Archive for the ‘Market Action’ Category

April 6, 2017

Thursday, April 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 0.9971 % 2,119.9
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.9971 % 3,889.8
Floater 3.59 % 3.73 % 42,018 18.04 4 0.9971 % 2,241.7
OpRet 0.00 % 0.00 % 0 0.00 0 0.1439 % 3,022.7
SplitShare 4.94 % 4.32 % 61,007 0.66 6 0.1439 % 3,609.7
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.1439 % 2,816.5
Perpetual-Premium 5.31 % -3.11 % 73,998 0.09 23 0.1044 % 2,776.2
Perpetual-Discount 5.13 % 5.11 % 114,302 15.28 13 0.0585 % 2,968.7
FixedReset 4.35 % 3.94 % 242,165 6.67 94 0.3221 % 2,374.3
Deemed-Retractible 5.00 % 0.69 % 147,232 0.13 31 0.2497 % 2,881.4
FloatingReset 2.58 % 3.24 % 49,282 4.54 9 0.0831 % 2,524.6
Performance Highlights
Issue Index Change Notes
SLF.PR.I FixedReset 1.03 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.64
Bid-YTW : 4.67 %
IFC.PR.C FixedReset 1.06 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.03
Bid-YTW : 5.41 %
IAG.PR.G FixedReset 1.08 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.50
Bid-YTW : 4.90 %
MFC.PR.F FixedReset 1.15 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 15.88
Bid-YTW : 8.93 %
BIP.PR.A FixedReset 1.18 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-04-06
Maturity Price : 22.97
Evaluated at bid price : 24.05
Bid-YTW : 4.76 %
MFC.PR.B Deemed-Retractible 1.25 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.49
Bid-YTW : 5.68 %
BAM.PR.C Floater 1.27 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-04-06
Maturity Price : 12.71
Evaluated at bid price : 12.71
Bid-YTW : 3.74 %
MFC.PR.C Deemed-Retractible 1.34 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.66
Bid-YTW : 6.09 %
BAM.PR.B Floater 1.35 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-04-06
Maturity Price : 12.74
Evaluated at bid price : 12.74
Bid-YTW : 3.73 %
BAM.PR.K Floater 1.36 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-04-06
Maturity Price : 12.70
Evaluated at bid price : 12.70
Bid-YTW : 3.74 %
Volume Highlights
Issue Index Shares
Traded
Notes
BMO.PR.C FixedReset 322,361 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-05-25
Maturity Price : 25.00
Evaluated at bid price : 25.59
Bid-YTW : 4.08 %
IFC.PR.C FixedReset 156,491 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.03
Bid-YTW : 5.41 %
IFC.PR.A FixedReset 142,800 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.90
Bid-YTW : 7.07 %
BMO.PR.T FixedReset 138,500 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-04-06
Maturity Price : 22.14
Evaluated at bid price : 22.44
Bid-YTW : 3.79 %
MFC.PR.R FixedReset 120,325 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-03-19
Maturity Price : 25.00
Evaluated at bid price : 25.96
Bid-YTW : 4.06 %
TD.PF.C FixedReset 93,966 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-04-06
Maturity Price : 22.04
Evaluated at bid price : 22.37
Bid-YTW : 3.77 %
There were 41 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
GWO.PR.N FixedReset Quote: 15.90 – 16.30
Spot Rate : 0.4000
Average : 0.2872

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 15.90
Bid-YTW : 8.85 %

TD.PF.F Perpetual-Premium Quote: 25.35 – 25.64
Spot Rate : 0.2900
Average : 0.1897

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-10-31
Maturity Price : 25.00
Evaluated at bid price : 25.35
Bid-YTW : 4.66 %

TRP.PR.F FloatingReset Quote: 18.91 – 19.15
Spot Rate : 0.2400
Average : 0.1518

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-04-06
Maturity Price : 18.91
Evaluated at bid price : 18.91
Bid-YTW : 3.33 %

CU.PR.C FixedReset Quote: 22.23 – 22.63
Spot Rate : 0.4000
Average : 0.3150

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-04-06
Maturity Price : 21.79
Evaluated at bid price : 22.23
Bid-YTW : 3.92 %

POW.PR.B Perpetual-Premium Quote: 25.17 – 25.44
Spot Rate : 0.2700
Average : 0.1868

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2017-05-06
Maturity Price : 25.00
Evaluated at bid price : 25.17
Bid-YTW : -4.46 %

SLF.PR.J FloatingReset Quote: 15.75 – 16.05
Spot Rate : 0.3000
Average : 0.2170

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 15.75
Bid-YTW : 8.61 %

April 5, 2017

Wednesday, April 5th, 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 -0.3249 % 2,098.9
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.3249 % 3,851.4
Floater 3.62 % 3.78 % 41,769 17.93 4 -0.3249 % 2,219.6
OpRet 0.00 % 0.00 % 0 0.00 0 -0.1306 % 3,018.3
SplitShare 4.95 % 4.31 % 60,842 0.67 6 -0.1306 % 3,604.6
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.1306 % 2,812.4
Perpetual-Premium 5.28 % -3.77 % 71,886 0.09 23 0.0390 % 2,773.3
Perpetual-Discount 5.12 % 5.09 % 114,429 15.23 13 0.1045 % 2,967.0
FixedReset 4.36 % 3.98 % 239,498 6.67 94 0.0846 % 2,366.7
Deemed-Retractible 5.02 % 0.96 % 147,161 0.14 31 0.0237 % 2,874.2
FloatingReset 2.57 % 3.24 % 50,332 4.53 9 -0.0315 % 2,522.5
Performance Highlights
Issue Index Change Notes
NA.PR.A FixedReset -1.22 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-08-15
Maturity Price : 25.00
Evaluated at bid price : 26.83
Bid-YTW : 3.78 %
NA.PR.W FixedReset 1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-04-05
Maturity Price : 21.95
Evaluated at bid price : 22.25
Bid-YTW : 3.86 %
PWF.PR.P FixedReset 1.17 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-04-05
Maturity Price : 16.40
Evaluated at bid price : 16.40
Bid-YTW : 4.02 %
BAM.PR.X FixedReset 1.73 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-04-05
Maturity Price : 17.10
Evaluated at bid price : 17.10
Bid-YTW : 4.24 %
Volume Highlights
Issue Index Shares
Traded
Notes
BNS.PR.H FixedReset 1,619,838 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-01-26
Maturity Price : 25.00
Evaluated at bid price : 26.11
Bid-YTW : 3.79 %
PVS.PR.B SplitShare 390,500 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2019-01-10
Maturity Price : 25.00
Evaluated at bid price : 25.11
Bid-YTW : 4.31 %
BMO.PR.C FixedReset 172,080 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-05-25
Maturity Price : 25.00
Evaluated at bid price : 25.57
Bid-YTW : 4.09 %
BNS.PR.Q FixedReset 142,200 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.64
Bid-YTW : 3.30 %
BMO.PR.L Deemed-Retractible 140,325 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2017-05-25
Maturity Price : 25.00
Evaluated at bid price : 25.32
Bid-YTW : 0.96 %
HSE.PR.G FixedReset 118,064 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-04-05
Maturity Price : 23.13
Evaluated at bid price : 24.44
Bid-YTW : 4.65 %
There were 34 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
NA.PR.A FixedReset Quote: 26.83 – 27.29
Spot Rate : 0.4600
Average : 0.2677

