Category: Market Action

Market Action

August 21, 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 % 1,595.2
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.0000 % 2,927.1
Floater 5.24 % 5.32 % 59,309 14.90 3 0.0000 % 1,686.9
OpRet 0.00 % 0.00 % 0 0.00 0 -0.2682 % 3,511.4
SplitShare 4.70 % 4.24 % 39,835 3.27 8 -0.2682 % 4,193.3
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.2682 % 3,271.8
Perpetual-Premium 5.56 % 4.67 % 81,986 4.01 4 0.0298 % 3,096.1
Perpetual-Discount 5.42 % 5.59 % 78,773 14.39 31 0.1205 % 3,365.4
FixedReset Disc 5.57 % 4.36 % 123,913 16.08 67 0.2549 % 2,058.5
Deemed-Retractible 5.20 % 5.30 % 92,690 14.62 27 0.0031 % 3,300.7
FloatingReset 2.90 % 2.13 % 39,760 1.42 3 0.0225 % 1,774.1
FixedReset Prem 5.27 % 4.39 % 221,622 0.90 11 -0.1474 % 2,610.6
FixedReset Bank Non 1.97 % 2.38 % 111,296 1.42 2 -0.6263 % 2,817.7
FixedReset Ins Non 5.85 % 4.67 % 87,242 15.79 22 -0.0699 % 2,054.3
Performance Highlights
Issue Index Change Notes
TD.PF.D FixedReset Disc -2.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-21
Maturity Price : 18.77
Evaluated at bid price : 18.77
Bid-YTW : 4.31 %
TRP.PR.K FixedReset Disc -1.83 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-21
Maturity Price : 23.81
Evaluated at bid price : 24.15
Bid-YTW : 5.07 %
EIT.PR.B SplitShare -1.77 % YTW SCENARIO
Maturity Type : Soft Maturity
Maturity Date : 2025-03-14
Maturity Price : 25.00
Evaluated at bid price : 25.00
Bid-YTW : 4.75 %
MFC.PR.F FixedReset Ins Non -1.31 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-21
Maturity Price : 9.81
Evaluated at bid price : 9.81
Bid-YTW : 4.70 %
TRP.PR.A FixedReset Disc -1.30 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-21
Maturity Price : 12.19
Evaluated at bid price : 12.19
Bid-YTW : 5.52 %
MFC.PR.H FixedReset Ins Non -1.28 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-21
Maturity Price : 19.30
Evaluated at bid price : 19.30
Bid-YTW : 4.68 %
BMO.PR.Q FixedReset Bank Non -1.26 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.34
Bid-YTW : 3.61 %
IFC.PR.G FixedReset Ins Non -1.24 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-21
Maturity Price : 17.53
Evaluated at bid price : 17.53
Bid-YTW : 4.75 %
TRP.PR.C FixedReset Disc 1.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-21
Maturity Price : 9.00
Evaluated at bid price : 9.00
Bid-YTW : 5.52 %
CM.PR.R FixedReset Disc 1.44 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-21
Maturity Price : 22.20
Evaluated at bid price : 22.50
Bid-YTW : 4.31 %
MFC.PR.M FixedReset Ins Non 1.57 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-21
Maturity Price : 16.15
Evaluated at bid price : 16.15
Bid-YTW : 4.67 %
BAM.PR.R FixedReset Disc 1.72 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-21
Maturity Price : 13.00
Evaluated at bid price : 13.00
Bid-YTW : 5.34 %
TD.PF.E FixedReset Disc 7.91 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-21
Maturity Price : 20.20
Evaluated at bid price : 20.20
Bid-YTW : 4.11 %
Volume Highlights
Issue Index Shares
Traded		 Notes
NA.PR.S FixedReset Disc 57,700 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-21
Maturity Price : 17.30
Evaluated at bid price : 17.30
Bid-YTW : 4.44 %
BMO.PR.C FixedReset Disc 41,300 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-21
Maturity Price : 22.78
Evaluated at bid price : 23.15
Bid-YTW : 4.11 %
BAM.PR.R FixedReset Disc 37,600 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-21
Maturity Price : 13.00
Evaluated at bid price : 13.00
Bid-YTW : 5.34 %
GWO.PR.M Deemed-Retractible 34,800 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-21
Maturity Price : 24.87
Evaluated at bid price : 25.18
Bid-YTW : 5.84 %
CM.PR.S FixedReset Disc 30,900 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-21
Maturity Price : 18.85
Evaluated at bid price : 18.85
Bid-YTW : 4.14 %
CM.PR.Q FixedReset Disc 21,900 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-21
Maturity Price : 18.46
Evaluated at bid price : 18.46
Bid-YTW : 4.36 %
There were 10 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
TD.PF.D FixedReset Disc Quote: 18.77 – 19.69
Spot Rate : 0.9200
Average : 0.6175

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-21
Maturity Price : 18.77
Evaluated at bid price : 18.77
Bid-YTW : 4.31 %
TRP.PR.A FixedReset Disc Quote: 12.19 – 12.59
Spot Rate : 0.4000
Average : 0.2558

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-21
Maturity Price : 12.19
Evaluated at bid price : 12.19
Bid-YTW : 5.52 %
BMO.PR.W FixedReset Disc Quote: 17.65 – 18.08
Spot Rate : 0.4300
Average : 0.2963

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-21
Maturity Price : 17.65
Evaluated at bid price : 17.65
Bid-YTW : 4.13 %
BMO.PR.Q FixedReset Bank Non Quote: 24.34 – 24.80
Spot Rate : 0.4600
Average : 0.3277

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.34
Bid-YTW : 3.61 %
BIK.PR.A FixedReset Disc Quote: 25.00 – 25.34
Spot Rate : 0.3400
Average : 0.2122

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-21
Maturity Price : 23.29
Evaluated at bid price : 25.00
Bid-YTW : 5.87 %
EIT.PR.A SplitShare Quote: 25.40 – 27.00
Spot Rate : 1.6000
Average : 1.4911

YTW SCENARIO
Maturity Type : Soft Maturity
Maturity Date : 2024-03-14
Maturity Price : 25.00
Evaluated at bid price : 25.40
Bid-YTW : 4.24 %
Market Action

