Category: Market Action

Market Action

February 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 -0.4665 % 2,076.9
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.4665 % 3,811.0
Floater 5.89 % 5.99 % 46,707 13.87 4 -0.4665 % 2,196.3
OpRet 0.00 % 0.00 % 0 0.00 0 -0.0452 % 3,475.8
SplitShare 4.74 % 4.23 % 37,156 4.12 6 -0.0452 % 4,150.8
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.0452 % 3,238.7
Perpetual-Premium 5.57 % -2.03 % 55,787 0.09 11 0.0143 % 3,069.2
Perpetual-Discount 5.21 % 5.28 % 71,013 14.94 24 0.1903 % 3,354.8
FixedReset Disc 5.49 % 5.34 % 182,092 14.90 64 -0.1755 % 2,183.6
Deemed-Retractible 5.11 % 5.22 % 76,272 14.91 27 0.0618 % 3,270.7
FloatingReset 6.03 % 6.09 % 65,163 13.79 3 -1.1813 % 2,540.1
FixedReset Prem 5.07 % 3.53 % 132,602 1.46 22 -0.0673 % 2,661.8
FixedReset Bank Non 1.93 % 2.98 % 75,238 1.93 3 0.1492 % 2,757.3
FixedReset Ins Non 5.31 % 5.28 % 112,812 14.85 22 -0.1601 % 2,206.9
Performance Highlights
Issue Index Change Notes
IFC.PR.A FixedReset Ins Non -3.60 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-02-07
Maturity Price : 14.20
Evaluated at bid price : 14.20
Bid-YTW : 5.52 %
BAM.PR.B Floater -2.83 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-02-07
Maturity Price : 11.33
Evaluated at bid price : 11.33
Bid-YTW : 6.19 %
PWF.PR.Q FloatingReset -2.54 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-02-07
Maturity Price : 13.45
Evaluated at bid price : 13.45
Bid-YTW : 6.09 %
EMA.PR.F FixedReset Disc -2.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-02-07
Maturity Price : 17.20
Evaluated at bid price : 17.20
Bid-YTW : 5.76 %
HSE.PR.G FixedReset Disc -2.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-02-07
Maturity Price : 18.47
Evaluated at bid price : 18.47
Bid-YTW : 6.64 %
TRP.PR.G FixedReset Disc -1.47 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-02-07
Maturity Price : 18.10
Evaluated at bid price : 18.10
Bid-YTW : 5.98 %
BMO.PR.T FixedReset Disc -1.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-02-07
Maturity Price : 17.25
Evaluated at bid price : 17.25
Bid-YTW : 5.19 %
TRP.PR.E FixedReset Disc 1.29 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-02-07
Maturity Price : 16.51
Evaluated at bid price : 16.51
Bid-YTW : 5.63 %
EMA.PR.E Perpetual-Discount 1.71 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-02-07
Maturity Price : 22.00
Evaluated at bid price : 22.00
Bid-YTW : 5.13 %
Volume Highlights
Issue Index Shares
Traded		 Notes
IAF.PR.I FixedReset Ins Non 87,800 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-02-07
Maturity Price : 20.12
Evaluated at bid price : 20.12
Bid-YTW : 5.28 %
SLF.PR.H FixedReset Ins Non 42,000 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-02-07
Maturity Price : 16.40
Evaluated at bid price : 16.40
Bid-YTW : 5.28 %
TD.PF.H FixedReset Prem 40,669 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-10-31
Maturity Price : 25.00
Evaluated at bid price : 25.55
Bid-YTW : 3.60 %
BAM.PF.G FixedReset Disc 38,900 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-02-07
Maturity Price : 18.39
Evaluated at bid price : 18.39
Bid-YTW : 5.73 %
NA.PR.W FixedReset Disc 38,100 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-02-07
Maturity Price : 16.97
Evaluated at bid price : 16.97
Bid-YTW : 5.27 %
CM.PR.O FixedReset Disc 33,439 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-02-07
Maturity Price : 16.97
Evaluated at bid price : 16.97
Bid-YTW : 5.42 %
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: 18.96 – 20.85
Spot Rate : 1.8900
Average : 1.1920

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-02-07
Maturity Price : 18.96
Evaluated at bid price : 18.96
Bid-YTW : 5.19 %
BAM.PF.E FixedReset Disc Quote: 16.96 – 17.95
Spot Rate : 0.9900
Average : 0.6685

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-02-07
Maturity Price : 16.96
Evaluated at bid price : 16.96
Bid-YTW : 5.77 %
HSE.PR.A FixedReset Disc Quote: 11.50 – 12.20
Spot Rate : 0.7000
Average : 0.4989

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-02-07
Maturity Price : 11.50
Evaluated at bid price : 11.50
Bid-YTW : 6.61 %
MFC.PR.N FixedReset Ins Non Quote: 17.15 – 17.80
Spot Rate : 0.6500
Average : 0.4513

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-02-07
Maturity Price : 17.15
Evaluated at bid price : 17.15
Bid-YTW : 5.35 %
TRP.PR.G FixedReset Disc Quote: 18.10 – 18.77
Spot Rate : 0.6700
Average : 0.4766

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-02-07
Maturity Price : 18.10
Evaluated at bid price : 18.10
Bid-YTW : 5.98 %
IFC.PR.A FixedReset Ins Non Quote: 14.20 – 14.73
Spot Rate : 0.5300
Average : 0.3614

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-02-07
Maturity Price : 14.20
Evaluated at bid price : 14.20
Bid-YTW : 5.52 %
Market Action

February 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 -0.4433 % 2,086.6
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.4433 % 3,828.8
Floater 5.86 % 6.01 % 46,047 13.84 4 -0.4433 % 2,206.6
OpRet 0.00 % 0.00 % 0 0.00 0 0.0388 % 3,477.4
SplitShare 4.73 % 4.14 % 38,600 4.12 6 0.0388 % 4,152.7
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0388 % 3,240.1
Perpetual-Premium 5.57 % -0.79 % 55,301 0.09 11 0.0681 % 3,068.8
Perpetual-Discount 5.22 % 5.29 % 71,373 14.94 24 0.2979 % 3,348.5
FixedReset Disc 5.48 % 5.33 % 185,864 14.90 64 0.1341 % 2,187.4
Deemed-Retractible 5.12 % 5.22 % 76,238 14.89 27 -0.0263 % 3,268.7
FloatingReset 5.95 % 5.94 % 67,836 14.02 3 0.3387 % 2,570.4
FixedReset Prem 5.07 % 3.39 % 134,608 1.46 22 0.0390 % 2,663.5
FixedReset Bank Non 1.93 % 3.14 % 76,257 1.93 3 0.1494 % 2,753.2
FixedReset Ins Non 5.31 % 5.29 % 115,123 14.85 22 0.0049 % 2,210.5
Performance Highlights
Issue Index Change Notes
BAM.PR.R FixedReset Disc -1.88 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-02-06
Maturity Price : 15.62
Evaluated at bid price : 15.62
Bid-YTW : 5.78 %
MFC.PR.I FixedReset Ins Non -1.37 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-02-06
Maturity Price : 19.48
Evaluated at bid price : 19.48
Bid-YTW : 5.47 %
PWF.PR.T FixedReset Disc -1.17 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-02-06
Maturity Price : 17.80
Evaluated at bid price : 17.80
Bid-YTW : 5.38 %
BMO.PR.C FixedReset Disc -1.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-02-06
Maturity Price : 21.72
Evaluated at bid price : 22.19
Bid-YTW : 5.19 %
TRP.PR.G FixedReset Disc -1.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-02-06
Maturity Price : 18.37
Evaluated at bid price : 18.37
Bid-YTW : 5.89 %
SLF.PR.H FixedReset Ins Non -1.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-02-06
Maturity Price : 16.40
Evaluated at bid price : 16.40
Bid-YTW : 5.28 %
IFC.PR.G FixedReset Ins Non 1.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-02-06
Maturity Price : 19.18
Evaluated at bid price : 19.18
Bid-YTW : 5.37 %
CIU.PR.A Perpetual-Discount 1.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-02-06
Maturity Price : 21.81
Evaluated at bid price : 22.05
Bid-YTW : 5.21 %
BAM.PF.C Perpetual-Discount 1.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-02-06
Maturity Price : 22.38
Evaluated at bid price : 22.67
Bid-YTW : 5.40 %
TRP.PR.B FixedReset Disc 1.31 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-02-06
Maturity Price : 11.60
Evaluated at bid price : 11.60
Bid-YTW : 5.64 %
NA.PR.C FixedReset Disc 1.51 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-02-06
Maturity Price : 21.88
Evaluated at bid price : 22.15
Bid-YTW : 5.31 %
TRP.PR.A FixedReset Disc 1.80 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-02-06
Maturity Price : 14.67
Evaluated at bid price : 14.67
Bid-YTW : 5.71 %
BMO.PR.T FixedReset Disc 1.93 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-02-06
Maturity Price : 17.45
Evaluated at bid price : 17.45
Bid-YTW : 5.13 %
Volume Highlights
Issue Index Shares
Traded		 Notes
NA.PR.X FixedReset Prem 197,000 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-05-15
Maturity Price : 25.00
Evaluated at bid price : 25.71
Bid-YTW : 3.20 %
NA.PR.A FixedReset Prem 113,800 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-08-15
Maturity Price : 25.00
Evaluated at bid price : 25.72
Bid-YTW : 3.39 %
BAM.PF.B FixedReset Disc 91,400 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-02-06
Maturity Price : 18.70
Evaluated at bid price : 18.70
Bid-YTW : 5.50 %
TRP.PR.J FixedReset Prem 80,620 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-05-31
Maturity Price : 25.00
Evaluated at bid price : 25.87
Bid-YTW : 3.59 %
BMO.PR.E FixedReset Disc 38,924 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-02-06
Maturity Price : 20.27
Evaluated at bid price : 20.27
Bid-YTW : 5.16 %
IFC.PR.E Deemed-Retractible 38,910 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-02-06
Maturity Price : 24.12
Evaluated at bid price : 24.55
Bid-YTW : 5.34 %
There were 10 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
MFC.PR.H FixedReset Ins Non Quote: 21.10 – 21.46
Spot Rate : 0.3600
Average : 0.2233

