48 % 267,486 0.81 14 -0.0395 % 2,642.2
FixedReset Bank Non 1.94 % 2.25 % 118,452 1.27 2 0.1813 % 2,856.6
FixedReset Ins Non 5.49 % 4.24 % 77,765 16.49 22 0.1823 % 2,201.3
Performance Highlights
Issue Index Change Notes
TRP.PR.G FixedReset Disc -3.53 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-16
Maturity Price : 14.76
Evaluated at bid price : 14.76
Bid-YTW : 5.75 %
BAM.PF.J FixedReset Disc -3.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-16
Maturity Price : 23.12
Evaluated at bid price : 24.02
Bid-YTW : 4.93 %
TRP.PR.C FixedReset Disc -2.79 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-16
Maturity Price : 8.70
Evaluated at bid price : 8.70
Bid-YTW : 5.54 %
IFC.PR.A FixedReset Ins Non -2.52 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-16
Maturity Price : 12.36
Evaluated at bid price : 12.36
Bid-YTW : 4.63 %
SLF.PR.H FixedReset Ins Non -1.89 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-16
Maturity Price : 15.06
Evaluated at bid price : 15.06
Bid-YTW : 4.29 %
MFC.PR.F FixedReset Ins Non -1.62 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-16
Maturity Price : 10.94
Evaluated at bid price : 10.94
Bid-YTW : 4.16 %
CU.PR.G Perpetual-Discount -1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-16
Maturity Price : 23.30
Evaluated at bid price : 23.75
Bid-YTW : 4.77 %
IAF.PR.I FixedReset Ins Non 1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-16
Maturity Price : 19.85
Evaluated at bid price : 19.85
Bid-YTW : 4.27 %
TD.PF.D FixedReset Disc 1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-16
Maturity Price : 19.37
Evaluated at bid price : 19.37
Bid-YTW : 4.11 %
TRP.PR.B FixedReset Disc 1.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-16
Maturity Price : 8.50
Evaluated at bid price : 8.50
Bid-YTW : 4.95 %
NA.PR.S FixedReset Disc 1.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-16
Maturity Price : 17.85
Evaluated at bid price : 17.85
Bid-YTW : 4.21 %
BIP.PR.E FixedReset Disc 1.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-16
Maturity Price : 22.17
Evaluated at bid price : 22.50
Bid-YTW : 5.59 %
MFC.PR.M FixedReset Ins Non 1.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-16
Maturity Price : 18.00
Evaluated at bid price : 18.00
Bid-YTW : 4.16 %
NA.PR.W FixedReset Disc 1.18 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-16
Maturity Price : 17.15
Evaluated at bid price : 17.15
Bid-YTW : 4.22 %
RY.PR.J FixedReset Disc 1.54 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-16
Maturity Price : 19.82
Evaluated at bid price : 19.82
Bid-YTW : 4.01 %
TRP.PR.A FixedReset Disc 1.79 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-16
Maturity Price : 11.91
Evaluated at bid price : 11.91
Bid-YTW : 5.52 %
BAM.PR.R FixedReset Disc 1.92 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-16
Maturity Price : 13.30
Evaluated at bid price : 13.30
Bid-YTW : 5.10 %
BAM.PF.G FixedReset Disc 2.31 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-16
Maturity Price : 15.93
Evaluated at bid price : 15.93
Bid-YTW : 5.11 %
MFC.PR.G FixedReset Ins Non 2.56 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-16
Maturity Price : 20.00
Evaluated at bid price : 20.00
Bid-YTW : 4.18 %
Volume Highlights
Issue Index Shares
Traded
Notes
TRP.PR.G FixedReset Disc 240,360 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-16
Maturity Price : 14.76
Evaluated at bid price : 14.76
Bid-YTW : 5.75 %
PWF.PR.P FixedReset Disc 210,052 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-16
Maturity Price : 10.16
Evaluated at bid price : 10.16
Bid-YTW : 4.89 %
PWF.PR.O Perpetual-Premium 155,648 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2020-11-15
Maturity Price : 25.00
Evaluated at bid price : 25.26
Bid-YTW : -9.47 %
W.PR.K FixedReset Disc 136,258 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-16
Maturity Price : 23.81
Evaluated at bid price : 24.68
Bid-YTW : 5.30 %
BMO.PR.C FixedReset Disc 107,309 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-16
Maturity Price : 23.58
Evaluated at bid price : 23.97
Bid-YTW : 3.96 %
CM.PR.R FixedReset Disc 101,586 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-16
Maturity Price : 22.88
Evaluated at bid price : 23.25
Bid-YTW : 4.10 %
There were 81 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
SLF.PR.H FixedReset Ins Non Quote: 15.06 – 16.00
Spot Rate : 0.9400
Average : 0.5819