August 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 -0.0408 % 1,591.3
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.0408 % 2,920.0
Floater 5.25 % 5.32 % 62,386 14.90 3 -0.0408 % 1,682.8
OpRet 0.00 % 0.00 % 0 0.00 0 0.0099 % 3,512.1
SplitShare 4.65 % 4.30 % 40,676 3.24 8 0.0099 % 4,194.2
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0099 % 3,272.5
Perpetual-Premium 5.55 % 4.69 % 84,896 4.01 4 0.0695 % 3,096.7
Perpetual-Discount 5.43 % 5.64 % 80,456 14.38 31 0.0699 % 3,361.6
FixedReset Disc 5.58 % 4.39 % 129,774 16.07 67 1.0582 % 2,053.3
Deemed-Retractible 5.21 % 5.30 % 93,343 14.59 27 0.0915 % 3,295.2
FloatingReset 2.90 % 2.12 % 43,071 1.43 3 0.6795 % 1,775.7
FixedReset Prem 5.26 % 4.22 % 227,756 0.90 11 0.0792 % 2,615.0
FixedReset Bank Non 1.96 % 2.54 % 111,280 1.42 2 -0.5242 % 2,826.3
FixedReset Ins Non 5.83 % 4.62 % 88,405 15.80 22 0.4094 % 2,061.1
Performance Highlights
Issue Index Change Notes
TD.PF.E FixedReset Disc -5.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-19
Maturity Price : 18.72
Evaluated at bid price : 18.72
Bid-YTW : 4.43 %
CU.PR.C FixedReset Disc -2.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-19
Maturity Price : 15.43
Evaluated at bid price : 15.43
Bid-YTW : 4.67 %
GWO.PR.N FixedReset Ins Non -1.34 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-19
Maturity Price : 9.60
Evaluated at bid price : 9.60
Bid-YTW : 4.58 %
BIK.PR.A FixedReset Disc -1.32 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-19
Maturity Price : 23.15
Evaluated at bid price : 24.62
Bid-YTW : 5.97 %
BAM.PF.J FixedReset Disc -1.29 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-19
Maturity Price : 22.92
Evaluated at bid price : 23.69
Bid-YTW : 5.04 %
BAM.PR.X FixedReset Disc 1.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-19
Maturity Price : 11.05
Evaluated at bid price : 11.05
Bid-YTW : 5.23 %
IFC.PR.C FixedReset Ins Non 1.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-19
Maturity Price : 15.90
Evaluated at bid price : 15.90
Bid-YTW : 4.94 %
NA.PR.W FixedReset Disc 1.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-19
Maturity Price : 16.82
Evaluated at bid price : 16.82
Bid-YTW : 4.40 %
MFC.PR.H FixedReset Ins Non 1.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-19
Maturity Price : 19.57
Evaluated at bid price : 19.57
Bid-YTW : 4.61 %
TD.PF.A FixedReset Disc 1.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-19
Maturity Price : 17.70
Evaluated at bid price : 17.70
Bid-YTW : 4.09 %
BMO.PR.W FixedReset Disc 1.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-19
Maturity Price : 17.60
Evaluated at bid price : 17.60
Bid-YTW : 4.14 %
NA.PR.S FixedReset Disc 1.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-19
Maturity Price : 17.50
Evaluated at bid price : 17.50
Bid-YTW : 4.39 %
CM.PR.O FixedReset Disc 1.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-19
Maturity Price : 17.47
Evaluated at bid price : 17.47
Bid-YTW : 4.26 %
BAM.PR.Z FixedReset Disc 1.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-19
Maturity Price : 16.50
Evaluated at bid price : 16.50
Bid-YTW : 5.52 %
BAM.PF.A FixedReset Disc 1.25 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-19
Maturity Price : 17.05
Evaluated at bid price : 17.05
Bid-YTW : 5.43 %
TRP.PR.C FixedReset Disc 1.37 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-19
Maturity Price : 8.90
Evaluated at bid price : 8.90
Bid-YTW : 5.58 %
BAM.PR.T FixedReset Disc 1.39 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-19
Maturity Price : 13.17
Evaluated at bid price : 13.17
Bid-YTW : 5.43 %
MFC.PR.K FixedReset Ins Non 1.40 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-19
Maturity Price : 15.97
Evaluated at bid price : 15.97
Bid-YTW : 4.58 %
MFC.PR.J FixedReset Ins Non 1.45 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-19
Maturity Price : 17.50
Evaluated at bid price : 17.50
Bid-YTW : 4.66 %
NA.PR.C FixedReset Disc 1.47 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-19
Maturity Price : 22.44
Evaluated at bid price : 22.85
Bid-YTW : 4.28 %
TD.PF.D FixedReset Disc 1.59 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-19
Maturity Price : 19.20
Evaluated at bid price : 19.20
Bid-YTW : 4.21 %
NA.PR.E FixedReset Disc 1.73 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-19
Maturity Price : 18.83
Evaluated at bid price : 18.83
Bid-YTW : 4.31 %
RY.PR.Z FixedReset Disc 1.77 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-19
Maturity Price : 17.81
Evaluated at bid price : 17.81
Bid-YTW : 3.99 %
MFC.PR.F FixedReset Ins Non 1.87 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-19
Maturity Price : 9.80
Evaluated at bid price : 9.80
Bid-YTW : 4.70 %
SLF.PR.J FloatingReset 2.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-19
Maturity Price : 9.30
Evaluated at bid price : 9.30
Bid-YTW : 4.27 %
SLF.PR.G FixedReset Ins Non 3.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-19
Maturity Price : 10.21
Evaluated at bid price : 10.21
Bid-YTW : 4.54 %
TD.PF.L FixedReset Disc 23.68 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-19
Maturity Price : 22.64
Evaluated at bid price : 23.50
Bid-YTW : 4.20 %
RY.PR.M FixedReset Disc 54.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-19
Maturity Price : 18.45
Evaluated at bid price : 18.45
Bid-YTW : 4.14 %
Volume Highlights
Issue Index Shares
Traded		 Notes
BMO.PR.C FixedReset Disc 225,500 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-19
Maturity Price : 22.64
Evaluated at bid price : 23.01
Bid-YTW : 4.14 %
RY.PR.M FixedReset Disc 118,570 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-19
Maturity Price : 18.45
Evaluated at bid price : 18.45
Bid-YTW : 4.14 %
BAM.PF.B FixedReset Disc 85,000 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-19
Maturity Price : 15.40
Evaluated at bid price : 15.40
Bid-YTW : 5.56 %
BAM.PF.H FixedReset Disc 84,302 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-19
Maturity Price : 24.57
Evaluated at bid price : 25.10
Bid-YTW : 5.02 %
MFC.PR.R FixedReset Ins Non 58,350 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-19
Maturity Price : 23.30
Evaluated at bid price : 23.71
Bid-YTW : 4.50 %
RY.PR.F Deemed-Retractible 48,063 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2020-09-18
Maturity Price : 25.00
Evaluated at bid price : 25.04
Bid-YTW : 1.76 %
There were 28 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
TD.PF.E FixedReset Disc Quote: 18.72 – 20.21
Spot Rate : 1.4900
Average : 1.0281

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-19
Maturity Price : 18.72
Evaluated at bid price : 18.72
Bid-YTW : 4.43 %
BAM.PR.X FixedReset Disc Quote: 11.05 – 12.50
Spot Rate : 1.4500
Average : 1.0459

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-19
Maturity Price : 11.05
Evaluated at bid price : 11.05
Bid-YTW : 5.23 %
EIT.PR.A SplitShare Quote: 25.61 – 27.00
Spot Rate : 1.3900
Average : 1.1216

YTW SCENARIO
Maturity Type : Soft Maturity
Maturity Date : 2024-03-14
Maturity Price : 25.00
Evaluated at bid price : 25.61
Bid-YTW : 4.34 %
BAM.PF.J FixedReset Disc Quote: 23.69 – 24.48
Spot Rate : 0.7900
Average : 0.6088

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-19
Maturity Price : 22.92
Evaluated at bid price : 23.69
Bid-YTW : 5.04 %
PVS.PR.H SplitShare Quote: 24.56 – 24.93
Spot Rate : 0.3700
Average : 0.2791

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2027-02-28
Maturity Price : 25.00
Evaluated at bid price : 24.56
Bid-YTW : 5.22 %
BMO.PR.Q FixedReset Bank Non Quote: 24.55 – 24.85
Spot Rate : 0.3000
Average : 0.2186

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.55
Bid-YTW : 2.99 %
Market Action

August 18, 2020

HIMIPref™ Preferred Indices
These values reflect the December 2008 revision of the HIMIPref™ Indices
Values are provisional and are finalized monthly
Index Mean
Current
Yield
(at bid)		 Median
YTW		 Median
Average
Trading
Value		 Median
Mod Dur
(YTW)		 Issues Day’s Perf. Index Value
Ratchet 0.00 % 0.00 % 0 0.00 0 -1.4865 % 1,592.0
FixedFloater 0.00 % 0.00 % 0 0.00 0 -1.4865 % 2,921.2
Floater 5.25 % 5.31 % 63,258 14.91 3 -1.4865 % 1,683.5
OpRet 0.00 % 0.00 % 0 0.00 0 0.1678 % 3,511.7
SplitShare 4.65 % 4.30 % 42,338 3.24 8 0.1678 % 4,193.8
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.1678 % 3,272.1
Perpetual-Premium 5.56 % 4.72 % 87,932 4.02 4 0.0199 % 3,094.5
Perpetual-Discount 5.43 % 5.65 % 78,074 14.36 31 -0.0192 % 3,359.2
FixedReset Disc 5.64 % 4.44 % 123,949 15.96 67 -0.0416 % 2,031.8
Deemed-Retractible 5.22 % 5.32 % 94,725 14.59 27 0.0394 % 3,292.2
FloatingReset 2.92 % 2.26 % 39,864 1.43 3 0.0907 % 1,763.8
FixedReset Prem 5.27 % 4.21 % 230,557 0.91 11 -0.1509 % 2,612.9
FixedReset Bank Non 1.95 % 2.45 % 106,465 1.43 2 -0.1610 % 2,841.2
FixedReset Ins Non 5.85 % 4.66 % 89,488 15.80 22 0.1997 % 2,052.7
Performance Highlights
Issue Index Change Notes
TD.PF.L FixedReset Disc -19.59 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-18
Maturity Price : 19.00
Evaluated at bid price : 19.00
Bid-YTW : 5.33 %
MFC.PR.F FixedReset Ins Non -4.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-18
Maturity Price : 9.62
Evaluated at bid price : 9.62
Bid-YTW : 4.79 %
GWO.PR.N FixedReset Ins Non -2.70 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-18
Maturity Price : 9.73
Evaluated at bid price : 9.73
Bid-YTW : 4.52 %
IFC.PR.C FixedReset Ins Non -2.30 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-18
Maturity Price : 15.73
Evaluated at bid price : 15.73
Bid-YTW : 4.99 %
BAM.PR.B Floater -2.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-18
Maturity Price : 8.15
Evaluated at bid price : 8.15
Bid-YTW : 5.33 %
BAM.PR.T FixedReset Disc -1.89 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-18
Maturity Price : 12.99
Evaluated at bid price : 12.99
Bid-YTW : 5.50 %
BAM.PR.C Floater -1.45 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-18
Maturity Price : 8.18
Evaluated at bid price : 8.18
Bid-YTW : 5.31 %
SLF.PR.G FixedReset Ins Non -1.39 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-18
Maturity Price : 9.91
Evaluated at bid price : 9.91
Bid-YTW : 4.68 %
TD.PF.G FixedReset Prem -1.02 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-04-30
Maturity Price : 25.00
Evaluated at bid price : 25.30
Bid-YTW : 4.11 %
TD.PF.D FixedReset Disc 1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-18
Maturity Price : 18.90
Evaluated at bid price : 18.90
Bid-YTW : 4.28 %
BMO.PR.S FixedReset Disc 1.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-18
Maturity Price : 17.50
Evaluated at bid price : 17.50
Bid-YTW : 4.25 %
TD.PF.A FixedReset Disc 1.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-18
Maturity Price : 17.50
Evaluated at bid price : 17.50
Bid-YTW : 4.14 %
CM.PR.Q FixedReset Disc 1.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-18
Maturity Price : 18.27
Evaluated at bid price : 18.27
Bid-YTW : 4.41 %
TRP.PR.B FixedReset Disc 1.18 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-18
Maturity Price : 8.55
Evaluated at bid price : 8.55
Bid-YTW : 5.04 %
TD.PF.B FixedReset Disc 1.21 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-18
Maturity Price : 17.51
Evaluated at bid price : 17.51
Bid-YTW : 4.16 %
IFC.PR.G FixedReset Ins Non 1.37 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-18
Maturity Price : 17.75
Evaluated at bid price : 17.75
Bid-YTW : 4.69 %
BMO.PR.T FixedReset Disc 1.57 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-18
Maturity Price : 16.81
Evaluated at bid price : 16.81
Bid-YTW : 4.27 %
MFC.PR.L FixedReset Ins Non 2.62 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-18
Maturity Price : 14.88
Evaluated at bid price : 14.88
Bid-YTW : 4.75 %
MFC.PR.J FixedReset Ins Non 6.68 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-18
Maturity Price : 17.25
Evaluated at bid price : 17.25
Bid-YTW : 4.73 %
Volume Highlights
Issue Index Shares
Traded		 Notes
BAM.PF.A FixedReset Disc 165,181 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-18
Maturity Price : 16.84
Evaluated at bid price : 16.84
Bid-YTW : 5.50 %
TD.PF.M FixedReset Disc 155,139 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-18
Maturity Price : 23.03
Evaluated at bid price : 24.40
Bid-YTW : 4.25 %
RY.PR.Q FixedReset Prem 103,900 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-05-24
Maturity Price : 25.00
Evaluated at bid price : 25.31
Bid-YTW : 3.72 %
BNS.PR.H FixedReset Prem 103,200 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-01-26
Maturity Price : 25.00
Evaluated at bid price : 25.30
Bid-YTW : 4.21 %
NA.PR.A FixedReset Prem 66,800 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-08-15
Maturity Price : 25.00
Evaluated at bid price : 25.18
Bid-YTW : 4.74 %
CM.PR.P FixedReset Disc 34,400 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-18
Maturity Price : 17.47
Evaluated at bid price : 17.47
Bid-YTW : 4.27 %
There were 13 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: 19.00 – 23.81
Spot Rate : 4.8100
Average : 2.7886