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-08-15
Maturity Price : 25.00
Evaluated at bid price : 26.83
Bid-YTW : 3.78 %

EML.PR.A FixedReset Quote: 26.52 – 26.88
Spot Rate : 0.3600
Average : 0.2172

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-04-17
Maturity Price : 25.00
Evaluated at bid price : 26.52
Bid-YTW : 4.07 %

BAM.PR.K Floater Quote: 12.53 – 12.83
Spot Rate : 0.3000
Average : 0.2082

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-04-05
Maturity Price : 12.53
Evaluated at bid price : 12.53
Bid-YTW : 3.79 %

BAM.PR.B Floater Quote: 12.57 – 12.87
Spot Rate : 0.3000
Average : 0.2137

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-04-05
Maturity Price : 12.57
Evaluated at bid price : 12.57
Bid-YTW : 3.78 %

CM.PR.Q FixedReset Quote: 23.53 – 23.80
Spot Rate : 0.2700
Average : 0.1946

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-04-05
Maturity Price : 22.70
Evaluated at bid price : 23.53
Bid-YTW : 4.00 %

BAM.PR.R FixedReset Quote: 19.72 – 19.96
Spot Rate : 0.2400
Average : 0.1718

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-04-05
Maturity Price : 19.72
Evaluated at bid price : 19.72
Bid-YTW : 4.21 %

April 4, 2017

Tuesday, April 4th, 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 0.7122 % 2,105.8
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.7122 % 3,864.0
Floater 3.61 % 3.75 % 43,081 17.99 4 0.7122 % 2,226.8
OpRet 0.00 % 0.00 % 0 0.00 0 0.0065 % 3,022.3
SplitShare 4.94 % 4.07 % 61,537 0.67 6 0.0065 % 3,609.3
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0065 % 2,816.1
Perpetual-Premium 5.29 % -1.61 % 72,466 0.09 23 0.0526 % 2,772.2
Perpetual-Discount 5.13 % 5.10 % 116,102 15.26 13 0.4953 % 2,963.9
FixedReset 4.36 % 3.96 % 240,220 6.67 94 0.2221 % 2,364.7
Deemed-Retractible 5.02 % 0.66 % 143,812 0.14 31 0.2663 % 2,873.5
FloatingReset 2.57 % 3.22 % 52,332 4.53 9 0.0893 % 2,523.3
Performance Highlights
Issue Index Change Notes
GWO.PR.N FixedReset -1.18 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 15.85
Bid-YTW : 8.89 %
TRP.PR.C FixedReset 1.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-04-04
Maturity Price : 16.14
Evaluated at bid price : 16.14
Bid-YTW : 3.96 %
TD.PF.A FixedReset 1.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-04-04
Maturity Price : 22.34
Evaluated at bid price : 22.76
Bid-YTW : 3.76 %
BAM.PR.K Floater 1.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-04-04
Maturity Price : 12.65
Evaluated at bid price : 12.65
Bid-YTW : 3.75 %
TD.PF.B FixedReset 1.25 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-04-04
Maturity Price : 22.36
Evaluated at bid price : 22.74
Bid-YTW : 3.77 %
Volume Highlights
Issue Index Shares
Traded
Notes
TD.PR.T FloatingReset 115,376 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.11
Bid-YTW : 3.08 %
BMO.PR.B FixedReset 97,541 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-02-25
Maturity Price : 25.00
Evaluated at bid price : 26.55
Bid-YTW : 3.60 %
BIP.PR.D FixedReset 82,219 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-03-31
Maturity Price : 25.00
Evaluated at bid price : 25.27
Bid-YTW : 4.79 %
BNS.PR.H FixedReset 67,173 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-01-26
Maturity Price : 25.00
Evaluated at bid price : 26.18
Bid-YTW : 3.72 %
RY.PR.Z FixedReset 66,543 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-04-04
Maturity Price : 22.23
Evaluated at bid price : 22.53
Bid-YTW : 3.75 %
TD.PF.G FixedReset 60,035 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-04-30
Maturity Price : 25.00
Evaluated at bid price : 27.35
Bid-YTW : 3.29 %
There were 54 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
EIT.PR.A SplitShare Quote: 25.62 – 26.00
Spot Rate : 0.3800
Average : 0.2447

YTW SCENARIO
Maturity Type : Soft Maturity
Maturity Date : 2024-03-14
Maturity Price : 25.00
Evaluated at bid price : 25.62
Bid-YTW : 4.45 %

BAM.PF.H FixedReset Quote: 26.55 – 26.85
Spot Rate : 0.3000
Average : 0.1949

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2020-12-31
Maturity Price : 25.00
Evaluated at bid price : 26.55
Bid-YTW : 3.26 %

HSE.PR.A FixedReset Quote: 16.46 – 16.80
Spot Rate : 0.3400
Average : 0.2466

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-04-04
Maturity Price : 16.46
Evaluated at bid price : 16.46
Bid-YTW : 4.17 %

BAM.PR.T FixedReset Quote: 19.63 – 19.84
Spot Rate : 0.2100
Average : 0.1241

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-04-04
Maturity Price : 19.63
Evaluated at bid price : 19.63
Bid-YTW : 4.37 %

