Category: Market Action

Market Action

August 13, 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 -0.4037 % 1,601.7
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.4037 % 2,939.0
Floater 5.21 % 5.29 % 63,912 14.96 3 -0.4037 % 1,693.8
OpRet 0.00 % 0.00 % 0 0.00 0 -0.1578 % 3,503.6
SplitShare 4.66 % 4.57 % 39,934 3.25 8 -0.1578 % 4,184.0
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.1578 % 3,264.6
Perpetual-Premium 5.56 % 4.69 % 83,436 4.03 4 0.0198 % 3,095.4
Perpetual-Discount 5.44 % 5.66 % 76,496 14.39 31 0.1347 % 3,353.1
FixedReset Disc 5.65 % 4.37 % 121,797 16.07 67 -0.0272 % 2,028.9
Deemed-Retractible 5.22 % 5.32 % 90,965 14.55 27 0.0284 % 3,285.3
FloatingReset 2.90 % 1.95 % 42,513 1.45 3 0.2706 % 1,776.5
FixedReset Prem 5.27 % 4.33 % 227,022 0.92 11 0.1442 % 2,608.4
FixedReset Bank Non 1.94 % 2.14 % 107,670 1.44 2 0.3631 % 2,849.8
FixedReset Ins Non 5.78 % 4.52 % 98,945 15.88 22 0.0613 % 2,058.9
Performance Highlights
Issue Index Change Notes
TD.PF.L FixedReset Disc -16.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-13
Maturity Price : 19.74
Evaluated at bid price : 19.74
Bid-YTW : 5.02 %
TD.PF.E FixedReset Disc -4.73 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-13
Maturity Price : 18.72
Evaluated at bid price : 18.72
Bid-YTW : 4.31 %
MFC.PR.H FixedReset Ins Non -2.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-13
Maturity Price : 19.30
Evaluated at bid price : 19.30
Bid-YTW : 4.65 %
CM.PR.T FixedReset Disc -1.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-13
Maturity Price : 22.08
Evaluated at bid price : 22.54
Bid-YTW : 4.37 %
BIP.PR.B FixedReset Disc 1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-13
Maturity Price : 24.05
Evaluated at bid price : 24.75
Bid-YTW : 5.60 %
BAM.PF.F FixedReset Disc 1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-13
Maturity Price : 15.80
Evaluated at bid price : 15.80
Bid-YTW : 5.45 %
MFC.PR.F FixedReset Ins Non 1.31 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-13
Maturity Price : 10.03
Evaluated at bid price : 10.03
Bid-YTW : 4.45 %
MFC.PR.N FixedReset Ins Non 1.37 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-13
Maturity Price : 16.33
Evaluated at bid price : 16.33
Bid-YTW : 4.49 %
TRP.PR.D FixedReset Disc 1.45 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-13
Maturity Price : 14.00
Evaluated at bid price : 14.00
Bid-YTW : 5.34 %
BAM.PR.R FixedReset Disc 3.96 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-13
Maturity Price : 12.60
Evaluated at bid price : 12.60
Bid-YTW : 5.33 %
TD.PF.J FixedReset Disc 7.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-13
Maturity Price : 19.82
Evaluated at bid price : 19.82
Bid-YTW : 4.14 %
Volume Highlights
Issue Index Shares
Traded		 Notes
SLF.PR.C Deemed-Retractible 109,260 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-13
Maturity Price : 21.26
Evaluated at bid price : 21.26
Bid-YTW : 5.31 %
BAM.PF.G FixedReset Disc 58,600 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-13
Maturity Price : 15.10
Evaluated at bid price : 15.10
Bid-YTW : 5.36 %
TD.PF.M FixedReset Disc 26,765 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-13
Maturity Price : 23.02
Evaluated at bid price : 24.38
Bid-YTW : 4.18 %
TD.PF.A FixedReset Disc 24,800 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-13
Maturity Price : 17.12
Evaluated at bid price : 17.12
Bid-YTW : 4.12 %
RY.PR.C Deemed-Retractible 24,600 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2020-09-12
Maturity Price : 25.00
Evaluated at bid price : 25.03
Bid-YTW : 1.45 %
BAM.PF.H FixedReset Disc 22,400 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-13
Maturity Price : 24.34
Evaluated at bid price : 24.95
Bid-YTW : 5.04 %
There were 10 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
TD.PF.L FixedReset Disc Quote: 19.74 – 23.73
Spot Rate : 3.9900
Average : 2.1441

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-13
Maturity Price : 19.74
Evaluated at bid price : 19.74
Bid-YTW : 5.02 %
TD.PF.E FixedReset Disc Quote: 18.72 – 20.05
Spot Rate : 1.3300
Average : 0.9098

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-13
Maturity Price : 18.72
Evaluated at bid price : 18.72
Bid-YTW : 4.31 %
EIT.PR.A SplitShare Quote: 25.40 – 27.00
Spot Rate : 1.6000
Average : 1.3128

YTW SCENARIO
Maturity Type : Soft Maturity
Maturity Date : 2024-03-14
Maturity Price : 25.00
Evaluated at bid price : 25.40
Bid-YTW : 4.58 %
MFC.PR.H FixedReset Ins Non Quote: 19.30 – 19.82
Spot Rate : 0.5200
Average : 0.3434

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-13
Maturity Price : 19.30
Evaluated at bid price : 19.30
Bid-YTW : 4.65 %
BAM.PF.A FixedReset Disc Quote: 16.92 – 17.40
Spot Rate : 0.4800
Average : 0.3333

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-13
Maturity Price : 16.92
Evaluated at bid price : 16.92
Bid-YTW : 5.35 %
NA.PR.G FixedReset Disc Quote: 19.55 – 19.97
Spot Rate : 0.4200
Average : 0.3159

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-13
Maturity Price : 19.55
Evaluated at bid price : 19.55
Bid-YTW : 4.39 %
Market Action

August 12, 2020

PerpetualDiscounts now yield 5.65%, equivalent to 7.34% interest at the standard equivalency factor of 1.3x. Long corporates now yield 2.79%, so the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) has widened slightly (and perhaps spuriously) to 455bp from the 450bp reported August 5. We remain above the pre-2020 record of 445bp briefly touched in 2008

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 2.2286 % 1,608.2
FixedFloater 0.00 % 0.00 % 0 0.00 0 2.2286 % 2,950.9
Floater 5.19 % 5.26 % 63,074 15.01 3 2.2286 % 1,700.6
OpRet 0.00 % 0.00 % 0 0.00 0 0.0839 % 3,509.1
SplitShare 4.65 % 4.32 % 40,924 3.26 8 0.0839 % 4,190.7
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0839 % 3,269.7
Perpetual-Premium 5.56 % 4.69 % 83,081 4.03 4 -0.0694 % 3,094.8
Perpetual-Discount 5.45 % 5.65 % 77,608 14.39 31 -0.1099 % 3,348.6
FixedReset Disc 5.64 % 4.35 % 115,360 16.08 67 0.2327 % 2,029.5
Deemed-Retractible 5.23 % 5.33 % 90,489 14.57 27 -0.0095 % 3,284.4
FloatingReset 2.90 % 2.23 % 42,810 1.45 3 0.0451 % 1,771.7
FixedReset Prem 5.28 % 4.42 % 229,428 0.92 11 -0.1044 % 2,604.6
FixedReset Bank Non 1.95 % 2.39 % 105,673 1.44 2 0.0000 % 2,839.4
FixedReset Ins Non 5.79 % 4.55 % 97,982 15.87 22 -0.0399 % 2,057.7
Performance Highlights
Issue Index Change Notes
BAM.PR.R FixedReset Disc -4.57 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-12
Maturity Price : 12.12
Evaluated at bid price : 12.12
Bid-YTW : 5.55 %
MFC.PR.I FixedReset Ins Non -2.86 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-12
Maturity Price : 18.35
Evaluated at bid price : 18.35
Bid-YTW : 4.60 %
CM.PR.Q FixedReset Disc -1.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-12
Maturity Price : 17.80
Evaluated at bid price : 17.80
Bid-YTW : 4.42 %
TRP.PR.C FixedReset Disc -1.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-12
Maturity Price : 8.80
Evaluated at bid price : 8.80
Bid-YTW : 5.38 %
TRP.PR.D FixedReset Disc -1.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-12
Maturity Price : 13.80
Evaluated at bid price : 13.80
Bid-YTW : 5.42 %
RY.PR.S FixedReset Disc 1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-12
Maturity Price : 19.50
Evaluated at bid price : 19.50
Bid-YTW : 3.96 %
BAM.PF.G FixedReset Disc 1.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-12
Maturity Price : 15.02
Evaluated at bid price : 15.02
Bid-YTW : 5.39 %
BIP.PR.D FixedReset Disc 1.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-12
Maturity Price : 21.56
Evaluated at bid price : 21.95
Bid-YTW : 5.76 %
CM.PR.S FixedReset Disc 1.26 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-12
Maturity Price : 18.50
Evaluated at bid price : 18.50
Bid-YTW : 4.11 %
TD.PF.K FixedReset Disc 1.40 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-12
Maturity Price : 19.52
Evaluated at bid price : 19.52
Bid-YTW : 4.15 %
BAM.PR.X FixedReset Disc 1.48 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-12
Maturity Price : 10.96
Evaluated at bid price : 10.96
Bid-YTW : 5.08 %
BAM.PR.C Floater 1.60 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-12
Maturity Price : 8.23
Evaluated at bid price : 8.23
Bid-YTW : 5.28 %
BAM.PR.K Floater 2.48 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-12
Maturity Price : 8.25
Evaluated at bid price : 8.25
Bid-YTW : 5.26 %
BAM.PF.J FixedReset Disc 2.52 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-12
Maturity Price : 23.08
Evaluated at bid price : 24.00
Bid-YTW : 4.96 %
BAM.PR.B Floater 2.60 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-12
Maturity Price : 8.29
Evaluated at bid price : 8.29
Bid-YTW : 5.24 %
SLF.PR.G FixedReset Ins Non 3.83 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-12
Maturity Price : 10.30
Evaluated at bid price : 10.30
Bid-YTW : 4.33 %
GWO.PR.N FixedReset Ins Non 4.95 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-12
Maturity Price : 9.97
Evaluated at bid price : 9.97
Bid-YTW : 4.18 %
Volume Highlights
Issue Index Shares
Traded		 Notes
CM.PR.O FixedReset Disc 57,812 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-12
Maturity Price : 16.83
Evaluated at bid price : 16.83
Bid-YTW : 4.31 %
BAM.PF.B FixedReset Disc 56,298 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-12
Maturity Price : 15.35
Evaluated at bid price : 15.35
Bid-YTW : 5.45 %
RY.PR.Q FixedReset Prem 37,293 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-05-24
Maturity Price : 25.00
Evaluated at bid price : 25.21
Bid-YTW : 4.16 %
BAM.PF.G FixedReset Disc 35,295 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-12
Maturity Price : 15.02
Evaluated at bid price : 15.02
Bid-YTW : 5.39 %
BMO.PR.E FixedReset Disc 32,125 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-12
Maturity Price : 20.02
Evaluated at bid price : 20.02
Bid-YTW : 4.16 %
MFC.PR.G FixedReset Ins Non 31,300 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-12
Maturity Price : 18.40
Evaluated at bid price : 18.40
Bid-YTW : 4.52 %
There were 38 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 Ins Non Quote: 9.97 – 13.00
Spot Rate : 3.0300
Average : 1.8259