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-16
Maturity Price : 15.06
Evaluated at bid price : 15.06
Bid-YTW : 4.29 %

BAM.PF.J FixedReset Disc Quote: 24.02 – 24.86
Spot Rate : 0.8400
Average : 0.5201

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-16
Maturity Price : 23.12
Evaluated at bid price : 24.02
Bid-YTW : 4.93 %

NA.PR.S FixedReset Disc Quote: 17.85 – 18.49
Spot Rate : 0.6400
Average : 0.3914

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-16
Maturity Price : 17.85
Evaluated at bid price : 17.85
Bid-YTW : 4.21 %

GWO.PR.P Deemed-Retractible Quote: 25.30 – 25.93
Spot Rate : 0.6300
Average : 0.4038

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2020-11-15
Maturity Price : 25.00
Evaluated at bid price : 25.30
Bid-YTW : -6.17 %

TD.PF.J FixedReset Disc Quote: 20.00 – 20.63
Spot Rate : 0.6300
Average : 0.4270

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-16
Maturity Price : 20.00
Evaluated at bid price : 20.00
Bid-YTW : 4.12 %

MFC.PR.J FixedReset Ins Non Quote: 19.03 – 19.70
Spot Rate : 0.6700
Average : 0.4700

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-16
Maturity Price : 19.03
Evaluated at bid price : 19.03
Bid-YTW : 4.26 %

