Category: Market Action

Market Action

October 29, 2020

DBRS finalized the rating on the CWB LRCNs at BB(high):

DBRS Limited (DBRS Morningstar) finalized its provisional rating of BB (high) with a Negative trend on Canadian Western Bank’s (CWB or the Bank) NVCC Additional Tier 1 (AT1) Limited Recourse Capital Notes (the Capital Notes).

Following the review of documentation associated with the recent offering, DBRS Morningstar confirmed that the terms of the issuance are consistent with those reviewed at the time the provisional rating was assigned on October 23, 2020. For further details on the provisional rating, please see the DBRS Morningstar press release entitled “DBRS Morningstar Assigns Provisional Rating of BB (high), Negative, to Canadian Western Bank’s NVCC Additional Tier 1 (AT1) Limited Recourse Capital Notes.”

The Bank plans to issue $175 million of Capital Notes on October 30, 2020. The Capital Notes mature on April 30, 2081, and will have an initial five-year fixed rate of 6.00%. DBRS Morningstar notes that the Office of the Superintendent of Financial Institutions granted Tier 1 capital treatment to the Capital Notes.

RATING DRIVERS
Given the Negative trend, an upgrade is unlikely at this time. The trend could change to Stable if the impact of the current economic crisis on CWB’s earnings and credit quality metrics is manageable.

Conversely, material losses in the loan portfolio as a result of the oil price shock and a longer-than-expected adverse impact of the Coronavirus Disease (COVID-19) pandemic, or significant pressures on funding and liquidity, could result in a rating downgrade.

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 0.4922 % 1,620.8
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.4922 % 2,974.0
Floater 5.25 % 5.31 % 38,209 14.95 3 0.4922 % 1,713.9
OpRet 0.00 % 0.00 % 0 0.00 0 -0.0744 % 3,526.5
SplitShare 4.81 % 4.80 % 46,925 3.53 8 -0.0744 % 4,211.4
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.0744 % 3,285.9
Perpetual-Premium 5.31 % -1.23 % 89,012 0.15 17 0.0645 % 3,189.5
Perpetual-Discount 5.18 % 5.16 % 83,417 15.23 17 0.0519 % 3,555.3
FixedReset Disc 5.54 % 4.29 % 134,984 16.43 65 -0.5207 % 2,089.1
Deemed-Retractible 5.14 % 5.00 % 114,376 15.16 22 0.0580 % 3,456.9
FloatingReset 1.97 % 2.28 % 50,447 1.24 3 0.0168 % 1,793.9
FixedReset Prem 5.22 % 3.48 % 260,903 0.78 14 0.0000 % 2,645.6
FixedReset Bank Non 1.94 % 2.09 % 143,697 1.23 2 0.0201 % 2,861.2
FixedReset Ins Non 5.49 % 4.25 % 75,728 16.32 22 0.0835 % 2,200.7
Performance Highlights
Issue Index Change Notes
TD.PF.L FixedReset Disc -22.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-29
Maturity Price : 19.10
Evaluated at bid price : 19.10
Bid-YTW : 5.21 %
NA.PR.C FixedReset Disc -5.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-29
Maturity Price : 22.41
Evaluated at bid price : 22.72
Bid-YTW : 4.25 %
TRP.PR.G FixedReset Disc -3.65 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-29
Maturity Price : 14.26
Evaluated at bid price : 14.26
Bid-YTW : 5.97 %
TD.PF.E FixedReset Disc -1.98 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-29
Maturity Price : 19.80
Evaluated at bid price : 19.80
Bid-YTW : 4.13 %
BAM.PR.X FixedReset Disc -1.58 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-29
Maturity Price : 10.58
Evaluated at bid price : 10.58
Bid-YTW : 5.34 %
BAM.PR.R FixedReset Disc -1.53 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-29
Maturity Price : 12.90
Evaluated at bid price : 12.90
Bid-YTW : 5.28 %
BAM.PF.D Perpetual-Discount -1.29 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-29
Maturity Price : 22.67
Evaluated at bid price : 22.95
Bid-YTW : 5.39 %
BAM.PF.B FixedReset Disc -1.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-29
Maturity Price : 15.41
Evaluated at bid price : 15.41
Bid-YTW : 5.45 %
MFC.PR.J FixedReset Ins Non -1.21 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-29
Maturity Price : 18.72
Evaluated at bid price : 18.72
Bid-YTW : 4.34 %
BAM.PF.I FixedReset Disc -1.21 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-29
Maturity Price : 24.08
Evaluated at bid price : 24.45
Bid-YTW : 4.94 %
RY.PR.M FixedReset Disc -1.19 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-29
Maturity Price : 18.32
Evaluated at bid price : 18.32
Bid-YTW : 4.10 %
BIP.PR.E FixedReset Disc -1.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-29
Maturity Price : 21.46
Evaluated at bid price : 21.81
Bid-YTW : 5.78 %
CU.PR.G Perpetual-Discount -1.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-29
Maturity Price : 22.97
Evaluated at bid price : 23.25
Bid-YTW : 4.90 %
TRP.PR.A FixedReset Disc -1.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-29
Maturity Price : 11.56
Evaluated at bid price : 11.56
Bid-YTW : 5.71 %
CU.PR.C FixedReset Disc 1.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-29
Maturity Price : 16.70
Evaluated at bid price : 16.70
Bid-YTW : 4.31 %
NA.PR.G FixedReset Disc 1.21 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-29
Maturity Price : 20.00
Evaluated at bid price : 20.00
Bid-YTW : 4.30 %
BAM.PF.C Perpetual-Discount 1.27 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-29
Maturity Price : 21.86
Evaluated at bid price : 22.28
Bid-YTW : 5.48 %
BAM.PF.G FixedReset Disc 1.28 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-29
Maturity Price : 15.00
Evaluated at bid price : 15.00
Bid-YTW : 5.45 %
TD.PF.C FixedReset Disc 1.38 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-29
Maturity Price : 18.35
Evaluated at bid price : 18.35
Bid-YTW : 3.96 %
POW.PR.B Perpetual-Discount 1.65 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-29
Maturity Price : 24.34
Evaluated at bid price : 24.65
Bid-YTW : 5.46 %
NA.PR.W FixedReset Disc 1.79 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-29
Maturity Price : 16.50
Evaluated at bid price : 16.50
Bid-YTW : 4.40 %
SLF.PR.H FixedReset Ins Non 1.87 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-29
Maturity Price : 15.25
Evaluated at bid price : 15.25
Bid-YTW : 4.24 %
BAM.PR.M Perpetual-Discount 2.28 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-29
Maturity Price : 21.76
Evaluated at bid price : 22.01
Bid-YTW : 5.45 %
SLF.PR.G FixedReset Ins Non 2.38 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-29
Maturity Price : 10.75
Evaluated at bid price : 10.75
Bid-YTW : 4.22 %
TD.PF.D FixedReset Disc 3.37 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-29
Maturity Price : 19.65
Evaluated at bid price : 19.65
Bid-YTW : 4.06 %
Volume Highlights
Issue Index Shares
Traded		 Notes
RY.PR.M FixedReset Disc 90,000 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-29
Maturity Price : 18.32
Evaluated at bid price : 18.32
Bid-YTW : 4.10 %
TD.PF.G FixedReset Prem 52,150 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-04-30
Maturity Price : 25.00
Evaluated at bid price : 25.32
Bid-YTW : 2.82 %
PWF.PR.O Perpetual-Premium 41,200 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2020-11-28
Maturity Price : 25.00
Evaluated at bid price : 25.29
Bid-YTW : -8.46 %
TRP.PR.A FixedReset Disc 36,643 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-29
Maturity Price : 11.56
Evaluated at bid price : 11.56
Bid-YTW : 5.71 %
PWF.PR.K Perpetual-Discount 35,150 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-29
Maturity Price : 23.75
Evaluated at bid price : 24.06
Bid-YTW : 5.16 %
BMO.PR.S FixedReset Disc 22,556 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-29
Maturity Price : 17.86
Evaluated at bid price : 17.86
Bid-YTW : 4.16 %
There were 14 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: 19.10 – 24.40
Spot Rate : 5.3000
Average : 2.8330

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-29
Maturity Price : 19.10
Evaluated at bid price : 19.10
Bid-YTW : 5.21 %
NA.PR.C FixedReset Disc Quote: 22.72 – 24.03
Spot Rate : 1.3100
Average : 0.7323

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-29
Maturity Price : 22.41
Evaluated at bid price : 22.72
Bid-YTW : 4.25 %
CIU.PR.A Perpetual-Discount Quote: 23.12 – 24.00
Spot Rate : 0.8800
Average : 0.5585

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-29
Maturity Price : 22.84
Evaluated at bid price : 23.12
Bid-YTW : 5.04 %
TRP.PR.D FixedReset Disc Quote: 12.90 – 13.70
Spot Rate : 0.8000
Average : 0.4938

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-29
Maturity Price : 12.90
Evaluated at bid price : 12.90
Bid-YTW : 5.86 %
MFC.PR.J FixedReset Ins Non Quote: 18.72 – 19.55
Spot Rate : 0.8300
Average : 0.6148

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-29
Maturity Price : 18.72
Evaluated at bid price : 18.72
Bid-YTW : 4.34 %
TRP.PR.G FixedReset Disc Quote: 14.26 – 14.85
Spot Rate : 0.5900
Average : 0.3859

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-29
Maturity Price : 14.26
Evaluated at bid price : 14.26
Bid-YTW : 5.97 %
Market Action

October 28, 2020

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Click for Big

TXPR closed at 578.55, down 0.69% on the day. Volume today was 2.15-million, above the median of the past thirty days.

CPD closed at 11.52, down 0.99% on the day. Volume was 189,115, above the median of the past 30 trading days.

ZPR closed at 9.06, down 1.52% on the day. Volume of 258,409, about the median of the past 30 trading days.

Five-year Canada yields were up 1bp at 0.37% today.

The damage has been attributed to the usual suspect:

Coronavirus flare-ups across the United States and new lockdown measures in major European economies sent stocks sliding to their worst performance in months on Wednesday.

The S&P 500 ended the day 3.5 percent lower, notching the market’s third straight decline and the worst drop for Wall Street since June 11.