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-12
Maturity Price : 9.97
Evaluated at bid price : 9.97
Bid-YTW : 4.18 %
EIT.PR.A SplitShare Quote: 25.61 – 27.00
Spot Rate : 1.3900
Average : 0.9979

YTW SCENARIO
Maturity Type : Soft Maturity
Maturity Date : 2024-03-14
Maturity Price : 25.00
Evaluated at bid price : 25.61
Bid-YTW : 4.32 %
BAM.PR.R FixedReset Disc Quote: 12.12 – 13.21
Spot Rate : 1.0900
Average : 0.7021

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-12
Maturity Price : 12.12
Evaluated at bid price : 12.12
Bid-YTW : 5.55 %
CM.PR.Q FixedReset Disc Quote: 17.80 – 18.45
Spot Rate : 0.6500
Average : 0.4381

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-12
Maturity Price : 17.80
Evaluated at bid price : 17.80
Bid-YTW : 4.42 %
TD.PF.J FixedReset Disc Quote: 18.50 – 19.99
Spot Rate : 1.4900
Average : 1.3241

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-12
Maturity Price : 18.50
Evaluated at bid price : 18.50
Bid-YTW : 4.45 %
MFC.PR.I FixedReset Ins Non Quote: 18.35 – 18.90
Spot Rate : 0.5500
Average : 0.3864

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-12
Maturity Price : 18.35
Evaluated at bid price : 18.35
Bid-YTW : 4.60 %
Market Action

August 11, 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 0.6647 % 1,573.1
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.6647 % 2,886.6
Floater 5.31 % 5.37 % 60,757 14.82 3 0.6647 % 1,663.6
OpRet 0.00 % 0.00 % 0 0.00 0 0.0395 % 3,506.2
SplitShare 4.66 % 4.53 % 42,521 3.26 8 0.0395 % 4,187.1
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0395 % 3,267.0
Perpetual-Premium 5.55 % 4.70 % 81,581 4.03 4 -0.0297 % 3,097.0
Perpetual-Discount 5.45 % 5.64 % 80,207 14.42 31 0.1251 % 3,352.3
FixedReset Disc 5.66 % 4.38 % 115,740 16.02 67 0.5267 % 2,024.8
Deemed-Retractible 5.22 % 5.33 % 89,500 14.58 27 -0.0379 % 3,284.7
FloatingReset 2.90 % 2.23 % 44,355 1.45 3 0.3850 % 1,770.9
FixedReset Prem 5.27 % 4.42 % 232,635 0.92 11 -0.0540 % 2,607.3
FixedReset Bank Non 1.95 % 2.39 % 106,942 1.45 2 -0.0605 % 2,839.4
FixedReset Ins Non 5.79 % 4.51 % 92,328 15.93 22 0.2162 % 2,058.5
Performance Highlights
Issue Index Change Notes
BIK.PR.A FixedReset Disc -2.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-11
Maturity Price : 23.11
Evaluated at bid price : 24.50
Bid-YTW : 5.99 %
NA.PR.G FixedReset Disc -1.46 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-11
Maturity Price : 19.51
Evaluated at bid price : 19.51
Bid-YTW : 4.40 %
TRP.PR.A FixedReset Disc -1.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-11
Maturity Price : 12.20
Evaluated at bid price : 12.20
Bid-YTW : 5.36 %
IAF.PR.I FixedReset Ins Non -1.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-11
Maturity Price : 19.48
Evaluated at bid price : 19.48
Bid-YTW : 4.35 %
MFC.PR.K FixedReset Ins Non -1.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-11
Maturity Price : 16.02
Evaluated at bid price : 16.02
Bid-YTW : 4.55 %
CU.PR.I FixedReset Disc 1.00 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2020-12-01
Maturity Price : 25.00
Evaluated at bid price : 25.25
Bid-YTW : 0.39 %
MFC.PR.I FixedReset Ins Non 1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-11
Maturity Price : 18.89
Evaluated at bid price : 18.89
Bid-YTW : 4.46 %
GWO.PR.N FixedReset Ins Non 1.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-11
Maturity Price : 9.50
Evaluated at bid price : 9.50
Bid-YTW : 4.39 %
BAM.PR.T FixedReset Disc 1.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-11
Maturity Price : 12.99
Evaluated at bid price : 12.99
Bid-YTW : 5.34 %
NA.PR.C FixedReset Disc 1.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-11
Maturity Price : 21.73
Evaluated at bid price : 22.20
Bid-YTW : 4.31 %
MFC.PR.G FixedReset Ins Non 1.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-11
Maturity Price : 18.36
Evaluated at bid price : 18.36
Bid-YTW : 4.53 %
TRP.PR.B FixedReset Disc 1.21 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-11
Maturity Price : 8.35
Evaluated at bid price : 8.35
Bid-YTW : 4.95 %
BAM.PF.H FixedReset Disc 1.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-11
Maturity Price : 24.13
Evaluated at bid price : 24.80
Bid-YTW : 5.07 %
TRP.PR.K FixedReset Disc 1.24 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-11
Maturity Price : 23.39
Evaluated at bid price : 24.40
Bid-YTW : 5.06 %
CM.PR.O FixedReset Disc 1.26 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-11
Maturity Price : 16.83
Evaluated at bid price : 16.83
Bid-YTW : 4.31 %
SLF.PR.I FixedReset Ins Non 1.37 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-11
Maturity Price : 17.75
Evaluated at bid price : 17.75
Bid-YTW : 4.46 %
CM.PR.S FixedReset Disc 1.44 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-11
Maturity Price : 18.27
Evaluated at bid price : 18.27
Bid-YTW : 4.16 %
BAM.PF.E FixedReset Disc 1.48 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-11
Maturity Price : 14.42
Evaluated at bid price : 14.42
Bid-YTW : 5.41 %
BMO.PR.T FixedReset Disc 1.49 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-11
Maturity Price : 16.34
Evaluated at bid price : 16.34
Bid-YTW : 4.28 %
NA.PR.S FixedReset Disc 1.55 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-11
Maturity Price : 17.02
Evaluated at bid price : 17.02
Bid-YTW : 4.41 %
TRP.PR.F FloatingReset 1.58 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-11
Maturity Price : 10.31
Evaluated at bid price : 10.31
Bid-YTW : 5.10 %
MFC.PR.H FixedReset Ins Non 1.64 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-11
Maturity Price : 19.87
Evaluated at bid price : 19.87
Bid-YTW : 4.51 %
BIP.PR.A FixedReset Disc 1.85 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-11
Maturity Price : 16.55
Evaluated at bid price : 16.55
Bid-YTW : 6.01 %
TRP.PR.C FixedReset Disc 2.42 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-11
Maturity Price : 8.90
Evaluated at bid price : 8.90
Bid-YTW : 5.32 %
BAM.PR.X FixedReset Disc 2.76 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-11
Maturity Price : 10.80
Evaluated at bid price : 10.80
Bid-YTW : 5.15 %
CM.PR.P FixedReset Disc 2.91 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-11
Maturity Price : 16.98
Evaluated at bid price : 16.98
Bid-YTW : 4.29 %
PWF.PR.P FixedReset Disc 4.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-11
Maturity Price : 10.20
Evaluated at bid price : 10.20
Bid-YTW : 4.78 %
Volume Highlights
Issue Index Shares
Traded		 Notes
MFC.PR.R FixedReset Ins Non 245,150 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-11
Maturity Price : 23.32
Evaluated at bid price : 23.73
Bid-YTW : 4.48 %
GWO.PR.N FixedReset Ins Non 79,519 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-11
Maturity Price : 9.50
Evaluated at bid price : 9.50
Bid-YTW : 4.39 %
BAM.PF.B FixedReset Disc 52,275 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-11
Maturity Price : 15.34
Evaluated at bid price : 15.34
Bid-YTW : 5.45 %
CM.PR.O FixedReset Disc 48,734 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-11
Maturity Price : 16.83
Evaluated at bid price : 16.83
Bid-YTW : 4.31 %
CM.PR.Y FixedReset Disc 43,300 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-11
Maturity Price : 22.79
Evaluated at bid price : 23.85
Bid-YTW : 4.38 %
TD.PF.K FixedReset Disc 42,700 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-11
Maturity Price : 19.25
Evaluated at bid price : 19.25
Bid-YTW : 4.21 %
There were 27 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
TD.PF.J FixedReset Disc Quote: 18.55 – 20.04
Spot Rate : 1.4900
Average : 1.1423