October 15, 2020

Thursday, October 15th, 2020
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 -0.3232 % 1,632.0
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.3232 % 2,994.6
Floater 5.21 % 5.26 % 42,687 15.08 3 -0.3232 % 1,725.8
OpRet 0.00 % 0.00 % 0 0.00 0 -0.0347 % 3,530.6
SplitShare 4.80 % 4.69 % 51,234 3.57 8 -0.0347 % 4,216.2
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.0347 % 3,289.7
Perpetual-Premium 5.29 % -6.08 % 93,657 0.09 17 -0.0092 % 3,196.3
Perpetual-Discount 5.10 % 5.07 % 88,138 15.32 17 -0.0584 % 3,610.5
FixedReset Disc 5.44 % 4.15 % 124,718 16.58 65 0.7071 % 2,123.6
Deemed-Retractible 5.07 % 4.84 % 114,898 15.18 22 0.1626 % 3,504.3
FloatingReset 1.97 % 2.76 % 40,985 1.28 3 -0.0337 % 1,793.3
FixedReset Prem 5.21 % 3.22 % 258,968 0.82 14 0.1835 % 2,643.2
FixedReset Bank Non 1.95 % 2.37 % 111,947 1.27 2 -0.1809 % 2,851.4
FixedReset Ins Non 5.50 % 4.24 % 75,485 16.46 22 0.2385 % 2,197.3
Performance Highlights
Issue Index Change Notes
MFC.PR.I FixedReset Ins Non -2.50 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-15
Maturity Price : 19.50
Evaluated at bid price : 19.50
Bid-YTW : 4.34 %
BIP.PR.A FixedReset Disc -2.31 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-15
Maturity Price : 16.90
Evaluated at bid price : 16.90
Bid-YTW : 5.90 %
IAF.PR.G FixedReset Ins Non -2.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-15
Maturity Price : 18.80
Evaluated at bid price : 18.80
Bid-YTW : 4.39 %
TRP.PR.B FixedReset Disc -1.41 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-15
Maturity Price : 8.41
Evaluated at bid price : 8.41
Bid-YTW : 5.01 %
MFC.PR.C Deemed-Retractible -1.27 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-15
Maturity Price : 23.09
Evaluated at bid price : 23.35
Bid-YTW : 4.85 %
IAF.PR.I FixedReset Ins Non -1.26 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-15
Maturity Price : 19.65
Evaluated at bid price : 19.65
Bid-YTW : 4.31 %
IFC.PR.C FixedReset Ins Non -1.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-15
Maturity Price : 16.86
Evaluated at bid price : 16.86
Bid-YTW : 4.56 %
BAM.PR.M Perpetual-Discount -1.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-15
Maturity Price : 22.49
Evaluated at bid price : 22.75
Bid-YTW : 5.25 %
BAM.PF.G FixedReset Disc -1.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-15
Maturity Price : 15.57
Evaluated at bid price : 15.57
Bid-YTW : 5.23 %
BAM.PR.R FixedReset Disc -1.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-15
Maturity Price : 13.05
Evaluated at bid price : 13.05
Bid-YTW : 5.20 %
IFC.PR.G FixedReset Ins Non -1.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-15
Maturity Price : 17.81
Evaluated at bid price : 17.81
Bid-YTW : 4.55 %
TRP.PR.K FixedReset Disc 1.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-15
Maturity Price : 23.65
Evaluated at bid price : 24.90
Bid-YTW : 4.91 %
SLF.PR.B Deemed-Retractible 1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-15
Maturity Price : 24.46
Evaluated at bid price : 24.70
Bid-YTW : 4.89 %
IFC.PR.A FixedReset Ins Non 1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-15
Maturity Price : 12.68
Evaluated at bid price : 12.68
Bid-YTW : 4.51 %
MFC.PR.G FixedReset Ins Non 1.56 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-15
Maturity Price : 19.50
Evaluated at bid price : 19.50
Bid-YTW : 4.29 %
MFC.PR.R FixedReset Ins Non 1.69 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-15
Maturity Price : 24.39
Evaluated at bid price : 24.71
Bid-YTW : 4.33 %
BAM.PF.E FixedReset Disc 2.44 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-15
Maturity Price : 15.11
Evaluated at bid price : 15.11
Bid-YTW : 5.17 %
PWF.PR.S Perpetual-Discount 2.74 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-15
Maturity Price : 23.18
Evaluated at bid price : 23.66
Bid-YTW : 5.06 %
MFC.PR.N FixedReset Ins Non 3.58 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-15
Maturity Price : 17.65
Evaluated at bid price : 17.65
Bid-YTW : 4.15 %
MFC.PR.F FixedReset Ins Non 3.73 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-15
Maturity Price : 11.12
Evaluated at bid price : 11.12
Bid-YTW : 4.09 %
SLF.PR.G FixedReset Ins Non 4.83 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-15
Maturity Price : 10.85
Evaluated at bid price : 10.85
Bid-YTW : 4.18 %
TRP.PR.G FixedReset Disc 7.29 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-15
Maturity Price : 15.30
Evaluated at bid price : 15.30
Bid-YTW : 5.54 %
RY.PR.M FixedReset Disc 56.51 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-15
Maturity Price : 18.75
Evaluated at bid price : 18.75
Bid-YTW : 4.05 %
Volume Highlights
Issue Index Shares
Traded
Notes
GWO.PR.T Deemed-Retractible 222,500 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-06-30
Maturity Price : 25.25
Evaluated at bid price : 25.40
Bid-YTW : 5.04 %
RY.PR.P Perpetual-Premium 151,200 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-02-24
Maturity Price : 26.00
Evaluated at bid price : 26.36
Bid-YTW : 3.17 %
TD.PF.A FixedReset Disc 128,386 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-15
Maturity Price : 17.68
Evaluated at bid price : 17.68
Bid-YTW : 4.01 %
TD.PF.H FixedReset Prem 106,835 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-10-31
Maturity Price : 25.00
Evaluated at bid price : 25.38
Bid-YTW : 3.17 %
CM.PR.R FixedReset Disc 86,943 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-15
Maturity Price : 22.74
Evaluated at bid price : 23.11
Bid-YTW : 4.12 %
TD.PF.L FixedReset Disc 82,200 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-15
Maturity Price : 23.21
Evaluated at bid price : 24.75
Bid-YTW : 3.86 %
There were 19 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
CM.PR.Q FixedReset Disc Quote: 19.15 – 20.50
Spot Rate : 1.3500
Average : 0.9838

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-15
Maturity Price : 19.15
Evaluated at bid price : 19.15
Bid-YTW : 4.14 %

MFC.PR.I FixedReset Ins Non Quote: 19.50 – 20.16
Spot Rate : 0.6600
Average : 0.5241