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-18
Maturity Price : 19.00
Evaluated at bid price : 19.00
Bid-YTW : 5.33 %
RY.PR.M FixedReset Disc Quote: 11.98 – 18.83
Spot Rate : 6.8500
Average : 6.1464

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-18
Maturity Price : 11.98
Evaluated at bid price : 11.98
Bid-YTW : 6.39 %
GWO.PR.R Deemed-Retractible Quote: 22.20 – 23.10
Spot Rate : 0.9000
Average : 0.5013

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-18
Maturity Price : 21.81
Evaluated at bid price : 22.20
Bid-YTW : 5.47 %
BAM.PR.T FixedReset Disc Quote: 12.99 – 13.47
Spot Rate : 0.4800
Average : 0.2804

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-18
Maturity Price : 12.99
Evaluated at bid price : 12.99
Bid-YTW : 5.50 %
MFC.PR.F FixedReset Ins Non Quote: 9.62 – 10.16
Spot Rate : 0.5400
Average : 0.3750

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-18
Maturity Price : 9.62
Evaluated at bid price : 9.62
Bid-YTW : 4.79 %
BMO.PR.E FixedReset Disc Quote: 20.10 – 20.48
Spot Rate : 0.3800
Average : 0.2296

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-18
Maturity Price : 20.10
Evaluated at bid price : 20.10
Bid-YTW : 4.24 %
Market Action

August 17, 2020

I’m pleased to see that – after a long, long time – the G-20 protesters have been vindicated:

Roughly 1,100 protesters caught up in the largest mass arrests in Canadian history a decade ago are eligible to receive between $5,000 and $24,700 each in the proposed settlement of a class-action lawsuit against the Toronto Police Service.

They’ve come a long way and suffered serious indignities, as I mentioned on August 23, 2010:

The (alleged) G-20 protesters had their day in court today:

Over 300 people facing G20-related charges appeared at a Toronto courthouse Monday, a legal tidal wave resulting from the largest mass arrests in Canadian history.

The court’s hallways are only designed to hold 176 people. Officers have been tasked with regulating the intake of defendants to ensure the building doesn’t break fire code. The court’s legal aid office brought in extra staff, including French-speakers.

I don’t know the name of the petty, vindictive ratshit who decided to make the scheduling an extra-judicial punishment … but I have a message for him: You have held the courts in contempt, and you have done more damage to the rule of law than any of those charged. Asshole.

And the protesters were also poorly served by the politicians, as mentioned on August 31, 2010:

I’m still upset about police actions during the G-20 meeting. So are some others, but there are few who really couldn’t care less, one way or another:

The largest mass arrest of Canadians in history and the Grits primary concern is that the cops were overwhelmed.
…
At a wintry moment in the history of Canadian civil rights, the Liberal Party is AWOL.

We are poorly served by our politicians of all stripes. Still, with the pseudo-opposition being led by Torture Boy, I suppose we should be grateful nothing worse than vindictive time-wasting seems to have occurred. This time.

I still haven’t regained any of the respect for the police I lost during the G-20 police riot. There are too many clowns in the ranks, too hopped up on steroids to know or care what they’re doing. Management is extraordinarily weak … I’m sure everybody remembers that the police removed the identification from their uniforms prior to their G-20 frenzy and not a single sergeant and not a single higher-ranking officer either noticed or cared.

The first step is to set up a new organization to respond to mental health calls and welfare checks. Sure, have regular cops with their steroids and guns available to be called on short notice; but they don’t need to be there first, if at all.