BAM.PR.X FixedReset Quote: 16.81 – 17.09
Spot Rate : 0.2800
Average : 0.1946

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-04-04
Maturity Price : 16.81
Evaluated at bid price : 16.81
Bid-YTW : 4.31 %

RY.PR.I FixedReset Quote: 24.62 – 24.81
Spot Rate : 0.1900
Average : 0.1175

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.62
Bid-YTW : 3.66 %

April 3, 2017

Monday, April 3rd, 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 0.8542 % 2,090.9
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.8542 % 3,836.7
Floater 3.64 % 3.80 % 42,891 17.89 4 0.8542 % 2,211.1
OpRet 0.00 % 0.00 % 0 0.00 0 0.0131 % 3,022.1
SplitShare 4.94 % 3.84 % 61,766 0.67 6 0.0131 % 3,609.0
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0131 % 2,815.9
Perpetual-Premium 5.29 % -4.61 % 71,807 0.09 23 0.2465 % 2,770.8
Perpetual-Discount 5.15 % 5.13 % 113,489 15.21 13 0.1215 % 2,949.3
FixedReset 4.37 % 3.98 % 239,430 6.67 94 0.1509 % 2,359.5
Deemed-Retractible 5.03 % 1.31 % 141,907 0.14 31 0.2087 % 2,865.9
FloatingReset 2.58 % 3.24 % 54,154 4.54 9 0.3798 % 2,521.0
Performance Highlights
Issue Index Change Notes
IFC.PR.A FixedReset -1.14 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.13
Bid-YTW : 6.88 %
CU.PR.I FixedReset -1.01 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2020-12-01
Maturity Price : 25.00
Evaluated at bid price : 26.41
Bid-YTW : 2.99 %
PWF.PR.L Perpetual-Premium 1.04 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2017-05-03
Maturity Price : 25.00
Evaluated at bid price : 25.27
Bid-YTW : 2.87 %
NA.PR.S FixedReset 1.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-04-03
Maturity Price : 22.35
Evaluated at bid price : 22.64
Bid-YTW : 3.94 %
NA.PR.W FixedReset 1.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-04-03
Maturity Price : 21.54
Evaluated at bid price : 21.92
Bid-YTW : 3.91 %
SLF.PR.J FloatingReset 1.30 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 15.55
Bid-YTW : 8.79 %
BAM.PR.X FixedReset 1.39 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-04-03
Maturity Price : 16.78
Evaluated at bid price : 16.78
Bid-YTW : 4.32 %
BAM.PR.K Floater 1.79 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-04-03
Maturity Price : 12.50
Evaluated at bid price : 12.50
Bid-YTW : 3.80 %
Volume Highlights
Issue Index Shares
Traded
Notes
BNS.PR.O Deemed-Retractible 173,265 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2017-05-26
Maturity Price : 25.00
Evaluated at bid price : 24.98
Bid-YTW : 3.32 %
RY.PR.A Deemed-Retractible 70,077 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2017-05-03
Maturity Price : 25.00
Evaluated at bid price : 25.18
Bid-YTW : 1.31 %
TRP.PR.E FixedReset 57,140 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-04-03
Maturity Price : 22.24
Evaluated at bid price : 22.62
Bid-YTW : 3.88 %
RY.PR.G Deemed-Retractible 50,462 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2017-05-03
Maturity Price : 25.00
Evaluated at bid price : 25.22
Bid-YTW : -0.51 %
TD.PF.D FixedReset 38,694 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-04-03
Maturity Price : 22.80
Evaluated at bid price : 23.72
Bid-YTW : 4.02 %
BAM.PF.A FixedReset 38,046 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-04-03
Maturity Price : 23.37
Evaluated at bid price : 23.80
Bid-YTW : 4.21 %
There were 25 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
W.PR.K FixedReset Quote: 26.05 – 26.48
Spot Rate : 0.4300
Average : 0.2789

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-01-15
Maturity Price : 25.00
Evaluated at bid price : 26.05
Bid-YTW : 4.02 %

PWF.PR.A Floater Quote: 14.50 – 14.91
Spot Rate : 0.4100
Average : 0.3493

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-04-03
Maturity Price : 14.50
Evaluated at bid price : 14.50
Bid-YTW : 3.29 %

BMO.PR.M FixedReset Quote: 24.65 – 24.89
Spot Rate : 0.2400
Average : 0.1843

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.65
Bid-YTW : 3.33 %

GWO.PR.L Deemed-Retractible Quote: 25.80 – 26.00
Spot Rate : 0.2000
Average : 0.1444

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2017-05-03
Maturity Price : 25.50
Evaluated at bid price : 25.80
Bid-YTW : -8.17 %