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-11
Maturity Price : 18.55
Evaluated at bid price : 18.55
Bid-YTW : 4.44 %
TD.PF.K FixedReset Disc Quote: 19.25 – 19.85
Spot Rate : 0.6000
Average : 0.3507

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-11
Maturity Price : 19.25
Evaluated at bid price : 19.25
Bid-YTW : 4.21 %
CM.PR.Y FixedReset Disc Quote: 23.85 – 24.45
Spot Rate : 0.6000
Average : 0.4251

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-11
Maturity Price : 22.79
Evaluated at bid price : 23.85
Bid-YTW : 4.38 %
NA.PR.G FixedReset Disc Quote: 19.51 – 19.95
Spot Rate : 0.4400
Average : 0.2695

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-11
Maturity Price : 19.51
Evaluated at bid price : 19.51
Bid-YTW : 4.40 %
IFC.PR.C FixedReset Ins Non Quote: 16.15 – 16.80
Spot Rate : 0.6500
Average : 0.5353

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-11
Maturity Price : 16.15
Evaluated at bid price : 16.15
Bid-YTW : 4.72 %
NA.PR.E FixedReset Disc Quote: 18.30 – 18.69
Spot Rate : 0.3900
Average : 0.2923

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-11
Maturity Price : 18.30
Evaluated at bid price : 18.30
Bid-YTW : 4.33 %
Market Action

August 10, 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 -1.3929 % 1,562.7
FixedFloater 0.00 % 0.00 % 0 0.00 0 -1.3929 % 2,867.5
Floater 5.34 % 5.41 % 61,367 14.77 3 -1.3929 % 1,652.6
OpRet 0.00 % 0.00 % 0 0.00 0 0.3220 % 3,504.8
SplitShare 4.66 % 4.53 % 43,110 3.27 8 0.3220 % 4,185.5
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.3220 % 3,265.7
Perpetual-Premium 5.55 % 4.71 % 84,631 4.04 4 0.1191 % 3,097.9
Perpetual-Discount 5.45 % 5.63 % 78,141 14.43 31 0.3547 % 3,348.1
FixedReset Disc 5.69 % 4.38 % 119,658 16.01 67 0.4228 % 2,014.1
Deemed-Retractible 5.22 % 5.31 % 89,453 14.58 27 0.1059 % 3,285.9
FloatingReset 2.92 % 2.08 % 41,050 1.45 3 0.2497 % 1,764.2
FixedReset Prem 5.27 % 4.40 % 234,485 0.93 11 0.1586 % 2,608.7
FixedReset Bank Non 1.95 % 2.13 % 103,395 1.45 2 0.1413 % 2,841.2
FixedReset Ins Non 5.80 % 4.52 % 92,322 16.02 22 -0.1732 % 2,054.1
Performance Highlights
Issue Index Change Notes
GWO.PR.N FixedReset Ins Non -7.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-10
Maturity Price : 9.40
Evaluated at bid price : 9.40
Bid-YTW : 4.43 %
TD.PF.J FixedReset Disc -6.33 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-10
Maturity Price : 18.50
Evaluated at bid price : 18.50
Bid-YTW : 4.45 %
SLF.PR.G FixedReset Ins Non -1.96 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-10
Maturity Price : 10.00
Evaluated at bid price : 10.00
Bid-YTW : 4.46 %
BAM.PR.X FixedReset Disc -1.78 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-10
Maturity Price : 10.51
Evaluated at bid price : 10.51
Bid-YTW : 5.30 %
BAM.PR.B Floater -1.47 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-10
Maturity Price : 8.04
Evaluated at bid price : 8.04
Bid-YTW : 5.40 %
BAM.PR.K Floater -1.36 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-10
Maturity Price : 8.00
Evaluated at bid price : 8.00
Bid-YTW : 5.43 %
SLF.PR.I FixedReset Ins Non -1.35 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-10
Maturity Price : 17.51
Evaluated at bid price : 17.51
Bid-YTW : 4.52 %
BAM.PR.C Floater -1.35 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-10
Maturity Price : 8.03
Evaluated at bid price : 8.03
Bid-YTW : 5.41 %
PWF.PR.P FixedReset Disc -1.31 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-10
Maturity Price : 9.80
Evaluated at bid price : 9.80
Bid-YTW : 4.98 %
IFC.PR.G FixedReset Ins Non 1.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-10
Maturity Price : 17.93
Evaluated at bid price : 17.93
Bid-YTW : 4.52 %
PWF.PR.Z Perpetual-Discount 1.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-10
Maturity Price : 22.81
Evaluated at bid price : 23.15
Bid-YTW : 5.59 %
BIP.PR.C FixedReset Disc 1.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-10
Maturity Price : 22.98
Evaluated at bid price : 23.50
Bid-YTW : 5.75 %
BAM.PR.R FixedReset Disc 1.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-10
Maturity Price : 12.60
Evaluated at bid price : 12.60
Bid-YTW : 5.33 %
POW.PR.D Perpetual-Discount 1.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-10
Maturity Price : 22.18
Evaluated at bid price : 22.46
Bid-YTW : 5.61 %
BAM.PF.J FixedReset Disc 1.17 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-10
Maturity Price : 22.75
Evaluated at bid price : 23.38
Bid-YTW : 5.11 %
TRP.PR.G FixedReset Disc 1.17 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-10
Maturity Price : 15.55
Evaluated at bid price : 15.55
Bid-YTW : 5.41 %
CM.PR.Q FixedReset Disc 1.29 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-10
Maturity Price : 18.03
Evaluated at bid price : 18.03
Bid-YTW : 4.37 %
BIK.PR.A FixedReset Disc 1.34 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-10
Maturity Price : 23.29
Evaluated at bid price : 25.00
Bid-YTW : 5.85 %
RY.PR.S FixedReset Disc 1.38 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-10
Maturity Price : 19.11
Evaluated at bid price : 19.11
Bid-YTW : 4.04 %
BIP.PR.D FixedReset Disc 1.41 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-10
Maturity Price : 21.27
Evaluated at bid price : 21.55
Bid-YTW : 5.87 %
MFC.PR.F FixedReset Ins Non 1.42 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-10
Maturity Price : 9.97
Evaluated at bid price : 9.97
Bid-YTW : 4.48 %
NA.PR.S FixedReset Disc 1.51 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-10
Maturity Price : 16.76
Evaluated at bid price : 16.76
Bid-YTW : 4.48 %
BAM.PF.D Perpetual-Discount 1.53 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-10
Maturity Price : 22.25
Evaluated at bid price : 22.55
Bid-YTW : 5.49 %
CM.PR.S FixedReset Disc 1.75 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-10
Maturity Price : 18.01
Evaluated at bid price : 18.01
Bid-YTW : 4.22 %
TRP.PR.D FixedReset Disc 2.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-10
Maturity Price : 13.88
Evaluated at bid price : 13.88
Bid-YTW : 5.38 %
BIP.PR.A FixedReset Disc 2.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-10
Maturity Price : 16.25
Evaluated at bid price : 16.25
Bid-YTW : 6.12 %
CM.PR.O FixedReset Disc 2.21 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-10
Maturity Price : 16.62
Evaluated at bid price : 16.62
Bid-YTW : 4.37 %
BIP.PR.E FixedReset Disc 2.48 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-10
Maturity Price : 20.70
Evaluated at bid price : 20.70
Bid-YTW : 6.13 %
BAM.PF.I FixedReset Disc 2.60 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-10
Maturity Price : 23.65
Evaluated at bid price : 24.03
Bid-YTW : 5.04 %
Volume Highlights
Issue Index Shares
Traded		 Notes
BMO.PR.S FixedReset Disc 52,665 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-10
Maturity Price : 16.88
Evaluated at bid price : 16.88
Bid-YTW : 4.30 %
BAM.PR.X FixedReset Disc 45,772 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-10
Maturity Price : 10.51
Evaluated at bid price : 10.51
Bid-YTW : 5.30 %
BAM.PR.K Floater 43,819 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-10
Maturity Price : 8.00
Evaluated at bid price : 8.00
Bid-YTW : 5.43 %
TD.PF.K FixedReset Disc 41,437 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-10
Maturity Price : 19.14
Evaluated at bid price : 19.14
Bid-YTW : 4.24 %
RY.PR.Z FixedReset Disc 37,150 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-10
Maturity Price : 17.19
Evaluated at bid price : 17.19
Bid-YTW : 4.03 %
CM.PR.S FixedReset Disc 30,200 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-10
Maturity Price : 18.01
Evaluated at bid price : 18.01
Bid-YTW : 4.22 %
There were 24 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 – 27.00
Spot Rate : 1.3800
Average : 0.8070

YTW SCENARIO
Maturity Type : Soft Maturity
Maturity Date : 2024-03-14
Maturity Price : 25.00
Evaluated at bid price : 25.62
Bid-YTW : 4.30 %
TD.PF.J FixedReset Disc Quote: 18.50 – 19.75
Spot Rate : 1.2500
Average : 0.7610