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-15
Maturity Price : 19.50
Evaluated at bid price : 19.50
Bid-YTW : 4.34 %

PWF.PR.T FixedReset Disc Quote: 16.56 – 16.99
Spot Rate : 0.4300
Average : 0.2952

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-15
Maturity Price : 16.56
Evaluated at bid price : 16.56
Bid-YTW : 4.55 %

POW.PR.A Perpetual-Premium Quote: 25.31 – 25.70
Spot Rate : 0.3900
Average : 0.2696

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2020-11-14
Maturity Price : 25.00
Evaluated at bid price : 25.31
Bid-YTW : -9.20 %

RY.PR.H FixedReset Disc Quote: 18.38 – 18.66
Spot Rate : 0.2800
Average : 0.1711

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-15
Maturity Price : 18.38
Evaluated at bid price : 18.38
Bid-YTW : 3.91 %

MFC.PR.C Deemed-Retractible Quote: 23.35 – 23.75
Spot Rate : 0.4000
Average : 0.2946

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-15
Maturity Price : 23.09
Evaluated at bid price : 23.35
Bid-YTW : 4.85 %

October 14, 2020

Wednesday, October 14th, 2020

PerpetualDiscounts now yield 5.10%, equivalent to 6.63% interest at the standard equivalency factor of 1.3x. Long corporates now yield 2.96%, so the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) has widened slightly (and perhaps spuriously) to 365bp from the 360bp reported October 7.