SLF.PR.H FixedReset Quote: 19.89 – 20.13
Spot Rate : 0.2400
Average : 0.1866

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.89
Bid-YTW : 6.38 %

BMO.PR.R FloatingReset Quote: 23.96 – 24.10
Spot Rate : 0.1400
Average : 0.0977

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.96
Bid-YTW : 3.16 %

March 31, 2017

Friday, March 31st, 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 -0.2711 % 2,073.2
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.2711 % 3,804.2
Floater 3.67 % 3.81 % 43,346 17.82 4 -0.2711 % 2,192.4
OpRet 0.00 % 0.00 % 0 0.00 0 0.0850 % 3,021.7
SplitShare 4.94 % 3.56 % 62,424 0.68 6 0.0850 % 3,608.6
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0850 % 2,815.5
Perpetual-Premium 5.34 % -6.91 % 72,667 0.09 20 -0.0078 % 2,764.0
Perpetual-Discount 5.14 % 5.13 % 112,211 15.11 16 0.0026 % 2,945.7
FixedReset 4.38 % 3.99 % 242,346 6.68 94 0.1758 % 2,355.9
Deemed-Retractible 5.04 % 3.14 % 139,560 0.15 31 -0.0554 % 2,859.9
FloatingReset 2.54 % 3.28 % 55,150 4.55 9 0.0053 % 2,511.5
Performance Highlights
Issue Index Change Notes
MFC.PR.B Deemed-Retractible -1.03 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.01
Bid-YTW : 5.99 %
SLF.PR.G FixedReset 1.21 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 16.73
Bid-YTW : 8.22 %
SLF.PR.H FixedReset 1.22 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.97
Bid-YTW : 6.32 %
HSE.PR.A FixedReset 1.54 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-03-31
Maturity Price : 16.45
Evaluated at bid price : 16.45
Bid-YTW : 4.16 %
IFC.PR.A FixedReset 1.95 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.35
Bid-YTW : 6.70 %
Volume Highlights
Issue Index Shares
Traded
Notes
BNS.PR.O Deemed-Retractible 153,500 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2017-05-26
Maturity Price : 25.00
Evaluated at bid price : 24.98
Bid-YTW : 3.14 %
TRP.PR.J FixedReset 55,549 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-05-31
Maturity Price : 25.00
Evaluated at bid price : 26.70
Bid-YTW : 3.87 %
BMO.PR.C FixedReset 51,555 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-05-25
Maturity Price : 25.00
Evaluated at bid price : 25.40
Bid-YTW : 4.23 %
CM.PR.O FixedReset 47,658 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-03-31
Maturity Price : 22.22
Evaluated at bid price : 22.55
Bid-YTW : 3.81 %
TD.PR.T FloatingReset 32,200 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.97
Bid-YTW : 3.16 %
RY.PR.M FixedReset 27,202 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-03-31
Maturity Price : 22.58
Evaluated at bid price : 23.37
Bid-YTW : 3.92 %
There were 28 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
SLF.PR.D Deemed-Retractible Quote: 22.22 – 22.65
Spot Rate : 0.4300
Average : 0.2620

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.22
Bid-YTW : 6.30 %

VNR.PR.A FixedReset Quote: 21.60 – 22.00
Spot Rate : 0.4000
Average : 0.2515

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-03-31
Maturity Price : 21.33
Evaluated at bid price : 21.60
Bid-YTW : 4.58 %

MFC.PR.B Deemed-Retractible Quote: 23.01 – 23.36
Spot Rate : 0.3500
Average : 0.2524

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.01
Bid-YTW : 5.99 %

SLF.PR.E Deemed-Retractible Quote: 22.27 – 22.50
Spot Rate : 0.2300
Average : 0.1494

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.27
Bid-YTW : 6.32 %

BNS.PR.E FixedReset Quote: 26.73 – 26.93
Spot Rate : 0.2000
Average : 0.1315

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-04-25
Maturity Price : 25.00
Evaluated at bid price : 26.73
Bid-YTW : 3.57 %

MFC.PR.N FixedReset Quote: 21.77 – 21.99
Spot Rate : 0.2200
Average : 0.1518

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.77
Bid-YTW : 5.66 %

March 30, 2017

Friday, March 31st, 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 0.7412 % 2,078.8
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.7412 % 3,814.5
Floater 3.66 % 3.78 % 44,809 17.88 4 0.7412 % 2,198.3
OpRet 0.00 % 0.00 % 0 0.00 0 -0.1501 % 3,019.1
SplitShare 4.94 % 3.78 % 60,646 0.68 6 -0.1501 % 3,605.5
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.1501 % 2,813.1
Perpetual-Premium 5.34 % -5.36 % 73,464 0.09 20 -0.1363 % 2,764.2
Perpetual-Discount 5.14 % 5.14 % 110,339 15.14 16 0.0784 % 2,945.6
FixedReset 4.39 % 4.03 % 242,115 6.69 94 0.5766 % 2,351.8
Deemed-Retractible 5.04 % 3.06 % 138,266 0.15 31 -0.0435 % 2,861.5
FloatingReset 2.53 % 3.17 % 56,499 4.55 9 0.2692 % 2,511.4
Performance Highlights
Issue Index Change Notes
GRP.PR.A SplitShare -1.36 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2017-04-29
Maturity Price : 25.00
Evaluated at bid price : 25.30
Bid-YTW : -11.28 %
ELF.PR.H Perpetual-Premium -1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-03-30
Maturity Price : 24.88
Evaluated at bid price : 25.17
Bid-YTW : 5.47 %
MFC.PR.J FixedReset 1.01 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.98
Bid-YTW : 5.03 %
CM.PR.P FixedReset 1.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-03-30
Maturity Price : 21.79
Evaluated at bid price : 22.03
Bid-YTW : 3.82 %
SLF.PR.I FixedReset 1.09 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.25
Bid-YTW : 4.91 %
BAM.PR.B Floater 1.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-03-30
Maturity Price : 12.49
Evaluated at bid price : 12.49
Bid-YTW : 3.78 %
TD.PF.E FixedReset 1.17 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-03-30
Maturity Price : 23.03
Evaluated at bid price : 24.30
Bid-YTW : 3.98 %
TD.PF.B FixedReset 1.17 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-03-30
Maturity Price : 22.12
Evaluated at bid price : 22.41
Bid-YTW : 3.83 %
TD.PF.C FixedReset 1.18 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-03-30
Maturity Price : 21.99
Evaluated at bid price : 22.30
Bid-YTW : 3.83 %
BNS.PR.D FloatingReset 1.20 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.96
Bid-YTW : 4.44 %
CU.PR.C FixedReset 1.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-03-30
Maturity Price : 21.59
Evaluated at bid price : 21.94
Bid-YTW : 3.98 %
MFC.PR.F FixedReset 1.22 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 15.71
Bid-YTW : 9.06 %
MFC.PR.L FixedReset 1.23 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.40
Bid-YTW : 5.80 %
MFC.PR.N FixedReset 1.29 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.98
Bid-YTW : 5.51 %
BAM.PR.X FixedReset 1.29 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-03-30
Maturity Price : 16.48
Evaluated at bid price : 16.48
Bid-YTW : 4.40 %
IFC.PR.C FixedReset 1.30 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.85
Bid-YTW : 5.51 %
TD.PF.A FixedReset 1.31 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-03-30
Maturity Price : 22.11
Evaluated at bid price : 22.44
Bid-YTW : 3.81 %
BMO.PR.S FixedReset 1.38 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-03-30
Maturity Price : 22.55
Evaluated at bid price : 22.85
Bid-YTW : 3.82 %
BAM.PF.G FixedReset 1.50 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-03-30
Maturity Price : 23.08
Evaluated at bid price : 24.32
Bid-YTW : 4.06 %
HSE.PR.A FixedReset 1.50 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-03-30
Maturity Price : 16.20
Evaluated at bid price : 16.20
Bid-YTW : 4.23 %
BAM.PR.Z FixedReset 1.51 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-03-30
Maturity Price : 22.87
Evaluated at bid price : 23.51
Bid-YTW : 4.30 %
IFC.PR.A FixedReset 1.66 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.98
Bid-YTW : 6.99 %
BAM.PF.A FixedReset 1.79 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-03-30
Maturity Price : 23.40
Evaluated at bid price : 23.82
Bid-YTW : 4.21 %
BAM.PF.F FixedReset 2.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-03-30
Maturity Price : 23.19
Evaluated at bid price : 24.29
Bid-YTW : 4.07 %
BAM.PF.B FixedReset 2.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-03-30
Maturity Price : 22.12
Evaluated at bid price : 22.36
Bid-YTW : 4.21 %
BAM.PF.E FixedReset 2.28 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-03-30
Maturity Price : 22.08
Evaluated at bid price : 22.45
Bid-YTW : 4.17 %
BAM.PR.T FixedReset 2.38 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-03-30
Maturity Price : 19.34
Evaluated at bid price : 19.34
Bid-YTW : 4.41 %
BAM.PR.R FixedReset 2.48 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-03-30
Maturity Price : 19.40
Evaluated at bid price : 19.40
Bid-YTW : 4.27 %
Volume Highlights
Issue Index Shares
Traded
Notes
BNS.PR.Y FixedReset 212,311 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.64
Bid-YTW : 4.17 %
NA.PR.X FixedReset 117,423 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-05-15
Maturity Price : 25.00
Evaluated at bid price : 27.00
Bid-YTW : 3.69 %
BMO.PR.C FixedReset 87,775 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-03-30
Maturity Price : 23.26
Evaluated at bid price : 25.33
Bid-YTW : 4.28 %
RY.PR.J FixedReset 81,844 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-03-30
Maturity Price : 22.64
Evaluated at bid price : 23.38
Bid-YTW : 4.03 %
TRP.PR.B FixedReset 65,500 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-03-30
Maturity Price : 14.59
Evaluated at bid price : 14.59
Bid-YTW : 4.00 %
SLF.PR.H FixedReset 63,400 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.73
Bid-YTW : 6.49 %
There were 48 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
PVS.PR.C SplitShare Quote: 25.26 – 25.78
Spot Rate : 0.5200
Average : 0.2994