The decline wiped out the S&P’s gains for the month as investors dumped shares. All 11 sectors fell as traders jettisoned stocks in economically sensitive sectors like energy. Even tech was squeezed — the tech giants were once thought to be almost immune to the economic effects of the virus. Treasury yields fell as investors sought the safety of government bonds, and economic nervousness pushed oil prices down: Benchmark West Texas Intermediate crude oil fell 5.5 percent to $37.39 a barrel.

As recently as Oct. 12, the S&P 500 was up more than 9 percent for the year, as investors seemed to grow more confident that Congress and the White House would be able to produce a new dose of federal stimulus before the election.
…
Even before trading opened in New York, European markets were enduring an ugly session. Major markets slid 4.2 percent in Germany and 3.4 percent in France. The pan-European Stoxx 600 index declined nearly 3 percent. As the U.S. trading day unfolded, Germany announced a new one-month partial lockdown aimed at stemming a surge of infections. France followed, announcing a full nationwide lockdown for the second time in 2020.
…
The United States, too, is suffering a renewed wave of coronavirus infections: The number of Covid-19 hospitalizations is up an estimated 46 percent over the last month. And New Jersey’s largest city, Newark, imposed a curfew and reinstated some limits on gatherings to control an outbreak there.

PerpetualDiscounts now yield 5.13%, equivalent to 6.67% interest at the standard equivalency factor of 1.3x. Long corporates now yield 2.98%, so the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) has remained steady at the 370bp reported October 21.

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 -1.2955 % 1,612.8
FixedFloater 0.00 % 0.00 % 0 0.00 0 -1.2955 % 2,959.4
Floater 5.28 % 5.33 % 38,565 14.93 3 -1.2955 % 1,705.5
OpRet 0.00 % 0.00 % 0 0.00 0 -0.0644 % 3,529.2
SplitShare 4.81 % 4.79 % 48,861 3.53 8 -0.0644 % 4,214.6
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.0644 % 3,288.4
Perpetual-Premium 5.32 % -0.23 % 90,058 0.16 17 -0.1220 % 3,187.4
Perpetual-Discount 5.18 % 5.13 % 80,413 15.27 17 -1.0469 % 3,553.5
FixedReset Disc 5.51 % 4.29 % 135,747 16.43 65 -1.0026 % 2,100.1
Deemed-Retractible 5.14 % 5.01 % 116,136 15.15 22 -0.7631 % 3,454.9
FloatingReset 1.97 % 2.24 % 50,171 1.24 3 -0.2856 % 1,793.6
FixedReset Prem 5.22 % 3.32 % 263,985 0.78 14 -0.2813 % 2,645.6
FixedReset Bank Non 1.94 % 2.25 % 143,632 1.24 2 -0.0201 % 2,860.6
FixedReset Ins Non 5.49 % 4.25 % 78,384 16.33 22 -0.8129 % 2,198.8
Performance Highlights
Issue Index Change Notes
BAM.PR.M Perpetual-Discount -4.57 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-28
Maturity Price : 21.25
Evaluated at bid price : 21.52
Bid-YTW : 5.57 %
BAM.PF.G FixedReset Disc -3.83 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-28
Maturity Price : 14.81
Evaluated at bid price : 14.81
Bid-YTW : 5.52 %
POW.PR.B Perpetual-Discount -3.81 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-28
Maturity Price : 24.00
Evaluated at bid price : 24.25
Bid-YTW : 5.55 %
BAM.PF.F FixedReset Disc -3.55 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-28
Maturity Price : 15.75
Evaluated at bid price : 15.75
Bid-YTW : 5.50 %
BAM.PF.C Perpetual-Discount -3.51 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-28
Maturity Price : 21.62
Evaluated at bid price : 22.00
Bid-YTW : 5.56 %
SLF.PR.G FixedReset Ins Non -3.49 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-28
Maturity Price : 10.50
Evaluated at bid price : 10.50
Bid-YTW : 4.32 %
BAM.PR.Z FixedReset Disc -2.79 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-28
Maturity Price : 16.35
Evaluated at bid price : 16.35
Bid-YTW : 5.47 %
TD.PF.D FixedReset Disc -2.76 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-28
Maturity Price : 19.01
Evaluated at bid price : 19.01
Bid-YTW : 4.20 %
BIP.PR.A FixedReset Disc -2.31 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-28
Maturity Price : 16.90
Evaluated at bid price : 16.90
Bid-YTW : 5.92 %
NA.PR.S FixedReset Disc -2.26 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-28
Maturity Price : 17.30
Evaluated at bid price : 17.30
Bid-YTW : 4.36 %
TRP.PR.E FixedReset Disc -2.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-28
Maturity Price : 12.92
Evaluated at bid price : 12.92
Bid-YTW : 5.80 %
MFC.PR.Q FixedReset Ins Non -2.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-28
Maturity Price : 18.94
Evaluated at bid price : 18.94
Bid-YTW : 4.25 %
NA.PR.W FixedReset Disc -2.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-28
Maturity Price : 16.21
Evaluated at bid price : 16.21
Bid-YTW : 4.49 %
BAM.PR.T FixedReset Disc -2.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-28
Maturity Price : 13.01
Evaluated at bid price : 13.01
Bid-YTW : 5.38 %
GWO.PR.R Deemed-Retractible -2.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-28
Maturity Price : 23.90
Evaluated at bid price : 24.16
Bid-YTW : 5.01 %
SLF.PR.B Deemed-Retractible -1.98 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-28
Maturity Price : 24.01
Evaluated at bid price : 24.26
Bid-YTW : 4.99 %
BAM.PF.A FixedReset Disc -1.98 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-28
Maturity Price : 16.86
Evaluated at bid price : 16.86
Bid-YTW : 5.38 %
TRP.PR.C FixedReset Disc -1.91 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-28
Maturity Price : 8.75
Evaluated at bid price : 8.75
Bid-YTW : 5.52 %
SLF.PR.D Deemed-Retractible -1.89 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-28
Maturity Price : 22.55
Evaluated at bid price : 22.81
Bid-YTW : 4.91 %
BIP.PR.C FixedReset Disc -1.88 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-28
Maturity Price : 22.97
Evaluated at bid price : 23.55
Bid-YTW : 5.72 %
CM.PR.O FixedReset Disc -1.67 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-28
Maturity Price : 17.07
Evaluated at bid price : 17.07
Bid-YTW : 4.29 %
BIP.PR.B FixedReset Disc -1.64 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-28
Maturity Price : 22.77
Evaluated at bid price : 24.00
Bid-YTW : 5.73 %
MFC.PR.M FixedReset Ins Non -1.62 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-28
Maturity Price : 17.60
Evaluated at bid price : 17.60
Bid-YTW : 4.27 %
TRP.PR.F FloatingReset -1.60 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-28
Maturity Price : 9.86
Evaluated at bid price : 9.86
Bid-YTW : 5.15 %
TRP.PR.D FixedReset Disc -1.59 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-28
Maturity Price : 13.01
Evaluated at bid price : 13.01
Bid-YTW : 5.80 %
SLF.PR.A Deemed-Retractible -1.53 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-28
Maturity Price : 23.61
Evaluated at bid price : 23.88
Bid-YTW : 5.01 %
BAM.PF.H FixedReset Disc -1.39 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-28
Maturity Price : 23.86
Evaluated at bid price : 24.80
Bid-YTW : 5.04 %
BAM.PR.N Perpetual-Discount -1.38 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-28
Maturity Price : 21.85
Evaluated at bid price : 22.09
Bid-YTW : 5.43 %
CU.PR.C FixedReset Disc -1.37 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-28
Maturity Price : 16.52
Evaluated at bid price : 16.52
Bid-YTW : 4.35 %
TD.PF.C FixedReset Disc -1.36 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-28
Maturity Price : 18.10
Evaluated at bid price : 18.10
Bid-YTW : 4.02 %
CM.PR.T FixedReset Disc -1.35 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-28
Maturity Price : 22.95
Evaluated at bid price : 24.10
Bid-YTW : 4.07 %
NA.PR.E FixedReset Disc -1.34 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-28
Maturity Price : 18.40
Evaluated at bid price : 18.40
Bid-YTW : 4.32 %
BAM.PR.K Floater -1.33 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-28
Maturity Price : 8.13
Evaluated at bid price : 8.13
Bid-YTW : 5.33 %
BAM.PR.C Floater -1.33 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-28
Maturity Price : 8.14
Evaluated at bid price : 8.14
Bid-YTW : 5.32 %
MFC.PR.C Deemed-Retractible -1.33 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-28
Maturity Price : 22.70
Evaluated at bid price : 22.94
Bid-YTW : 4.95 %
BAM.PF.B FixedReset Disc -1.33 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-28
Maturity Price : 15.60
Evaluated at bid price : 15.60
Bid-YTW : 5.38 %
BMO.PR.W FixedReset Disc -1.33 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-28
Maturity Price : 17.85
Evaluated at bid price : 17.85
Bid-YTW : 4.08 %
SLF.PR.H FixedReset Ins Non -1.25 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-28
Maturity Price : 14.97
Evaluated at bid price : 14.97
Bid-YTW : 4.32 %
BAM.PF.E FixedReset Disc -1.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-28
Maturity Price : 14.40
Evaluated at bid price : 14.40
Bid-YTW : 5.45 %
BAM.PR.B Floater -1.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-28
Maturity Price : 8.11
Evaluated at bid price : 8.11
Bid-YTW : 5.34 %
MFC.PR.B Deemed-Retractible -1.21 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-28
Maturity Price : 23.34
Evaluated at bid price : 23.63
Bid-YTW : 4.97 %
TD.PF.M FixedReset Disc -1.19 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-28
Maturity Price : 23.22
Evaluated at bid price : 24.85
Bid-YTW : 4.09 %
IFC.PR.C FixedReset Ins Non -1.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-28
Maturity Price : 17.00
Evaluated at bid price : 17.00
Bid-YTW : 4.54 %
IAF.PR.I FixedReset Ins Non -1.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-28
Maturity Price : 19.76
Evaluated at bid price : 19.76
Bid-YTW : 4.30 %
BAM.PR.R FixedReset Disc -1.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-28
Maturity Price : 13.10
Evaluated at bid price : 13.10
Bid-YTW : 5.20 %
MFC.PR.N FixedReset Ins Non -1.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-28
Maturity Price : 17.50
Evaluated at bid price : 17.50
Bid-YTW : 4.20 %
CM.PR.P FixedReset Disc -1.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-28
Maturity Price : 17.80
Evaluated at bid price : 17.80
Bid-YTW : 4.12 %
PWF.PR.S Perpetual-Discount -1.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-28
Maturity Price : 23.08
Evaluated at bid price : 23.54
Bid-YTW : 5.10 %
BIP.PR.D FixedReset Disc -1.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-28
Maturity Price : 21.61
Evaluated at bid price : 22.01
Bid-YTW : 5.73 %
MFC.PR.H FixedReset Ins Non -1.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-28
Maturity Price : 21.27
Evaluated at bid price : 21.27
Bid-YTW : 4.24 %
CM.PR.S FixedReset Disc -1.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-28
Maturity Price : 18.50
Evaluated at bid price : 18.50
Bid-YTW : 4.14 %
BMO.PR.S FixedReset Disc -1.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-28
Maturity Price : 17.86
Evaluated at bid price : 17.86
Bid-YTW : 4.16 %
CM.PR.Y FixedReset Disc -1.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-28
Maturity Price : 23.28
Evaluated at bid price : 25.00
Bid-YTW : 4.14 %
MFC.PR.I FixedReset Ins Non -1.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-28
Maturity Price : 20.25
Evaluated at bid price : 20.25
Bid-YTW : 4.18 %
BAM.PR.X FixedReset Disc -1.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-28
Maturity Price : 10.75
Evaluated at bid price : 10.75
Bid-YTW : 5.25 %
TD.PF.L FixedReset Disc -1.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-28
Maturity Price : 23.12
Evaluated at bid price : 24.50
Bid-YTW : 3.92 %
TRP.PR.G FixedReset Disc -1.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-28
Maturity Price : 14.80
Evaluated at bid price : 14.80
Bid-YTW : 5.75 %
Volume Highlights
Issue Index Shares
Traded		 Notes
CM.PR.Y FixedReset Disc 73,750 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-28
Maturity Price : 23.28
Evaluated at bid price : 25.00
Bid-YTW : 4.14 %
BAM.PR.R FixedReset Disc 52,624 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-28
Maturity Price : 13.10
Evaluated at bid price : 13.10
Bid-YTW : 5.20 %
TD.PF.M FixedReset Disc 46,225 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-28
Maturity Price : 23.22
Evaluated at bid price : 24.85
Bid-YTW : 4.09 %
RY.PR.O Perpetual-Premium 41,922 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2020-12-24
Maturity Price : 26.00
Evaluated at bid price : 26.15
Bid-YTW : -1.21 %
MFC.PR.I FixedReset Ins Non 33,800 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-28
Maturity Price : 20.25
Evaluated at bid price : 20.25
Bid-YTW : 4.18 %
CM.PR.R FixedReset Disc 33,500 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-28
Maturity Price : 22.82
Evaluated at bid price : 23.20
Bid-YTW : 4.12 %
There were 40 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
TD.PF.D FixedReset Disc Quote: 19.01 – 20.80
Spot Rate : 1.7900
Average : 1.0365