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-02-06
Maturity Price : 21.10
Evaluated at bid price : 21.10
Bid-YTW : 5.32 %
CM.PR.Q FixedReset Disc Quote: 18.91 – 19.29
Spot Rate : 0.3800
Average : 0.2479

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-02-06
Maturity Price : 18.91
Evaluated at bid price : 18.91
Bid-YTW : 5.44 %
BAM.PF.E FixedReset Disc Quote: 16.94 – 17.38
Spot Rate : 0.4400
Average : 0.3161

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-02-06
Maturity Price : 16.94
Evaluated at bid price : 16.94
Bid-YTW : 5.78 %
MFC.PR.I FixedReset Ins Non Quote: 19.48 – 19.80
Spot Rate : 0.3200
Average : 0.2035

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-02-06
Maturity Price : 19.48
Evaluated at bid price : 19.48
Bid-YTW : 5.47 %
HSE.PR.A FixedReset Disc Quote: 11.55 – 11.94
Spot Rate : 0.3900
Average : 0.2784

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-02-06
Maturity Price : 11.55
Evaluated at bid price : 11.55
Bid-YTW : 6.58 %
BNS.PR.Z FixedReset Bank Non Quote: 24.45 – 24.69
Spot Rate : 0.2400
Average : 0.1371

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.45
Bid-YTW : 3.55 %
Market Action

February 5, 2020

Foldable ‘phones are coming closer!

Apple is exploring plans for a foldable version of the iPhone, according to a patent filed in the US.

The design features an innovative hinge mechanism that would prevent creasing issues similar devices have suffered from.

Movable flaps would prevent unsightly marks by keeping the device in a semi-curved state when shut.

PerpetualDiscounts now yield 5.28%, equivalent to 6.86% interest at the standard equivalency factor of 1.3x. Long corporates now yield 3.03%, so the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) has widened dramatically to 385bp from the 365bp reported January 29.

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 0.6801 % 2,095.9
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.6801 % 3,845.9
Floater 5.84 % 5.97 % 46,612 13.91 4 0.6801 % 2,216.4
OpRet 0.00 % 0.00 % 0 0.00 0 0.2138 % 3,476.0
SplitShare 4.74 % 3.97 % 35,732 3.70 6 0.2138 % 4,151.1
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.2138 % 3,238.9
Perpetual-Premium 5.57 % -0.98 % 56,018 0.09 11 0.0359 % 3,066.7
Perpetual-Discount 5.23 % 5.28 % 71,749 14.96 24 0.1765 % 3,338.5
FixedReset Disc 5.49 % 5.34 % 166,051 14.90 64 0.2984 % 2,184.5
Deemed-Retractible 5.11 % 5.22 % 72,388 14.93 27 0.1161 % 3,269.5
FloatingReset 5.97 % 5.94 % 68,320 14.02 3 0.4373 % 2,561.8
FixedReset Prem 5.07 % 3.46 % 132,119 1.46 22 0.1137 % 2,662.5
FixedReset Bank Non 1.93 % 3.39 % 77,247 1.93 3 -0.1898 % 2,749.1
FixedReset Ins Non 5.31 % 5.30 % 116,895 14.85 22 0.5391 % 2,210.4
Performance Highlights
Issue Index Change Notes
PWF.PR.A Floater -1.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-02-05
Maturity Price : 12.36
Evaluated at bid price : 12.36
Bid-YTW : 5.61 %
EMA.PR.C FixedReset Disc -1.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-02-05
Maturity Price : 18.10
Evaluated at bid price : 18.10
Bid-YTW : 5.72 %
GWO.PR.N FixedReset Ins Non -1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-02-05
Maturity Price : 13.35
Evaluated at bid price : 13.35
Bid-YTW : 4.91 %
CU.PR.F Perpetual-Discount 1.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-02-05
Maturity Price : 21.70
Evaluated at bid price : 21.70
Bid-YTW : 5.19 %
BNS.PR.I FixedReset Disc 1.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-02-05
Maturity Price : 20.22
Evaluated at bid price : 20.22
Bid-YTW : 4.96 %
TD.PF.I FixedReset Disc 1.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-02-05
Maturity Price : 21.06
Evaluated at bid price : 21.06
Bid-YTW : 5.20 %
MFC.PR.H FixedReset Ins Non 1.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-02-05
Maturity Price : 21.10
Evaluated at bid price : 21.10
Bid-YTW : 5.32 %
TD.PF.E FixedReset Disc 1.39 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-02-05
Maturity Price : 19.75
Evaluated at bid price : 19.75
Bid-YTW : 5.31 %
MFC.PR.Q FixedReset Ins Non 1.44 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-02-05
Maturity Price : 19.70
Evaluated at bid price : 19.70
Bid-YTW : 5.19 %
BAM.PR.R FixedReset Disc 1.53 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-02-05
Maturity Price : 15.92
Evaluated at bid price : 15.92
Bid-YTW : 5.67 %
BAM.PR.K Floater 1.57 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-02-05
Maturity Price : 11.67
Evaluated at bid price : 11.67
Bid-YTW : 6.00 %
BAM.PR.B Floater 1.65 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-02-05
Maturity Price : 11.74
Evaluated at bid price : 11.74
Bid-YTW : 5.97 %
MFC.PR.I FixedReset Ins Non 1.65 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-02-05
Maturity Price : 19.75
Evaluated at bid price : 19.75
Bid-YTW : 5.40 %
CM.PR.Q FixedReset Disc 1.71 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-02-05
Maturity Price : 19.00
Evaluated at bid price : 19.00
Bid-YTW : 5.42 %
SLF.PR.H FixedReset Ins Non 3.37 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-02-05
Maturity Price : 16.58
Evaluated at bid price : 16.58
Bid-YTW : 5.22 %
Volume Highlights
Issue Index Shares
Traded		 Notes
PWF.PR.K Perpetual-Discount 250,600 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-02-05
Maturity Price : 22.83
Evaluated at bid price : 23.11
Bid-YTW : 5.38 %
NA.PR.A FixedReset Prem 188,085 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-08-15
Maturity Price : 25.00
Evaluated at bid price : 25.67
Bid-YTW : 3.52 %
RY.PR.M FixedReset Disc 98,900 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-02-05
Maturity Price : 18.90
Evaluated at bid price : 18.90
Bid-YTW : 5.20 %
TD.PF.A FixedReset Disc 50,210 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-02-05
Maturity Price : 17.40
Evaluated at bid price : 17.40
Bid-YTW : 5.18 %
BAM.PF.G FixedReset Disc 29,348 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-02-05
Maturity Price : 18.35
Evaluated at bid price : 18.35
Bid-YTW : 5.74 %
HSE.PR.E FixedReset Disc 27,100 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-02-05
Maturity Price : 19.20
Evaluated at bid price : 19.20
Bid-YTW : 6.45 %
There were 21 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
BAM.PF.G FixedReset Disc Quote: 18.35 – 18.74
Spot Rate : 0.3900
Average : 0.2689

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-02-05
Maturity Price : 18.35
Evaluated at bid price : 18.35
Bid-YTW : 5.74 %
BMO.PR.Q FixedReset Bank Non Quote: 24.30 – 24.61
Spot Rate : 0.3100
Average : 0.1928

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.30
Bid-YTW : 3.39 %
EIT.PR.A SplitShare Quote: 25.97 – 26.30
Spot Rate : 0.3300
Average : 0.2468

YTW SCENARIO
Maturity Type : Soft Maturity
Maturity Date : 2024-03-14
Maturity Price : 25.00
Evaluated at bid price : 25.97
Bid-YTW : 3.97 %
BIP.PR.E FixedReset Disc Quote: 22.56 – 22.79
Spot Rate : 0.2300
Average : 0.1494

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-02-05
Maturity Price : 22.14
Evaluated at bid price : 22.56
Bid-YTW : 5.59 %
HSE.PR.C FixedReset Disc Quote: 17.45 – 17.78
Spot Rate : 0.3300
Average : 0.2550

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-02-05
Maturity Price : 17.45
Evaluated at bid price : 17.45
Bid-YTW : 6.57 %
BMO.PR.D FixedReset Disc Quote: 21.48 – 21.75
Spot Rate : 0.2700
Average : 0.1975

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-02-05
Maturity Price : 21.48
Evaluated at bid price : 21.48
Bid-YTW : 5.22 %
Market Action