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 0.8509 % 1,616.0
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.8509 % 2,965.2
Floater 5.17 % 5.23 % 63,601 15.05 3 0.8509 % 1,708.9
OpRet 0.00 % 0.00 % 0 0.00 0 0.1632 % 3,505.9
SplitShare 4.66 % 4.49 % 42,881 3.25 8 0.1632 % 4,186.7
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.1632 % 3,266.7
Perpetual-Premium 5.56 % 4.71 % 84,004 4.02 4 -0.1487 % 3,093.9
Perpetual-Discount 5.43 % 5.66 % 78,372 14.37 31 0.2541 % 3,359.9
FixedReset Disc 5.64 % 4.44 % 121,901 15.95 67 0.3096 % 2,032.7
Deemed-Retractible 5.22 % 5.32 % 90,369 14.60 27 0.1817 % 3,290.9
FloatingReset 2.92 % 2.25 % 41,491 1.43 3 -0.7649 % 1,762.2
FixedReset Prem 5.26 % 4.20 % 233,535 0.91 11 0.1655 % 2,616.9
FixedReset Bank Non 1.95 % 2.22 % 105,753 1.43 2 0.2219 % 2,845.7
FixedReset Ins Non 5.86 % 4.65 % 92,695 15.78 22 -0.1859 % 2,048.6
Performance Highlights
Issue Index Change Notes
MFC.PR.J FixedReset Ins Non -4.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-17
Maturity Price : 16.17
Evaluated at bid price : 16.17
Bid-YTW : 5.05 %
MFC.PR.L FixedReset Ins Non -2.75 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-17
Maturity Price : 14.50
Evaluated at bid price : 14.50
Bid-YTW : 4.88 %
SLF.PR.J FloatingReset -2.58 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-17
Maturity Price : 9.06
Evaluated at bid price : 9.06
Bid-YTW : 4.38 %
SLF.PR.G FixedReset Ins Non -1.95 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-17
Maturity Price : 10.05
Evaluated at bid price : 10.05
Bid-YTW : 4.61 %
NA.PR.G FixedReset Disc -1.27 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-17
Maturity Price : 19.50
Evaluated at bid price : 19.50
Bid-YTW : 4.50 %
SLF.PR.I FixedReset Ins Non -1.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-17
Maturity Price : 17.50
Evaluated at bid price : 17.50
Bid-YTW : 4.65 %
BIP.PR.D FixedReset Disc -1.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-17
Maturity Price : 21.44
Evaluated at bid price : 21.77
Bid-YTW : 5.82 %
GWO.PR.N FixedReset Ins Non 1.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-17
Maturity Price : 10.00
Evaluated at bid price : 10.00
Bid-YTW : 4.39 %
CM.PR.P FixedReset Disc 1.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-17
Maturity Price : 17.30
Evaluated at bid price : 17.30
Bid-YTW : 4.32 %
PWF.PR.P FixedReset Disc 1.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-17
Maturity Price : 10.21
Evaluated at bid price : 10.21
Bid-YTW : 5.00 %
BAM.PR.B Floater 1.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-17
Maturity Price : 8.33
Evaluated at bid price : 8.33
Bid-YTW : 5.22 %
PVS.PR.H SplitShare 1.22 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2027-02-28
Maturity Price : 25.00
Evaluated at bid price : 24.80
Bid-YTW : 5.04 %
BAM.PR.X FixedReset Disc 1.28 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-17
Maturity Price : 11.04
Evaluated at bid price : 11.04
Bid-YTW : 5.23 %
CU.PR.C FixedReset Disc 1.29 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-17
Maturity Price : 15.75
Evaluated at bid price : 15.75
Bid-YTW : 4.58 %
BAM.PR.R FixedReset Disc 1.60 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-17
Maturity Price : 12.70
Evaluated at bid price : 12.70
Bid-YTW : 5.47 %
BMO.PR.W FixedReset Disc 1.64 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-17
Maturity Price : 17.40
Evaluated at bid price : 17.40
Bid-YTW : 4.19 %
MFC.PR.F FixedReset Ins Non 1.72 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-17
Maturity Price : 10.03
Evaluated at bid price : 10.03
Bid-YTW : 4.59 %
CCS.PR.C Deemed-Retractible 1.75 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-17
Maturity Price : 22.93
Evaluated at bid price : 23.20
Bid-YTW : 5.46 %
TRP.PR.A FixedReset Disc 1.79 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-17
Maturity Price : 12.48
Evaluated at bid price : 12.48
Bid-YTW : 5.38 %
MFC.PR.G FixedReset Ins Non 1.96 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-17
Maturity Price : 18.25
Evaluated at bid price : 18.25
Bid-YTW : 4.60 %
IFC.PR.C FixedReset Ins Non 3.87 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-17
Maturity Price : 16.10
Evaluated at bid price : 16.10
Bid-YTW : 4.88 %
TD.PF.E FixedReset Disc 5.72 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-17
Maturity Price : 19.79
Evaluated at bid price : 19.79
Bid-YTW : 4.19 %
Volume Highlights
Issue Index Shares
Traded		 Notes
MFC.PR.R FixedReset Ins Non 111,255 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-17
Maturity Price : 23.23
Evaluated at bid price : 23.64
Bid-YTW : 4.52 %
SLF.PR.C Deemed-Retractible 79,285 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-17
Maturity Price : 21.26
Evaluated at bid price : 21.26
Bid-YTW : 5.31 %
TD.PF.H FixedReset Prem 52,690 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-17
Maturity Price : 23.88
Evaluated at bid price : 25.10
Bid-YTW : 4.50 %
TD.PF.K FixedReset Disc 50,170 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-17
Maturity Price : 19.65
Evaluated at bid price : 19.65
Bid-YTW : 4.23 %
CM.PR.P FixedReset Disc 41,460 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-17
Maturity Price : 17.30
Evaluated at bid price : 17.30
Bid-YTW : 4.32 %
TD.PF.D FixedReset Disc 41,375 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-17
Maturity Price : 18.71
Evaluated at bid price : 18.71
Bid-YTW : 4.32 %
There were 19 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 – 18.84
Spot Rate : 6.8600
Average : 5.3751

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-17
Maturity Price : 11.98
Evaluated at bid price : 11.98
Bid-YTW : 6.39 %
MFC.PR.J FixedReset Ins Non Quote: 16.17 – 17.70
Spot Rate : 1.5300
Average : 1.1640

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-17
Maturity Price : 16.17
Evaluated at bid price : 16.17
Bid-YTW : 5.05 %
CU.PR.C FixedReset Disc Quote: 15.75 – 16.55
Spot Rate : 0.8000
Average : 0.5010

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-17
Maturity Price : 15.75
Evaluated at bid price : 15.75
Bid-YTW : 4.58 %
BAM.PR.X FixedReset Disc Quote: 11.04 – 11.69
Spot Rate : 0.6500
Average : 0.4417

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-17
Maturity Price : 11.04
Evaluated at bid price : 11.04
Bid-YTW : 5.23 %
MFC.PR.L FixedReset Ins Non Quote: 14.50 – 15.20
Spot Rate : 0.7000
Average : 0.5127

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-17
Maturity Price : 14.50
Evaluated at bid price : 14.50
Bid-YTW : 4.88 %
TRP.PR.E FixedReset Disc Quote: 13.71 – 14.48
Spot Rate : 0.7700
Average : 0.6061

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-17
Maturity Price : 13.71
Evaluated at bid price : 13.71
Bid-YTW : 5.55 %
Market Action

August 14, 2020

Inflation expectations are normalizing:

The U.S. bond market’s gauge of investor inflation expectations this week rose to six-month highs, bolstered in part by data showing higher producer and consumer prices in July.

The yield spread, or inflation breakeven rate, between five-year Treasury Inflation Protected Securities (TIPS) and regular five-year Treasuries hit 1.565% on Thursday, the highest since February.

U.S. 10-year and 30-year breakevens touched 1.6618% and 1.7105% on Wednesday and Thursday, respectively. Both levels were six-month peaks.

Breakeven rates pared some of that move Friday as they came off their highs.

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 0.0405 % 1,602.3
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.0405 % 2,940.2
Floater 5.21 % 5.28 % 63,075 14.98 3 0.0405 % 1,694.5
OpRet 0.00 % 0.00 % 0 0.00 0 -0.0988 % 3,500.1
SplitShare 4.67 % 4.48 % 42,124 3.25 8 -0.0988 % 4,179.9
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.0988 % 3,261.3
Perpetual-Premium 5.55 % 4.70 % 84,317 4.03 4 0.0992 % 3,098.5
Perpetual-Discount 5.45 % 5.64 % 77,754 14.38 31 -0.0508 % 3,351.4
FixedReset Disc 5.66 % 4.45 % 122,886 15.96 67 -0.1238 % 2,026.4
Deemed-Retractible 5.23 % 5.32 % 90,184 14.58 27 -0.0108 % 3,285.0
FloatingReset 2.90 % 2.01 % 42,122 1.44 3 -0.0450 % 1,775.7
FixedReset Prem 5.27 % 4.18 % 229,891 0.92 11 0.1597 % 2,612.5
FixedReset Bank Non 1.95 % 2.46 % 107,266 1.44 2 -0.3618 % 2,839.4
FixedReset Ins Non 5.85 % 4.63 % 95,872 15.79 22 -0.3161 % 2,052.4
Performance Highlights
Issue Index Change Notes
RY.PR.M FixedReset Disc -35.76 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-14
Maturity Price : 11.98
Evaluated at bid price : 11.98
Bid-YTW : 6.38 %
MFC.PR.J FixedReset Ins Non -4.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-14
Maturity Price : 16.87
Evaluated at bid price : 16.87
Bid-YTW : 4.83 %
IFC.PR.C FixedReset Ins Non -4.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-14
Maturity Price : 15.50
Evaluated at bid price : 15.50
Bid-YTW : 5.06 %
IFC.PR.G FixedReset Ins Non -1.84 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-14
Maturity Price : 17.62
Evaluated at bid price : 17.62
Bid-YTW : 4.72 %
TD.PF.D FixedReset Disc -1.58 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-14
Maturity Price : 18.70
Evaluated at bid price : 18.70
Bid-YTW : 4.32 %
MFC.PR.G FixedReset Ins Non -1.40 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-14
Maturity Price : 17.90
Evaluated at bid price : 17.90
Bid-YTW : 4.69 %
MFC.PR.B Deemed-Retractible -1.39 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-14
Maturity Price : 21.33
Evaluated at bid price : 21.60
Bid-YTW : 5.37 %
TRP.PR.C FixedReset Disc -1.35 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-14
Maturity Price : 8.74
Evaluated at bid price : 8.74
Bid-YTW : 5.68 %
BAM.PF.F FixedReset Disc -1.27 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-14
Maturity Price : 15.60
Evaluated at bid price : 15.60
Bid-YTW : 5.64 %
IFC.PR.A FixedReset Ins Non -1.17 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-14
Maturity Price : 11.86
Evaluated at bid price : 11.86
Bid-YTW : 4.98 %
TRP.PR.A FixedReset Disc -1.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-14
Maturity Price : 12.26
Evaluated at bid price : 12.26
Bid-YTW : 5.48 %
NA.PR.G FixedReset Disc 1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-14
Maturity Price : 19.75
Evaluated at bid price : 19.75
Bid-YTW : 4.45 %
RY.PR.H FixedReset Disc 1.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-14
Maturity Price : 17.50
Evaluated at bid price : 17.50
Bid-YTW : 4.13 %
TRP.PR.G FixedReset Disc 1.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-14
Maturity Price : 15.35
Evaluated at bid price : 15.35
Bid-YTW : 5.53 %
TRP.PR.B FixedReset Disc 1.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-14
Maturity Price : 8.45
Evaluated at bid price : 8.45
Bid-YTW : 5.10 %
MFC.PR.R FixedReset Ins Non 1.50 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-14
Maturity Price : 23.24
Evaluated at bid price : 23.65
Bid-YTW : 4.51 %
RY.PR.S FixedReset Disc 1.54 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-14
Maturity Price : 19.80
Evaluated at bid price : 19.80
Bid-YTW : 4.00 %
MFC.PR.H FixedReset Ins Non 2.43 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-14
Maturity Price : 19.50
Evaluated at bid price : 19.50
Bid-YTW : 4.63 %
TD.PF.L FixedReset Disc 19.30 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-14
Maturity Price : 22.67
Evaluated at bid price : 23.55
Bid-YTW : 4.19 %
Volume Highlights
Issue Index Shares
Traded		 Notes
NA.PR.C FixedReset Disc 104,840 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-14
Maturity Price : 22.20
Evaluated at bid price : 22.50
Bid-YTW : 4.36 %
CM.PR.S FixedReset Disc 73,105 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-14
Maturity Price : 18.60
Evaluated at bid price : 18.60
Bid-YTW : 4.19 %
CM.PR.R FixedReset Disc 51,900 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-14
Maturity Price : 21.49
Evaluated at bid price : 21.85
Bid-YTW : 4.44 %
RY.PR.S FixedReset Disc 34,941 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-14
Maturity Price : 19.80
Evaluated at bid price : 19.80
Bid-YTW : 4.00 %
BAM.PF.D Perpetual-Discount 26,700 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-14
Maturity Price : 22.10
Evaluated at bid price : 22.35
Bid-YTW : 5.55 %
TD.PF.A FixedReset Disc 25,050 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-14
Maturity Price : 17.20
Evaluated at bid price : 17.20
Bid-YTW : 4.21 %
There were 18 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 – 18.91
Spot Rate : 6.9300
Average : 3.7469