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-28
Maturity Price : 19.01
Evaluated at bid price : 19.01
Bid-YTW : 4.20 %
POW.PR.B Perpetual-Discount Quote: 24.25 – 25.35
Spot Rate : 1.1000
Average : 0.5969

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-28
Maturity Price : 24.00
Evaluated at bid price : 24.25
Bid-YTW : 5.55 %
BAM.PF.F FixedReset Disc Quote: 15.75 – 16.99
Spot Rate : 1.2400
Average : 0.7383

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-28
Maturity Price : 15.75
Evaluated at bid price : 15.75
Bid-YTW : 5.50 %
CU.PR.C FixedReset Disc Quote: 16.52 – 17.48
Spot Rate : 0.9600
Average : 0.6123

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-28
Maturity Price : 16.52
Evaluated at bid price : 16.52
Bid-YTW : 4.35 %
TD.PF.E FixedReset Disc Quote: 20.20 – 21.00
Spot Rate : 0.8000
Average : 0.4748

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-28
Maturity Price : 20.20
Evaluated at bid price : 20.20
Bid-YTW : 4.04 %
BAM.PF.C Perpetual-Discount Quote: 22.00 – 22.75
Spot Rate : 0.7500
Average : 0.4649

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-28
Maturity Price : 21.62
Evaluated at bid price : 22.00
Bid-YTW : 5.56 %
Market Action

October 27, 2020

HIMIPref™ Preferred Indices
These values reflect the December 2008 revision of the HIMIPref™ Indices
Values are provisional and are finalized monthly
Index Mean
Current
Yield
(at bid)		 Median
YTW		 Median
Average
Trading
Value		 Median
Mod Dur
(YTW)		 Issues Day’s Perf. Index Value
Ratchet 0.00 % 0.00 % 0 0.00 0 0.0000 % 1,634.0
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.0000 % 2,998.3
Floater 5.21 % 5.26 % 38,717 15.05 3 0.0000 % 1,727.9
OpRet 0.00 % 0.00 % 0 0.00 0 -0.0347 % 3,531.4
SplitShare 4.80 % 4.77 % 50,876 3.54 8 -0.0347 % 4,217.3
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.0347 % 3,290.5
Perpetual-Premium 5.31 % 0.98 % 89,287 0.09 17 -0.0207 % 3,191.3
Perpetual-Discount 5.12 % 5.08 % 80,366 15.29 17 -0.0660 % 3,591.1
FixedReset Disc 5.45 % 4.15 % 135,063 16.52 65 0.5772 % 2,121.3
Deemed-Retractible 5.10 % 4.91 % 117,591 15.21 22 0.2942 % 3,481.5
FloatingReset 1.97 % 2.27 % 47,299 1.25 3 0.2526 % 1,798.8
FixedReset Prem 5.20 % 3.16 % 266,003 0.78 14 0.1155 % 2,653.1
FixedReset Bank Non 1.94 % 2.09 % 145,425 1.24 2 0.0402 % 2,861.2
FixedReset Ins Non 5.45 % 4.21 % 78,816 16.48 22 0.1734 % 2,216.9
Performance Highlights
Issue Index Change Notes
BAM.PF.E FixedReset Disc -2.80 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-27
Maturity Price : 14.58
Evaluated at bid price : 14.58
Bid-YTW : 5.38 %
BAM.PR.X FixedReset Disc -1.90 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-27
Maturity Price : 10.86
Evaluated at bid price : 10.86
Bid-YTW : 5.20 %
MFC.PR.M FixedReset Ins Non -1.70 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-27
Maturity Price : 17.89
Evaluated at bid price : 17.89
Bid-YTW : 4.20 %
IAF.PR.G FixedReset Ins Non -1.32 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-27
Maturity Price : 18.75
Evaluated at bid price : 18.75
Bid-YTW : 4.41 %
BAM.PF.B FixedReset Disc -1.19 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-27
Maturity Price : 15.81
Evaluated at bid price : 15.81
Bid-YTW : 5.30 %
IAF.PR.B Deemed-Retractible -1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-27
Maturity Price : 23.58
Evaluated at bid price : 23.85
Bid-YTW : 4.86 %
TD.PF.I FixedReset Disc -1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-27
Maturity Price : 22.13
Evaluated at bid price : 22.37
Bid-YTW : 3.91 %
MFC.PR.N FixedReset Ins Non 1.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-27
Maturity Price : 17.70
Evaluated at bid price : 17.70
Bid-YTW : 4.15 %
SLF.PR.D Deemed-Retractible 1.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-27
Maturity Price : 22.98
Evaluated at bid price : 23.25
Bid-YTW : 4.82 %
NA.PR.S FixedReset Disc 1.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-27
Maturity Price : 17.70
Evaluated at bid price : 17.70
Bid-YTW : 4.26 %
BIP.PR.B FixedReset Disc 1.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-27
Maturity Price : 23.34
Evaluated at bid price : 24.40
Bid-YTW : 5.65 %
TD.PF.E FixedReset Disc 1.30 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-27
Maturity Price : 20.31
Evaluated at bid price : 20.31
Bid-YTW : 4.02 %
CM.PR.Q FixedReset Disc 2.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-27
Maturity Price : 19.15
Evaluated at bid price : 19.15
Bid-YTW : 4.15 %
SLF.PR.B Deemed-Retractible 4.21 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-27
Maturity Price : 24.50
Evaluated at bid price : 24.75
Bid-YTW : 4.89 %
MFC.PR.F FixedReset Ins Non 5.24 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-27
Maturity Price : 10.84
Evaluated at bid price : 10.84
Bid-YTW : 4.20 %
RY.PR.M FixedReset Disc 55.26 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-27
Maturity Price : 18.60
Evaluated at bid price : 18.60
Bid-YTW : 4.04 %
Volume Highlights
Issue Index Shares
Traded		 Notes
TD.PF.H FixedReset Prem 68,900 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-10-31
Maturity Price : 25.00
Evaluated at bid price : 25.30
Bid-YTW : 3.60 %
TD.PF.M FixedReset Disc 60,102 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-27
Maturity Price : 23.33
Evaluated at bid price : 25.15
Bid-YTW : 4.03 %
BMO.PR.S FixedReset Disc 52,999 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-27
Maturity Price : 18.05
Evaluated at bid price : 18.05
Bid-YTW : 4.12 %
RY.PR.M FixedReset Disc 50,100 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-27
Maturity Price : 18.60
Evaluated at bid price : 18.60
Bid-YTW : 4.04 %
IFC.PR.G FixedReset Ins Non 36,740 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-27
Maturity Price : 18.20
Evaluated at bid price : 18.20
Bid-YTW : 4.46 %
TD.PF.E FixedReset Disc 33,266 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-27
Maturity Price : 20.31
Evaluated at bid price : 20.31
Bid-YTW : 4.02 %
There were 17 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: 18.75 – 25.00
Spot Rate : 6.2500
Average : 3.6684

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-27
Maturity Price : 18.75
Evaluated at bid price : 18.75
Bid-YTW : 4.41 %
MFC.PR.G FixedReset Ins Non Quote: 19.85 – 20.49
Spot Rate : 0.6400
Average : 0.4654