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2017-12-10
Maturity Price : 25.00
Evaluated at bid price : 25.26
Bid-YTW : 3.78 %

GRP.PR.A SplitShare Quote: 25.30 – 25.80
Spot Rate : 0.5000
Average : 0.3736

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2017-04-29
Maturity Price : 25.00
Evaluated at bid price : 25.30
Bid-YTW : -11.28 %

W.PR.K FixedReset Quote: 26.00 – 26.26
Spot Rate : 0.2600
Average : 0.1717

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-01-15
Maturity Price : 25.00
Evaluated at bid price : 26.00
Bid-YTW : 4.06 %

NA.PR.W FixedReset Quote: 21.63 – 21.84
Spot Rate : 0.2100
Average : 0.1432

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-03-30
Maturity Price : 21.33
Evaluated at bid price : 21.63
Bid-YTW : 3.97 %

TRP.PR.A FixedReset Quote: 19.12 – 19.40
Spot Rate : 0.2800
Average : 0.2235

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-03-30
Maturity Price : 19.12
Evaluated at bid price : 19.12
Bid-YTW : 3.99 %

HSE.PR.A FixedReset Quote: 16.20 – 16.57
Spot Rate : 0.3700
Average : 0.3163

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-03-30
Maturity Price : 16.20
Evaluated at bid price : 16.20
Bid-YTW : 4.23 %

March 29, 2017

Wednesday, March 29th, 2017

It looks as if increased regulation is having the intended effect:

Laurentian Bank of Canada intends to double the number of financial advisers and commercial account managers by 2020 as part of a plan to transform the Quebec lender from its traditional banking roots.

Laurentian, which for most of its 170-year history offered local banking to Montrealers, plans to have 700 in-branch advisers within three years as part of a shift away from routine teller services, Chief Executive Officer Francois Desjardins said in a March 24 interview at Bloomberg’s Toronto office.

Laurentian has 2,000 employees in its Quebec retail operations, including 350 in-branch advisers whose role includes helping customers with budgets, investment decisions and mortgages, Desjardins said.

PerpetualDiscounts now yield 5.13%, equivalent to 6.67% interest at the standard equivalency factor of 1.3x. Long corporates now yield about 3.95%, so the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) is now about 270bp, unchanged from the March 22 report.