February 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 0.1703 % 2,081.7
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.1703 % 3,819.9
Floater 5.88 % 6.06 % 46,307 13.77 4 0.1703 % 2,201.4
OpRet 0.00 % 0.00 % 0 0.00 0 0.0389 % 3,468.6
SplitShare 4.75 % 4.13 % 35,253 3.70 6 0.0389 % 4,142.3
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0389 % 3,232.0
Perpetual-Premium 5.57 % -0.22 % 56,618 0.09 11 0.0108 % 3,065.6
Perpetual-Discount 5.23 % 5.30 % 71,835 14.94 24 0.0802 % 3,332.6
FixedReset Disc 5.51 % 5.37 % 168,892 14.86 64 0.6320 % 2,178.0
Deemed-Retractible 5.12 % 5.22 % 72,834 14.93 27 0.1597 % 3,265.7
FloatingReset 6.00 % 5.97 % 68,212 13.97 3 0.6603 % 2,550.6
FixedReset Prem 5.08 % 3.45 % 135,245 1.47 22 0.2898 % 2,659.5
FixedReset Bank Non 1.93 % 3.15 % 77,915 1.94 3 0.3128 % 2,754.3
FixedReset Ins Non 5.33 % 5.33 % 120,311 14.76 22 0.4632 % 2,198.5
Performance Highlights
Issue Index Change Notes
RY.PR.Z FixedReset Disc 1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-02-04
Maturity Price : 17.54
Evaluated at bid price : 17.54
Bid-YTW : 5.09 %
GWO.PR.N FixedReset Ins Non 1.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-02-04
Maturity Price : 13.49
Evaluated at bid price : 13.49
Bid-YTW : 4.86 %
TD.PF.L FixedReset Disc 1.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-02-04
Maturity Price : 22.87
Evaluated at bid price : 24.08
Bid-YTW : 4.86 %
RY.PR.H FixedReset Disc 1.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-02-04
Maturity Price : 17.92
Evaluated at bid price : 17.92
Bid-YTW : 5.02 %
BMO.PR.Y FixedReset Disc 1.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-02-04
Maturity Price : 18.85
Evaluated at bid price : 18.85
Bid-YTW : 5.34 %
RY.PR.J FixedReset Disc 1.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-02-04
Maturity Price : 19.32
Evaluated at bid price : 19.32
Bid-YTW : 5.26 %
TRP.PR.A FixedReset Disc 1.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-02-04
Maturity Price : 14.51
Evaluated at bid price : 14.51
Bid-YTW : 5.77 %
SLF.PR.J FloatingReset 1.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-02-04
Maturity Price : 13.21
Evaluated at bid price : 13.21
Bid-YTW : 5.87 %
NA.PR.W FixedReset Disc 1.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-02-04
Maturity Price : 16.86
Evaluated at bid price : 16.86
Bid-YTW : 5.31 %
BAM.PF.E FixedReset Disc 1.36 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-02-04
Maturity Price : 17.10
Evaluated at bid price : 17.10
Bid-YTW : 5.72 %
HSE.PR.E FixedReset Disc 1.38 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-02-04
Maturity Price : 19.13
Evaluated at bid price : 19.13
Bid-YTW : 6.47 %
BAM.PR.T FixedReset Disc 1.40 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-02-04
Maturity Price : 15.90
Evaluated at bid price : 15.90
Bid-YTW : 5.74 %
TRP.PR.C FixedReset Disc 1.42 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-02-04
Maturity Price : 12.15
Evaluated at bid price : 12.15
Bid-YTW : 5.85 %
TRP.PR.E FixedReset Disc 1.55 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-02-04
Maturity Price : 16.40
Evaluated at bid price : 16.40
Bid-YTW : 5.67 %
TRP.PR.G FixedReset Disc 1.65 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-02-04
Maturity Price : 18.47
Evaluated at bid price : 18.47
Bid-YTW : 5.86 %
EMA.PR.C FixedReset Disc 1.67 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-02-04
Maturity Price : 18.30
Evaluated at bid price : 18.30
Bid-YTW : 5.65 %
EMA.PR.F FixedReset Disc 1.68 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-02-04
Maturity Price : 17.58
Evaluated at bid price : 17.58
Bid-YTW : 5.63 %
IAF.PR.G FixedReset Ins Non 1.87 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-02-04
Maturity Price : 19.05
Evaluated at bid price : 19.05
Bid-YTW : 5.46 %
SLF.PR.G FixedReset Ins Non 2.48 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-02-04
Maturity Price : 13.20
Evaluated at bid price : 13.20
Bid-YTW : 5.20 %
BAM.PR.X FixedReset Disc 2.49 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-02-04
Maturity Price : 13.57
Evaluated at bid price : 13.57
Bid-YTW : 5.70 %
IFC.PR.A FixedReset Ins Non 2.55 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-02-04
Maturity Price : 14.50
Evaluated at bid price : 14.50
Bid-YTW : 5.40 %
PWF.PR.P FixedReset Disc 2.57 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-02-04
Maturity Price : 13.59
Evaluated at bid price : 13.59
Bid-YTW : 5.34 %
TRP.PR.B FixedReset Disc 2.60 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-02-04
Maturity Price : 11.44
Evaluated at bid price : 11.44
Bid-YTW : 5.72 %
CU.PR.C FixedReset Disc 2.69 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-02-04
Maturity Price : 17.55
Evaluated at bid price : 17.55
Bid-YTW : 5.32 %
Volume Highlights
Issue Index Shares
Traded		 Notes
RY.PR.Z FixedReset Disc 117,014 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-02-04
Maturity Price : 17.54
Evaluated at bid price : 17.54
Bid-YTW : 5.09 %
PWF.PR.P FixedReset Disc 44,249 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-02-04
Maturity Price : 13.59
Evaluated at bid price : 13.59
Bid-YTW : 5.34 %
IFC.PR.E Deemed-Retractible 40,266 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-02-04
Maturity Price : 24.19
Evaluated at bid price : 24.62
Bid-YTW : 5.32 %
BAM.PF.G FixedReset Disc 38,400 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-02-04
Maturity Price : 18.35
Evaluated at bid price : 18.35
Bid-YTW : 5.74 %
BNS.PR.Y FixedReset Bank Non 33,300 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.87
Bid-YTW : 2.61 %
HSE.PR.E FixedReset Disc 33,110 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-02-04
Maturity Price : 19.13
Evaluated at bid price : 19.13
Bid-YTW : 6.47 %
There were 23 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: 25.81 – 26.33
Spot Rate : 0.5200
Average : 0.3443

YTW SCENARIO
Maturity Type : Soft Maturity
Maturity Date : 2025-03-14
Maturity Price : 25.00
Evaluated at bid price : 25.81
Bid-YTW : 4.26 %
SLF.PR.H FixedReset Ins Non Quote: 16.04 – 16.46
Spot Rate : 0.4200
Average : 0.2731

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-02-04
Maturity Price : 16.04
Evaluated at bid price : 16.04
Bid-YTW : 5.40 %
PWF.PR.I Perpetual-Premium Quote: 25.14 – 25.39
Spot Rate : 0.2500
Average : 0.1454

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2020-03-05
Maturity Price : 25.00
Evaluated at bid price : 25.14
Bid-YTW : -0.22 %
CM.PR.O FixedReset Disc Quote: 16.81 – 17.08
Spot Rate : 0.2700
Average : 0.1783

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-02-04
Maturity Price : 16.81
Evaluated at bid price : 16.81
Bid-YTW : 5.47 %
EMA.PR.E Perpetual-Discount Quote: 21.62 – 21.93
Spot Rate : 0.3100
Average : 0.2232

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-02-04
Maturity Price : 21.62
Evaluated at bid price : 21.62
Bid-YTW : 5.22 %
BMO.PR.W FixedReset Disc Quote: 17.38 – 17.67
Spot Rate : 0.2900
Average : 0.2130

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-02-04
Maturity Price : 17.38
Evaluated at bid price : 17.38
Bid-YTW : 5.22 %
Market Action