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-27
Maturity Price : 19.85
Evaluated at bid price : 19.85
Bid-YTW : 4.22 %
BAM.PF.D Perpetual-Discount Quote: 23.25 – 23.63
Spot Rate : 0.3800
Average : 0.2205

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-27
Maturity Price : 22.97
Evaluated at bid price : 23.25
Bid-YTW : 5.31 %
MFC.PR.K FixedReset Ins Non Quote: 17.42 – 17.90
Spot Rate : 0.4800
Average : 0.3330

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-27
Maturity Price : 17.42
Evaluated at bid price : 17.42
Bid-YTW : 4.18 %
MFC.PR.M FixedReset Ins Non Quote: 17.89 – 18.29
Spot Rate : 0.4000
Average : 0.2562

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-27
Maturity Price : 17.89
Evaluated at bid price : 17.89
Bid-YTW : 4.20 %
SLF.PR.A Deemed-Retractible Quote: 24.25 – 24.75
Spot Rate : 0.5000
Average : 0.3723

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-27
Maturity Price : 24.00
Evaluated at bid price : 24.25
Bid-YTW : 4.93 %
Market Action

October 26, 2020

explosion_201026
Click for Big

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

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

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

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

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

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

The S&P 500 fell 1.9 percent in Wall Street’s worst day in over a month.
…
Shares in Europe also ended lower as more limits were introduced to try to combat a second wave of the coronavirus pandemic. In Spain, the government declared a state of emergency and imposed a nighttime curfew. In Italy, cinemas and gyms are closing and indoor dining ending at 6 p.m. In France, a six-week curfew for most of the country began on Friday.

HIMIPref™ Preferred Indices
These values reflect the December 2008 revision of the HIMIPref™ Indices
Values are provisional and are finalized monthly
Index Mean
Current
Yield
(at bid)		 Median
YTW		 Median
Average
Trading
Value		 Median
Mod Dur
(YTW)		 Issues Day’s Perf. Index Value
Ratchet 0.00 % 0.00 % 0 0.00 0 -0.3630 % 1,634.0
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.3630 % 2,998.3
Floater 5.21 % 5.26 % 39,338 15.05 3 -0.3630 % 1,727.9
OpRet 0.00 % 0.00 % 0 0.00 0 0.0744 % 3,532.7
SplitShare 4.80 % 4.72 % 52,871 3.54 8 0.0744 % 4,218.8
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0744 % 3,291.6
Perpetual-Premium 5.31 % 0.73 % 90,021 0.09 17 -0.2685 % 3,192.0
Perpetual-Discount 5.12 % 5.10 % 77,583 15.30 17 -0.5929 % 3,593.4
FixedReset Disc 5.48 % 4.18 % 124,284 16.43 65 -1.0718 % 2,109.2
Deemed-Retractible 5.11 % 4.93 % 118,245 15.23 22 -0.6623 % 3,471.3
FloatingReset 1.97 % 2.45 % 47,506 1.25 3 -0.0841 % 1,794.2
FixedReset Prem 5.21 % 3.31 % 275,636 0.81 14 -0.1041 % 2,650.1
FixedReset Bank Non 1.94 % 2.11 % 141,751 1.24 2 0.0000 % 2,860.0
FixedReset Ins Non 5.46 % 4.21 % 79,635 16.48 22 -0.4977 % 2,213.0
Performance Highlights
Issue Index Change Notes
RY.PR.M FixedReset Disc -35.42 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-26
Maturity Price : 11.98
Evaluated at bid price : 11.98
Bid-YTW : 6.27 %
MFC.PR.F FixedReset Ins Non -4.63 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-26
Maturity Price : 10.30
Evaluated at bid price : 10.30
Bid-YTW : 4.43 %
SLF.PR.B Deemed-Retractible -4.47 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-26
Maturity Price : 23.48
Evaluated at bid price : 23.75
Bid-YTW : 5.09 %
MFC.PR.N FixedReset Ins Non -3.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-26
Maturity Price : 17.52
Evaluated at bid price : 17.52
Bid-YTW : 4.20 %
CM.PR.Q FixedReset Disc -3.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-26
Maturity Price : 18.76
Evaluated at bid price : 18.76
Bid-YTW : 4.23 %
BAM.PF.J FixedReset Disc -2.44 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-26
Maturity Price : 23.12
Evaluated at bid price : 24.00
Bid-YTW : 4.95 %
BAM.PR.Z FixedReset Disc -2.27 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-26
Maturity Price : 16.76
Evaluated at bid price : 16.76
Bid-YTW : 5.33 %
BAM.PF.F FixedReset Disc -2.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-26
Maturity Price : 16.30
Evaluated at bid price : 16.30
Bid-YTW : 5.30 %
BAM.PF.G FixedReset Disc -2.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-26
Maturity Price : 15.50
Evaluated at bid price : 15.50
Bid-YTW : 5.27 %
NA.PR.W FixedReset Disc -2.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-26
Maturity Price : 16.54
Evaluated at bid price : 16.54
Bid-YTW : 4.39 %
PWF.PR.S Perpetual-Discount -1.98 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-26
Maturity Price : 23.49
Evaluated at bid price : 23.77
Bid-YTW : 5.06 %
NA.PR.S FixedReset Disc -1.74 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-26
Maturity Price : 17.50
Evaluated at bid price : 17.50
Bid-YTW : 4.31 %
TRP.PR.D FixedReset Disc -1.71 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-26
Maturity Price : 13.19
Evaluated at bid price : 13.19
Bid-YTW : 5.72 %
SLF.PR.H FixedReset Ins Non -1.63 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-26
Maturity Price : 15.05
Evaluated at bid price : 15.05
Bid-YTW : 4.30 %
SLF.PR.A Deemed-Retractible -1.51 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-26
Maturity Price : 23.89
Evaluated at bid price : 24.14
Bid-YTW : 4.96 %
PWF.PR.L Perpetual-Discount -1.40 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-26
Maturity Price : 24.46
Evaluated at bid price : 24.70
Bid-YTW : 5.18 %
BIP.PR.B FixedReset Disc -1.31 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-26
Maturity Price : 23.05
Evaluated at bid price : 24.11
Bid-YTW : 5.72 %
BIP.PR.F FixedReset Disc -1.28 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-26
Maturity Price : 21.96
Evaluated at bid price : 22.31
Bid-YTW : 5.76 %
MFC.PR.K FixedReset Ins Non -1.25 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-26
Maturity Price : 17.42
Evaluated at bid price : 17.42
Bid-YTW : 4.17 %
SLF.PR.E Deemed-Retractible -1.24 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-26
Maturity Price : 22.88
Evaluated at bid price : 23.15
Bid-YTW : 4.89 %
BNS.PR.I FixedReset Disc -1.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-26
Maturity Price : 20.01
Evaluated at bid price : 20.01
Bid-YTW : 3.95 %
SLF.PR.D Deemed-Retractible -1.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-26
Maturity Price : 22.71
Evaluated at bid price : 23.00
Bid-YTW : 4.87 %
BAM.PR.M Perpetual-Discount -1.19 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-26
Maturity Price : 22.22
Evaluated at bid price : 22.50
Bid-YTW : 5.32 %
TRP.PR.B FixedReset Disc -1.18 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-26
Maturity Price : 8.35
Evaluated at bid price : 8.35
Bid-YTW : 5.05 %
BAM.PF.A FixedReset Disc -1.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-26
Maturity Price : 17.35
Evaluated at bid price : 17.35
Bid-YTW : 5.22 %
CU.PR.D Perpetual-Discount -1.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-26
Maturity Price : 24.41
Evaluated at bid price : 24.67
Bid-YTW : 5.03 %
MFC.PR.C Deemed-Retractible -1.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-26
Maturity Price : 22.89
Evaluated at bid price : 23.16
Bid-YTW : 4.90 %
PWF.PR.F Perpetual-Premium -1.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-26
Maturity Price : 24.53
Evaluated at bid price : 24.78
Bid-YTW : 5.31 %
BAM.PR.T FixedReset Disc -1.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-26
Maturity Price : 13.41
Evaluated at bid price : 13.41
Bid-YTW : 5.21 %
GWO.PR.H Deemed-Retractible -1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-26
Maturity Price : 23.91
Evaluated at bid price : 24.15
Bid-YTW : 5.06 %
BAM.PF.B FixedReset Disc 2.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-26
Maturity Price : 16.00
Evaluated at bid price : 16.00
Bid-YTW : 5.23 %
Volume Highlights
Issue Index Shares
Traded		 Notes
TD.PF.I FixedReset Disc 113,425 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-26
Maturity Price : 22.30
Evaluated at bid price : 22.60
Bid-YTW : 3.86 %
RY.PR.M FixedReset Disc 45,059 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-26
Maturity Price : 11.98
Evaluated at bid price : 11.98
Bid-YTW : 6.27 %
NA.PR.W FixedReset Disc 39,694 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-26
Maturity Price : 16.54
Evaluated at bid price : 16.54
Bid-YTW : 4.39 %
BNS.PR.H FixedReset Prem 32,660 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-01-26
Maturity Price : 25.00
Evaluated at bid price : 25.35
Bid-YTW : 3.71 %
W.PR.K FixedReset Disc 30,100 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-26
Maturity Price : 23.87
Evaluated at bid price : 24.75
Bid-YTW : 5.30 %
TD.PF.A FixedReset Disc 28,208 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-26
Maturity Price : 17.85
Evaluated at bid price : 17.85
Bid-YTW : 3.98 %
There were 17 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
RY.PR.M FixedReset Disc Quote: 11.98 – 18.65
Spot Rate : 6.6700
Average : 4.7047

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-26
Maturity Price : 11.98
Evaluated at bid price : 11.98
Bid-YTW : 6.27 %
IFC.PR.C FixedReset Ins Non Quote: 17.20 – 18.88
Spot Rate : 1.6800
Average : 1.0566

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-26
Maturity Price : 17.20
Evaluated at bid price : 17.20
Bid-YTW : 4.48 %
MFC.PR.F FixedReset Ins Non Quote: 10.30 – 11.30
Spot Rate : 1.0000
Average : 0.6413