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 -0.1752 % 2,063.5
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.1752 % 3,786.4
Floater 3.69 % 3.83 % 45,389 17.79 4 -0.1752 % 2,182.1
OpRet 0.00 % 0.00 % 0 0.00 0 0.0134 % 3,023.7
SplitShare 4.94 % 4.07 % 60,640 0.68 6 0.0134 % 3,610.9
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0134 % 2,817.4
Perpetual-Premium 5.33 % -8.18 % 73,405 0.09 20 0.3425 % 2,767.9
Perpetual-Discount 5.13 % 5.13 % 111,172 15.13 16 0.3244 % 2,943.3
FixedReset 4.42 % 4.03 % 236,357 6.68 94 0.5619 % 2,338.3
Deemed-Retractible 5.03 % 3.01 % 137,266 0.16 31 0.2314 % 2,862.8
FloatingReset 2.54 % 3.24 % 56,449 4.55 9 0.3761 % 2,504.6
Performance Highlights
Issue Index Change Notes
BAM.PF.H FixedReset -1.08 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2020-12-31
Maturity Price : 25.00
Evaluated at bid price : 26.44
Bid-YTW : 3.36 %
W.PR.M FixedReset 1.01 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-10-15
Maturity Price : 25.00
Evaluated at bid price : 26.30
Bid-YTW : 3.91 %
W.PR.H Perpetual-Premium 1.04 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2017-04-28
Maturity Price : 25.00
Evaluated at bid price : 25.35
Bid-YTW : -14.03 %
MFC.PR.M FixedReset 1.07 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.74
Bid-YTW : 5.74 %
TD.PF.D FixedReset 1.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-03-29
Maturity Price : 22.69
Evaluated at bid price : 23.52
Bid-YTW : 4.06 %
HSE.PR.G FixedReset 1.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-03-29
Maturity Price : 23.07
Evaluated at bid price : 24.29
Bid-YTW : 4.68 %
MFC.PR.G FixedReset 1.08 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.30
Bid-YTW : 5.02 %
MFC.PR.B Deemed-Retractible 1.09 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.22
Bid-YTW : 5.85 %
W.PR.J Perpetual-Premium 1.10 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2017-04-28
Maturity Price : 25.00
Evaluated at bid price : 25.43
Bid-YTW : -17.52 %
MFC.PR.J FixedReset 1.11 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.75
Bid-YTW : 5.18 %
HSE.PR.E FixedReset 1.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-03-29
Maturity Price : 23.11
Evaluated at bid price : 24.30
Bid-YTW : 4.71 %
VNR.PR.A FixedReset 1.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-03-29
Maturity Price : 21.59
Evaluated at bid price : 21.59
Bid-YTW : 4.60 %
CM.PR.Q FixedReset 1.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-03-29
Maturity Price : 22.61
Evaluated at bid price : 23.36
Bid-YTW : 4.03 %
IAG.PR.G FixedReset 1.14 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.16
Bid-YTW : 5.10 %
TRP.PR.D FixedReset 1.26 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-03-29
Maturity Price : 21.74
Evaluated at bid price : 22.22
Bid-YTW : 3.91 %
MFC.PR.K FixedReset 1.29 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.19
Bid-YTW : 5.89 %
MFC.PR.N FixedReset 1.31 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.70
Bid-YTW : 5.70 %
SLF.PR.I FixedReset 1.32 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.00
Bid-YTW : 5.07 %
BMO.PR.S FixedReset 1.44 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-03-29
Maturity Price : 22.24
Evaluated at bid price : 22.54
Bid-YTW : 3.87 %
TRP.PR.E FixedReset 1.45 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-03-29
Maturity Price : 22.17
Evaluated at bid price : 22.52
Bid-YTW : 3.89 %
HSE.PR.A FixedReset 1.46 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-03-29
Maturity Price : 15.96
Evaluated at bid price : 15.96
Bid-YTW : 4.29 %
ELF.PR.H Perpetual-Premium 1.47 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2020-04-17
Maturity Price : 25.25
Evaluated at bid price : 25.43
Bid-YTW : 5.12 %
MFC.PR.L FixedReset 1.54 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.14
Bid-YTW : 5.98 %
PWF.PR.T FixedReset 1.58 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-03-29
Maturity Price : 22.72
Evaluated at bid price : 23.08
Bid-YTW : 3.84 %
BMO.PR.Y FixedReset 1.59 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-03-29
Maturity Price : 22.73
Evaluated at bid price : 23.60
Bid-YTW : 3.99 %
TRP.PR.B FixedReset 1.66 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-03-29
Maturity Price : 14.69
Evaluated at bid price : 14.69
Bid-YTW : 3.98 %
TRP.PR.G FixedReset 1.72 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-03-29
Maturity Price : 22.70
Evaluated at bid price : 23.60
Bid-YTW : 4.21 %
TRP.PR.C FixedReset 1.73 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-03-29
Maturity Price : 15.84
Evaluated at bid price : 15.84
Bid-YTW : 4.03 %
Volume Highlights
Issue Index Shares
Traded
Notes
TRP.PR.K FixedReset 68,301 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-05-31
Maturity Price : 25.00
Evaluated at bid price : 25.97
Bid-YTW : 4.17 %
SLF.PR.A Deemed-Retractible 63,344 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.72
Bid-YTW : 5.59 %
TRP.PR.J FixedReset 57,325 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-05-31
Maturity Price : 25.00
Evaluated at bid price : 26.68
Bid-YTW : 3.89 %
BMO.PR.C FixedReset 53,991 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-03-29
Maturity Price : 23.25
Evaluated at bid price : 25.30
Bid-YTW : 4.28 %
CU.PR.D Perpetual-Discount 53,300 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-03-29
Maturity Price : 23.54
Evaluated at bid price : 24.02
Bid-YTW : 5.13 %
RY.PR.Z FixedReset 49,045 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-03-29
Maturity Price : 21.70
Evaluated at bid price : 22.15
Bid-YTW : 3.80 %
There were 44 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
EIT.PR.A SplitShare Quote: 25.52 – 25.91
Spot Rate : 0.3900
Average : 0.2368

YTW SCENARIO
Maturity Type : Soft Maturity
Maturity Date : 2024-03-14
Maturity Price : 25.00
Evaluated at bid price : 25.52
Bid-YTW : 4.51 %

IFC.PR.C FixedReset Quote: 21.57 – 21.95
Spot Rate : 0.3800
Average : 0.2670

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.57
Bid-YTW : 5.71 %

BAM.PF.H FixedReset Quote: 26.44 – 26.80
Spot Rate : 0.3600
Average : 0.2675

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2020-12-31
Maturity Price : 25.00
Evaluated at bid price : 26.44
Bid-YTW : 3.36 %

MFC.PR.J FixedReset Quote: 22.75 – 22.98
Spot Rate : 0.2300
Average : 0.1621

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.75
Bid-YTW : 5.18 %

GWO.PR.N FixedReset Quote: 15.90 – 16.14
Spot Rate : 0.2400
Average : 0.1814

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 15.90
Bid-YTW : 8.82 %

TD.PF.G FixedReset Quote: 27.03 – 27.24
Spot Rate : 0.2100
Average : 0.1529

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-04-30
Maturity Price : 25.00
Evaluated at bid price : 27.03
Bid-YTW : 3.60 %