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-14
Maturity Price : 11.98
Evaluated at bid price : 11.98
Bid-YTW : 6.38 %
MFC.PR.J FixedReset Ins Non Quote: 16.87 – 18.05
Spot Rate : 1.1800
Average : 0.7627

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-14
Maturity Price : 16.87
Evaluated at bid price : 16.87
Bid-YTW : 4.83 %
TD.PF.E FixedReset Disc Quote: 18.72 – 20.37
Spot Rate : 1.6500
Average : 1.2969

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-14
Maturity Price : 18.72
Evaluated at bid price : 18.72
Bid-YTW : 4.43 %
CCS.PR.C Deemed-Retractible Quote: 22.80 – 23.50
Spot Rate : 0.7000
Average : 0.4656

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-14
Maturity Price : 22.55
Evaluated at bid price : 22.80
Bid-YTW : 5.55 %
MFC.PR.G FixedReset Ins Non Quote: 17.90 – 18.59
Spot Rate : 0.6900
Average : 0.5075

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-14
Maturity Price : 17.90
Evaluated at bid price : 17.90
Bid-YTW : 4.69 %
IFC.PR.C FixedReset Ins Non Quote: 15.50 – 16.25
Spot Rate : 0.7500
Average : 0.5912

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-14
Maturity Price : 15.50
Evaluated at bid price : 15.50
Bid-YTW : 5.06 %
Market Action

August 13, 2020

HIMIPref™ Preferred Indices
These values reflect the December 2008 revision of the HIMIPref™ Indices
Values are provisional and are finalized monthly
Index Mean
Current
Yield
(at bid)		 Median
YTW		 Median
Average
Trading
Value		 Median
Mod Dur
(YTW)		 Issues Day’s Perf. Index Value
Ratchet 0.00 % 0.00 % 0 0.00 0 -0.4037 % 1,601.7
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.4037 % 2,939.0
Floater 5.21 % 5.29 % 63,912 14.96 3 -0.4037 % 1,693.8
OpRet 0.00 % 0.00 % 0 0.00 0 -0.1578 % 3,503.6
SplitShare 4.66 % 4.57 % 39,934 3.25 8 -0.1578 % 4,184.0
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.1578 % 3,264.6
Perpetual-Premium 5.56 % 4.69 % 83,436 4.03 4 0.0198 % 3,095.4
Perpetual-Discount 5.44 % 5.66 % 76,496 14.39 31 0.1347 % 3,353.1
FixedReset Disc 5.65 % 4.37 % 121,797 16.07 67 -0.0272 % 2,028.9
Deemed-Retractible 5.22 % 5.32 % 90,965 14.55 27 0.0284 % 3,285.3
FloatingReset 2.90 % 1.95 % 42,513 1.45 3 0.2706 % 1,776.5
FixedReset Prem 5.27 % 4.33 % 227,022 0.92 11 0.1442 % 2,608.4
FixedReset Bank Non 1.94 % 2.14 % 107,670 1.44 2 0.3631 % 2,849.8
FixedReset Ins Non 5.78 % 4.52 % 98,945 15.88 22 0.0613 % 2,058.9
Performance Highlights
Issue Index Change Notes
TD.PF.L FixedReset Disc -16.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-13
Maturity Price : 19.74
Evaluated at bid price : 19.74
Bid-YTW : 5.02 %
TD.PF.E FixedReset Disc -4.73 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-13
Maturity Price : 18.72
Evaluated at bid price : 18.72
Bid-YTW : 4.31 %
MFC.PR.H FixedReset Ins Non -2.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-13
Maturity Price : 19.30
Evaluated at bid price : 19.30
Bid-YTW : 4.65 %
CM.PR.T FixedReset Disc -1.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-13
Maturity Price : 22.08
Evaluated at bid price : 22.54
Bid-YTW : 4.37 %
BIP.PR.B FixedReset Disc 1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-13
Maturity Price : 24.05
Evaluated at bid price : 24.75
Bid-YTW : 5.60 %
BAM.PF.F FixedReset Disc 1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-13
Maturity Price : 15.80
Evaluated at bid price : 15.80
Bid-YTW : 5.45 %
MFC.PR.F FixedReset Ins Non 1.31 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-13
Maturity Price : 10.03
Evaluated at bid price : 10.03
Bid-YTW : 4.45 %
MFC.PR.N FixedReset Ins Non 1.37 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-13
Maturity Price : 16.33
Evaluated at bid price : 16.33
Bid-YTW : 4.49 %
TRP.PR.D FixedReset Disc 1.45 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-13
Maturity Price : 14.00
Evaluated at bid price : 14.00
Bid-YTW : 5.34 %
BAM.PR.R FixedReset Disc 3.96 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-13
Maturity Price : 12.60
Evaluated at bid price : 12.60
Bid-YTW : 5.33 %
TD.PF.J FixedReset Disc 7.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-13
Maturity Price : 19.82
Evaluated at bid price : 19.82
Bid-YTW : 4.14 %
Volume Highlights
Issue Index Shares
Traded		 Notes
SLF.PR.C Deemed-Retractible 109,260 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-13
Maturity Price : 21.26
Evaluated at bid price : 21.26
Bid-YTW : 5.31 %
BAM.PF.G FixedReset Disc 58,600 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-13
Maturity Price : 15.10
Evaluated at bid price : 15.10
Bid-YTW : 5.36 %
TD.PF.M FixedReset Disc 26,765 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-13
Maturity Price : 23.02
Evaluated at bid price : 24.38
Bid-YTW : 4.18 %
TD.PF.A FixedReset Disc 24,800 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-13
Maturity Price : 17.12
Evaluated at bid price : 17.12
Bid-YTW : 4.12 %
RY.PR.C Deemed-Retractible 24,600 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2020-09-12
Maturity Price : 25.00
Evaluated at bid price : 25.03
Bid-YTW : 1.45 %
BAM.PF.H FixedReset Disc 22,400 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-13
Maturity Price : 24.34
Evaluated at bid price : 24.95
Bid-YTW : 5.04 %
There were 10 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
TD.PF.L FixedReset Disc Quote: 19.74 – 23.73
Spot Rate : 3.9900
Average : 2.1441