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 -0.1614 % 1,637.3
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.1614 % 3,004.4
Floater 5.20 % 5.24 % 44,446 15.10 3 -0.1614 % 1,731.4
OpRet 0.00 % 0.00 % 0 0.00 0 -0.0248 % 3,531.8
SplitShare 4.80 % 4.64 % 52,924 3.57 8 -0.0248 % 4,217.7
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.0248 % 3,290.8
Perpetual-Premium 5.29 % -3.05 % 92,463 0.09 17 -0.0183 % 3,196.6
Perpetual-Discount 5.09 % 5.10 % 88,730 15.31 17 0.1095 % 3,612.6
FixedReset Disc 5.48 % 4.19 % 124,073 16.55 65 -0.1375 % 2,108.7
Deemed-Retractible 5.07 % 4.83 % 106,251 15.17 22 0.1499 % 3,498.6
FloatingReset 1.97 % 2.75 % 42,668 1.28 3 -0.2353 % 1,793.9
FixedReset Prem 5.22 % 3.52 % 259,759 0.83 14 -0.2619 % 2,638.4
FixedReset Bank Non 1.94 % 2.24 % 112,555 1.28 2 0.0000 % 2,856.6
FixedReset Ins Non 5.51 % 4.24 % 77,977 16.41 22 -0.6879 % 2,192.1
Performance Highlights
Issue Index Change Notes
TRP.PR.G FixedReset Disc -6.25 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-14
Maturity Price : 14.26
Evaluated at bid price : 14.26
Bid-YTW : 5.95 %
SLF.PR.G FixedReset Ins Non -5.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-14
Maturity Price : 10.35
Evaluated at bid price : 10.35
Bid-YTW : 4.38 %
MFC.PR.N FixedReset Ins Non -4.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-14
Maturity Price : 17.04
Evaluated at bid price : 17.04
Bid-YTW : 4.31 %
MFC.PR.G FixedReset Ins Non -3.52 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-14
Maturity Price : 19.20
Evaluated at bid price : 19.20
Bid-YTW : 4.36 %
PWF.PR.S Perpetual-Discount -2.66 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-14
Maturity Price : 22.76
Evaluated at bid price : 23.03
Bid-YTW : 5.21 %
TRP.PR.A FixedReset Disc -2.25 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-14
Maturity Price : 11.72
Evaluated at bid price : 11.72
Bid-YTW : 5.61 %
MFC.PR.R FixedReset Ins Non -1.82 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-14
Maturity Price : 23.91
Evaluated at bid price : 24.30
Bid-YTW : 4.40 %
CM.PR.P FixedReset Disc -1.48 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-14
Maturity Price : 17.96
Evaluated at bid price : 17.96
Bid-YTW : 4.07 %
BAM.PR.T FixedReset Disc -1.47 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-14
Maturity Price : 13.37
Evaluated at bid price : 13.37
Bid-YTW : 5.22 %
TRP.PR.F FloatingReset -1.46 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-14
Maturity Price : 10.13
Evaluated at bid price : 10.13
Bid-YTW : 5.00 %
MFC.PR.I FixedReset Ins Non -1.43 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-14
Maturity Price : 20.00
Evaluated at bid price : 20.00
Bid-YTW : 4.23 %
BAM.PF.E FixedReset Disc -1.40 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-14
Maturity Price : 14.75
Evaluated at bid price : 14.75
Bid-YTW : 5.30 %
BIK.PR.A FixedReset Prem -1.34 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-14
Maturity Price : 23.32
Evaluated at bid price : 25.01
Bid-YTW : 5.82 %
SLF.PR.E Deemed-Retractible -1.18 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-14
Maturity Price : 23.14
Evaluated at bid price : 23.40
Bid-YTW : 4.83 %
TRP.PR.J FixedReset Prem -1.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-14
Maturity Price : 24.79
Evaluated at bid price : 25.16
Bid-YTW : 5.53 %
PWF.PR.T FixedReset Disc -1.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-14
Maturity Price : 16.61
Evaluated at bid price : 16.61
Bid-YTW : 4.53 %
SLF.PR.D Deemed-Retractible -1.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-14
Maturity Price : 22.98
Evaluated at bid price : 23.25
Bid-YTW : 4.81 %
TRP.PR.E FixedReset Disc -1.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-14
Maturity Price : 13.41
Evaluated at bid price : 13.41
Bid-YTW : 5.56 %
TRP.PR.K FixedReset Disc -1.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-14
Maturity Price : 23.55
Evaluated at bid price : 24.65
Bid-YTW : 4.97 %
TD.PF.C FixedReset Disc 1.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-14
Maturity Price : 18.46
Evaluated at bid price : 18.46
Bid-YTW : 3.93 %
CU.PR.E Perpetual-Discount 1.47 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-14
Maturity Price : 24.52
Evaluated at bid price : 24.79
Bid-YTW : 4.99 %
TRP.PR.B FixedReset Disc 1.55 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-14
Maturity Price : 8.53
Evaluated at bid price : 8.53
Bid-YTW : 4.93 %
CU.PR.D Perpetual-Discount 3.83 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-14
Maturity Price : 24.67
Evaluated at bid price : 24.95
Bid-YTW : 4.96 %
SLF.PR.C Deemed-Retractible 5.36 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-14
Maturity Price : 23.14
Evaluated at bid price : 23.40
Bid-YTW : 4.78 %
Volume Highlights
Issue Index Shares
Traded
Notes
TD.PF.C FixedReset Disc 155,625 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-14
Maturity Price : 18.46
Evaluated at bid price : 18.46
Bid-YTW : 3.93 %
TD.PF.M FixedReset Disc 102,600 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-14
Maturity Price : 23.32
Evaluated at bid price : 25.15
Bid-YTW : 4.02 %
CM.PR.P FixedReset Disc 82,100 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-14
Maturity Price : 17.96
Evaluated at bid price : 17.96
Bid-YTW : 4.07 %
BAM.PF.B FixedReset Disc 58,107 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-14
Maturity Price : 16.25
Evaluated at bid price : 16.25
Bid-YTW : 5.13 %
GWO.PR.M Deemed-Retractible 51,854 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2020-11-13
Maturity Price : 25.00
Evaluated at bid price : 25.37
Bid-YTW : -9.19 %
TD.PF.B FixedReset Disc 42,400 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-14
Maturity Price : 17.63
Evaluated at bid price : 17.63
Bid-YTW : 4.05 %
There were 24 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
RY.PR.M FixedReset Disc Quote: 11.98 – 19.00
Spot Rate : 7.0200
Average : 5.4865

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-14
Maturity Price : 11.98
Evaluated at bid price : 11.98
Bid-YTW : 6.38 %

SLF.PR.G FixedReset Ins Non Quote: 10.35 – 11.50
Spot Rate : 1.1500
Average : 0.7268

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-14
Maturity Price : 10.35
Evaluated at bid price : 10.35
Bid-YTW : 4.38 %

CU.PR.C FixedReset Disc Quote: 16.65 – 18.00
Spot Rate : 1.3500
Average : 0.9449

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-14
Maturity Price : 16.65
Evaluated at bid price : 16.65
Bid-YTW : 4.31 %