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-26
Maturity Price : 10.30
Evaluated at bid price : 10.30
Bid-YTW : 4.43 %
SLF.PR.B Deemed-Retractible Quote: 23.75 – 24.53
Spot Rate : 0.7800
Average : 0.4586

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-26
Maturity Price : 23.48
Evaluated at bid price : 23.75
Bid-YTW : 5.09 %
BAM.PF.J FixedReset Disc Quote: 24.00 – 24.70
Spot Rate : 0.7000
Average : 0.4338

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-26
Maturity Price : 23.12
Evaluated at bid price : 24.00
Bid-YTW : 4.95 %
BIP.PR.B FixedReset Disc Quote: 24.11 – 24.75
Spot Rate : 0.6400
Average : 0.4332

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

October 23, 2020

HIMIPref™ Preferred Indices
These values reflect the December 2008 revision of the HIMIPref™ Indices
Values are provisional and are finalized monthly
Index Mean
Current
Yield
(at bid)		 Median
YTW		 Median
Average
Trading
Value		 Median
Mod Dur
(YTW)		 Issues Day’s Perf. Index Value
Ratchet 0.00 % 0.00 % 0 0.00 0 0.4050 % 1,639.9
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.4050 % 3,009.2
Floater 5.19 % 5.24 % 39,035 15.09 3 0.4050 % 1,734.2
OpRet 0.00 % 0.00 % 0 0.00 0 -0.1387 % 3,530.0
SplitShare 4.80 % 4.72 % 51,523 3.55 8 -0.1387 % 4,215.6
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.1387 % 3,289.2
Perpetual-Premium 5.30 % -2.25 % 90,081 0.09 17 0.0643 % 3,200.6
Perpetual-Discount 5.09 % 5.03 % 78,247 15.03 17 0.2216 % 3,614.9
FixedReset Disc 5.43 % 4.10 % 132,817 16.59 65 0.3277 % 2,132.0
Deemed-Retractible 5.08 % 4.86 % 118,606 15.24 22 -0.2104 % 3,494.4
FloatingReset 1.97 % 2.44 % 44,235 1.26 3 -0.0673 % 1,795.7
FixedReset Prem 5.21 % 3.16 % 277,658 0.79 14 0.0302 % 2,652.8
FixedReset Bank Non 1.94 % 2.08 % 140,781 1.25 2 0.0201 % 2,860.0
FixedReset Ins Non 5.43 % 4.17 % 80,352 16.69 22 0.1729 % 2,224.1
Performance Highlights
Issue Index Change Notes
BAM.PF.B FixedReset Disc -4.97 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-23
Maturity Price : 15.68
Evaluated at bid price : 15.68
Bid-YTW : 5.30 %
TRP.PR.D FixedReset Disc -2.54 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-23
Maturity Price : 13.42
Evaluated at bid price : 13.42
Bid-YTW : 5.56 %
BAM.PR.Z FixedReset Disc -2.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-23
Maturity Price : 17.15
Evaluated at bid price : 17.15
Bid-YTW : 5.16 %
CU.PR.C FixedReset Disc -1.42 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-23
Maturity Price : 16.66
Evaluated at bid price : 16.66
Bid-YTW : 4.27 %
CM.PR.P FixedReset Disc -1.37 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-23
Maturity Price : 18.05
Evaluated at bid price : 18.05
Bid-YTW : 4.02 %
MFC.PR.J FixedReset Ins Non -1.29 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-23
Maturity Price : 19.10
Evaluated at bid price : 19.10
Bid-YTW : 4.21 %
IFC.PR.C FixedReset Ins Non -1.27 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-23
Maturity Price : 17.10
Evaluated at bid price : 17.10
Bid-YTW : 4.46 %
TD.PF.L FixedReset Disc -1.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-23
Maturity Price : 23.12
Evaluated at bid price : 24.50
Bid-YTW : 3.89 %
BAM.PF.G FixedReset Disc -1.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-23
Maturity Price : 15.82
Evaluated at bid price : 15.82
Bid-YTW : 5.12 %
PVS.PR.F SplitShare -1.10 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2024-09-30
Maturity Price : 25.00
Evaluated at bid price : 25.12
Bid-YTW : 4.86 %
TRP.PR.A FixedReset Disc -1.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-23
Maturity Price : 11.75
Evaluated at bid price : 11.75
Bid-YTW : 5.56 %
BAM.PF.F FixedReset Disc -1.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-23
Maturity Price : 16.67
Evaluated at bid price : 16.67
Bid-YTW : 5.14 %
TD.PF.J FixedReset Disc 1.24 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-23
Maturity Price : 20.35
Evaluated at bid price : 20.35
Bid-YTW : 4.02 %
BMO.PR.Y FixedReset Disc 1.58 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-23
Maturity Price : 19.30
Evaluated at bid price : 19.30
Bid-YTW : 4.02 %
CU.PR.F Perpetual-Discount 1.62 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-23
Maturity Price : 23.38
Evaluated at bid price : 23.88
Bid-YTW : 4.75 %
PWF.PR.P FixedReset Disc 1.97 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-23
Maturity Price : 10.35
Evaluated at bid price : 10.35
Bid-YTW : 4.73 %
IAF.PR.G FixedReset Ins Non 4.38 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-23
Maturity Price : 19.05
Evaluated at bid price : 19.05
Bid-YTW : 4.30 %
RY.PR.M FixedReset Disc 56.72 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-23
Maturity Price : 18.55
Evaluated at bid price : 18.55
Bid-YTW : 4.00 %
Volume Highlights
Issue Index Shares
Traded		 Notes
GWO.PR.N FixedReset Ins Non 305,550 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-23
Maturity Price : 10.02
Evaluated at bid price : 10.02
Bid-YTW : 4.17 %
TD.PF.A FixedReset Disc 180,550 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-23
Maturity Price : 17.85
Evaluated at bid price : 17.85
Bid-YTW : 3.94 %
TD.PF.F Perpetual-Premium 113,700 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-10-31
Maturity Price : 25.75
Evaluated at bid price : 25.97
Bid-YTW : 3.81 %
TD.PF.H FixedReset Prem 74,580 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-10-31
Maturity Price : 25.00
Evaluated at bid price : 25.33
Bid-YTW : 3.44 %
BNS.PR.H FixedReset Prem 61,710 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-01-26
Maturity Price : 25.00
Evaluated at bid price : 25.45
Bid-YTW : 3.36 %
CM.PR.Q FixedReset Disc 59,400 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-23
Maturity Price : 19.35
Evaluated at bid price : 19.35
Bid-YTW : 4.07 %
There were 40 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
BAM.PF.B FixedReset Disc Quote: 15.68 – 16.36
Spot Rate : 0.6800
Average : 0.4015

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-23
Maturity Price : 15.68
Evaluated at bid price : 15.68
Bid-YTW : 5.30 %
IFC.PR.C FixedReset Ins Non Quote: 17.10 – 17.70
Spot Rate : 0.6000
Average : 0.3730

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-23
Maturity Price : 17.10
Evaluated at bid price : 17.10
Bid-YTW : 4.46 %
CM.PR.P FixedReset Disc Quote: 18.05 – 18.68
Spot Rate : 0.6300
Average : 0.4331

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-23
Maturity Price : 18.05
Evaluated at bid price : 18.05
Bid-YTW : 4.02 %
BIK.PR.A FixedReset Prem Quote: 25.05 – 25.60
Spot Rate : 0.5500
Average : 0.3579

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-23
Maturity Price : 23.33
Evaluated at bid price : 25.05
Bid-YTW : 5.82 %
IFC.PR.E Deemed-Retractible Quote: 25.15 – 25.95
Spot Rate : 0.8000
Average : 0.6446

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-23
Maturity Price : 24.66
Evaluated at bid price : 25.15
Bid-YTW : 5.20 %
PVS.PR.G SplitShare Quote: 25.15 – 25.50
Spot Rate : 0.3500
Average : 0.2416