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

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

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

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

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

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

August 12, 2020

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

HIMIPref™ Preferred Indices
These values reflect the December 2008 revision of the HIMIPref™ Indices
Values are provisional and are finalized monthly
Index Mean
Current
Yield
(at bid)		 Median
YTW		 Median
Average
Trading
Value		 Median
Mod Dur
(YTW)		 Issues Day’s Perf. Index Value
Ratchet 0.00 % 0.00 % 0 0.00 0 2.2286 % 1,608.2
FixedFloater 0.00 % 0.00 % 0 0.00 0 2.2286 % 2,950.9
Floater 5.19 % 5.26 % 63,074 15.01 3 2.2286 % 1,700.6
OpRet 0.00 % 0.00 % 0 0.00 0 0.0839 % 3,509.1
SplitShare 4.65 % 4.32 % 40,924 3.26 8 0.0839 % 4,190.7
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0839 % 3,269.7
Perpetual-Premium 5.56 % 4.69 % 83,081 4.03 4 -0.0694 % 3,094.8
Perpetual-Discount 5.45 % 5.65 % 77,608 14.39 31 -0.1099 % 3,348.6
FixedReset Disc 5.64 % 4.35 % 115,360 16.08 67 0.2327 % 2,029.5
Deemed-Retractible 5.23 % 5.33 % 90,489 14.57 27 -0.0095 % 3,284.4
FloatingReset 2.90 % 2.23 % 42,810 1.45 3 0.0451 % 1,771.7
FixedReset Prem 5.28 % 4.42 % 229,428 0.92 11 -0.1044 % 2,604.6
FixedReset Bank Non 1.95 % 2.39 % 105,673 1.44 2 0.0000 % 2,839.4
FixedReset Ins Non 5.79 % 4.55 % 97,982 15.87 22 -0.0399 % 2,057.7
Performance Highlights
Issue Index Change Notes
BAM.PR.R FixedReset Disc -4.57 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-12
Maturity Price : 12.12
Evaluated at bid price : 12.12
Bid-YTW : 5.55 %
MFC.PR.I FixedReset Ins Non -2.86 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-12
Maturity Price : 18.35
Evaluated at bid price : 18.35
Bid-YTW : 4.60 %
CM.PR.Q FixedReset Disc -1.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-12
Maturity Price : 17.80
Evaluated at bid price : 17.80
Bid-YTW : 4.42 %
TRP.PR.C FixedReset Disc -1.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-12
Maturity Price : 8.80
Evaluated at bid price : 8.80
Bid-YTW : 5.38 %
TRP.PR.D FixedReset Disc -1.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-12
Maturity Price : 13.80
Evaluated at bid price : 13.80
Bid-YTW : 5.42 %
RY.PR.S FixedReset Disc 1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-12
Maturity Price : 19.50
Evaluated at bid price : 19.50
Bid-YTW : 3.96 %
BAM.PF.G FixedReset Disc 1.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-12
Maturity Price : 15.02
Evaluated at bid price : 15.02
Bid-YTW : 5.39 %
BIP.PR.D FixedReset Disc 1.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-12
Maturity Price : 21.56
Evaluated at bid price : 21.95
Bid-YTW : 5.76 %
CM.PR.S FixedReset Disc 1.26 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-12
Maturity Price : 18.50
Evaluated at bid price : 18.50
Bid-YTW : 4.11 %
TD.PF.K FixedReset Disc 1.40 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-12
Maturity Price : 19.52
Evaluated at bid price : 19.52
Bid-YTW : 4.15 %
BAM.PR.X FixedReset Disc 1.48 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-12
Maturity Price : 10.96
Evaluated at bid price : 10.96
Bid-YTW : 5.08 %
BAM.PR.C Floater 1.60 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-12
Maturity Price : 8.23
Evaluated at bid price : 8.23
Bid-YTW : 5.28 %
BAM.PR.K Floater 2.48 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-12
Maturity Price : 8.25
Evaluated at bid price : 8.25
Bid-YTW : 5.26 %
BAM.PF.J FixedReset Disc 2.52 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-12
Maturity Price : 23.08
Evaluated at bid price : 24.00
Bid-YTW : 4.96 %
BAM.PR.B Floater 2.60 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-12
Maturity Price : 8.29
Evaluated at bid price : 8.29
Bid-YTW : 5.24 %
SLF.PR.G FixedReset Ins Non 3.83 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-12
Maturity Price : 10.30
Evaluated at bid price : 10.30
Bid-YTW : 4.33 %
GWO.PR.N FixedReset Ins Non 4.95 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-12
Maturity Price : 9.97
Evaluated at bid price : 9.97
Bid-YTW : 4.18 %
Volume Highlights
Issue Index Shares
Traded		 Notes
CM.PR.O FixedReset Disc 57,812 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-12
Maturity Price : 16.83
Evaluated at bid price : 16.83
Bid-YTW : 4.31 %
BAM.PF.B FixedReset Disc 56,298 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-12
Maturity Price : 15.35
Evaluated at bid price : 15.35
Bid-YTW : 5.45 %
RY.PR.Q FixedReset Prem 37,293 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-05-24
Maturity Price : 25.00
Evaluated at bid price : 25.21
Bid-YTW : 4.16 %
BAM.PF.G FixedReset Disc 35,295 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-12
Maturity Price : 15.02
Evaluated at bid price : 15.02
Bid-YTW : 5.39 %
BMO.PR.E FixedReset Disc 32,125 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-12
Maturity Price : 20.02
Evaluated at bid price : 20.02
Bid-YTW : 4.16 %
MFC.PR.G FixedReset Ins Non 31,300 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-12
Maturity Price : 18.40
Evaluated at bid price : 18.40
Bid-YTW : 4.52 %
There were 38 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
GWO.PR.N FixedReset Ins Non Quote: 9.97 – 13.00
Spot Rate : 3.0300
Average : 1.8259

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

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

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

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

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

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

August 11, 2020

HIMIPref™ Preferred Indices
These values reflect the December 2008 revision of the HIMIPref™ Indices
Values are provisional and are finalized monthly
Index Mean
Current
Yield
(at bid)		 Median
YTW		 Median
Average
Trading
Value		 Median
Mod Dur
(YTW)		 Issues Day’s Perf. Index Value
Ratchet 0.00 % 0.00 % 0 0.00 0 0.6647 % 1,573.1
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.6647 % 2,886.6
Floater 5.31 % 5.37 % 60,757 14.82 3 0.6647 % 1,663.6
OpRet 0.00 % 0.00 % 0 0.00 0 0.0395 % 3,506.2
SplitShare 4.66 % 4.53 % 42,521 3.26 8 0.0395 % 4,187.1
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0395 % 3,267.0
Perpetual-Premium 5.55 % 4.70 % 81,581 4.03 4 -0.0297 % 3,097.0
Perpetual-Discount 5.45 % 5.64 % 80,207 14.42 31 0.1251 % 3,352.3
FixedReset Disc 5.66 % 4.38 % 115,740 16.02 67 0.5267 % 2,024.8
Deemed-Retractible 5.22 % 5.33 % 89,500 14.58 27 -0.0379 % 3,284.7
FloatingReset 2.90 % 2.23 % 44,355 1.45 3 0.3850 % 1,770.9
FixedReset Prem 5.27 % 4.42 % 232,635 0.92 11 -0.0540 % 2,607.3
FixedReset Bank Non 1.95 % 2.39 % 106,942 1.45 2 -0.0605 % 2,839.4
FixedReset Ins Non 5.79 % 4.51 % 92,328 15.93 22 0.2162 % 2,058.5
Performance Highlights
Issue Index Change Notes
BIK.PR.A FixedReset Disc -2.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-11
Maturity Price : 23.11
Evaluated at bid price : 24.50
Bid-YTW : 5.99 %
NA.PR.G FixedReset Disc -1.46 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-11
Maturity Price : 19.51
Evaluated at bid price : 19.51
Bid-YTW : 4.40 %
TRP.PR.A FixedReset Disc -1.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-11
Maturity Price : 12.20
Evaluated at bid price : 12.20
Bid-YTW : 5.36 %
IAF.PR.I FixedReset Ins Non -1.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-11
Maturity Price : 19.48
Evaluated at bid price : 19.48
Bid-YTW : 4.35 %
MFC.PR.K FixedReset Ins Non -1.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-11
Maturity Price : 16.02
Evaluated at bid price : 16.02
Bid-YTW : 4.55 %
CU.PR.I FixedReset Disc 1.00 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2020-12-01
Maturity Price : 25.00
Evaluated at bid price : 25.25
Bid-YTW : 0.39 %
MFC.PR.I FixedReset Ins Non 1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-11
Maturity Price : 18.89
Evaluated at bid price : 18.89
Bid-YTW : 4.46 %
GWO.PR.N FixedReset Ins Non 1.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-11
Maturity Price : 9.50
Evaluated at bid price : 9.50
Bid-YTW : 4.39 %
BAM.PR.T FixedReset Disc 1.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-11
Maturity Price : 12.99
Evaluated at bid price : 12.99
Bid-YTW : 5.34 %
NA.PR.C FixedReset Disc 1.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-11
Maturity Price : 21.73
Evaluated at bid price : 22.20
Bid-YTW : 4.31 %
MFC.PR.G FixedReset Ins Non 1.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-11
Maturity Price : 18.36
Evaluated at bid price : 18.36
Bid-YTW : 4.53 %
TRP.PR.B FixedReset Disc 1.21 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-11
Maturity Price : 8.35
Evaluated at bid price : 8.35
Bid-YTW : 4.95 %
BAM.PF.H FixedReset Disc 1.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-11
Maturity Price : 24.13
Evaluated at bid price : 24.80
Bid-YTW : 5.07 %
TRP.PR.K FixedReset Disc 1.24 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-11
Maturity Price : 23.39
Evaluated at bid price : 24.40
Bid-YTW : 5.06 %
CM.PR.O FixedReset Disc 1.26 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-11
Maturity Price : 16.83
Evaluated at bid price : 16.83
Bid-YTW : 4.31 %
SLF.PR.I FixedReset Ins Non 1.37 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-11
Maturity Price : 17.75
Evaluated at bid price : 17.75
Bid-YTW : 4.46 %
CM.PR.S FixedReset Disc 1.44 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-11
Maturity Price : 18.27
Evaluated at bid price : 18.27
Bid-YTW : 4.16 %
BAM.PF.E FixedReset Disc 1.48 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-11
Maturity Price : 14.42
Evaluated at bid price : 14.42
Bid-YTW : 5.41 %
BMO.PR.T FixedReset Disc 1.49 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-11
Maturity Price : 16.34
Evaluated at bid price : 16.34
Bid-YTW : 4.28 %
NA.PR.S FixedReset Disc 1.55 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-11
Maturity Price : 17.02
Evaluated at bid price : 17.02
Bid-YTW : 4.41 %
TRP.PR.F FloatingReset 1.58 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-11
Maturity Price : 10.31
Evaluated at bid price : 10.31
Bid-YTW : 5.10 %
MFC.PR.H FixedReset Ins Non 1.64 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-11
Maturity Price : 19.87
Evaluated at bid price : 19.87
Bid-YTW : 4.51 %
BIP.PR.A FixedReset Disc 1.85 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-11
Maturity Price : 16.55
Evaluated at bid price : 16.55
Bid-YTW : 6.01 %
TRP.PR.C FixedReset Disc 2.42 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-11
Maturity Price : 8.90
Evaluated at bid price : 8.90
Bid-YTW : 5.32 %
BAM.PR.X FixedReset Disc 2.76 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-11
Maturity Price : 10.80
Evaluated at bid price : 10.80
Bid-YTW : 5.15 %
CM.PR.P FixedReset Disc 2.91 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-11
Maturity Price : 16.98
Evaluated at bid price : 16.98
Bid-YTW : 4.29 %
PWF.PR.P FixedReset Disc 4.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-11
Maturity Price : 10.20
Evaluated at bid price : 10.20
Bid-YTW : 4.78 %
Volume Highlights
Issue Index Shares
Traded		 Notes
MFC.PR.R FixedReset Ins Non 245,150 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-11
Maturity Price : 23.32
Evaluated at bid price : 23.73
Bid-YTW : 4.48 %
GWO.PR.N FixedReset Ins Non 79,519 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-11
Maturity Price : 9.50
Evaluated at bid price : 9.50
Bid-YTW : 4.39 %
BAM.PF.B FixedReset Disc 52,275 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-11
Maturity Price : 15.34
Evaluated at bid price : 15.34
Bid-YTW : 5.45 %
CM.PR.O FixedReset Disc 48,734 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-11
Maturity Price : 16.83
Evaluated at bid price : 16.83
Bid-YTW : 4.31 %
CM.PR.Y FixedReset Disc 43,300 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-11
Maturity Price : 22.79
Evaluated at bid price : 23.85
Bid-YTW : 4.38 %
TD.PF.K FixedReset Disc 42,700 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-11
Maturity Price : 19.25
Evaluated at bid price : 19.25
Bid-YTW : 4.21 %
There were 27 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
TD.PF.J FixedReset Disc Quote: 18.55 – 20.04
Spot Rate : 1.4900
Average : 1.1423