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-10
Maturity Price : 18.50
Evaluated at bid price : 18.50
Bid-YTW : 4.45 %
PVS.PR.E SplitShare Quote: 25.65 – 26.65
Spot Rate : 1.0000
Average : 0.6591

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-10-31
Maturity Price : 25.00
Evaluated at bid price : 25.65
Bid-YTW : 4.75 %
GWO.PR.N FixedReset Ins Non Quote: 9.40 – 10.05
Spot Rate : 0.6500
Average : 0.4021

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-10
Maturity Price : 9.40
Evaluated at bid price : 9.40
Bid-YTW : 4.43 %
W.PR.M FixedReset Disc Quote: 24.65 – 25.20
Spot Rate : 0.5500
Average : 0.3412

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-10
Maturity Price : 24.26
Evaluated at bid price : 24.65
Bid-YTW : 5.31 %
TRP.PR.B FixedReset Disc Quote: 8.25 – 8.85
Spot Rate : 0.6000
Average : 0.4233

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-10
Maturity Price : 8.25
Evaluated at bid price : 8.25
Bid-YTW : 5.01 %
Market Action

August 7, 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 -0.1228 % 1,584.8
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.1228 % 2,908.1
Floater 5.27 % 5.33 % 56,817 14.90 3 -0.1228 % 1,675.9
OpRet 0.00 % 0.00 % 0 0.00 0 0.0644 % 3,493.6
SplitShare 4.67 % 4.63 % 44,656 3.27 8 0.0644 % 4,172.1
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0644 % 3,255.2
Perpetual-Premium 5.56 % 4.71 % 78,918 4.05 4 0.2488 % 3,094.2
Perpetual-Discount 5.47 % 5.66 % 75,251 14.39 31 0.2019 % 3,336.2
FixedReset Disc 5.71 % 4.37 % 136,766 16.05 67 0.4336 % 2,005.7
Deemed-Retractible 5.23 % 5.30 % 90,436 14.56 27 0.1932 % 3,282.5
FloatingReset 2.94 % 2.08 % 37,989 1.46 3 0.5708 % 1,759.8
FixedReset Prem 5.28 % 4.40 % 230,024 0.99 11 -0.0612 % 2,604.6
FixedReset Bank Non 1.95 % 2.24 % 106,800 1.46 2 0.0202 % 2,837.2
FixedReset Ins Non 5.79 % 4.53 % 94,376 16.08 22 0.2939 % 2,057.6
Performance Highlights
Issue Index Change Notes
IFC.PR.A FixedReset Ins Non -1.55 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-07
Maturity Price : 12.06
Evaluated at bid price : 12.06
Bid-YTW : 4.68 %
NA.PR.S FixedReset Disc -1.43 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-07
Maturity Price : 16.51
Evaluated at bid price : 16.51
Bid-YTW : 4.52 %
IFC.PR.G FixedReset Ins Non -1.39 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-07
Maturity Price : 17.75
Evaluated at bid price : 17.75
Bid-YTW : 4.54 %
PWF.PR.T FixedReset Disc -1.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-07
Maturity Price : 15.98
Evaluated at bid price : 15.98
Bid-YTW : 4.67 %
BMO.PR.T FixedReset Disc -1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-07
Maturity Price : 16.12
Evaluated at bid price : 16.12
Bid-YTW : 4.31 %
IAF.PR.I FixedReset Ins Non 1.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-07
Maturity Price : 19.65
Evaluated at bid price : 19.65
Bid-YTW : 4.28 %
TRP.PR.E FixedReset Disc 1.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-07
Maturity Price : 13.75
Evaluated at bid price : 13.75
Bid-YTW : 5.36 %
TRP.PR.C FixedReset Disc 1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-07
Maturity Price : 8.74
Evaluated at bid price : 8.74
Bid-YTW : 5.35 %
MFC.PR.M FixedReset Ins Non 1.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-07
Maturity Price : 16.12
Evaluated at bid price : 16.12
Bid-YTW : 4.62 %
GWO.PR.Q Deemed-Retractible 1.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-07
Maturity Price : 23.20
Evaluated at bid price : 23.45
Bid-YTW : 5.55 %
MFC.PR.I FixedReset Ins Non 1.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-07
Maturity Price : 18.70
Evaluated at bid price : 18.70
Bid-YTW : 4.48 %
CM.PR.Q FixedReset Disc 1.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-07
Maturity Price : 17.80
Evaluated at bid price : 17.80
Bid-YTW : 4.40 %
MFC.PR.J FixedReset Ins Non 1.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-07
Maturity Price : 17.80
Evaluated at bid price : 17.80
Bid-YTW : 4.53 %
NA.PR.W FixedReset Disc 1.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-07
Maturity Price : 16.45
Evaluated at bid price : 16.45
Bid-YTW : 4.36 %
BAM.PR.R FixedReset Disc 1.30 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-07
Maturity Price : 12.46
Evaluated at bid price : 12.46
Bid-YTW : 5.35 %
MFC.PR.F FixedReset Ins Non 1.34 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-07
Maturity Price : 9.83
Evaluated at bid price : 9.83
Bid-YTW : 4.49 %
BAM.PF.D Perpetual-Discount 1.37 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-07
Maturity Price : 22.21
Evaluated at bid price : 22.21
Bid-YTW : 5.59 %
SLF.PR.J FloatingReset 2.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-07
Maturity Price : 9.20
Evaluated at bid price : 9.20
Bid-YTW : 4.34 %
BAM.PR.T FixedReset Disc 2.38 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-07
Maturity Price : 12.90
Evaluated at bid price : 12.90
Bid-YTW : 5.33 %
MFC.PR.L FixedReset Ins Non 3.38 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-07
Maturity Price : 15.00
Evaluated at bid price : 15.00
Bid-YTW : 4.65 %
BAM.PR.X FixedReset Disc 3.88 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-07
Maturity Price : 10.70
Evaluated at bid price : 10.70
Bid-YTW : 5.16 %
BMO.PR.F FixedReset Disc 14.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-07
Maturity Price : 22.85
Evaluated at bid price : 23.95
Bid-YTW : 4.18 %
Volume Highlights
Issue Index Shares
Traded		 Notes
SLF.PR.C Deemed-Retractible 191,950 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-07
Maturity Price : 21.28
Evaluated at bid price : 21.28
Bid-YTW : 5.30 %
SLF.PR.B Deemed-Retractible 53,600 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-07
Maturity Price : 22.72
Evaluated at bid price : 23.01
Bid-YTW : 5.27 %
CU.PR.C FixedReset Disc 49,200 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-07
Maturity Price : 15.43
Evaluated at bid price : 15.43
Bid-YTW : 4.50 %
CU.PR.I FixedReset Disc 35,686 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2020-12-01
Maturity Price : 25.00
Evaluated at bid price : 25.00
Bid-YTW : 3.54 %
SLF.PR.D Deemed-Retractible 34,735 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-07
Maturity Price : 21.35
Evaluated at bid price : 21.35
Bid-YTW : 5.28 %
BAM.PR.X FixedReset Disc 33,258 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-07
Maturity Price : 10.70
Evaluated at bid price : 10.70
Bid-YTW : 5.16 %
There were 15 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: 25.35 – 26.35
Spot Rate : 1.0000
Average : 0.6464

YTW SCENARIO
Maturity Type : Soft Maturity
Maturity Date : 2025-03-14
Maturity Price : 25.00
Evaluated at bid price : 25.35
Bid-YTW : 4.65 %
MFC.PR.K FixedReset Ins Non Quote: 16.20 – 16.95
Spot Rate : 0.7500
Average : 0.4532

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-07
Maturity Price : 16.20
Evaluated at bid price : 16.20
Bid-YTW : 4.46 %
TD.PF.I FixedReset Disc Quote: 20.98 – 21.70
Spot Rate : 0.7200
Average : 0.5137

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-07
Maturity Price : 20.98
Evaluated at bid price : 20.98
Bid-YTW : 4.14 %
MFC.PR.M FixedReset Ins Non Quote: 16.12 – 16.67
Spot Rate : 0.5500
Average : 0.3748

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-07
Maturity Price : 16.12
Evaluated at bid price : 16.12
Bid-YTW : 4.62 %
MFC.PR.H FixedReset Ins Non Quote: 19.62 – 20.18
Spot Rate : 0.5600
Average : 0.3907

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-07
Maturity Price : 19.62
Evaluated at bid price : 19.62
Bid-YTW : 4.55 %
RY.PR.S FixedReset Disc Quote: 18.85 – 19.25
Spot Rate : 0.4000
Average : 0.2708

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-07
Maturity Price : 18.85
Evaluated at bid price : 18.85
Bid-YTW : 4.08 %
Market Action