February 3, 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 0.7508 % 2,078.2
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.7508 % 3,813.4
Floater 5.89 % 6.06 % 46,292 13.78 4 0.7508 % 2,197.7
OpRet 0.00 % 0.00 % 0 0.00 0 0.1428 % 3,467.3
SplitShare 4.75 % 4.15 % 34,044 3.70 6 0.1428 % 4,140.6
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.1428 % 3,230.7
Perpetual-Premium 5.58 % 0.55 % 58,930 0.09 11 0.0359 % 3,065.2
Perpetual-Discount 5.23 % 5.31 % 71,145 14.92 24 0.0910 % 3,330.0
FixedReset Disc 5.54 % 5.42 % 191,738 14.78 64 -0.2632 % 2,164.3
Deemed-Retractible 5.13 % 5.24 % 72,186 14.93 27 0.0729 % 3,260.5
FloatingReset 6.04 % 5.98 % 68,888 13.96 3 -0.1465 % 2,533.9
FixedReset Prem 5.09 % 3.59 % 132,969 1.47 22 0.0178 % 2,651.8
FixedReset Bank Non 1.93 % 3.49 % 75,118 1.94 3 0.0272 % 2,745.7
FixedReset Ins Non 5.36 % 5.33 % 120,411 14.70 22 -0.2542 % 2,188.4
Performance Highlights
Issue Index Change Notes
IAF.PR.G FixedReset Ins Non -2.50 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-02-03
Maturity Price : 18.70
Evaluated at bid price : 18.70
Bid-YTW : 5.56 %
IFC.PR.A FixedReset Ins Non -1.81 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-02-03
Maturity Price : 14.14
Evaluated at bid price : 14.14
Bid-YTW : 5.54 %
EMA.PR.F FixedReset Disc -1.76 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-02-03
Maturity Price : 17.29
Evaluated at bid price : 17.29
Bid-YTW : 5.72 %
BAM.PR.X FixedReset Disc -1.63 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-02-03
Maturity Price : 13.24
Evaluated at bid price : 13.24
Bid-YTW : 5.84 %
MFC.PR.N FixedReset Ins Non -1.59 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-02-03
Maturity Price : 16.74
Evaluated at bid price : 16.74
Bid-YTW : 5.47 %
NA.PR.C FixedReset Disc -1.55 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-02-03
Maturity Price : 21.27
Evaluated at bid price : 21.56
Bid-YTW : 5.45 %
SLF.PR.G FixedReset Ins Non -1.53 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-02-03
Maturity Price : 12.88
Evaluated at bid price : 12.88
Bid-YTW : 5.33 %
MFC.PR.Q FixedReset Ins Non -1.33 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-02-03
Maturity Price : 19.25
Evaluated at bid price : 19.25
Bid-YTW : 5.31 %
TRP.PR.B FixedReset Disc -1.33 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-02-03
Maturity Price : 11.15
Evaluated at bid price : 11.15
Bid-YTW : 5.87 %
BAM.PF.G FixedReset Disc -1.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-02-03
Maturity Price : 18.18
Evaluated at bid price : 18.18
Bid-YTW : 5.79 %
IFC.PR.F Deemed-Retractible -1.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-02-03
Maturity Price : 24.20
Evaluated at bid price : 24.62
Bid-YTW : 5.43 %
SLF.PR.H FixedReset Ins Non -1.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-02-03
Maturity Price : 16.20
Evaluated at bid price : 16.20
Bid-YTW : 5.34 %
BIP.PR.D FixedReset Disc -1.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-02-03
Maturity Price : 22.84
Evaluated at bid price : 23.15
Bid-YTW : 5.54 %
TRP.PR.E FixedReset Disc -1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-02-03
Maturity Price : 16.15
Evaluated at bid price : 16.15
Bid-YTW : 5.75 %
RY.PR.J FixedReset Disc -1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-02-03
Maturity Price : 19.11
Evaluated at bid price : 19.11
Bid-YTW : 5.31 %
GWO.PR.G Deemed-Retractible 1.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-02-03
Maturity Price : 24.55
Evaluated at bid price : 24.80
Bid-YTW : 5.29 %
PWF.PR.A Floater 1.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-02-03
Maturity Price : 12.40
Evaluated at bid price : 12.40
Bid-YTW : 5.59 %
BAM.PR.B Floater 1.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-02-03
Maturity Price : 11.56
Evaluated at bid price : 11.56
Bid-YTW : 6.06 %
BAM.PR.R FixedReset Disc 1.37 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-02-03
Maturity Price : 15.57
Evaluated at bid price : 15.57
Bid-YTW : 5.79 %
IFC.PR.C FixedReset Ins Non 2.84 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-02-03
Maturity Price : 18.10
Evaluated at bid price : 18.10
Bid-YTW : 5.47 %
Volume Highlights
Issue Index Shares
Traded		 Notes
PWF.PR.G Perpetual-Premium 210,535 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2020-03-04
Maturity Price : 25.00
Evaluated at bid price : 25.16
Bid-YTW : -1.48 %
PWF.PR.I Perpetual-Premium 114,144 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2020-03-04
Maturity Price : 25.00
Evaluated at bid price : 25.12
Bid-YTW : 0.55 %
CCS.PR.C Deemed-Retractible 56,350 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-02-03
Maturity Price : 23.22
Evaluated at bid price : 23.52
Bid-YTW : 5.37 %
RY.PR.Q FixedReset Prem 29,800 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-05-24
Maturity Price : 25.00
Evaluated at bid price : 25.73
Bid-YTW : 2.96 %
PWF.PR.S Perpetual-Discount 28,153 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-02-03
Maturity Price : 22.26
Evaluated at bid price : 22.58
Bid-YTW : 5.33 %
NA.PR.E FixedReset Disc 23,200 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-02-03
Maturity Price : 18.43
Evaluated at bid price : 18.43
Bid-YTW : 5.49 %
There were 11 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
CIU.PR.A Perpetual-Discount Quote: 22.12 – 22.58
Spot Rate : 0.4600
Average : 0.2771

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-02-03
Maturity Price : 21.88
Evaluated at bid price : 22.12
Bid-YTW : 5.28 %
POW.PR.D Perpetual-Discount Quote: 23.55 – 23.98
Spot Rate : 0.4300
Average : 0.2543

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-02-03
Maturity Price : 23.25
Evaluated at bid price : 23.55
Bid-YTW : 5.34 %
BAM.PF.J FixedReset Prem Quote: 24.90 – 25.29
Spot Rate : 0.3900
Average : 0.2582

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-02-03
Maturity Price : 23.36
Evaluated at bid price : 24.90
Bid-YTW : 4.73 %
BIP.PR.D FixedReset Disc Quote: 23.15 – 23.49
Spot Rate : 0.3400
Average : 0.2163

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-02-03
Maturity Price : 22.84
Evaluated at bid price : 23.15
Bid-YTW : 5.54 %
TD.PF.J FixedReset Disc Quote: 20.01 – 20.30
Spot Rate : 0.2900
Average : 0.1761

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-02-03
Maturity Price : 20.01
Evaluated at bid price : 20.01
Bid-YTW : 5.20 %
MFC.PR.Q FixedReset Ins Non Quote: 19.25 – 19.63
Spot Rate : 0.3800
Average : 0.2692

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-02-03
Maturity Price : 19.25
Evaluated at bid price : 19.25
Bid-YTW : 5.31 %
Market Action

January 31, 2020

explosion_200131>
Click for Big

The Canadian preferred share market closed the month on a gloomy note.

TXPR closed at 612.80, down 0.53% on the day. Volume was 1.95-million, below average in the context of the past thirty days, especially if you don’t consider trading days with holiday-related slowness. That makes the price index down 0.45% on the month, while the total return version managed to eke out a 0.06% gain.

CPD closed at 12.27, down 0.20% on the day. Volume of 66,531 was a little above the median of the past 30 days.

ZPR closed at 9.81, down 0.30% on the day. Volume of 367,859 was third-highest of the past 30 days, behind only January 27 and January 24.

Five-year Canada yields were down 8bp to 1.28% today, a far cry from the December 31 figure of 1.69%. What a difference a month – and a dovish Bank of Canada statement – makes!

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 -0.5970 % 2,062.7
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.5970 % 3,785.0
Floater 5.93 % 6.08 % 46,997 13.75 4 -0.5970 % 2,181.3
OpRet 0.00 % 0.00 % 0 0.00 0 0.0000 % 3,462.3
SplitShare 4.75 % 4.19 % 34,575 3.71 6 0.0000 % 4,134.7
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0000 % 3,226.1
Perpetual-Premium 5.58 % 0.93 % 59,773 0.09 11 0.0108 % 3,064.1
Perpetual-Discount 5.23 % 5.32 % 71,460 14.91 24 0.0415 % 3,326.9
FixedReset Disc 5.51 % 5.38 % 194,956 14.84 64 -0.4255 % 2,170.0
Deemed-Retractible 5.13 % 5.24 % 70,123 14.86 27 -0.1270 % 3,258.1
FloatingReset 6.01 % 5.93 % 68,974 13.99 3 0.1222 % 2,537.6
FixedReset Prem 5.09 % 3.66 % 129,794 1.48 22 -0.0740 % 2,651.3
FixedReset Bank Non 1.93 % 3.54 % 75,402 1.95 3 0.0446 % 2,745.0
FixedReset Ins Non 5.35 % 5.34 % 122,192 14.75 22 -0.2414 % 2,194.0
Performance Highlights
Issue Index Change Notes
IFC.PR.C FixedReset Ins Non -2.76 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-01-31
Maturity Price : 17.60
Evaluated at bid price : 17.60
Bid-YTW : 5.65 %
RY.PR.H FixedReset Disc -2.28 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-01-31
Maturity Price : 17.59
Evaluated at bid price : 17.59
Bid-YTW : 5.14 %
PWF.PR.P FixedReset Disc -1.71 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-01-31
Maturity Price : 13.22
Evaluated at bid price : 13.22
Bid-YTW : 5.52 %
BIP.PR.A FixedReset Disc -1.69 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-01-31
Maturity Price : 20.40
Evaluated at bid price : 20.40
Bid-YTW : 6.07 %
EMA.PR.C FixedReset Disc -1.58 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-01-31
Maturity Price : 18.07
Evaluated at bid price : 18.07
Bid-YTW : 5.75 %
GWO.PR.G Deemed-Retractible -1.53 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-01-31
Maturity Price : 24.23
Evaluated at bid price : 24.52
Bid-YTW : 5.35 %
TD.PF.D FixedReset Disc -1.47 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-01-31
Maturity Price : 19.41
Evaluated at bid price : 19.41
Bid-YTW : 5.33 %
BAM.PR.K Floater -1.47 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-01-31
Maturity Price : 11.43
Evaluated at bid price : 11.43
Bid-YTW : 6.13 %
NA.PR.S FixedReset Disc -1.29 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-01-31
Maturity Price : 17.56
Evaluated at bid price : 17.56
Bid-YTW : 5.44 %
BMO.PR.S FixedReset Disc -1.26 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-01-31
Maturity Price : 17.71
Evaluated at bid price : 17.71
Bid-YTW : 5.24 %
BAM.PR.X FixedReset Disc -1.25 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-01-31
Maturity Price : 13.46
Evaluated at bid price : 13.46
Bid-YTW : 5.78 %
MFC.PR.H FixedReset Ins Non -1.19 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-01-31
Maturity Price : 20.80
Evaluated at bid price : 20.80
Bid-YTW : 5.42 %
TD.PF.C FixedReset Disc -1.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-01-31
Maturity Price : 17.45
Evaluated at bid price : 17.45
Bid-YTW : 5.16 %
BMO.PR.D FixedReset Disc -1.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-01-31
Maturity Price : 21.50
Evaluated at bid price : 21.50
Bid-YTW : 5.23 %
BMO.PR.Y FixedReset Disc -1.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-01-31
Maturity Price : 18.81
Evaluated at bid price : 18.81
Bid-YTW : 5.38 %
Volume Highlights
Issue Index Shares
Traded		 Notes
TD.PF.A FixedReset Disc 184,963 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-01-31
Maturity Price : 17.24
Evaluated at bid price : 17.24
Bid-YTW : 5.25 %
RY.PR.H FixedReset Disc 85,023 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-01-31
Maturity Price : 17.59
Evaluated at bid price : 17.59
Bid-YTW : 5.14 %
TRP.PR.J FixedReset Prem 48,869 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-05-31
Maturity Price : 25.00
Evaluated at bid price : 25.76
Bid-YTW : 3.88 %
BNS.PR.Z FixedReset Bank Non 45,440 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.44
Bid-YTW : 3.55 %
TD.PF.B FixedReset Disc 36,330 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-01-31
Maturity Price : 17.27
Evaluated at bid price : 17.27
Bid-YTW : 5.28 %
CM.PR.Q FixedReset Disc 34,248 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-01-31
Maturity Price : 18.65
Evaluated at bid price : 18.65
Bid-YTW : 5.54 %
There were 21 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
IFC.PR.C FixedReset Ins Non Quote: 17.60 – 18.44
Spot Rate : 0.8400
Average : 0.5641