CM.PR.Q FixedReset Disc Quote: 19.03 – 20.00
Spot Rate : 0.9700
Average : 0.5824

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-14
Maturity Price : 19.03
Evaluated at bid price : 19.03
Bid-YTW : 4.17 %

CIU.PR.A Perpetual-Discount Quote: 23.50 – 25.25
Spot Rate : 1.7500
Average : 1.3927

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-14
Maturity Price : 23.20
Evaluated at bid price : 23.50
Bid-YTW : 4.94 %

PWF.PR.S Perpetual-Discount Quote: 23.03 – 23.90
Spot Rate : 0.8700
Average : 0.5144

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-14
Maturity Price : 22.76
Evaluated at bid price : 23.03
Bid-YTW : 5.21 %

October 13, 2020

Tuesday, October 13th, 2020
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 -0.3217 % 1,639.9
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.3217 % 3,009.2
Floater 5.19 % 5.23 % 46,271 15.12 3 -0.3217 % 1,734.2
OpRet 0.00 % 0.00 % 0 0.00 0 0.2783 % 3,532.7
SplitShare 4.80 % 4.60 % 53,688 3.58 8 0.2783 % 4,218.8
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.2783 % 3,291.6
Perpetual-Premium 5.29 % -3.70 % 90,872 0.09 17 0.0964 % 3,197.2
Perpetual-Discount 5.10 % 5.07 % 92,164 15.17 17 -0.4193 % 3,608.6
FixedReset Disc 5.47 % 4.18 % 124,275 16.53 65 -0.2354 % 2,111.6
Deemed-Retractible 5.08 % 4.83 % 106,494 15.13 22 -0.5154 % 3,493.4
FloatingReset 1.97 % 2.71 % 42,912 1.28 3 -0.0336 % 1,798.2
FixedReset Prem 5.21 % 3.27 % 262,056 0.82 14 0.1608 % 2,645.3
FixedReset Bank Non 1.94 % 2.24 % 112,713 1.28 2 0.0000 % 2,856.6
FixedReset Ins Non 5.47 % 4.23 % 78,435 16.47 22 0.6569 % 2,207.3
Performance Highlights
Issue Index Change Notes
RY.PR.M FixedReset Disc -35.90 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-13
Maturity Price : 11.98
Evaluated at bid price : 11.98
Bid-YTW : 6.38 %
SLF.PR.C Deemed-Retractible -6.68 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-13
Maturity Price : 21.98
Evaluated at bid price : 22.21
Bid-YTW : 5.04 %
CU.PR.D Perpetual-Discount -3.88 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-13
Maturity Price : 23.73
Evaluated at bid price : 24.03
Bid-YTW : 5.15 %
CU.PR.E Perpetual-Discount -2.28 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-13
Maturity Price : 24.19
Evaluated at bid price : 24.43
Bid-YTW : 5.07 %
TRP.PR.B FixedReset Disc -2.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-13
Maturity Price : 8.40
Evaluated at bid price : 8.40
Bid-YTW : 5.01 %
SLF.PR.B Deemed-Retractible -1.96 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-13
Maturity Price : 24.22
Evaluated at bid price : 24.48
Bid-YTW : 4.93 %
SLF.PR.E Deemed-Retractible -1.42 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-13
Maturity Price : 23.39
Evaluated at bid price : 23.68
Bid-YTW : 4.77 %
SLF.PR.A Deemed-Retractible -1.30 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-13
Maturity Price : 24.09
Evaluated at bid price : 24.35
Bid-YTW : 4.90 %
BMO.PR.T FixedReset Disc -1.27 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-13
Maturity Price : 17.13
Evaluated at bid price : 17.13
Bid-YTW : 4.18 %
SLF.PR.D Deemed-Retractible -1.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-13
Maturity Price : 23.20
Evaluated at bid price : 23.50
Bid-YTW : 4.75 %
IAF.PR.G FixedReset Ins Non 1.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-13
Maturity Price : 19.04
Evaluated at bid price : 19.04
Bid-YTW : 4.34 %
MFC.PR.Q FixedReset Ins Non 1.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-13
Maturity Price : 18.95
Evaluated at bid price : 18.95
Bid-YTW : 4.23 %
SLF.PR.G FixedReset Ins Non 1.21 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-13
Maturity Price : 10.90
Evaluated at bid price : 10.90
Bid-YTW : 4.15 %
IAF.PR.I FixedReset Ins Non 1.26 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-13
Maturity Price : 20.05
Evaluated at bid price : 20.05
Bid-YTW : 4.22 %
CM.PR.P FixedReset Disc 1.39 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-13
Maturity Price : 18.23
Evaluated at bid price : 18.23
Bid-YTW : 4.00 %
TRP.PR.A FixedReset Disc 1.61 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-13
Maturity Price : 11.99
Evaluated at bid price : 11.99
Bid-YTW : 5.48 %
MFC.PR.F FixedReset Ins Non 1.69 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-13
Maturity Price : 10.80
Evaluated at bid price : 10.80
Bid-YTW : 4.21 %
BIP.PR.A FixedReset Disc 1.83 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-13
Maturity Price : 17.25
Evaluated at bid price : 17.25
Bid-YTW : 5.78 %
IFC.PR.G FixedReset Ins Non 1.86 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-13
Maturity Price : 18.10
Evaluated at bid price : 18.10
Bid-YTW : 4.47 %
MFC.PR.G FixedReset Ins Non 2.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-13
Maturity Price : 19.90
Evaluated at bid price : 19.90
Bid-YTW : 4.20 %
NA.PR.G FixedReset Disc 2.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-13
Maturity Price : 20.08
Evaluated at bid price : 20.08
Bid-YTW : 4.27 %
IFC.PR.A FixedReset Ins Non 3.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-13
Maturity Price : 12.60
Evaluated at bid price : 12.60
Bid-YTW : 4.54 %
TRP.PR.G FixedReset Disc 6.66 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-13
Maturity Price : 15.21
Evaluated at bid price : 15.21
Bid-YTW : 5.57 %
Volume Highlights
Issue Index Shares
Traded
Notes
PVS.PR.I SplitShare 42,275 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-10-31
Maturity Price : 25.00
Evaluated at bid price : 25.20
Bid-YTW : 4.60 %
TRP.PR.G FixedReset Disc 31,650 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-13
Maturity Price : 15.21
Evaluated at bid price : 15.21
Bid-YTW : 5.57 %
CM.PR.T FixedReset Disc 28,225 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-13
Maturity Price : 23.10
Evaluated at bid price : 24.45
Bid-YTW : 3.98 %
BAM.PR.X FixedReset Disc 23,278 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-13
Maturity Price : 11.13
Evaluated at bid price : 11.13
Bid-YTW : 5.05 %
RY.PR.Z FixedReset Disc 21,905 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-13
Maturity Price : 18.18
Evaluated at bid price : 18.18
Bid-YTW : 3.89 %
PWF.PR.O Perpetual-Premium 21,900 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2020-11-12
Maturity Price : 25.00
Evaluated at bid price : 25.26
Bid-YTW : -10.02 %
There were 7 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
RY.PR.M FixedReset Disc Quote: 11.98 – 18.95
Spot Rate : 6.9700
Average : 3.8051