August 6, 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 -0.0818 % 1,586.8
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.0818 % 2,911.6
Floater 5.26 % 5.33 % 56,655 14.91 3 -0.0818 % 1,678.0
OpRet 0.00 % 0.00 % 0 0.00 0 0.1340 % 3,491.3
SplitShare 4.68 % 4.72 % 46,168 3.27 8 0.1340 % 4,169.4
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.1340 % 3,253.1
Perpetual-Premium 5.57 % 4.77 % 79,007 4.05 4 0.0498 % 3,086.5
Perpetual-Discount 5.48 % 5.67 % 77,878 14.38 31 0.0900 % 3,329.5
FixedReset Disc 5.74 % 4.45 % 124,816 16.10 67 0.1344 % 1,997.0
Deemed-Retractible 5.24 % 5.33 % 91,572 14.55 27 0.1570 % 3,276.1
FloatingReset 2.96 % 2.35 % 35,156 1.46 3 -0.8601 % 1,749.8
FixedReset Prem 5.27 % 4.36 % 237,736 0.94 11 0.1371 % 2,606.2
FixedReset Bank Non 1.95 % 2.46 % 107,983 1.46 2 0.3038 % 2,836.6
FixedReset Ins Non 5.80 % 4.53 % 94,028 16.02 22 0.4779 % 2,051.6
Performance Highlights
Issue Index Change Notes
BMO.PR.F FixedReset Disc -12.50 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-06
Maturity Price : 21.00
Evaluated at bid price : 21.00
Bid-YTW : 4.87 %
SLF.PR.J FloatingReset -3.74 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-06
Maturity Price : 9.00
Evaluated at bid price : 9.00
Bid-YTW : 4.43 %
MFC.PR.L FixedReset Ins Non -2.42 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-06
Maturity Price : 14.51
Evaluated at bid price : 14.51
Bid-YTW : 4.81 %
SLF.PR.G FixedReset Ins Non -1.92 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-06
Maturity Price : 10.20
Evaluated at bid price : 10.20
Bid-YTW : 4.33 %
IFC.PR.C FixedReset Ins Non -1.70 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-06
Maturity Price : 16.22
Evaluated at bid price : 16.22
Bid-YTW : 4.67 %
BAM.PF.D Perpetual-Discount -1.66 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-06
Maturity Price : 21.91
Evaluated at bid price : 21.91
Bid-YTW : 5.67 %
BAM.PR.R FixedReset Disc -1.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-06
Maturity Price : 12.30
Evaluated at bid price : 12.30
Bid-YTW : 5.42 %
TD.PF.D FixedReset Disc -1.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-06
Maturity Price : 18.57
Evaluated at bid price : 18.57
Bid-YTW : 4.23 %
CM.PR.T FixedReset Disc 1.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-06
Maturity Price : 22.14
Evaluated at bid price : 22.63
Bid-YTW : 4.33 %
TRP.PR.K FixedReset Disc 1.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-06
Maturity Price : 23.44
Evaluated at bid price : 23.80
Bid-YTW : 5.22 %
PWF.PR.T FixedReset Disc 1.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-06
Maturity Price : 16.15
Evaluated at bid price : 16.15
Bid-YTW : 4.62 %
IAF.PR.B Deemed-Retractible 1.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-06
Maturity Price : 21.54
Evaluated at bid price : 21.80
Bid-YTW : 5.33 %
MFC.PR.K FixedReset Ins Non 1.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-06
Maturity Price : 16.20
Evaluated at bid price : 16.20
Bid-YTW : 4.46 %
RY.PR.H FixedReset Disc 1.18 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-06
Maturity Price : 17.21
Evaluated at bid price : 17.21
Bid-YTW : 4.06 %
BMO.PR.D FixedReset Disc 1.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-06
Maturity Price : 21.31
Evaluated at bid price : 21.61
Bid-YTW : 4.12 %
BAM.PF.H FixedReset Disc 1.28 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-06
Maturity Price : 23.76
Evaluated at bid price : 24.52
Bid-YTW : 5.12 %
RY.PR.S FixedReset Disc 1.29 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-06
Maturity Price : 18.85
Evaluated at bid price : 18.85
Bid-YTW : 4.08 %
NA.PR.S FixedReset Disc 1.33 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-06
Maturity Price : 16.75
Evaluated at bid price : 16.75
Bid-YTW : 4.45 %
TRP.PR.C FixedReset Disc 1.41 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-06
Maturity Price : 8.65
Evaluated at bid price : 8.65
Bid-YTW : 5.41 %
TRP.PR.A FixedReset Disc 1.42 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-06
Maturity Price : 12.15
Evaluated at bid price : 12.15
Bid-YTW : 5.35 %
CM.PR.Q FixedReset Disc 1.97 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-06
Maturity Price : 17.60
Evaluated at bid price : 17.60
Bid-YTW : 4.45 %
TD.PF.E FixedReset Disc 2.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-06
Maturity Price : 19.10
Evaluated at bid price : 19.10
Bid-YTW : 4.19 %
PWF.PR.P FixedReset Disc 2.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-06
Maturity Price : 10.01
Evaluated at bid price : 10.01
Bid-YTW : 4.82 %
RY.PR.M FixedReset Disc 2.78 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-06
Maturity Price : 18.50
Evaluated at bid price : 18.50
Bid-YTW : 3.97 %
SLF.PR.I FixedReset Ins Non 13.87 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-06
Maturity Price : 17.65
Evaluated at bid price : 17.65
Bid-YTW : 4.45 %
Volume Highlights
Issue Index Shares
Traded		 Notes
BNS.PR.F FloatingReset 120,000 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.70
Bid-YTW : 2.35 %
BAM.PR.X FixedReset Disc 95,797 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-06
Maturity Price : 10.30
Evaluated at bid price : 10.30
Bid-YTW : 5.36 %
IAF.PR.I FixedReset Ins Non 90,000 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-06
Maturity Price : 19.45
Evaluated at bid price : 19.45
Bid-YTW : 4.33 %
RY.PR.M FixedReset Disc 65,400 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-06
Maturity Price : 18.50
Evaluated at bid price : 18.50
Bid-YTW : 3.97 %
BMO.PR.D FixedReset Disc 54,125 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-06
Maturity Price : 21.31
Evaluated at bid price : 21.61
Bid-YTW : 4.12 %
CM.PR.R FixedReset Disc 50,683 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-06
Maturity Price : 21.31
Evaluated at bid price : 21.61
Bid-YTW : 4.37 %
There were 16 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
BMO.PR.F FixedReset Disc Quote: 21.00 – 24.06
Spot Rate : 3.0600
Average : 1.6991

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-06
Maturity Price : 21.00
Evaluated at bid price : 21.00
Bid-YTW : 4.87 %
CU.PR.H Perpetual-Premium Quote: 24.90 – 25.68
Spot Rate : 0.7800
Average : 0.4605

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-06
Maturity Price : 24.60
Evaluated at bid price : 24.90
Bid-YTW : 5.26 %
NA.PR.W FixedReset Disc Quote: 16.25 – 16.99
Spot Rate : 0.7400
Average : 0.4945

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-06
Maturity Price : 16.25
Evaluated at bid price : 16.25
Bid-YTW : 4.42 %
TRP.PR.F FloatingReset Quote: 10.10 – 10.91
Spot Rate : 0.8100
Average : 0.5832

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-06
Maturity Price : 10.10
Evaluated at bid price : 10.10
Bid-YTW : 5.23 %
GWO.PR.R Deemed-Retractible Quote: 21.95 – 22.49
Spot Rate : 0.5400
Average : 0.3179

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-06
Maturity Price : 21.58
Evaluated at bid price : 21.95
Bid-YTW : 5.52 %
BAM.PF.D Perpetual-Discount Quote: 21.91 – 22.50
Spot Rate : 0.5900
Average : 0.3994

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-06
Maturity Price : 21.91
Evaluated at bid price : 21.91
Bid-YTW : 5.67 %
Market Action

August 5, 2020

PerpetualDiscounts now yield 5.66%, equivalent to 7.36% interest at the standard equivalency factor of 1.3x. Long corporates now yield 2.85%, so the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) has remained steady at 450bp, the same as the 450bp reported July 29. We remain slightly above the pre-2020 record of 445bp briefly touched in 2008.