March 28, 2017

Wednesday, March 29th, 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 0.8443 % 2,067.1
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.8443 % 3,793.1
Floater 3.68 % 3.81 % 45,751 17.82 4 0.8443 % 2,186.0
OpRet 0.00 % 0.00 % 0 0.00 0 0.3594 % 3,023.3
SplitShare 4.92 % 4.04 % 62,695 0.69 6 0.3594 % 3,610.4
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.3594 % 2,817.0
Perpetual-Premium 5.33 % -1.97 % 68,772 0.09 20 0.1190 % 2,758.5
Perpetual-Discount 5.15 % 5.17 % 102,932 15.07 16 0.3574 % 2,933.8
FixedReset 4.44 % 4.09 % 234,020 6.67 94 0.1873 % 2,325.2
Deemed-Retractible 5.05 % 2.96 % 136,380 0.16 31 0.2292 % 2,856.2
FloatingReset 2.55 % 3.35 % 55,914 4.56 9 0.1273 % 2,495.2
Performance Highlights
Issue Index Change Notes
NA.PR.X FixedReset 1.01 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-05-15
Maturity Price : 25.00
Evaluated at bid price : 27.03
Bid-YTW : 3.66 %
IAG.PR.G FixedReset 1.06 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.90
Bid-YTW : 5.27 %
BAM.PR.C Floater 1.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-03-28
Maturity Price : 12.26
Evaluated at bid price : 12.26
Bid-YTW : 3.85 %
GWO.PR.N FixedReset 1.27 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 16.00
Bid-YTW : 8.72 %
BAM.PR.B Floater 1.31 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-03-28
Maturity Price : 12.39
Evaluated at bid price : 12.39
Bid-YTW : 3.81 %
GRP.PR.A SplitShare 1.36 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2017-04-27
Maturity Price : 25.00
Evaluated at bid price : 26.05
Bid-YTW : -26.94 %
BAM.PF.H FixedReset 1.37 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2020-12-31
Maturity Price : 25.00
Evaluated at bid price : 26.73
Bid-YTW : 3.04 %
Volume Highlights
Issue Index Shares
Traded
Notes
NA.PR.X FixedReset 100,331 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-05-15
Maturity Price : 25.00
Evaluated at bid price : 27.03
Bid-YTW : 3.66 %
PWF.PR.P FixedReset 76,465 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-03-28
Maturity Price : 16.01
Evaluated at bid price : 16.01
Bid-YTW : 4.12 %
NA.PR.S FixedReset 60,928 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-03-28
Maturity Price : 21.74
Evaluated at bid price : 22.21
Bid-YTW : 4.00 %
RY.PR.G Deemed-Retractible 55,339 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2017-04-27
Maturity Price : 25.00
Evaluated at bid price : 25.15
Bid-YTW : 1.99 %
BMO.PR.C FixedReset 49,367 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-03-28
Maturity Price : 23.23
Evaluated at bid price : 25.25
Bid-YTW : 4.29 %
MFC.PR.R FixedReset 45,908 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-03-19
Maturity Price : 25.00
Evaluated at bid price : 25.84
Bid-YTW : 4.14 %
There were 37 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
IFC.PR.C FixedReset Quote: 21.71 – 21.94
Spot Rate : 0.2300
Average : 0.1431

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.71
Bid-YTW : 5.61 %

TRP.PR.E FixedReset Quote: 22.49 – 22.72
Spot Rate : 0.2300
Average : 0.1499

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-03-28
Maturity Price : 22.15
Evaluated at bid price : 22.49
Bid-YTW : 3.97 %

SLF.PR.J FloatingReset Quote: 15.30 – 15.55
Spot Rate : 0.2500
Average : 0.1720

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 15.30
Bid-YTW : 8.95 %

BAM.PF.E FixedReset Quote: 21.87 – 22.14
Spot Rate : 0.2700
Average : 0.2054

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-03-28
Maturity Price : 21.50
Evaluated at bid price : 21.87
Bid-YTW : 4.28 %

MFC.PR.H FixedReset Quote: 24.30 – 24.50
Spot Rate : 0.2000
Average : 0.1375

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.30
Bid-YTW : 4.68 %

BNS.PR.Y FixedReset Quote: 22.47 – 22.65
Spot Rate : 0.1800
Average : 0.1207

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.47
Bid-YTW : 4.34 %

March 27, 2017

Monday, March 27th, 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 -0.5468 % 2,049.8
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.5468 % 3,761.3
Floater 3.71 % 3.85 % 47,493 17.73 4 -0.5468 % 2,167.7
OpRet 0.00 % 0.00 % 0 0.00 0 -0.2152 % 3,012.4
SplitShare 4.94 % 4.08 % 63,698 0.69 6 -0.2152 % 3,597.5
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.2152 % 2,806.9
Perpetual-Premium 5.34 % 2.24 % 71,586 0.09 20 0.0566 % 2,755.2
Perpetual-Discount 5.17 % 5.19 % 103,810 15.07 16 0.0768 % 2,923.4
FixedReset 4.45 % 4.11 % 241,590 6.68 94 -0.2453 % 2,320.9
Deemed-Retractible 5.06 % 1.84 % 137,643 0.16 31 -0.0596 % 2,849.6
FloatingReset 2.55 % 3.38 % 55,611 4.56 9 -0.2117 % 2,492.1
Performance Highlights
Issue Index Change Notes
SLF.PR.J FloatingReset -2.24 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 15.30
Bid-YTW : 8.95 %
IFC.PR.A FixedReset -1.75 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.52
Bid-YTW : 7.35 %
BMO.PR.Y FixedReset -1.56 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-03-27
Maturity Price : 22.62
Evaluated at bid price : 23.40
Bid-YTW : 4.03 %
MFC.PR.N FixedReset -1.39 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.30
Bid-YTW : 5.98 %
BAM.PR.C Floater -1.38 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-03-27
Maturity Price : 12.13
Evaluated at bid price : 12.13
Bid-YTW : 3.89 %
PVS.PR.E SplitShare -1.10 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2017-04-26
Maturity Price : 26.00
Evaluated at bid price : 26.11
Bid-YTW : 3.68 %
BAM.PR.X FixedReset -1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-03-27
Maturity Price : 16.16
Evaluated at bid price : 16.16
Bid-YTW : 4.49 %
BAM.PR.T FixedReset -1.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-03-27
Maturity Price : 18.76
Evaluated at bid price : 18.76
Bid-YTW : 4.54 %
Volume Highlights
Issue Index Shares
Traded
Notes
EIT.PR.A SplitShare 103,525 YTW SCENARIO
Maturity Type : Soft Maturity
Maturity Date : 2024-03-14
Maturity Price : 25.00
Evaluated at bid price : 25.48
Bid-YTW : 4.53 %
BAM.PF.D Perpetual-Discount 45,800 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-03-27
Maturity Price : 22.92
Evaluated at bid price : 23.30
Bid-YTW : 5.26 %
BAM.PF.C Perpetual-Discount 37,262 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-03-27
Maturity Price : 22.50
Evaluated at bid price : 22.83
Bid-YTW : 5.32 %
RY.PR.G Deemed-Retractible 37,050 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2017-04-26
Maturity Price : 25.00
Evaluated at bid price : 25.15
Bid-YTW : 1.84 %
TRP.PR.J FixedReset 29,024 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-05-31
Maturity Price : 25.00
Evaluated at bid price : 26.65
Bid-YTW : 3.91 %
TRP.PR.C FixedReset 27,431 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-03-27
Maturity Price : 15.72
Evaluated at bid price : 15.72
Bid-YTW : 4.11 %
There were 30 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
CU.PR.H Perpetual-Premium Quote: 25.25 – 25.60
Spot Rate : 0.3500
Average : 0.2139