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

October 22, 2020

HIMIPref™ Preferred Indices
These values reflect the December 2008 revision of the HIMIPref™ Indices
Values are provisional and are finalized monthly
Index Mean
Current
Yield
(at bid)		 Median
YTW		 Median
Average
Trading
Value		 Median
Mod Dur
(YTW)		 Issues Day’s Perf. Index Value
Ratchet 0.00 % 0.00 % 0 0.00 0 -0.1214 % 1,633.3
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.1214 % 2,997.1
Floater 5.21 % 5.27 % 39,645 15.04 3 -0.1214 % 1,727.2
OpRet 0.00 % 0.00 % 0 0.00 0 -0.0050 % 3,534.9
SplitShare 4.80 % 4.68 % 51,812 3.55 8 -0.0050 % 4,221.5
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.0050 % 3,293.8
Perpetual-Premium 5.29 % -1.74 % 88,220 0.09 17 0.0138 % 3,198.5
Perpetual-Discount 5.10 % 5.00 % 79,260 15.02 17 0.4329 % 3,606.9
FixedReset Disc 5.44 % 4.12 % 130,598 16.59 65 -0.3319 % 2,125.0
Deemed-Retractible 5.07 % 4.83 % 120,314 15.24 22 0.0074 % 3,501.8
FloatingReset 1.97 % 2.43 % 42,664 1.26 3 -0.0168 % 1,796.9
FixedReset Prem 5.20 % 3.27 % 266,226 0.81 14 0.1491 % 2,652.0
FixedReset Bank Non 1.94 % 2.24 % 130,322 1.25 2 0.0000 % 2,859.4
FixedReset Ins Non 5.44 % 4.15 % 80,655 16.62 22 -0.0275 % 2,220.3
Performance Highlights
Issue Index Change Notes
RY.PR.M FixedReset Disc -36.55 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-22
Maturity Price : 11.98
Evaluated at bid price : 11.98
Bid-YTW : 6.32 %
IAF.PR.G FixedReset Ins Non -4.70 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-22
Maturity Price : 18.25
Evaluated at bid price : 18.25
Bid-YTW : 4.49 %
PWF.PR.P FixedReset Disc -2.50 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-22
Maturity Price : 10.15
Evaluated at bid price : 10.15
Bid-YTW : 4.83 %
NA.PR.W FixedReset Disc -1.81 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-22
Maturity Price : 16.86
Evaluated at bid price : 16.86
Bid-YTW : 4.26 %
BMO.PR.D FixedReset Disc 1.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-22
Maturity Price : 22.74
Evaluated at bid price : 23.10
Bid-YTW : 3.93 %
MFC.PR.F FixedReset Ins Non 1.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-22
Maturity Price : 10.83
Evaluated at bid price : 10.83
Bid-YTW : 4.13 %
BAM.PR.R FixedReset Disc 1.36 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-22
Maturity Price : 13.38
Evaluated at bid price : 13.38
Bid-YTW : 5.02 %
CU.PR.D Perpetual-Discount 1.43 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-22
Maturity Price : 24.54
Evaluated at bid price : 24.80
Bid-YTW : 5.00 %
CU.PR.C FixedReset Disc 1.50 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-22
Maturity Price : 16.90
Evaluated at bid price : 16.90
Bid-YTW : 4.21 %
CM.PR.Q FixedReset Disc 1.53 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-22
Maturity Price : 19.30
Evaluated at bid price : 19.30
Bid-YTW : 4.08 %
TD.PF.I FixedReset Disc 1.57 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-22
Maturity Price : 22.35
Evaluated at bid price : 22.65
Bid-YTW : 3.82 %
TD.PF.D FixedReset Disc 1.65 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-22
Maturity Price : 19.73
Evaluated at bid price : 19.73
Bid-YTW : 4.01 %
CU.PR.F Perpetual-Discount 6.53 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-22
Maturity Price : 23.06
Evaluated at bid price : 23.50
Bid-YTW : 4.83 %
Volume Highlights
Issue Index Shares
Traded		 Notes
BNS.PR.G FixedReset Prem 511,872 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-07-25
Maturity Price : 25.00
Evaluated at bid price : 25.40
Bid-YTW : 3.27 %
CM.PR.R FixedReset Disc 197,320 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-22
Maturity Price : 22.94
Evaluated at bid price : 23.32
Bid-YTW : 4.06 %
BMO.PR.C FixedReset Disc 99,249 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-22
Maturity Price : 23.61
Evaluated at bid price : 24.00
Bid-YTW : 3.93 %
MFC.PR.M FixedReset Ins Non 66,175 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-22
Maturity Price : 18.20
Evaluated at bid price : 18.20
Bid-YTW : 4.08 %
TD.PF.J FixedReset Disc 42,395 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-22
Maturity Price : 20.10
Evaluated at bid price : 20.10
Bid-YTW : 4.07 %
TRP.PR.K FixedReset Disc 29,461 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-22
Maturity Price : 23.66
Evaluated at bid price : 24.90
Bid-YTW : 4.92 %
There were 21 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
RY.PR.M FixedReset Disc Quote: 11.98 – 18.99
Spot Rate : 7.0100
Average : 3.9201

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-22
Maturity Price : 11.98
Evaluated at bid price : 11.98
Bid-YTW : 6.32 %
IAF.PR.G FixedReset Ins Non Quote: 18.25 – 19.40
Spot Rate : 1.1500
Average : 0.7255

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-22
Maturity Price : 18.25
Evaluated at bid price : 18.25
Bid-YTW : 4.49 %
BIP.PR.B FixedReset Disc Quote: 24.43 – 24.90
Spot Rate : 0.4700
Average : 0.3124

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-22
Maturity Price : 23.40
Evaluated at bid price : 24.43
Bid-YTW : 5.64 %
ELF.PR.F Perpetual-Discount Quote: 24.75 – 25.26
Spot Rate : 0.5100
Average : 0.3669

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-22
Maturity Price : 24.50
Evaluated at bid price : 24.75
Bid-YTW : 5.38 %
MFC.PR.M FixedReset Ins Non Quote: 18.20 – 18.60
Spot Rate : 0.4000
Average : 0.2678

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-22
Maturity Price : 18.20
Evaluated at bid price : 18.20
Bid-YTW : 4.08 %
IFC.PR.E Deemed-Retractible Quote: 25.00 – 25.60
Spot Rate : 0.6000
Average : 0.4742

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

October 21, 2020

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

HIMIPref™ Preferred Indices
These values reflect the December 2008 revision of the HIMIPref™ Indices
Values are provisional and are finalized monthly
Index Mean
Current
Yield
(at bid)		 Median
YTW		 Median
Average
Trading
Value		 Median
Mod Dur
(YTW)		 Issues Day’s Perf. Index Value
Ratchet 0.00 % 0.00 % 0 0.00 0 -0.1616 % 1,635.3
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.1616 % 3,000.7
Floater 5.20 % 5.25 % 39,734 15.08 3 -0.1616 % 1,729.3
OpRet 0.00 % 0.00 % 0 0.00 0 0.2034 % 3,535.1
SplitShare 4.80 % 4.70 % 52,347 3.56 8 0.2034 % 4,221.7
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.2034 % 3,293.9
Perpetual-Premium 5.29 % -1.66 % 88,600 0.09 17 0.0367 % 3,198.1
Perpetual-Discount 5.12 % 5.07 % 80,283 15.07 17 -0.4795 % 3,591.3
FixedReset Disc 5.42 % 4.15 % 127,947 16.65 65 0.0597 % 2,132.1
Deemed-Retractible 5.07 % 4.84 % 117,387 15.19 22 0.1683 % 3,501.5
FloatingReset 1.97 % 2.79 % 42,728 1.26 3 0.1010 % 1,797.3
FixedReset Prem 5.20 % 3.33 % 276,615 0.81 14 0.1211 % 2,648.1
FixedReset Bank Non 1.94 % 2.23 % 129,032 1.26 2 0.0402 % 2,859.4
FixedReset Ins Non 5.44 % 4.16 % 80,843 16.65 22 0.3292 % 2,220.9
Performance Highlights
Issue Index Change Notes
CU.PR.F Perpetual-Discount -8.46 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-21
Maturity Price : 21.65
Evaluated at bid price : 22.06
Bid-YTW : 5.15 %
CM.PR.Q FixedReset Disc -2.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-21
Maturity Price : 19.01
Evaluated at bid price : 19.01
Bid-YTW : 4.15 %
MFC.PR.F FixedReset Ins Non -1.74 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-21
Maturity Price : 10.72
Evaluated at bid price : 10.72
Bid-YTW : 4.18 %
CU.PR.D Perpetual-Discount -1.41 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-21
Maturity Price : 24.20
Evaluated at bid price : 24.45
Bid-YTW : 5.07 %
TD.PF.E FixedReset Disc 1.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-21
Maturity Price : 20.05
Evaluated at bid price : 20.05
Bid-YTW : 4.03 %
RY.PR.H FixedReset Disc 1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-21
Maturity Price : 18.50
Evaluated at bid price : 18.50
Bid-YTW : 3.86 %
PVS.PR.F SplitShare 1.11 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2024-09-30
Maturity Price : 25.00
Evaluated at bid price : 25.40
Bid-YTW : 4.54 %
TRP.PR.C FixedReset Disc 1.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-21
Maturity Price : 9.02
Evaluated at bid price : 9.02
Bid-YTW : 5.27 %
TD.PF.I FixedReset Disc 1.32 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-21
Maturity Price : 22.08
Evaluated at bid price : 22.30
Bid-YTW : 3.89 %
TRP.PR.B FixedReset Disc 1.81 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-21
Maturity Price : 8.45
Evaluated at bid price : 8.45
Bid-YTW : 4.92 %
CU.PR.C FixedReset Disc 1.96 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-21
Maturity Price : 16.65
Evaluated at bid price : 16.65
Bid-YTW : 4.27 %
SLF.PR.G FixedReset Ins Non 2.25 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-21
Maturity Price : 10.89
Evaluated at bid price : 10.89
Bid-YTW : 4.11 %
IAF.PR.I FixedReset Ins Non 3.31 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-21
Maturity Price : 19.99
Evaluated at bid price : 19.99
Bid-YTW : 4.21 %
Volume Highlights
Issue Index Shares
Traded		 Notes
BMO.PR.Z Perpetual-Premium 35,184 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2020-11-20
Maturity Price : 26.00
Evaluated at bid price : 26.25
Bid-YTW : 2.22 %
TRP.PR.F FloatingReset 32,018 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-21
Maturity Price : 10.11
Evaluated at bid price : 10.11
Bid-YTW : 5.02 %
TD.PF.K FixedReset Disc 27,889 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-21
Maturity Price : 19.81
Evaluated at bid price : 19.81
Bid-YTW : 4.07 %
TRP.PR.B FixedReset Disc 26,600 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-21
Maturity Price : 8.45
Evaluated at bid price : 8.45
Bid-YTW : 4.92 %
TD.PF.L FixedReset Disc 23,038 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-21
Maturity Price : 23.23
Evaluated at bid price : 24.78
Bid-YTW : 3.83 %
BAM.PF.D Perpetual-Discount 22,800 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-21
Maturity Price : 23.06
Evaluated at bid price : 23.35
Bid-YTW : 5.28 %
There were 12 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
CU.PR.F Perpetual-Discount Quote: 22.06 – 24.27
Spot Rate : 2.2100
Average : 1.2245

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-21
Maturity Price : 21.65
Evaluated at bid price : 22.06
Bid-YTW : 5.15 %
CU.PR.D Perpetual-Discount Quote: 24.45 – 24.99
Spot Rate : 0.5400
Average : 0.3517

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-21
Maturity Price : 24.20
Evaluated at bid price : 24.45
Bid-YTW : 5.07 %
IFC.PR.A FixedReset Ins Non Quote: 12.65 – 13.10
Spot Rate : 0.4500
Average : 0.2960

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-21
Maturity Price : 12.65
Evaluated at bid price : 12.65
Bid-YTW : 4.47 %
TD.PF.D FixedReset Disc Quote: 19.41 – 20.00
Spot Rate : 0.5900
Average : 0.4406

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-21
Maturity Price : 19.41
Evaluated at bid price : 19.41
Bid-YTW : 4.08 %
IFC.PR.E Deemed-Retractible Quote: 25.15 – 25.60
Spot Rate : 0.4500
Average : 0.3362

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-21
Maturity Price : 24.66
Evaluated at bid price : 25.15
Bid-YTW : 5.19 %
PWF.PR.E Perpetual-Premium Quote: 25.10 – 25.43
Spot Rate : 0.3300
Average : 0.2290