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 -0.3666 % 1,588.1
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.3666 % 2,914.0
Floater 5.26 % 5.32 % 58,631 14.92 3 -0.3666 % 1,679.4
OpRet 0.00 % 0.00 % 0 0.00 0 0.0099 % 3,486.6
SplitShare 4.68 % 4.72 % 45,775 3.27 8 0.0099 % 4,163.8
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0099 % 3,248.8
Perpetual-Premium 5.58 % 4.87 % 81,918 4.05 4 0.2468 % 3,085.0
Perpetual-Discount 5.49 % 5.66 % 75,407 14.38 31 0.1622 % 3,326.5
FixedReset Disc 5.74 % 4.44 % 120,506 16.11 67 0.4148 % 1,994.3
Deemed-Retractible 5.25 % 5.34 % 92,274 14.53 27 0.0730 % 3,271.0
FloatingReset 2.93 % 2.35 % 32,537 1.47 3 0.3863 % 1,765.0
FixedReset Prem 5.28 % 4.39 % 239,728 1.00 11 0.0722 % 2,602.6
FixedReset Bank Non 1.96 % 2.54 % 112,192 1.46 2 0.1217 % 2,828.0
FixedReset Ins Non 5.83 % 4.54 % 97,581 15.73 22 -0.4836 % 2,041.8
Performance Highlights
Issue Index Change Notes
SLF.PR.I FixedReset Ins Non -13.41 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-05
Maturity Price : 15.50
Evaluated at bid price : 15.50
Bid-YTW : 5.08 %
TRP.PR.C FixedReset Disc -2.51 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-05
Maturity Price : 8.53
Evaluated at bid price : 8.53
Bid-YTW : 5.48 %
PWF.PR.P FixedReset Disc -2.49 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-05
Maturity Price : 9.80
Evaluated at bid price : 9.80
Bid-YTW : 4.92 %
IFC.PR.A FixedReset Ins Non -2.32 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-05
Maturity Price : 12.21
Evaluated at bid price : 12.21
Bid-YTW : 4.62 %
RY.PR.S FixedReset Disc -1.95 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-05
Maturity Price : 18.61
Evaluated at bid price : 18.61
Bid-YTW : 4.13 %
CM.PR.Q FixedReset Disc -1.37 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-05
Maturity Price : 17.26
Evaluated at bid price : 17.26
Bid-YTW : 4.54 %
TD.PF.A FixedReset Disc -1.18 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-05
Maturity Price : 16.70
Evaluated at bid price : 16.70
Bid-YTW : 4.20 %
CCS.PR.C Deemed-Retractible -1.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-05
Maturity Price : 22.27
Evaluated at bid price : 22.54
Bid-YTW : 5.61 %
POW.PR.C Perpetual-Discount 1.01 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2020-09-04
Maturity Price : 25.00
Evaluated at bid price : 25.10
Bid-YTW : 5.02 %
PWF.PR.T FixedReset Disc 1.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-05
Maturity Price : 15.98
Evaluated at bid price : 15.98
Bid-YTW : 4.67 %
IFC.PR.C FixedReset Ins Non 1.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-05
Maturity Price : 16.50
Evaluated at bid price : 16.50
Bid-YTW : 4.59 %
TRP.PR.F FloatingReset 1.30 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-05
Maturity Price : 10.13
Evaluated at bid price : 10.13
Bid-YTW : 5.22 %
CM.PR.O FixedReset Disc 1.31 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-05
Maturity Price : 16.26
Evaluated at bid price : 16.26
Bid-YTW : 4.44 %
MFC.PR.Q FixedReset Ins Non 1.44 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-05
Maturity Price : 17.65
Evaluated at bid price : 17.65
Bid-YTW : 4.52 %
CU.PR.I FixedReset Disc 1.54 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-05
Maturity Price : 24.14
Evaluated at bid price : 24.85
Bid-YTW : 4.49 %
BMO.PR.E FixedReset Disc 1.71 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-05
Maturity Price : 19.63
Evaluated at bid price : 19.63
Bid-YTW : 4.21 %
TRP.PR.G FixedReset Disc 1.99 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-05
Maturity Price : 15.35
Evaluated at bid price : 15.35
Bid-YTW : 5.44 %
BAM.PR.R FixedReset Disc 2.72 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-05
Maturity Price : 12.45
Evaluated at bid price : 12.45
Bid-YTW : 5.35 %
TRP.PR.B FixedReset Disc 3.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-05
Maturity Price : 8.25
Evaluated at bid price : 8.25
Bid-YTW : 4.96 %
TD.PF.E FixedReset Disc 4.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-05
Maturity Price : 18.72
Evaluated at bid price : 18.72
Bid-YTW : 4.27 %
RY.PR.M FixedReset Disc 17.49 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-05
Maturity Price : 18.00
Evaluated at bid price : 18.00
Bid-YTW : 4.08 %
Volume Highlights
Issue Index Shares
Traded		 Notes
CM.PR.S FixedReset Disc 204,960 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-05
Maturity Price : 17.71
Evaluated at bid price : 17.71
Bid-YTW : 4.27 %
RY.PR.M FixedReset Disc 80,000 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-05
Maturity Price : 18.00
Evaluated at bid price : 18.00
Bid-YTW : 4.08 %
TD.PF.H FixedReset Prem 41,915 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-05
Maturity Price : 23.85
Evaluated at bid price : 25.05
Bid-YTW : 4.39 %
RY.PR.Q FixedReset Prem 33,842 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-05-24
Maturity Price : 25.00
Evaluated at bid price : 25.20
Bid-YTW : 4.11 %
BMO.PR.B FixedReset Prem 27,900 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-05
Maturity Price : 23.75
Evaluated at bid price : 25.10
Bid-YTW : 4.31 %
TRP.PR.D FixedReset Disc 23,452 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-05
Maturity Price : 13.51
Evaluated at bid price : 13.51
Bid-YTW : 5.50 %
There were 13 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
SLF.PR.I FixedReset Ins Non Quote: 15.50 – 18.26
Spot Rate : 2.7600
Average : 1.6030

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-05
Maturity Price : 15.50
Evaluated at bid price : 15.50
Bid-YTW : 5.08 %
BAM.PR.R FixedReset Disc Quote: 12.45 – 13.27
Spot Rate : 0.8200
Average : 0.5967

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-05
Maturity Price : 12.45
Evaluated at bid price : 12.45
Bid-YTW : 5.35 %
RY.PR.H FixedReset Disc Quote: 17.01 – 17.43
Spot Rate : 0.4200
Average : 0.2639

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-05
Maturity Price : 17.01
Evaluated at bid price : 17.01
Bid-YTW : 4.11 %
TRP.PR.A FixedReset Disc Quote: 11.98 – 12.54
Spot Rate : 0.5600
Average : 0.4165

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-05
Maturity Price : 11.98
Evaluated at bid price : 11.98
Bid-YTW : 5.43 %
TRP.PR.C FixedReset Disc Quote: 8.53 – 9.25
Spot Rate : 0.7200
Average : 0.5791

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-05
Maturity Price : 8.53
Evaluated at bid price : 8.53
Bid-YTW : 5.48 %
IFC.PR.A FixedReset Ins Non Quote: 12.21 – 12.90
Spot Rate : 0.6900
Average : 0.5583

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-05
Maturity Price : 12.21
Evaluated at bid price : 12.21
Bid-YTW : 4.62 %
Market Action

August 4, 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 0.0408 % 1,593.9
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.0408 % 2,924.7
Floater 5.24 % 5.30 % 58,226 14.97 3 0.0408 % 1,685.5
OpRet 0.00 % 0.00 % 0 0.00 0 0.1292 % 3,486.3
SplitShare 4.68 % 4.69 % 46,341 3.27 8 0.1292 % 4,163.4
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.1292 % 3,248.4
Perpetual-Premium 5.57 % 4.84 % 78,560 4.05 4 0.0498 % 3,077.4
Perpetual-Discount 5.49 % 5.66 % 74,278 14.39 31 0.2024 % 3,321.1
FixedReset Disc 5.76 % 4.46 % 139,046 16.03 67 -0.2536 % 1,986.1
Deemed-Retractible 5.25 % 5.34 % 93,252 14.53 27 0.0746 % 3,268.6
FloatingReset 2.94 % 2.46 % 33,863 1.47 3 -0.1361 % 1,758.2
FixedReset Prem 5.28 % 4.40 % 245,340 1.02 11 0.1084 % 2,600.8
FixedReset Bank Non 1.96 % 2.56 % 113,146 1.46 2 0.2032 % 2,824.6
FixedReset Ins Non 5.80 % 4.53 % 98,879 16.02 22 0.1525 % 2,051.8
Performance Highlights
Issue Index Change Notes
RY.PR.M FixedReset Disc -15.36 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-04
Maturity Price : 15.32
Evaluated at bid price : 15.32
Bid-YTW : 4.80 %
BAM.PR.R FixedReset Disc -2.26 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-04
Maturity Price : 12.12
Evaluated at bid price : 12.12
Bid-YTW : 5.50 %
CM.PR.O FixedReset Disc -1.59 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-04
Maturity Price : 16.05
Evaluated at bid price : 16.05
Bid-YTW : 4.50 %
TD.PF.I FixedReset Disc -1.50 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-04
Maturity Price : 21.05
Evaluated at bid price : 21.05
Bid-YTW : 4.12 %
BIP.PR.E FixedReset Disc -1.46 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-04
Maturity Price : 20.20
Evaluated at bid price : 20.20
Bid-YTW : 6.28 %
CM.PR.T FixedReset Disc -1.32 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-04
Maturity Price : 21.98
Evaluated at bid price : 22.40
Bid-YTW : 4.38 %
TRP.PR.G FixedReset Disc -1.31 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-04
Maturity Price : 15.05
Evaluated at bid price : 15.05
Bid-YTW : 5.55 %
TD.PF.K FixedReset Disc -1.31 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-04
Maturity Price : 18.90
Evaluated at bid price : 18.90
Bid-YTW : 4.27 %
MFC.PR.N FixedReset Ins Non -1.26 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-04
Maturity Price : 15.71
Evaluated at bid price : 15.71
Bid-YTW : 4.64 %
BMO.PR.F FixedReset Disc -1.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-04
Maturity Price : 22.78
Evaluated at bid price : 23.80
Bid-YTW : 4.21 %
BMO.PR.W FixedReset Disc -1.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-04
Maturity Price : 16.78
Evaluated at bid price : 16.78
Bid-YTW : 4.21 %
IFC.PR.A FixedReset Ins Non 1.21 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-04
Maturity Price : 12.50
Evaluated at bid price : 12.50
Bid-YTW : 4.50 %
TRP.PR.K FixedReset Disc 1.24 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-04
Maturity Price : 23.22
Evaluated at bid price : 23.59
Bid-YTW : 5.27 %
SLF.PR.H FixedReset Ins Non 1.36 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-04
Maturity Price : 14.19
Evaluated at bid price : 14.19
Bid-YTW : 4.46 %
TRP.PR.A FixedReset Disc 1.52 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-04
Maturity Price : 12.00
Evaluated at bid price : 12.00
Bid-YTW : 5.41 %
CU.PR.C FixedReset Disc 1.82 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-04
Maturity Price : 15.69
Evaluated at bid price : 15.69
Bid-YTW : 4.50 %
MFC.PR.F FixedReset Ins Non 1.98 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-04
Maturity Price : 9.81
Evaluated at bid price : 9.81
Bid-YTW : 4.50 %
BAM.PF.J FixedReset Disc 2.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-04
Maturity Price : 22.52
Evaluated at bid price : 23.00
Bid-YTW : 5.20 %
BMO.PR.Y FixedReset Disc 5.85 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-04
Maturity Price : 18.10
Evaluated at bid price : 18.10
Bid-YTW : 4.18 %
TD.PF.D FixedReset Disc 5.99 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-04
Maturity Price : 18.76
Evaluated at bid price : 18.76
Bid-YTW : 4.15 %
Volume Highlights
Issue Index Shares
Traded		 Notes
CM.PR.P FixedReset Disc 103,825 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-04
Maturity Price : 16.38
Evaluated at bid price : 16.38
Bid-YTW : 4.43 %
W.PR.M FixedReset Disc 66,055 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-04
Maturity Price : 24.03
Evaluated at bid price : 24.45
Bid-YTW : 5.35 %
NA.PR.X FixedReset Prem 62,900 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-05-15
Maturity Price : 25.00
Evaluated at bid price : 25.10
Bid-YTW : 4.85 %
CU.PR.C FixedReset Disc 51,549 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-04
Maturity Price : 15.69
Evaluated at bid price : 15.69
Bid-YTW : 4.50 %
BAM.PF.B FixedReset Disc 44,779 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-04
Maturity Price : 15.05
Evaluated at bid price : 15.05
Bid-YTW : 5.53 %
BMO.PR.E FixedReset Disc 39,025 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-04
Maturity Price : 19.30
Evaluated at bid price : 19.30
Bid-YTW : 4.29 %
There were 14 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
IAF.PR.G FixedReset Ins Non Quote: 18.25 – 25.00
Spot Rate : 6.7500
Average : 3.6124