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

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

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

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

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

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

August 10, 2020

HIMIPref™ Preferred Indices
These values reflect the December 2008 revision of the HIMIPref™ Indices
Values are provisional and are finalized monthly
Index Mean
Current
Yield
(at bid)		 Median
YTW		 Median
Average
Trading
Value		 Median
Mod Dur
(YTW)		 Issues Day’s Perf. Index Value
Ratchet 0.00 % 0.00 % 0 0.00 0 -1.3929 % 1,562.7
FixedFloater 0.00 % 0.00 % 0 0.00 0 -1.3929 % 2,867.5
Floater 5.34 % 5.41 % 61,367 14.77 3 -1.3929 % 1,652.6
OpRet 0.00 % 0.00 % 0 0.00 0 0.3220 % 3,504.8
SplitShare 4.66 % 4.53 % 43,110 3.27 8 0.3220 % 4,185.5
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.3220 % 3,265.7
Perpetual-Premium 5.55 % 4.71 % 84,631 4.04 4 0.1191 % 3,097.9
Perpetual-Discount 5.45 % 5.63 % 78,141 14.43 31 0.3547 % 3,348.1
FixedReset Disc 5.69 % 4.38 % 119,658 16.01 67 0.4228 % 2,014.1
Deemed-Retractible 5.22 % 5.31 % 89,453 14.58 27 0.1059 % 3,285.9
FloatingReset 2.92 % 2.08 % 41,050 1.45 3 0.2497 % 1,764.2
FixedReset Prem 5.27 % 4.40 % 234,485 0.93 11 0.1586 % 2,608.7
FixedReset Bank Non 1.95 % 2.13 % 103,395 1.45 2 0.1413 % 2,841.2
FixedReset Ins Non 5.80 % 4.52 % 92,322 16.02 22 -0.1732 % 2,054.1
Performance Highlights
Issue Index Change Notes
GWO.PR.N FixedReset Ins Non -7.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-10
Maturity Price : 9.40
Evaluated at bid price : 9.40
Bid-YTW : 4.43 %
TD.PF.J FixedReset Disc -6.33 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-10
Maturity Price : 18.50
Evaluated at bid price : 18.50
Bid-YTW : 4.45 %
SLF.PR.G FixedReset Ins Non -1.96 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-10
Maturity Price : 10.00
Evaluated at bid price : 10.00
Bid-YTW : 4.46 %
BAM.PR.X FixedReset Disc -1.78 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-10
Maturity Price : 10.51
Evaluated at bid price : 10.51
Bid-YTW : 5.30 %
BAM.PR.B Floater -1.47 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-10
Maturity Price : 8.04
Evaluated at bid price : 8.04
Bid-YTW : 5.40 %
BAM.PR.K Floater -1.36 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-10
Maturity Price : 8.00
Evaluated at bid price : 8.00
Bid-YTW : 5.43 %
SLF.PR.I FixedReset Ins Non -1.35 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-10
Maturity Price : 17.51
Evaluated at bid price : 17.51
Bid-YTW : 4.52 %
BAM.PR.C Floater -1.35 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-10
Maturity Price : 8.03
Evaluated at bid price : 8.03
Bid-YTW : 5.41 %
PWF.PR.P FixedReset Disc -1.31 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-10
Maturity Price : 9.80
Evaluated at bid price : 9.80
Bid-YTW : 4.98 %
IFC.PR.G FixedReset Ins Non 1.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-10
Maturity Price : 17.93
Evaluated at bid price : 17.93
Bid-YTW : 4.52 %
PWF.PR.Z Perpetual-Discount 1.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-10
Maturity Price : 22.81
Evaluated at bid price : 23.15
Bid-YTW : 5.59 %
BIP.PR.C FixedReset Disc 1.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-10
Maturity Price : 22.98
Evaluated at bid price : 23.50
Bid-YTW : 5.75 %
BAM.PR.R FixedReset Disc 1.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-10
Maturity Price : 12.60
Evaluated at bid price : 12.60
Bid-YTW : 5.33 %
POW.PR.D Perpetual-Discount 1.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-10
Maturity Price : 22.18
Evaluated at bid price : 22.46
Bid-YTW : 5.61 %
BAM.PF.J FixedReset Disc 1.17 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-10
Maturity Price : 22.75
Evaluated at bid price : 23.38
Bid-YTW : 5.11 %
TRP.PR.G FixedReset Disc 1.17 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-10
Maturity Price : 15.55
Evaluated at bid price : 15.55
Bid-YTW : 5.41 %
CM.PR.Q FixedReset Disc 1.29 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-10
Maturity Price : 18.03
Evaluated at bid price : 18.03
Bid-YTW : 4.37 %
BIK.PR.A FixedReset Disc 1.34 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-10
Maturity Price : 23.29
Evaluated at bid price : 25.00
Bid-YTW : 5.85 %
RY.PR.S FixedReset Disc 1.38 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-10
Maturity Price : 19.11
Evaluated at bid price : 19.11
Bid-YTW : 4.04 %
BIP.PR.D FixedReset Disc 1.41 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-10
Maturity Price : 21.27
Evaluated at bid price : 21.55
Bid-YTW : 5.87 %
MFC.PR.F FixedReset Ins Non 1.42 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-10
Maturity Price : 9.97
Evaluated at bid price : 9.97
Bid-YTW : 4.48 %
NA.PR.S FixedReset Disc 1.51 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-10
Maturity Price : 16.76
Evaluated at bid price : 16.76
Bid-YTW : 4.48 %
BAM.PF.D Perpetual-Discount 1.53 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-10
Maturity Price : 22.25
Evaluated at bid price : 22.55
Bid-YTW : 5.49 %
CM.PR.S FixedReset Disc 1.75 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-10
Maturity Price : 18.01
Evaluated at bid price : 18.01
Bid-YTW : 4.22 %
TRP.PR.D FixedReset Disc 2.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-10
Maturity Price : 13.88
Evaluated at bid price : 13.88
Bid-YTW : 5.38 %
BIP.PR.A FixedReset Disc 2.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-10
Maturity Price : 16.25
Evaluated at bid price : 16.25
Bid-YTW : 6.12 %
CM.PR.O FixedReset Disc 2.21 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-10
Maturity Price : 16.62
Evaluated at bid price : 16.62
Bid-YTW : 4.37 %
BIP.PR.E FixedReset Disc 2.48 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-10
Maturity Price : 20.70
Evaluated at bid price : 20.70
Bid-YTW : 6.13 %
BAM.PF.I FixedReset Disc 2.60 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-10
Maturity Price : 23.65
Evaluated at bid price : 24.03
Bid-YTW : 5.04 %
Volume Highlights
Issue Index Shares
Traded		 Notes
BMO.PR.S FixedReset Disc 52,665 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-10
Maturity Price : 16.88
Evaluated at bid price : 16.88
Bid-YTW : 4.30 %
BAM.PR.X FixedReset Disc 45,772 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-10
Maturity Price : 10.51
Evaluated at bid price : 10.51
Bid-YTW : 5.30 %
BAM.PR.K Floater 43,819 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-10
Maturity Price : 8.00
Evaluated at bid price : 8.00
Bid-YTW : 5.43 %
TD.PF.K FixedReset Disc 41,437 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-10
Maturity Price : 19.14
Evaluated at bid price : 19.14
Bid-YTW : 4.24 %
RY.PR.Z FixedReset Disc 37,150 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-10
Maturity Price : 17.19
Evaluated at bid price : 17.19
Bid-YTW : 4.03 %
CM.PR.S FixedReset Disc 30,200 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-10
Maturity Price : 18.01
Evaluated at bid price : 18.01
Bid-YTW : 4.22 %
There were 24 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
EIT.PR.A SplitShare Quote: 25.62 – 27.00
Spot Rate : 1.3800
Average : 0.8070