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-09-01
Maturity Price : 25.00
Evaluated at bid price : 25.25
Bid-YTW : 5.18 %

PVS.PR.E SplitShare Quote: 26.11 – 26.55
Spot Rate : 0.4400
Average : 0.3076

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2017-04-26
Maturity Price : 26.00
Evaluated at bid price : 26.11
Bid-YTW : 3.68 %

IFC.PR.A FixedReset Quote: 18.52 – 18.89
Spot Rate : 0.3700
Average : 0.2403

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.52
Bid-YTW : 7.35 %

IAG.PR.A Deemed-Retractible Quote: 22.65 – 22.93
Spot Rate : 0.2800
Average : 0.2071

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.65
Bid-YTW : 6.15 %

EML.PR.A FixedReset Quote: 26.30 – 26.59
Spot Rate : 0.2900
Average : 0.2173

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-04-17
Maturity Price : 25.00
Evaluated at bid price : 26.30
Bid-YTW : 4.28 %

MFC.PR.C Deemed-Retractible Quote: 22.05 – 22.30
Spot Rate : 0.2500
Average : 0.1896

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.05
Bid-YTW : 6.49 %

March 24, 2017

Friday, March 24th, 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 0.0586 % 2,061.1
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.0586 % 3,782.0
Floater 3.69 % 3.83 % 49,416 17.78 4 0.0586 % 2,179.6
OpRet 0.00 % 0.00 % 0 0.00 0 0.1764 % 3,018.9
SplitShare 4.93 % 4.03 % 62,555 0.70 6 0.1764 % 3,605.3
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.1764 % 2,813.0
Perpetual-Premium 5.34 % -1.97 % 69,385 0.09 20 0.2152 % 2,753.7
Perpetual-Discount 5.17 % 5.20 % 104,268 15.08 16 0.0185 % 2,921.1
FixedReset 4.44 % 4.18 % 244,320 6.66 94 0.0864 % 2,326.6
Deemed-Retractible 5.05 % 1.39 % 138,116 0.17 31 -0.0648 % 2,851.3
FloatingReset 2.49 % 3.28 % 57,894 4.57 9 0.0371 % 2,497.4
Performance Highlights
Issue Index Change Notes
CU.PR.E Perpetual-Discount -1.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-03-24
Maturity Price : 23.17
Evaluated at bid price : 23.61
Bid-YTW : 5.22 %
ELF.PR.F Perpetual-Discount 1.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-03-24
Maturity Price : 24.62
Evaluated at bid price : 24.88
Bid-YTW : 5.41 %
BIP.PR.A FixedReset 1.25 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-03-24
Maturity Price : 22.72
Evaluated at bid price : 23.56
Bid-YTW : 4.96 %
VNR.PR.A FixedReset 1.37 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-03-24
Maturity Price : 21.40
Evaluated at bid price : 21.40
Bid-YTW : 4.77 %
Volume Highlights
Issue Index Shares
Traded
Notes
RY.PR.J FixedReset 108,000 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-03-24
Maturity Price : 22.50
Evaluated at bid price : 23.13
Bid-YTW : 4.18 %
BMO.PR.C FixedReset 78,435 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-05-25
Maturity Price : 25.00
Evaluated at bid price : 25.25
Bid-YTW : 4.34 %
TRP.PR.D FixedReset 74,966 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-03-24
Maturity Price : 21.66
Evaluated at bid price : 22.10
Bid-YTW : 4.12 %
RY.PR.H FixedReset 74,221 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-03-24
Maturity Price : 21.69
Evaluated at bid price : 22.15
Bid-YTW : 3.96 %
RY.PR.Z FixedReset 68,580 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-03-24
Maturity Price : 21.66
Evaluated at bid price : 22.10
Bid-YTW : 3.92 %
BAM.PF.H FixedReset 46,700 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2020-12-31
Maturity Price : 25.00
Evaluated at bid price : 26.23
Bid-YTW : 3.58 %
There were 28 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
CU.PR.I FixedReset Quote: 26.01 – 26.47
Spot Rate : 0.4600
Average : 0.3253

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2020-12-01
Maturity Price : 25.00
Evaluated at bid price : 26.01
Bid-YTW : 3.42 %

PVS.PR.D SplitShare Quote: 25.50 – 25.95
Spot Rate : 0.4500
Average : 0.3413

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2021-10-08
Maturity Price : 25.00
Evaluated at bid price : 25.50
Bid-YTW : 4.08 %

BNS.PR.H FixedReset Quote: 26.21 – 26.49
Spot Rate : 0.2800
Average : 0.1827

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-01-26
Maturity Price : 25.00
Evaluated at bid price : 26.21
Bid-YTW : 3.94 %

HSE.PR.C FixedReset Quote: 23.06 – 23.33
Spot Rate : 0.2700
Average : 0.1968

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-03-24
Maturity Price : 22.50
Evaluated at bid price : 23.06
Bid-YTW : 4.70 %

GWO.PR.N FixedReset Quote: 15.90 – 16.15
Spot Rate : 0.2500
Average : 0.1808

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 15.90
Bid-YTW : 8.87 %

PWF.PR.K Perpetual-Discount Quote: 24.11 – 24.35
Spot Rate : 0.2400
Average : 0.1769

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-03-24
Maturity Price : 23.86
Evaluated at bid price : 24.11
Bid-YTW : 5.20 %