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-01-31
Maturity Price : 17.60
Evaluated at bid price : 17.60
Bid-YTW : 5.65 %
GWO.PR.G Deemed-Retractible Quote: 24.52 – 24.90
Spot Rate : 0.3800
Average : 0.2412

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-01-31
Maturity Price : 24.23
Evaluated at bid price : 24.52
Bid-YTW : 5.35 %
RY.PR.F Deemed-Retractible Quote: 25.25 – 25.51
Spot Rate : 0.2600
Average : 0.1532

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2020-03-01
Maturity Price : 25.00
Evaluated at bid price : 25.25
Bid-YTW : -10.92 %
PVS.PR.F SplitShare Quote: 25.70 – 25.99
Spot Rate : 0.2900
Average : 0.1856

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2024-09-30
Maturity Price : 25.00
Evaluated at bid price : 25.70
Bid-YTW : 4.33 %
BAM.PR.X FixedReset Disc Quote: 13.46 – 13.85
Spot Rate : 0.3900
Average : 0.2887

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-01-31
Maturity Price : 13.46
Evaluated at bid price : 13.46
Bid-YTW : 5.78 %
BAM.PR.C Floater Quote: 11.51 – 11.79
Spot Rate : 0.2800
Average : 0.1863

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-01-31
Maturity Price : 11.51
Evaluated at bid price : 11.51
Bid-YTW : 6.08 %
Market Action

January 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 -0.8876 % 2,075.1
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.8876 % 3,807.7
Floater 5.90 % 6.03 % 47,496 13.82 4 -0.8876 % 2,194.4
OpRet 0.00 % 0.00 % 0 0.00 0 0.0130 % 3,462.3
SplitShare 4.75 % 4.14 % 35,994 3.71 6 0.0130 % 4,134.7
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0130 % 3,226.1
Perpetual-Premium 5.58 % 0.24 % 59,808 0.09 11 0.0287 % 3,063.8
Perpetual-Discount 5.23 % 5.32 % 72,193 14.91 24 0.0555 % 3,325.5
FixedReset Disc 5.49 % 5.38 % 197,265 14.82 64 -0.4468 % 2,179.3
Deemed-Retractible 5.13 % 5.23 % 70,518 14.92 27 0.0884 % 3,262.3
FloatingReset 6.02 % 5.93 % 71,401 13.99 3 -0.1221 % 2,534.5
FixedReset Prem 5.09 % 3.49 % 127,898 1.48 22 -0.1177 % 2,653.3
FixedReset Bank Non 1.93 % 3.54 % 72,314 1.95 3 0.1361 % 2,743.7
FixedReset Ins Non 5.33 % 5.34 % 123,474 14.79 22 -0.2117 % 2,199.3
Performance Highlights
Issue Index Change Notes
BAM.PR.R FixedReset Disc -2.52 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-01-30
Maturity Price : 15.45
Evaluated at bid price : 15.45
Bid-YTW : 5.86 %
BAM.PF.B FixedReset Disc -2.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-01-30
Maturity Price : 18.53
Evaluated at bid price : 18.53
Bid-YTW : 5.57 %
BAM.PR.B Floater -1.81 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-01-30
Maturity Price : 11.39
Evaluated at bid price : 11.39
Bid-YTW : 6.15 %
TRP.PR.G FixedReset Disc -1.76 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-01-30
Maturity Price : 18.47
Evaluated at bid price : 18.47
Bid-YTW : 5.88 %
TRP.PR.C FixedReset Disc -1.63 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-01-30
Maturity Price : 12.05
Evaluated at bid price : 12.05
Bid-YTW : 5.93 %
IFC.PR.C FixedReset Ins Non -1.58 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-01-30
Maturity Price : 18.10
Evaluated at bid price : 18.10
Bid-YTW : 5.49 %
BAM.PR.T FixedReset Disc -1.56 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-01-30
Maturity Price : 15.80
Evaluated at bid price : 15.80
Bid-YTW : 5.80 %
RY.PR.M FixedReset Disc -1.53 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-01-30
Maturity Price : 18.71
Evaluated at bid price : 18.71
Bid-YTW : 5.27 %
NA.PR.W FixedReset Disc -1.36 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-01-30
Maturity Price : 16.69
Evaluated at bid price : 16.69
Bid-YTW : 5.39 %
BAM.PF.G FixedReset Disc -1.34 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-01-30
Maturity Price : 18.34
Evaluated at bid price : 18.34
Bid-YTW : 5.77 %
TRP.PR.K FixedReset Prem -1.17 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-05-31
Maturity Price : 25.00
Evaluated at bid price : 25.40
Bid-YTW : 4.57 %
IFC.PR.A FixedReset Ins Non -1.17 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-01-30
Maturity Price : 14.42
Evaluated at bid price : 14.42
Bid-YTW : 5.46 %
BAM.PF.E FixedReset Disc -1.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-01-30
Maturity Price : 17.10
Evaluated at bid price : 17.10
Bid-YTW : 5.75 %
BAM.PF.A FixedReset Disc -1.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-01-30
Maturity Price : 20.38
Evaluated at bid price : 20.38
Bid-YTW : 5.48 %
NA.PR.E FixedReset Disc -1.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-01-30
Maturity Price : 18.58
Evaluated at bid price : 18.58
Bid-YTW : 5.46 %
PWF.PR.A Floater -1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-01-30
Maturity Price : 12.37
Evaluated at bid price : 12.37
Bid-YTW : 5.60 %
TD.PF.K FixedReset Disc -1.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-01-30
Maturity Price : 19.70
Evaluated at bid price : 19.70
Bid-YTW : 5.23 %
MFC.PR.B Deemed-Retractible 1.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-01-30
Maturity Price : 22.26
Evaluated at bid price : 22.53
Bid-YTW : 5.22 %
Volume Highlights
Issue Index Shares
Traded		 Notes
PWF.PR.S Perpetual-Discount 592,800 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-01-30
Maturity Price : 22.27
Evaluated at bid price : 22.60
Bid-YTW : 5.32 %
BNS.PR.Z FixedReset Bank Non 125,400 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.42
Bid-YTW : 3.59 %
CU.PR.G Perpetual-Discount 82,999 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-01-30
Maturity Price : 21.82
Evaluated at bid price : 21.82
Bid-YTW : 5.25 %
CU.PR.C FixedReset Disc 67,200 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-01-30
Maturity Price : 17.06
Evaluated at bid price : 17.06
Bid-YTW : 5.49 %
RY.PR.J FixedReset Disc 44,140 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-01-30
Maturity Price : 19.45
Evaluated at bid price : 19.45
Bid-YTW : 5.24 %
RY.PR.H FixedReset Disc 42,655 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-01-30
Maturity Price : 18.00
Evaluated at bid price : 18.00
Bid-YTW : 5.02 %
There were 28 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
CCS.PR.C Deemed-Retractible Quote: 23.56 – 24.25
Spot Rate : 0.6900
Average : 0.5445