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

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

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

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

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

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

August 7, 2020

HIMIPref™ Preferred Indices
These values reflect the December 2008 revision of the HIMIPref™ Indices
Values are provisional and are finalized monthly
Index Mean
Current
Yield
(at bid)		 Median
YTW		 Median
Average
Trading
Value		 Median
Mod Dur
(YTW)		 Issues Day’s Perf. Index Value
Ratchet 0.00 % 0.00 % 0 0.00 0 -0.1228 % 1,584.8
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.1228 % 2,908.1
Floater 5.27 % 5.33 % 56,817 14.90 3 -0.1228 % 1,675.9
OpRet 0.00 % 0.00 % 0 0.00 0 0.0644 % 3,493.6
SplitShare 4.67 % 4.63 % 44,656 3.27 8 0.0644 % 4,172.1
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0644 % 3,255.2
Perpetual-Premium 5.56 % 4.71 % 78,918 4.05 4 0.2488 % 3,094.2
Perpetual-Discount 5.47 % 5.66 % 75,251 14.39 31 0.2019 % 3,336.2
FixedReset Disc 5.71 % 4.37 % 136,766 16.05 67 0.4336 % 2,005.7
Deemed-Retractible 5.23 % 5.30 % 90,436 14.56 27 0.1932 % 3,282.5
FloatingReset 2.94 % 2.08 % 37,989 1.46 3 0.5708 % 1,759.8
FixedReset Prem 5.28 % 4.40 % 230,024 0.99 11 -0.0612 % 2,604.6
FixedReset Bank Non 1.95 % 2.24 % 106,800 1.46 2 0.0202 % 2,837.2
FixedReset Ins Non 5.79 % 4.53 % 94,376 16.08 22 0.2939 % 2,057.6
Performance Highlights
Issue Index Change Notes
IFC.PR.A FixedReset Ins Non -1.55 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-07
Maturity Price : 12.06
Evaluated at bid price : 12.06
Bid-YTW : 4.68 %
NA.PR.S FixedReset Disc -1.43 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-07
Maturity Price : 16.51
Evaluated at bid price : 16.51
Bid-YTW : 4.52 %
IFC.PR.G FixedReset Ins Non -1.39 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-07
Maturity Price : 17.75
Evaluated at bid price : 17.75
Bid-YTW : 4.54 %
PWF.PR.T FixedReset Disc -1.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-07
Maturity Price : 15.98
Evaluated at bid price : 15.98
Bid-YTW : 4.67 %
BMO.PR.T FixedReset Disc -1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-07
Maturity Price : 16.12
Evaluated at bid price : 16.12
Bid-YTW : 4.31 %
IAF.PR.I FixedReset Ins Non 1.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-07
Maturity Price : 19.65
Evaluated at bid price : 19.65
Bid-YTW : 4.28 %
TRP.PR.E FixedReset Disc 1.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-07
Maturity Price : 13.75
Evaluated at bid price : 13.75
Bid-YTW : 5.36 %
TRP.PR.C FixedReset Disc 1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-07
Maturity Price : 8.74
Evaluated at bid price : 8.74
Bid-YTW : 5.35 %
MFC.PR.M FixedReset Ins Non 1.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-07
Maturity Price : 16.12
Evaluated at bid price : 16.12
Bid-YTW : 4.62 %
GWO.PR.Q Deemed-Retractible 1.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-07
Maturity Price : 23.20
Evaluated at bid price : 23.45
Bid-YTW : 5.55 %
MFC.PR.I FixedReset Ins Non 1.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-07
Maturity Price : 18.70
Evaluated at bid price : 18.70
Bid-YTW : 4.48 %
CM.PR.Q FixedReset Disc 1.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-07
Maturity Price : 17.80
Evaluated at bid price : 17.80
Bid-YTW : 4.40 %
MFC.PR.J FixedReset Ins Non 1.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-07
Maturity Price : 17.80
Evaluated at bid price : 17.80
Bid-YTW : 4.53 %
NA.PR.W FixedReset Disc 1.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-07
Maturity Price : 16.45
Evaluated at bid price : 16.45
Bid-YTW : 4.36 %
BAM.PR.R FixedReset Disc 1.30 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-07
Maturity Price : 12.46
Evaluated at bid price : 12.46
Bid-YTW : 5.35 %
MFC.PR.F FixedReset Ins Non 1.34 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-07
Maturity Price : 9.83
Evaluated at bid price : 9.83
Bid-YTW : 4.49 %
BAM.PF.D Perpetual-Discount 1.37 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-07
Maturity Price : 22.21
Evaluated at bid price : 22.21
Bid-YTW : 5.59 %
SLF.PR.J FloatingReset 2.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-07
Maturity Price : 9.20
Evaluated at bid price : 9.20
Bid-YTW : 4.34 %
BAM.PR.T FixedReset Disc 2.38 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-07
Maturity Price : 12.90
Evaluated at bid price : 12.90
Bid-YTW : 5.33 %
MFC.PR.L FixedReset Ins Non 3.38 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-07
Maturity Price : 15.00
Evaluated at bid price : 15.00
Bid-YTW : 4.65 %
BAM.PR.X FixedReset Disc 3.88 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-07
Maturity Price : 10.70
Evaluated at bid price : 10.70
Bid-YTW : 5.16 %
BMO.PR.F FixedReset Disc 14.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-07
Maturity Price : 22.85
Evaluated at bid price : 23.95
Bid-YTW : 4.18 %
Volume Highlights
Issue Index Shares
Traded		 Notes
SLF.PR.C Deemed-Retractible 191,950 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-07
Maturity Price : 21.28
Evaluated at bid price : 21.28
Bid-YTW : 5.30 %
SLF.PR.B Deemed-Retractible 53,600 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-07
Maturity Price : 22.72
Evaluated at bid price : 23.01
Bid-YTW : 5.27 %
CU.PR.C FixedReset Disc 49,200 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-07
Maturity Price : 15.43
Evaluated at bid price : 15.43
Bid-YTW : 4.50 %
CU.PR.I FixedReset Disc 35,686 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2020-12-01
Maturity Price : 25.00
Evaluated at bid price : 25.00
Bid-YTW : 3.54 %
SLF.PR.D Deemed-Retractible 34,735 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-07
Maturity Price : 21.35
Evaluated at bid price : 21.35
Bid-YTW : 5.28 %
BAM.PR.X FixedReset Disc 33,258 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-07
Maturity Price : 10.70
Evaluated at bid price : 10.70
Bid-YTW : 5.16 %
There were 15 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
EIT.PR.B SplitShare Quote: 25.35 – 26.35
Spot Rate : 1.0000
Average : 0.6464

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

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

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

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

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

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