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

October 20, 2020

HIMIPref™ Preferred Indices
These values reflect the December 2008 revision of the HIMIPref™ Indices
Values are provisional and are finalized monthly
Index Mean
Current
Yield
(at bid)		 Median
YTW		 Median
Average
Trading
Value		 Median
Mod Dur
(YTW)		 Issues Day’s Perf. Index Value
Ratchet 0.00 % 0.00 % 0 0.00 0 0.2835 % 1,638.0
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.2835 % 3,005.6
Floater 5.19 % 5.25 % 40,173 15.08 3 0.2835 % 1,732.1
OpRet 0.00 % 0.00 % 0 0.00 0 -0.0694 % 3,527.9
SplitShare 4.81 % 4.70 % 50,950 3.55 8 -0.0694 % 4,213.1
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.0694 % 3,287.2
Perpetual-Premium 5.29 % -1.64 % 90,469 0.09 17 0.1056 % 3,196.9
Perpetual-Discount 5.10 % 5.05 % 83,243 15.05 17 -0.0705 % 3,608.6
FixedReset Disc 5.42 % 4.10 % 127,310 16.59 65 0.0976 % 2,130.8
Deemed-Retractible 5.08 % 4.85 % 118,403 15.19 22 -0.1938 % 3,495.6
FloatingReset 1.97 % 2.79 % 40,373 1.27 3 0.1686 % 1,795.4
FixedReset Prem 5.21 % 3.31 % 280,649 0.82 14 0.0676 % 2,644.9
FixedReset Bank Non 1.94 % 2.23 % 127,365 1.26 2 0.0000 % 2,858.3
FixedReset Ins Non 5.46 % 4.17 % 83,383 16.63 22 0.3050 % 2,213.6
Performance Highlights
Issue Index Change Notes
TRP.PR.B FixedReset Disc -2.92 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-20
Maturity Price : 8.30
Evaluated at bid price : 8.30
Bid-YTW : 5.01 %
SLF.PR.C Deemed-Retractible -1.69 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-20
Maturity Price : 22.93
Evaluated at bid price : 23.20
Bid-YTW : 4.82 %
TRP.PR.C FixedReset Disc -1.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-20
Maturity Price : 8.91
Evaluated at bid price : 8.91
Bid-YTW : 5.33 %
PWF.PR.Z Perpetual-Discount 1.12 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-07-31
Maturity Price : 25.25
Evaluated at bid price : 25.30
Bid-YTW : 5.05 %
BAM.PF.B FixedReset Disc 1.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-20
Maturity Price : 16.45
Evaluated at bid price : 16.45
Bid-YTW : 5.04 %
TRP.PR.G FixedReset Disc 1.52 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-20
Maturity Price : 15.33
Evaluated at bid price : 15.33
Bid-YTW : 5.49 %
BIP.PR.A FixedReset Disc 1.61 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-20
Maturity Price : 17.07
Evaluated at bid price : 17.07
Bid-YTW : 5.82 %
RY.PR.J FixedReset Disc 2.80 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-20
Maturity Price : 19.86
Evaluated at bid price : 19.86
Bid-YTW : 3.98 %
MFC.PR.G FixedReset Ins Non 3.85 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-20
Maturity Price : 19.94
Evaluated at bid price : 19.94
Bid-YTW : 4.16 %
Volume Highlights
Issue Index Shares
Traded		 Notes
CM.PR.R FixedReset Disc 89,010 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-20
Maturity Price : 22.81
Evaluated at bid price : 23.18
Bid-YTW : 4.08 %
CM.PR.Q FixedReset Disc 63,900 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-20
Maturity Price : 19.40
Evaluated at bid price : 19.40
Bid-YTW : 4.06 %
TD.PF.G FixedReset Prem 53,878 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-04-30
Maturity Price : 25.00
Evaluated at bid price : 25.30
Bid-YTW : 2.84 %
RY.PR.M FixedReset Disc 53,315 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-20
Maturity Price : 18.95
Evaluated at bid price : 18.95
Bid-YTW : 3.97 %
NA.PR.C FixedReset Disc 53,200 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-20
Maturity Price : 23.49
Evaluated at bid price : 23.81
Bid-YTW : 4.02 %
BAM.PR.Z FixedReset Disc 52,000 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-20
Maturity Price : 17.35
Evaluated at bid price : 17.35
Bid-YTW : 5.09 %
There were 26 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
EIT.PR.B SplitShare Quote: 25.21 – 26.17
Spot Rate : 0.9600
Average : 0.5792

YTW SCENARIO
Maturity Type : Soft Maturity
Maturity Date : 2025-03-14
Maturity Price : 25.00
Evaluated at bid price : 25.21
Bid-YTW : 4.73 %
TRP.PR.C FixedReset Disc Quote: 8.91 – 9.44
Spot Rate : 0.5300
Average : 0.3483

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-20
Maturity Price : 8.91
Evaluated at bid price : 8.91
Bid-YTW : 5.33 %
TD.PF.E FixedReset Disc Quote: 19.85 – 20.25
Spot Rate : 0.4000
Average : 0.3031

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-20
Maturity Price : 19.85
Evaluated at bid price : 19.85
Bid-YTW : 4.07 %
TD.PF.K FixedReset Disc Quote: 19.86 – 20.20
Spot Rate : 0.3400
Average : 0.2487

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-20
Maturity Price : 19.86
Evaluated at bid price : 19.86
Bid-YTW : 4.06 %
TRP.PR.B FixedReset Disc Quote: 8.30 – 8.64
Spot Rate : 0.3400
Average : 0.2615

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-20
Maturity Price : 8.30
Evaluated at bid price : 8.30
Bid-YTW : 5.01 %
GWO.PR.G Deemed-Retractible Quote: 25.05 – 25.35
Spot Rate : 0.3000
Average : 0.2223

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

October 19, 2020

HIMIPref™ Preferred Indices
These values reflect the December 2008 revision of the HIMIPref™ Indices
Values are provisional and are finalized monthly
Index Mean
Current
Yield
(at bid)		 Median
YTW		 Median
Average
Trading
Value		 Median
Mod Dur
(YTW)		 Issues Day’s Perf. Index Value
Ratchet 0.00 % 0.00 % 0 0.00 0 0.0811 % 1,633.3
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.0811 % 2,997.1
Floater 5.21 % 5.26 % 41,655 15.06 3 0.0811 % 1,727.2
OpRet 0.00 % 0.00 % 0 0.00 0 -0.0793 % 3,530.4
SplitShare 4.80 % 4.72 % 51,329 3.56 8 -0.0793 % 4,216.0
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.0793 % 3,289.5
Perpetual-Premium 5.30 % -1.56 % 93,605 0.09 17 -0.1261 % 3,193.5
Perpetual-Discount 5.10 % 5.02 % 86,504 15.25 17 -0.0851 % 3,611.2
FixedReset Disc 5.43 % 4.10 % 125,919 16.62 65 0.0541 % 2,128.8
Deemed-Retractible 5.07 % 4.86 % 115,587 15.17 22 -0.0811 % 3,502.4
FloatingReset 1.97 % 2.78 % 41,828 1.27 3 -0.1010 % 1,792.4
FixedReset Prem 5.21 % 3.50 % 282,659 0.82 14 0.0338 % 2,643.1
FixedReset Bank Non 1.94 % 2.22 % 126,417 1.26 2 0.0603 % 2,858.3
FixedReset Ins Non 5.47 % 4.19 % 76,999 16.63 22 0.2501 % 2,206.9
Performance Highlights
Issue Index Change Notes
MFC.PR.G FixedReset Ins Non -4.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-19
Maturity Price : 19.20
Evaluated at bid price : 19.20
Bid-YTW : 4.33 %
RY.PR.J FixedReset Disc -2.52 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-19
Maturity Price : 19.32
Evaluated at bid price : 19.32
Bid-YTW : 4.09 %
IAF.PR.I FixedReset Ins Non -2.52 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-19
Maturity Price : 19.35
Evaluated at bid price : 19.35
Bid-YTW : 4.35 %
CU.PR.C FixedReset Disc -2.28 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-19
Maturity Price : 16.30
Evaluated at bid price : 16.30
Bid-YTW : 4.36 %
SLF.PR.E Deemed-Retractible -1.81 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-19
Maturity Price : 23.01
Evaluated at bid price : 23.28
Bid-YTW : 4.86 %
TRP.PR.A FixedReset Disc -1.60 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-19
Maturity Price : 11.72
Evaluated at bid price : 11.72
Bid-YTW : 5.57 %
SLF.PR.G FixedReset Ins Non -1.56 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-19
Maturity Price : 10.75
Evaluated at bid price : 10.75
Bid-YTW : 4.16 %
BIP.PR.A FixedReset Disc -1.18 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-19
Maturity Price : 16.80
Evaluated at bid price : 16.80
Bid-YTW : 5.91 %
BAM.PF.H FixedReset Disc -1.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-19
Maturity Price : 24.14
Evaluated at bid price : 24.95
Bid-YTW : 5.01 %
MFC.PR.Q FixedReset Ins Non 1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-19
Maturity Price : 19.40
Evaluated at bid price : 19.40
Bid-YTW : 4.10 %
PWF.PR.T FixedReset Disc 1.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-19
Maturity Price : 16.80
Evaluated at bid price : 16.80
Bid-YTW : 4.45 %
MFC.PR.L FixedReset Ins Non 1.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-19
Maturity Price : 16.60
Evaluated at bid price : 16.60
Bid-YTW : 4.19 %
BAM.PR.T FixedReset Disc 1.26 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-19
Maturity Price : 13.63
Evaluated at bid price : 13.63
Bid-YTW : 5.07 %
PWF.PR.P FixedReset Disc 1.38 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-19
Maturity Price : 10.30
Evaluated at bid price : 10.30
Bid-YTW : 4.75 %
MFC.PR.J FixedReset Ins Non 1.68 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-19
Maturity Price : 19.35
Evaluated at bid price : 19.35
Bid-YTW : 4.15 %
IAF.PR.G FixedReset Ins Non 2.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-19
Maturity Price : 19.25
Evaluated at bid price : 19.25
Bid-YTW : 4.26 %
TRP.PR.G FixedReset Disc 2.30 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-19
Maturity Price : 15.10
Evaluated at bid price : 15.10
Bid-YTW : 5.57 %
IFC.PR.A FixedReset Ins Non 2.35 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-19
Maturity Price : 12.65
Evaluated at bid price : 12.65
Bid-YTW : 4.47 %
TRP.PR.C FixedReset Disc 3.45 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-19
Maturity Price : 9.00
Evaluated at bid price : 9.00
Bid-YTW : 5.28 %
MFC.PR.I FixedReset Ins Non 3.85 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-19
Maturity Price : 20.25
Evaluated at bid price : 20.25
Bid-YTW : 4.14 %
Volume Highlights
Issue Index Shares
Traded		 Notes
RY.PR.Q FixedReset Prem 113,300 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-05-24
Maturity Price : 25.00
Evaluated at bid price : 25.53
Bid-YTW : 3.30 %
BNS.PR.Z FixedReset Bank Non 65,900 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.87
Bid-YTW : 2.15 %
BNS.PR.H FixedReset Prem 41,075 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-01-26
Maturity Price : 25.00
Evaluated at bid price : 25.30
Bid-YTW : 3.81 %
RY.PR.M FixedReset Disc 35,700 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-19
Maturity Price : 18.77
Evaluated at bid price : 18.77
Bid-YTW : 4.01 %
NA.PR.G FixedReset Disc 30,139 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-19
Maturity Price : 20.00
Evaluated at bid price : 20.00
Bid-YTW : 4.26 %
BNS.PR.G FixedReset Prem 26,797 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-07-25
Maturity Price : 25.00
Evaluated at bid price : 25.35
Bid-YTW : 3.50 %
There were 24 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
MFC.PR.Q FixedReset Ins Non Quote: 19.40 – 21.50
Spot Rate : 2.1000
Average : 1.4027