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-01-30
Maturity Price : 23.26
Evaluated at bid price : 23.56
Bid-YTW : 5.35 %
BAM.PF.E FixedReset Disc Quote: 17.10 – 17.54
Spot Rate : 0.4400
Average : 0.3013

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-01-30
Maturity Price : 17.10
Evaluated at bid price : 17.10
Bid-YTW : 5.75 %
IFC.PR.F Deemed-Retractible Quote: 24.66 – 24.99
Spot Rate : 0.3300
Average : 0.2129

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-01-30
Maturity Price : 24.24
Evaluated at bid price : 24.66
Bid-YTW : 5.42 %
EMA.PR.F FixedReset Disc Quote: 17.57 – 17.95
Spot Rate : 0.3800
Average : 0.2643

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-01-30
Maturity Price : 17.57
Evaluated at bid price : 17.57
Bid-YTW : 5.65 %
BNS.PR.I FixedReset Disc Quote: 20.04 – 20.43
Spot Rate : 0.3900
Average : 0.2781

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-01-30
Maturity Price : 20.04
Evaluated at bid price : 20.04
Bid-YTW : 5.02 %
BAM.PF.G FixedReset Disc Quote: 18.34 – 18.70
Spot Rate : 0.3600
Average : 0.2582

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-01-30
Maturity Price : 18.34
Evaluated at bid price : 18.34
Bid-YTW : 5.77 %
Market Action

January 29, 2020

The FOMC Statement was today:

Information received since the Federal Open Market Committee met in December indicates that the labor market remains strong and that economic activity has been rising at a moderate rate. Job gains have been solid, on average, in recent months, and the unemployment rate has remained low. Although household spending has been rising at a moderate pace, business fixed investment and exports remain weak. On a 12‑month basis, overall inflation and inflation for items other than food and energy are running below 2 percent. Market-based measures of inflation compensation remain low; survey-based measures of longer-term inflation expectations are little changed.

Consistent with its statutory mandate, the Committee seeks to foster maximum employment and price stability. The Committee decided to maintain the target range for the federal funds rate at 1‑1/2 to 1-3/4 percent. The Committee judges that the current stance of monetary policy is appropriate to support sustained expansion of economic activity, strong labor market conditions, and inflation returning to the Committee’s symmetric 2 percent objective. The Committee will continue to monitor the implications of incoming information for the economic outlook, including global developments and muted inflation pressures, as it assesses the appropriate path of the target range for the federal funds rate.

In determining the timing and size of future adjustments to the target range for the federal funds rate, the Committee will assess realized and expected economic conditions relative to its maximum employment objective and its symmetric 2 percent inflation objective. This assessment will take into account a wide range of information, including measures of labor market conditions, indicators of inflation pressures and inflation expectations, and readings on financial and international developments.

Voting for the monetary policy action were Jerome H. Powell, Chair; John C. Williams, Vice Chair; Michelle W. Bowman; Lael Brainard; Richard H. Clarida; Patrick Harker; Robert S. Kaplan; Neel Kashkari; Loretta J. Mester; and Randal K. Quarles.

Pundit chatter was muted.

The Canada five-year yield continued to drop on the week, closing at 1.34%, down 13bp from last week’s value.

PerpetualDiscounts now yield 5.31%, equivalent to 6.90% interest at the standard equivalency factor of 1.3x. Long corporates now yield 3.26%, so the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) has widened slightly (and perhaps spuriously) to 365bp from the 360bp reported January 22.

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 -0.0211 % 2,093.7
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.0211 % 3,841.8
Floater 5.84 % 6.02 % 48,228 13.84 4 -0.0211 % 2,214.0
OpRet 0.00 % 0.00 % 0 0.00 0 0.0585 % 3,461.9
SplitShare 4.75 % 4.18 % 36,056 3.71 6 0.0585 % 4,134.2
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0585 % 3,225.7
Perpetual-Premium 5.58 % 0.53 % 59,277 0.09 11 0.0610 % 3,062.9
Perpetual-Discount 5.23 % 5.31 % 70,484 14.91 24 0.1483 % 3,323.7
FixedReset Disc 5.46 % 5.35 % 198,836 14.85 64 0.2510 % 2,189.1
Deemed-Retractible 5.13 % 5.24 % 68,336 14.94 27 0.1833 % 3,259.4
FloatingReset 6.01 % 5.93 % 70,091 14.00 3 -0.0244 % 2,537.6
FixedReset Prem 5.08 % 3.55 % 135,581 1.48 22 0.1420 % 2,656.4
FixedReset Bank Non 1.94 % 3.58 % 71,810 1.95 3 0.0954 % 2,740.0
FixedReset Ins Non 5.32 % 5.33 % 124,556 14.80 22 0.0024 % 2,203.9
Performance Highlights
Issue Index Change Notes
BAM.PR.T FixedReset Disc 1.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-01-29
Maturity Price : 16.05
Evaluated at bid price : 16.05
Bid-YTW : 5.71 %
GWO.PR.G Deemed-Retractible 1.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-01-29
Maturity Price : 24.56
Evaluated at bid price : 24.81
Bid-YTW : 5.29 %
HSE.PR.G FixedReset Disc 1.35 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-01-29
Maturity Price : 18.73
Evaluated at bid price : 18.73
Bid-YTW : 6.56 %
RY.PR.J FixedReset Disc 1.40 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-01-29
Maturity Price : 19.57
Evaluated at bid price : 19.57
Bid-YTW : 5.21 %
TRP.PR.B FixedReset Disc 1.61 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-01-29
Maturity Price : 11.35
Evaluated at bid price : 11.35
Bid-YTW : 5.80 %
PWF.PR.P FixedReset Disc 1.73 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-01-29
Maturity Price : 13.55
Evaluated at bid price : 13.55
Bid-YTW : 5.38 %
PWF.PR.T FixedReset Disc 1.74 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-01-29
Maturity Price : 18.10
Evaluated at bid price : 18.10
Bid-YTW : 5.31 %
BAM.PF.B FixedReset Disc 1.94 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-01-29
Maturity Price : 18.95
Evaluated at bid price : 18.95
Bid-YTW : 5.44 %
Volume Highlights
Issue Index Shares
Traded		 Notes
PWF.PR.L Perpetual-Discount 231,900 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-01-29
Maturity Price : 23.34
Evaluated at bid price : 23.63
Bid-YTW : 5.41 %
BMO.PR.Q FixedReset Bank Non 200,299 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.23
Bid-YTW : 3.75 %
BNS.PR.Z FixedReset Bank Non 187,000 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.42
Bid-YTW : 3.58 %
TD.PF.G FixedReset Prem 82,400 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-04-30
Maturity Price : 25.00
Evaluated at bid price : 25.74
Bid-YTW : 3.05 %
SLF.PR.H FixedReset Ins Non 50,800 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-01-29
Maturity Price : 16.47
Evaluated at bid price : 16.47
Bid-YTW : 5.28 %
IFC.PR.C FixedReset Ins Non 49,000 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-01-29
Maturity Price : 18.39
Evaluated at bid price : 18.39
Bid-YTW : 5.40 %
There were 34 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: 19.00 – 19.37
Spot Rate : 0.3700
Average : 0.2321

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-01-29
Maturity Price : 19.00
Evaluated at bid price : 19.00
Bid-YTW : 5.19 %
HSE.PR.E FixedReset Disc Quote: 18.71 – 19.34
Spot Rate : 0.6300
Average : 0.4944

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-01-29
Maturity Price : 18.71
Evaluated at bid price : 18.71
Bid-YTW : 6.64 %
HSE.PR.A FixedReset Disc Quote: 11.45 – 11.78
Spot Rate : 0.3300
Average : 0.2117

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-01-29
Maturity Price : 11.45
Evaluated at bid price : 11.45
Bid-YTW : 6.67 %
BMO.PR.C FixedReset Disc Quote: 22.69 – 23.00
Spot Rate : 0.3100
Average : 0.2061

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-01-29
Maturity Price : 22.32
Evaluated at bid price : 22.69
Bid-YTW : 5.18 %
PWF.PR.T FixedReset Disc Quote: 18.10 – 18.57
Spot Rate : 0.4700
Average : 0.3711

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-01-29
Maturity Price : 18.10
Evaluated at bid price : 18.10
Bid-YTW : 5.31 %
MFC.PR.Q FixedReset Ins Non Quote: 19.43 – 19.75
Spot Rate : 0.3200
Average : 0.2231

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-01-29
Maturity Price : 19.43
Evaluated at bid price : 19.43
Bid-YTW : 5.27 %
Market Action

January 28, 2020

It was a decent day in the Canadian preferred share market today, presumably due to speculators buying the coronavirus dip:

U.S. stocks rebounded from the biggest one-day selloff in nearly four months, as investor concerns over the impact of the coronavirus outbreak in China seemed to recede for now.