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-04
Maturity Price : 18.25
Evaluated at bid price : 18.25
Bid-YTW : 4.47 %
RY.PR.M FixedReset Disc Quote: 15.32 – 18.50
Spot Rate : 3.1800
Average : 2.3424

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-04
Maturity Price : 15.32
Evaluated at bid price : 15.32
Bid-YTW : 4.80 %
EIT.PR.B SplitShare Quote: 25.30 – 26.30
Spot Rate : 1.0000
Average : 0.6217

YTW SCENARIO
Maturity Type : Soft Maturity
Maturity Date : 2025-03-14
Maturity Price : 25.00
Evaluated at bid price : 25.30
Bid-YTW : 4.69 %
MFC.PR.N FixedReset Ins Non Quote: 15.71 – 17.00
Spot Rate : 1.2900
Average : 0.9471

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-04
Maturity Price : 15.71
Evaluated at bid price : 15.71
Bid-YTW : 4.64 %
EIT.PR.A SplitShare Quote: 25.22 – 26.00
Spot Rate : 0.7800
Average : 0.5514

YTW SCENARIO
Maturity Type : Soft Maturity
Maturity Date : 2024-03-14
Maturity Price : 25.00
Evaluated at bid price : 25.22
Bid-YTW : 4.76 %
MFC.PR.J FixedReset Ins Non Quote: 17.55 – 19.17
Spot Rate : 1.6200
Average : 1.4221

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-04
Maturity Price : 17.55
Evaluated at bid price : 17.55
Bid-YTW : 4.60 %
Market Action

July 31, 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 -0.9685 % 1,593.3
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.9685 % 2,923.5
Floater 5.24 % 5.29 % 58,829 14.98 3 -0.9685 % 1,684.9
OpRet 0.00 % 0.00 % 0 0.00 0 0.1763 % 3,481.8
SplitShare 4.83 % 4.77 % 53,253 3.73 7 0.1763 % 4,158.0
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.1763 % 3,244.2
Perpetual-Premium 5.19 % 4.90 % 78,366 4.06 1 -0.0395 % 3,075.9
Perpetual-Discount 5.51 % 5.65 % 74,588 14.35 35 0.1888 % 3,314.4
FixedReset Disc 5.68 % 4.48 % 153,376 15.97 75 0.0656 % 1,991.1
Deemed-Retractible 5.25 % 5.32 % 94,629 14.50 27 0.1814 % 3,266.2
FloatingReset 2.37 % 2.74 % 35,244 1.48 4 -0.1415 % 1,760.6
FixedReset Prem 5.45 % 4.08 % 349,011 1.04 3 -0.1055 % 2,597.9
FixedReset Bank Non 1.97 % 2.56 % 117,468 1.48 2 -0.3781 % 2,818.8
FixedReset Ins Non 5.81 % 4.59 % 97,922 15.92 22 0.3949 % 2,048.6
Performance Highlights
Issue Index Change Notes
TD.PF.D FixedReset Disc -5.60 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-31
Maturity Price : 17.70
Evaluated at bid price : 17.70
Bid-YTW : 4.45 %
TD.PF.E FixedReset Disc -5.56 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-31
Maturity Price : 18.00
Evaluated at bid price : 18.00
Bid-YTW : 4.49 %
BMO.PR.Y FixedReset Disc -3.68 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-31
Maturity Price : 17.10
Evaluated at bid price : 17.10
Bid-YTW : 4.47 %
SLF.PR.G FixedReset Ins Non -3.24 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-31
Maturity Price : 10.45
Evaluated at bid price : 10.45
Bid-YTW : 4.28 %
TRP.PR.B FixedReset Disc -3.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-31
Maturity Price : 8.00
Evaluated at bid price : 8.00
Bid-YTW : 5.19 %
BNS.PR.I FixedReset Disc -2.21 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-31
Maturity Price : 19.46
Evaluated at bid price : 19.46
Bid-YTW : 4.05 %
BAM.PF.J FixedReset Disc -2.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-31
Maturity Price : 22.21
Evaluated at bid price : 22.55
Bid-YTW : 5.31 %
CU.PR.C FixedReset Disc -1.85 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-31
Maturity Price : 15.41
Evaluated at bid price : 15.41
Bid-YTW : 4.63 %
PWF.PR.P FixedReset Disc -1.57 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-31
Maturity Price : 10.05
Evaluated at bid price : 10.05
Bid-YTW : 4.87 %
BIP.PR.A FixedReset Disc -1.26 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-31
Maturity Price : 15.70
Evaluated at bid price : 15.70
Bid-YTW : 6.33 %
BAM.PR.B Floater -1.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-31
Maturity Price : 8.20
Evaluated at bid price : 8.20
Bid-YTW : 5.29 %
BAM.PR.C Floater -1.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-31
Maturity Price : 8.19
Evaluated at bid price : 8.19
Bid-YTW : 5.29 %
IFC.PR.I Perpetual-Discount 1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-31
Maturity Price : 24.34
Evaluated at bid price : 24.73
Bid-YTW : 5.51 %
BMO.PR.W FixedReset Disc 1.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-31
Maturity Price : 16.95
Evaluated at bid price : 16.95
Bid-YTW : 4.20 %
IFC.PR.E Deemed-Retractible 1.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-31
Maturity Price : 23.81
Evaluated at bid price : 24.26
Bid-YTW : 5.40 %
TRP.PR.D FixedReset Disc 1.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-31
Maturity Price : 13.50
Evaluated at bid price : 13.50
Bid-YTW : 5.56 %
BMO.PR.F FixedReset Disc 1.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-31
Maturity Price : 22.91
Evaluated at bid price : 24.07
Bid-YTW : 4.17 %
IFC.PR.A FixedReset Ins Non 1.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-31
Maturity Price : 12.35
Evaluated at bid price : 12.35
Bid-YTW : 4.61 %
BIK.PR.A FixedReset Disc 1.24 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-31
Maturity Price : 23.11
Evaluated at bid price : 24.51
Bid-YTW : 5.98 %
IAF.PR.G FixedReset Ins Non 1.40 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-31
Maturity Price : 18.15
Evaluated at bid price : 18.15
Bid-YTW : 4.53 %
TD.PF.I FixedReset Disc 1.52 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-31
Maturity Price : 21.37
Evaluated at bid price : 21.37
Bid-YTW : 4.09 %
IFC.PR.F Deemed-Retractible 1.66 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-31
Maturity Price : 24.04
Evaluated at bid price : 24.50
Bid-YTW : 5.45 %
ELF.PR.G Perpetual-Discount 1.68 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-31
Maturity Price : 21.49
Evaluated at bid price : 21.75
Bid-YTW : 5.49 %
TRP.PR.E FixedReset Disc 2.64 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-31
Maturity Price : 13.61
Evaluated at bid price : 13.61
Bid-YTW : 5.46 %
SLF.PR.I FixedReset Ins Non 3.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-31
Maturity Price : 18.05
Evaluated at bid price : 18.05
Bid-YTW : 4.39 %
TRP.PR.C FixedReset Disc 3.31 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-31
Maturity Price : 8.74
Evaluated at bid price : 8.74
Bid-YTW : 5.44 %
RY.PR.M FixedReset Disc 18.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-31
Maturity Price : 18.10
Evaluated at bid price : 18.10
Bid-YTW : 4.10 %
Volume Highlights
Issue Index Shares
Traded		 Notes
RY.PR.M FixedReset Disc 135,103 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-31
Maturity Price : 18.10
Evaluated at bid price : 18.10
Bid-YTW : 4.10 %
TD.PF.K FixedReset Disc 47,221 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-31
Maturity Price : 19.15
Evaluated at bid price : 19.15
Bid-YTW : 4.25 %
CM.PR.Q FixedReset Disc 44,909 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-31
Maturity Price : 17.40
Evaluated at bid price : 17.40
Bid-YTW : 4.52 %
CM.PR.R FixedReset Disc 38,036 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-31
Maturity Price : 21.31
Evaluated at bid price : 21.60
Bid-YTW : 4.40 %
TRP.PR.E FixedReset Disc 31,000 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-31
Maturity Price : 13.61
Evaluated at bid price : 13.61
Bid-YTW : 5.46 %
RY.PR.F Deemed-Retractible 26,400 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2020-08-30
Maturity Price : 25.00
Evaluated at bid price : 25.03
Bid-YTW : -0.57 %
There were 15 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
MFC.PR.L FixedReset Ins Non Quote: 14.90 – 18.50
Spot Rate : 3.6000
Average : 2.0928