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-13
Maturity Price : 11.98
Evaluated at bid price : 11.98
Bid-YTW : 6.38 %

CIU.PR.A Perpetual-Discount Quote: 23.53 – 25.25
Spot Rate : 1.7200
Average : 1.0009

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-13
Maturity Price : 23.23
Evaluated at bid price : 23.53
Bid-YTW : 4.93 %

SLF.PR.C Deemed-Retractible Quote: 22.21 – 23.65
Spot Rate : 1.4400
Average : 0.7927

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-13
Maturity Price : 21.98
Evaluated at bid price : 22.21
Bid-YTW : 5.04 %

CU.PR.D Perpetual-Discount Quote: 24.03 – 24.96
Spot Rate : 0.9300
Average : 0.5297

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-13
Maturity Price : 23.73
Evaluated at bid price : 24.03
Bid-YTW : 5.15 %

TRP.PR.A FixedReset Disc Quote: 11.99 – 12.95
Spot Rate : 0.9600
Average : 0.5605

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-13
Maturity Price : 11.99
Evaluated at bid price : 11.99
Bid-YTW : 5.48 %

BAM.PF.A FixedReset Disc Quote: 17.50 – 18.30
Spot Rate : 0.8000
Average : 0.5417

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-13
Maturity Price : 17.50
Evaluated at bid price : 17.50
Bid-YTW : 5.16 %