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 1.5665 % 2,094.1
FixedFloater 0.00 % 0.00 % 0 0.00 0 1.5665 % 3,842.6
Floater 5.84 % 5.98 % 48,817 13.90 4 1.5665 % 2,214.5
OpRet 0.00 % 0.00 % 0 0.00 0 0.0715 % 3,459.8
SplitShare 4.76 % 4.22 % 35,903 3.71 6 0.0715 % 4,131.8
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0715 % 3,223.8
Perpetual-Premium 5.58 % 0.33 % 59,503 0.09 11 -0.0036 % 3,061.1
Perpetual-Discount 5.24 % 5.31 % 68,258 14.90 24 0.1808 % 3,318.8
FixedReset Disc 5.47 % 5.37 % 197,176 14.86 64 0.5466 % 2,183.6
Deemed-Retractible 5.14 % 5.25 % 69,156 14.86 27 -0.0652 % 3,253.4
FloatingReset 6.01 % 5.93 % 68,345 14.00 3 0.6636 % 2,538.2
FixedReset Prem 5.08 % 3.66 % 128,697 1.49 22 0.1939 % 2,652.6
FixedReset Bank Non 1.94 % 3.73 % 66,477 1.95 3 -0.0136 % 2,737.4
FixedReset Ins Non 5.32 % 5.34 % 124,186 14.83 22 0.5776 % 2,203.9
Performance Highlights
Issue Index Change Notes
BAM.PF.B FixedReset Disc -1.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-01-28
Maturity Price : 18.59
Evaluated at bid price : 18.59
Bid-YTW : 5.55 %
PWF.PR.K Perpetual-Discount -1.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-01-28
Maturity Price : 22.82
Evaluated at bid price : 23.10
Bid-YTW : 5.37 %
TD.PF.E FixedReset Disc 1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-01-28
Maturity Price : 19.73
Evaluated at bid price : 19.73
Bid-YTW : 5.33 %
IAF.PR.G FixedReset Ins Non 1.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-01-28
Maturity Price : 19.27
Evaluated at bid price : 19.27
Bid-YTW : 5.41 %
TD.PF.I FixedReset Disc 1.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-01-28
Maturity Price : 21.10
Evaluated at bid price : 21.10
Bid-YTW : 5.20 %
BNS.PR.I FixedReset Disc 1.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-01-28
Maturity Price : 20.26
Evaluated at bid price : 20.26
Bid-YTW : 4.96 %
BAM.PR.X FixedReset Disc 1.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-01-28
Maturity Price : 13.73
Evaluated at bid price : 13.73
Bid-YTW : 5.66 %
TRP.PR.G FixedReset Disc 1.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-01-28
Maturity Price : 18.71
Evaluated at bid price : 18.71
Bid-YTW : 5.80 %
BAM.PR.M Perpetual-Discount 1.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-01-28
Maturity Price : 21.86
Evaluated at bid price : 22.10
Bid-YTW : 5.42 %
BAM.PR.K Floater 1.21 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-01-28
Maturity Price : 11.69
Evaluated at bid price : 11.69
Bid-YTW : 5.98 %
TRP.PR.D FixedReset Disc 1.28 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-01-28
Maturity Price : 16.65
Evaluated at bid price : 16.65
Bid-YTW : 5.68 %
BMO.PR.T FixedReset Disc 1.28 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-01-28
Maturity Price : 17.42
Evaluated at bid price : 17.42
Bid-YTW : 5.24 %
RY.PR.M FixedReset Disc 1.29 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-01-28
Maturity Price : 18.88
Evaluated at bid price : 18.88
Bid-YTW : 5.22 %
HSE.PR.C FixedReset Disc 1.33 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-01-28
Maturity Price : 17.55
Evaluated at bid price : 17.55
Bid-YTW : 6.54 %
BMO.PR.S FixedReset Disc 1.56 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-01-28
Maturity Price : 18.18
Evaluated at bid price : 18.18
Bid-YTW : 5.19 %
TRP.PR.C FixedReset Disc 1.58 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-01-28
Maturity Price : 12.25
Evaluated at bid price : 12.25
Bid-YTW : 5.83 %
SLF.PR.G FixedReset Ins Non 1.72 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-01-28
Maturity Price : 13.04
Evaluated at bid price : 13.04
Bid-YTW : 5.30 %
TRP.PR.F FloatingReset 1.72 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-01-28
Maturity Price : 14.19
Evaluated at bid price : 14.19
Bid-YTW : 6.35 %
TRP.PR.A FixedReset Disc 1.76 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-01-28
Maturity Price : 14.46
Evaluated at bid price : 14.46
Bid-YTW : 5.81 %
IFC.PR.C FixedReset Ins Non 1.77 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-01-28
Maturity Price : 18.42
Evaluated at bid price : 18.42
Bid-YTW : 5.39 %
PWF.PR.A Floater 1.96 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-01-28
Maturity Price : 12.50
Evaluated at bid price : 12.50
Bid-YTW : 5.54 %
TRP.PR.E FixedReset Disc 2.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-01-28
Maturity Price : 16.36
Evaluated at bid price : 16.36
Bid-YTW : 5.70 %
BAM.PR.B Floater 2.21 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-01-28
Maturity Price : 11.55
Evaluated at bid price : 11.55
Bid-YTW : 6.06 %
Volume Highlights
Issue Index Shares
Traded		 Notes
BNS.PR.G FixedReset Prem 185,375 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-07-25
Maturity Price : 25.00
Evaluated at bid price : 25.90
Bid-YTW : 3.05 %
RY.PR.Z FixedReset Disc 80,893 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-01-28
Maturity Price : 17.70
Evaluated at bid price : 17.70
Bid-YTW : 5.06 %
RY.PR.R FixedReset Prem 54,370 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-08-24
Maturity Price : 25.00
Evaluated at bid price : 25.88
Bid-YTW : 2.96 %
NA.PR.A FixedReset Prem 43,394 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-08-15
Maturity Price : 25.00
Evaluated at bid price : 25.74
Bid-YTW : 3.28 %
HSE.PR.A FixedReset Disc 43,305 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-01-28
Maturity Price : 11.52
Evaluated at bid price : 11.52
Bid-YTW : 6.63 %
TD.PF.B FixedReset Disc 36,213 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-01-28
Maturity Price : 17.46
Evaluated at bid price : 17.46
Bid-YTW : 5.21 %
There were 19 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
BAM.PR.R FixedReset Disc Quote: 15.70 – 16.25
Spot Rate : 0.5500
Average : 0.3896

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-01-28
Maturity Price : 15.70
Evaluated at bid price : 15.70
Bid-YTW : 5.77 %
BAM.PR.Z FixedReset Disc Quote: 19.86 – 20.28
Spot Rate : 0.4200
Average : 0.2602

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-01-28
Maturity Price : 19.86
Evaluated at bid price : 19.86
Bid-YTW : 5.55 %
CU.PR.E Perpetual-Discount Quote: 23.50 – 23.91
Spot Rate : 0.4100
Average : 0.2616

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-01-28
Maturity Price : 23.06
Evaluated at bid price : 23.50
Bid-YTW : 5.28 %
EMA.PR.E Perpetual-Discount Quote: 21.60 – 22.00
Spot Rate : 0.4000
Average : 0.2588

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-01-28
Maturity Price : 21.60
Evaluated at bid price : 21.60
Bid-YTW : 5.30 %
GWO.PR.G Deemed-Retractible Quote: 24.51 – 24.87
Spot Rate : 0.3600
Average : 0.2342

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-01-28
Maturity Price : 24.22
Evaluated at bid price : 24.51
Bid-YTW : 5.35 %
BAM.PF.B FixedReset Disc Quote: 18.59 – 18.96
Spot Rate : 0.3700
Average : 0.2496

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-01-28
Maturity Price : 18.59
Evaluated at bid price : 18.59
Bid-YTW : 5.55 %
Market Action

January 27, 2020

Weakness since the BoC rate announcement on January 22 is continuing, with new chatter that global tourism will take a hit. Looks like all the speculators have decided that all yields are going to and through zero with familiar, but still perplexing, effects on FixedReset prices … the TXPR price index is now negative on the month, although the total return value is still barely positive.

The alarm is well-illustrated by Robert McLister in the Globe:

The Wuhan coronavirus, which at last count has killed more than 80 people and infected more than 2,800 in China, is about to make fixed mortgage rates cheaper for Canadians.

The new coronavirus is spreading fear throughout financial markets, conjuring memories of the 2003 SARS epidemic that killed 774 and knocked at least one-10th of a percentage point off Canada’s GDP.

The present contagion creates yet another risk for Canada’s economy. Investors worry it’ll disrupt Asian trade and hurt confidence, spending and oil prices. That would create deflationary pressure, and inflation expectations are the No. 1 driver of interest rates.

The timing for a potential pandemic is never good, but this news is particularly ill-timed. It comes as fears of an economic slowdown intensified after last Wednesday’s somewhat gloomy Bank of Canada statement.