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-31
Maturity Price : 14.90
Evaluated at bid price : 14.90
Bid-YTW : 4.72 %
TD.PF.E FixedReset Disc Quote: 18.00 – 20.50
Spot Rate : 2.5000
Average : 1.4954

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-31
Maturity Price : 18.00
Evaluated at bid price : 18.00
Bid-YTW : 4.49 %
TD.PF.D FixedReset Disc Quote: 17.70 – 19.10
Spot Rate : 1.4000
Average : 0.8838

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-31
Maturity Price : 17.70
Evaluated at bid price : 17.70
Bid-YTW : 4.45 %
MFC.PR.J FixedReset Ins Non Quote: 17.50 – 19.17
Spot Rate : 1.6700
Average : 1.2052

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-31
Maturity Price : 17.50
Evaluated at bid price : 17.50
Bid-YTW : 4.65 %
MFC.PR.G FixedReset Ins Non Quote: 18.15 – 19.17
Spot Rate : 1.0200
Average : 0.6159

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-31
Maturity Price : 18.15
Evaluated at bid price : 18.15
Bid-YTW : 4.59 %
BMO.PR.Y FixedReset Disc Quote: 17.10 – 18.10
Spot Rate : 1.0000
Average : 0.6301

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-31
Maturity Price : 17.10
Evaluated at bid price : 17.10
Bid-YTW : 4.47 %
Market Action

July 30, 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 -0.8403 % 1,608.8
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.8403 % 2,952.1
Floater 5.19 % 5.23 % 58,923 15.08 3 -0.8403 % 1,701.3
OpRet 0.00 % 0.00 % 0 0.00 0 -0.0512 % 3,475.7
SplitShare 4.83 % 4.87 % 54,074 3.74 7 -0.0512 % 4,150.7
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.0512 % 3,238.5
Perpetual-Premium 5.19 % 4.89 % 74,795 4.06 1 -0.0395 % 3,077.1
Perpetual-Discount 5.52 % 5.67 % 77,288 14.37 35 0.1324 % 3,308.2
FixedReset Disc 5.69 % 4.45 % 148,515 15.90 75 -0.3223 % 1,989.8
Deemed-Retractible 5.26 % 5.33 % 94,708 14.50 27 0.1482 % 3,260.3
FloatingReset 2.37 % 2.55 % 35,798 1.48 4 -0.0146 % 1,763.1
FixedReset Prem 5.44 % 4.11 % 353,903 1.04 3 -0.5249 % 2,600.7
FixedReset Bank Non 1.95 % 2.48 % 118,788 1.48 2 -0.3823 % 2,829.5
FixedReset Ins Non 5.84 % 4.63 % 96,549 15.90 22 0.9574 % 2,040.6
Performance Highlights
Issue Index Change Notes
BAM.PR.B Floater -2.47 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-30
Maturity Price : 8.30
Evaluated at bid price : 8.30
Bid-YTW : 5.22 %
TRP.PR.D FixedReset Disc -2.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-30
Maturity Price : 13.35
Evaluated at bid price : 13.35
Bid-YTW : 5.62 %
PWF.PR.T FixedReset Disc -2.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-30
Maturity Price : 15.90
Evaluated at bid price : 15.90
Bid-YTW : 4.74 %
BAM.PR.C Floater -2.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-30
Maturity Price : 8.28
Evaluated at bid price : 8.28
Bid-YTW : 5.23 %
BAM.PF.B FixedReset Disc -1.69 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-30
Maturity Price : 15.08
Evaluated at bid price : 15.08
Bid-YTW : 5.55 %
BIP.PR.D FixedReset Disc -1.67 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-30
Maturity Price : 21.14
Evaluated at bid price : 21.14
Bid-YTW : 5.99 %
TRP.PR.A FixedReset Disc -1.66 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-30
Maturity Price : 11.85
Evaluated at bid price : 11.85
Bid-YTW : 5.53 %
TD.PF.I FixedReset Disc -1.64 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-30
Maturity Price : 21.05
Evaluated at bid price : 21.05
Bid-YTW : 4.16 %
BIK.PR.A FixedReset Disc -1.59 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-30
Maturity Price : 22.98
Evaluated at bid price : 24.21
Bid-YTW : 6.06 %
CU.PR.C FixedReset Disc -1.57 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-30
Maturity Price : 15.70
Evaluated at bid price : 15.70
Bid-YTW : 4.54 %
TRP.PR.E FixedReset Disc -1.41 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-30
Maturity Price : 13.26
Evaluated at bid price : 13.26
Bid-YTW : 5.61 %
TD.PF.G FixedReset Prem -1.34 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-30
Maturity Price : 24.69
Evaluated at bid price : 25.06
Bid-YTW : 5.01 %
W.PR.K FixedReset Disc -1.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-30
Maturity Price : 23.60
Evaluated at bid price : 24.35
Bid-YTW : 5.40 %
BAM.PR.X FixedReset Disc -1.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-30
Maturity Price : 10.29
Evaluated at bid price : 10.29
Bid-YTW : 5.43 %
TD.PF.L FixedReset Disc -1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-30
Maturity Price : 22.48
Evaluated at bid price : 23.21
Bid-YTW : 4.19 %
ELF.PR.G Perpetual-Discount -1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-30
Maturity Price : 21.39
Evaluated at bid price : 21.39
Bid-YTW : 5.60 %
CCS.PR.C Deemed-Retractible 1.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-30
Maturity Price : 22.26
Evaluated at bid price : 22.53
Bid-YTW : 5.60 %
W.PR.M FixedReset Disc 1.29 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-30
Maturity Price : 23.98
Evaluated at bid price : 24.41
Bid-YTW : 5.35 %
IAF.PR.I FixedReset Ins Non 1.42 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-30
Maturity Price : 19.22
Evaluated at bid price : 19.22
Bid-YTW : 4.41 %
SLF.PR.H FixedReset Ins Non 1.45 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-30
Maturity Price : 14.00
Evaluated at bid price : 14.00
Bid-YTW : 4.57 %
SLF.PR.I FixedReset Ins Non 1.74 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-30
Maturity Price : 17.50
Evaluated at bid price : 17.50
Bid-YTW : 4.53 %
MFC.PR.C Deemed-Retractible 1.75 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-30
Maturity Price : 21.25
Evaluated at bid price : 21.52
Bid-YTW : 5.28 %
BAM.PR.K Floater 2.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-30
Maturity Price : 8.20
Evaluated at bid price : 8.20
Bid-YTW : 5.29 %
SLF.PR.G FixedReset Ins Non 3.25 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-30
Maturity Price : 10.80
Evaluated at bid price : 10.80
Bid-YTW : 4.13 %
PWF.PR.Z Perpetual-Discount 3.64 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-30
Maturity Price : 22.51
Evaluated at bid price : 22.80
Bid-YTW : 5.67 %
MFC.PR.I FixedReset Ins Non 19.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-30
Maturity Price : 18.35
Evaluated at bid price : 18.35
Bid-YTW : 4.60 %
Volume Highlights
Issue Index Shares
Traded		 Notes
CM.PR.O FixedReset Disc 118,782 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-30
Maturity Price : 16.31
Evaluated at bid price : 16.31
Bid-YTW : 4.46 %
NA.PR.C FixedReset Disc 81,610 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-30
Maturity Price : 21.45
Evaluated at bid price : 21.80
Bid-YTW : 4.40 %
RY.PR.Q FixedReset Disc 78,280 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-05-24
Maturity Price : 25.00
Evaluated at bid price : 25.15
Bid-YTW : 4.28 %
TD.PF.M FixedReset Disc 69,600 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-30
Maturity Price : 23.02
Evaluated at bid price : 24.40
Bid-YTW : 4.17 %
TD.PF.K FixedReset Disc 57,705 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-30
Maturity Price : 19.15
Evaluated at bid price : 19.15
Bid-YTW : 4.25 %
TD.PF.L FixedReset Disc 49,050 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-30
Maturity Price : 22.48
Evaluated at bid price : 23.21
Bid-YTW : 4.19 %
There were 27 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: 15.32 – 18.50
Spot Rate : 3.1800
Average : 2.5467

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-30
Maturity Price : 15.32
Evaluated at bid price : 15.32
Bid-YTW : 4.84 %
W.PR.K FixedReset Disc Quote: 24.35 – 24.94
Spot Rate : 0.5900
Average : 0.4161

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-30
Maturity Price : 23.60
Evaluated at bid price : 24.35
Bid-YTW : 5.40 %
CU.PR.I FixedReset Disc Quote: 24.80 – 25.45
Spot Rate : 0.6500
Average : 0.4783

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-30
Maturity Price : 24.08
Evaluated at bid price : 24.80
Bid-YTW : 4.56 %
IFC.PR.C FixedReset Ins Non Quote: 16.50 – 17.50
Spot Rate : 1.0000
Average : 0.8285

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-30
Maturity Price : 16.50
Evaluated at bid price : 16.50
Bid-YTW : 4.63 %
TD.PF.G FixedReset Prem Quote: 25.06 – 25.51
Spot Rate : 0.4500
Average : 0.2817

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-30
Maturity Price : 24.69
Evaluated at bid price : 25.06
Bid-YTW : 5.01 %
PVS.PR.G SplitShare Quote: 25.00 – 26.00
Spot Rate : 1.0000
Average : 0.8617

YTW SCENARIO
Maturity Type : Option Certainty
Maturity Date : 2026-02-28
Maturity Price : 25.00
Evaluated at bid price : 25.00
Bid-YTW : 5.08 %