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-19
Maturity Price : 19.40
Evaluated at bid price : 19.40
Bid-YTW : 4.10 %
CU.PR.C FixedReset Disc Quote: 16.30 – 18.00
Spot Rate : 1.7000
Average : 1.1709

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-19
Maturity Price : 16.30
Evaluated at bid price : 16.30
Bid-YTW : 4.36 %
MFC.PR.G FixedReset Ins Non Quote: 19.20 – 20.26
Spot Rate : 1.0600
Average : 0.7293

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-19
Maturity Price : 19.20
Evaluated at bid price : 19.20
Bid-YTW : 4.33 %
IAF.PR.I FixedReset Ins Non Quote: 19.35 – 20.45
Spot Rate : 1.1000
Average : 0.7701

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-19
Maturity Price : 19.35
Evaluated at bid price : 19.35
Bid-YTW : 4.35 %
CM.PR.P FixedReset Disc Quote: 18.15 – 19.00
Spot Rate : 0.8500
Average : 0.5992

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-19
Maturity Price : 18.15
Evaluated at bid price : 18.15
Bid-YTW : 3.99 %
RY.PR.J FixedReset Disc Quote: 19.32 – 19.90
Spot Rate : 0.5800
Average : 0.4267

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

October 16, 2020

HIMIPref™ Preferred Indices
These values reflect the December 2008 revision of the HIMIPref™ Indices
Values are provisional and are finalized monthly
Index Mean
Current
Yield
(at bid)		 Median
YTW		 Median
Average
Trading
Value		 Median
Mod Dur
(YTW)		 Issues Day’s Perf. Index Value
Ratchet 0.00 % 0.00 % 0 0.00 0 0.0000 % 1,632.0
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.0000 % 2,994.6
Floater 5.21 % 5.27 % 42,068 15.05 3 0.0000 % 1,725.8
OpRet 0.00 % 0.00 % 0 0.00 0 0.0744 % 3,533.2
SplitShare 4.80 % 4.69 % 49,217 3.57 8 0.0744 % 4,219.4
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0744 % 3,292.1
Perpetual-Premium 5.29 % -6.96 % 96,893 0.09 17 0.0390 % 3,197.6
Perpetual-Discount 5.09 % 5.04 % 89,940 15.34 17 0.1046 % 3,614.2
FixedReset Disc 5.43 % 4.16 % 126,875 16.55 65 0.1877 % 2,127.6
Deemed-Retractible 5.06 % 4.83 % 116,705 15.18 22 0.0277 % 3,505.3
FloatingReset 1.97 % 2.76 % 41,522 1.28 3 0.0505 % 1,794.2
FixedReset Prem 5.22 % 3.48 % 267,486 0.81 14 -0.0395 % 2,642.2
FixedReset Bank Non 1.94 % 2.25 % 118,452 1.27 2 0.1813 % 2,856.6
FixedReset Ins Non 5.49 % 4.24 % 77,765 16.49 22 0.1823 % 2,201.3
Performance Highlights
Issue Index Change Notes
TRP.PR.G FixedReset Disc -3.53 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-16
Maturity Price : 14.76
Evaluated at bid price : 14.76
Bid-YTW : 5.75 %
BAM.PF.J FixedReset Disc -3.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-16
Maturity Price : 23.12
Evaluated at bid price : 24.02
Bid-YTW : 4.93 %
TRP.PR.C FixedReset Disc -2.79 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-16
Maturity Price : 8.70
Evaluated at bid price : 8.70
Bid-YTW : 5.54 %
IFC.PR.A FixedReset Ins Non -2.52 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-16
Maturity Price : 12.36
Evaluated at bid price : 12.36
Bid-YTW : 4.63 %
SLF.PR.H FixedReset Ins Non -1.89 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-16
Maturity Price : 15.06
Evaluated at bid price : 15.06
Bid-YTW : 4.29 %
MFC.PR.F FixedReset Ins Non -1.62 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-16
Maturity Price : 10.94
Evaluated at bid price : 10.94
Bid-YTW : 4.16 %
CU.PR.G Perpetual-Discount -1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-16
Maturity Price : 23.30
Evaluated at bid price : 23.75
Bid-YTW : 4.77 %
IAF.PR.I FixedReset Ins Non 1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-16
Maturity Price : 19.85
Evaluated at bid price : 19.85
Bid-YTW : 4.27 %
TD.PF.D FixedReset Disc 1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-16
Maturity Price : 19.37
Evaluated at bid price : 19.37
Bid-YTW : 4.11 %
TRP.PR.B FixedReset Disc 1.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-16
Maturity Price : 8.50
Evaluated at bid price : 8.50
Bid-YTW : 4.95 %
NA.PR.S FixedReset Disc 1.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-16
Maturity Price : 17.85
Evaluated at bid price : 17.85
Bid-YTW : 4.21 %
BIP.PR.E FixedReset Disc 1.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-16
Maturity Price : 22.17
Evaluated at bid price : 22.50
Bid-YTW : 5.59 %
MFC.PR.M FixedReset Ins Non 1.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-16
Maturity Price : 18.00
Evaluated at bid price : 18.00
Bid-YTW : 4.16 %
NA.PR.W FixedReset Disc 1.18 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-16
Maturity Price : 17.15
Evaluated at bid price : 17.15
Bid-YTW : 4.22 %
RY.PR.J FixedReset Disc 1.54 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-16
Maturity Price : 19.82
Evaluated at bid price : 19.82
Bid-YTW : 4.01 %
TRP.PR.A FixedReset Disc 1.79 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-16
Maturity Price : 11.91
Evaluated at bid price : 11.91
Bid-YTW : 5.52 %
BAM.PR.R FixedReset Disc 1.92 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-16
Maturity Price : 13.30
Evaluated at bid price : 13.30
Bid-YTW : 5.10 %
BAM.PF.G FixedReset Disc 2.31 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-16
Maturity Price : 15.93
Evaluated at bid price : 15.93
Bid-YTW : 5.11 %
MFC.PR.G FixedReset Ins Non 2.56 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-16
Maturity Price : 20.00
Evaluated at bid price : 20.00
Bid-YTW : 4.18 %
Volume Highlights
Issue Index Shares
Traded		 Notes
TRP.PR.G FixedReset Disc 240,360 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-16
Maturity Price : 14.76
Evaluated at bid price : 14.76
Bid-YTW : 5.75 %
PWF.PR.P FixedReset Disc 210,052 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-16
Maturity Price : 10.16
Evaluated at bid price : 10.16
Bid-YTW : 4.89 %
PWF.PR.O Perpetual-Premium 155,648 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2020-11-15
Maturity Price : 25.00
Evaluated at bid price : 25.26
Bid-YTW : -9.47 %
W.PR.K FixedReset Disc 136,258 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-16
Maturity Price : 23.81
Evaluated at bid price : 24.68
Bid-YTW : 5.30 %
BMO.PR.C FixedReset Disc 107,309 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-16
Maturity Price : 23.58
Evaluated at bid price : 23.97
Bid-YTW : 3.96 %
CM.PR.R FixedReset Disc 101,586 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-16
Maturity Price : 22.88
Evaluated at bid price : 23.25
Bid-YTW : 4.10 %
There were 81 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
SLF.PR.H FixedReset Ins Non Quote: 15.06 – 16.00
Spot Rate : 0.9400
Average : 0.5819

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-16
Maturity Price : 15.06
Evaluated at bid price : 15.06
Bid-YTW : 4.29 %
BAM.PF.J FixedReset Disc Quote: 24.02 – 24.86
Spot Rate : 0.8400
Average : 0.5201

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-16
Maturity Price : 23.12
Evaluated at bid price : 24.02
Bid-YTW : 4.93 %
NA.PR.S FixedReset Disc Quote: 17.85 – 18.49
Spot Rate : 0.6400
Average : 0.3914

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-16
Maturity Price : 17.85
Evaluated at bid price : 17.85
Bid-YTW : 4.21 %
GWO.PR.P Deemed-Retractible Quote: 25.30 – 25.93
Spot Rate : 0.6300
Average : 0.4038

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2020-11-15
Maturity Price : 25.00
Evaluated at bid price : 25.30
Bid-YTW : -6.17 %
TD.PF.J FixedReset Disc Quote: 20.00 – 20.63
Spot Rate : 0.6300
Average : 0.4270

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-16
Maturity Price : 20.00
Evaluated at bid price : 20.00
Bid-YTW : 4.12 %
MFC.PR.J FixedReset Ins Non Quote: 19.03 – 19.70
Spot Rate : 0.6700
Average : 0.4700

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