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 -3.2794 % 2,061.8
FixedFloater 0.00 % 0.00 % 0 0.00 0 -3.2794 % 3,783.3
Floater 5.93 % 6.06 % 48,158 13.80 4 -3.2794 % 2,180.4
OpRet 0.00 % 0.00 % 0 0.00 0 -0.0195 % 3,457.4
SplitShare 4.76 % 4.50 % 34,810 3.71 6 -0.0195 % 4,128.8
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.0195 % 3,221.5
Perpetual-Premium 5.58 % 0.61 % 59,657 0.09 11 -0.0036 % 3,061.2
Perpetual-Discount 5.25 % 5.33 % 69,036 14.89 24 -0.1983 % 3,312.8
FixedReset Disc 5.50 % 5.38 % 196,949 14.81 64 -0.7193 % 2,171.7
Deemed-Retractible 5.14 % 5.23 % 66,440 14.86 27 0.0124 % 3,255.6
FloatingReset 6.05 % 5.93 % 68,120 14.00 3 -1.0457 % 2,521.5
FixedReset Prem 5.09 % 3.54 % 129,678 1.49 22 0.0730 % 2,647.5
FixedReset Bank Non 1.94 % 3.70 % 66,695 1.96 3 -0.0953 % 2,737.8
FixedReset Ins Non 5.35 % 5.38 % 125,476 14.79 22 -0.9383 % 2,191.2
Performance Highlights
Issue Index Change Notes
BAM.PR.B Floater -5.44 % The closing quote was 11.30-60; not completely ridiculous because the closing price was 11.53, down 4% (close/close) on good volume for this issue of 26,715. But still, a pretty suspicious closing bid.

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-01-27
Maturity Price : 11.30
Evaluated at bid price : 11.30
Bid-YTW : 6.19 %
TRP.PR.C FixedReset Disc -3.44 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-01-27
Maturity Price : 12.06
Evaluated at bid price : 12.06
Bid-YTW : 5.92 %
BAM.PR.K Floater -3.35 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-01-27
Maturity Price : 11.55
Evaluated at bid price : 11.55
Bid-YTW : 6.06 %
BAM.PR.C Floater -3.28 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-01-27
Maturity Price : 11.49
Evaluated at bid price : 11.49
Bid-YTW : 6.09 %
SLF.PR.G FixedReset Ins Non -3.25 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-01-27
Maturity Price : 12.82
Evaluated at bid price : 12.82
Bid-YTW : 5.39 %
TRP.PR.B FixedReset Disc -2.86 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-01-27
Maturity Price : 11.22
Evaluated at bid price : 11.22
Bid-YTW : 5.87 %
TRP.PR.E FixedReset Disc -2.32 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-01-27
Maturity Price : 16.02
Evaluated at bid price : 16.02
Bid-YTW : 5.82 %
PWF.PR.P FixedReset Disc -2.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-01-27
Maturity Price : 13.22
Evaluated at bid price : 13.22
Bid-YTW : 5.51 %
GWO.PR.N FixedReset Ins Non -2.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-01-27
Maturity Price : 13.36
Evaluated at bid price : 13.36
Bid-YTW : 4.93 %
TD.PF.E FixedReset Disc -1.86 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-01-27
Maturity Price : 19.53
Evaluated at bid price : 19.53
Bid-YTW : 5.39 %
TRP.PR.D FixedReset Disc -1.85 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-01-27
Maturity Price : 16.44
Evaluated at bid price : 16.44
Bid-YTW : 5.75 %
SLF.PR.I FixedReset Ins Non -1.82 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-01-27
Maturity Price : 18.91
Evaluated at bid price : 18.91
Bid-YTW : 5.39 %
HSE.PR.A FixedReset Disc -1.81 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-01-27
Maturity Price : 11.41
Evaluated at bid price : 11.41
Bid-YTW : 6.69 %
IAF.PR.G FixedReset Ins Non -1.80 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-01-27
Maturity Price : 19.07
Evaluated at bid price : 19.07
Bid-YTW : 5.47 %
CM.PR.Q FixedReset Disc -1.74 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-01-27
Maturity Price : 18.68
Evaluated at bid price : 18.68
Bid-YTW : 5.52 %
MFC.PR.K FixedReset Ins Non -1.71 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-01-27
Maturity Price : 17.79
Evaluated at bid price : 17.79
Bid-YTW : 5.32 %
IFC.PR.A FixedReset Ins Non -1.70 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-01-27
Maturity Price : 14.43
Evaluated at bid price : 14.43
Bid-YTW : 5.45 %
SLF.PR.J FloatingReset -1.36 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-01-27
Maturity Price : 13.03
Evaluated at bid price : 13.03
Bid-YTW : 5.92 %
TRP.PR.G FixedReset Disc -1.33 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-01-27
Maturity Price : 18.50
Evaluated at bid price : 18.50
Bid-YTW : 5.87 %
PWF.PR.S Perpetual-Discount -1.32 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-01-27
Maturity Price : 22.20
Evaluated at bid price : 22.50
Bid-YTW : 5.35 %
TD.PF.I FixedReset Disc -1.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-01-27
Maturity Price : 20.88
Evaluated at bid price : 20.88
Bid-YTW : 5.26 %
BAM.PF.G FixedReset Disc -1.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-01-27
Maturity Price : 18.60
Evaluated at bid price : 18.60
Bid-YTW : 5.68 %
HSE.PR.G FixedReset Disc -1.18 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-01-27
Maturity Price : 18.49
Evaluated at bid price : 18.49
Bid-YTW : 6.64 %
CM.PR.O FixedReset Disc -1.17 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-01-27
Maturity Price : 16.88
Evaluated at bid price : 16.88
Bid-YTW : 5.47 %
BAM.PF.E FixedReset Disc -1.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-01-27
Maturity Price : 17.05
Evaluated at bid price : 17.05
Bid-YTW : 5.76 %
TRP.PR.F FloatingReset -1.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-01-27
Maturity Price : 13.95
Evaluated at bid price : 13.95
Bid-YTW : 6.46 %
MFC.PR.Q FixedReset Ins Non -1.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-01-27
Maturity Price : 19.26
Evaluated at bid price : 19.26
Bid-YTW : 5.32 %
PWF.PR.A Floater -1.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-01-27
Maturity Price : 12.26
Evaluated at bid price : 12.26
Bid-YTW : 5.64 %
PWF.PR.Z Perpetual-Discount -1.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-01-27
Maturity Price : 23.48
Evaluated at bid price : 23.86
Bid-YTW : 5.41 %
MFC.PR.F FixedReset Ins Non -1.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-01-27
Maturity Price : 12.70
Evaluated at bid price : 12.70
Bid-YTW : 5.38 %
MFC.PR.H FixedReset Ins Non -1.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-01-27
Maturity Price : 20.90
Evaluated at bid price : 20.90
Bid-YTW : 5.39 %
BAM.PR.R FixedReset Disc -1.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-01-27
Maturity Price : 15.64
Evaluated at bid price : 15.64
Bid-YTW : 5.79 %
MFC.PR.N FixedReset Ins Non -1.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-01-27
Maturity Price : 17.02
Evaluated at bid price : 17.02
Bid-YTW : 5.41 %
TD.PF.K FixedReset Disc -1.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-01-27
Maturity Price : 19.70
Evaluated at bid price : 19.70
Bid-YTW : 5.23 %
IAF.PR.B Deemed-Retractible 1.40 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-01-27
Maturity Price : 22.10
Evaluated at bid price : 22.38
Bid-YTW : 5.18 %
Volume Highlights
Issue Index Shares
Traded		 Notes
BAM.PR.K Floater 52,600 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-01-27
Maturity Price : 11.55
Evaluated at bid price : 11.55
Bid-YTW : 6.06 %
BIP.PR.C FixedReset Prem 46,200 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-09-30
Maturity Price : 25.00
Evaluated at bid price : 25.30
Bid-YTW : 4.87 %
RY.PR.H FixedReset Disc 43,350 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-01-27
Maturity Price : 17.86
Evaluated at bid price : 17.86
Bid-YTW : 5.05 %
CM.PR.O FixedReset Disc 42,500 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-01-27
Maturity Price : 16.88
Evaluated at bid price : 16.88
Bid-YTW : 5.47 %
BAM.PF.A FixedReset Disc 39,550 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-01-27
Maturity Price : 20.41
Evaluated at bid price : 20.41
Bid-YTW : 5.46 %
TD.PF.M FixedReset Disc 28,828 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-01-27
Maturity Price : 22.98
Evaluated at bid price : 24.41
Bid-YTW : 5.00 %
There were 23 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
NA.PR.G FixedReset Disc Quote: 19.72 – 20.18
Spot Rate : 0.4600
Average : 0.3068

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-01-27
Maturity Price : 19.72
Evaluated at bid price : 19.72
Bid-YTW : 5.45 %
BNS.PR.I FixedReset Disc Quote: 20.04 – 20.51
Spot Rate : 0.4700
Average : 0.3281

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-01-27
Maturity Price : 20.04
Evaluated at bid price : 20.04
Bid-YTW : 5.03 %
ELF.PR.G Perpetual-Discount Quote: 22.06 – 22.53
Spot Rate : 0.4700
Average : 0.3628

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-01-27
Maturity Price : 21.82
Evaluated at bid price : 22.06
Bid-YTW : 5.41 %
SLF.PR.I FixedReset Ins Non Quote: 18.91 – 19.25
Spot Rate : 0.3400
Average : 0.2360

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-01-27
Maturity Price : 18.91
Evaluated at bid price : 18.91
Bid-YTW : 5.39 %
CM.PR.Y FixedReset Disc Quote: 24.36 – 24.70
Spot Rate : 0.3400
Average : 0.2363

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-01-27
Maturity Price : 22.96
Evaluated at bid price : 24.36
Bid-YTW : 5.08 %
CM.PR.Q FixedReset Disc Quote: 18.68 – 18.98
Spot Rate : 0.3000
Average : 0.1975

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-01-27
Maturity Price : 18.68
Evaluated at bid price : 18.68
Bid-YTW : 5.52 %