Category: Market Action

Market Action

December 24, 2019

Merry Christmas to all, and to all a good night!

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 0.2126 % 2,079.6
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.2126 % 3,816.0
Floater 5.87 % 6.00 % 54,988 13.90 4 0.2126 % 2,199.2
OpRet 0.00 % 0.00 % 0 0.00 0 0.1121 % 3,446.9
SplitShare 4.62 % 4.29 % 40,159 3.81 7 0.1121 % 4,116.4
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.1121 % 3,211.8
Perpetual-Premium 5.57 % -6.64 % 67,779 0.09 10 0.0118 % 3,041.0
Perpetual-Discount 5.28 % 5.36 % 72,295 14.85 25 -0.0636 % 3,283.1
FixedReset Disc 5.49 % 5.75 % 221,797 14.28 66 0.0435 % 2,150.4
Deemed-Retractible 5.16 % 5.26 % 70,903 14.95 27 0.1077 % 3,233.9
FloatingReset 6.14 % 6.40 % 136,103 13.34 2 0.8512 % 2,523.4
FixedReset Prem 5.08 % 3.34 % 148,659 1.51 20 0.0852 % 2,652.4
FixedReset Bank Non 1.94 % 3.79 % 67,613 2.04 3 -0.0545 % 2,725.4
FixedReset Ins Non 5.39 % 5.72 % 151,166 14.30 22 0.1305 % 2,181.1
Performance Highlights
Issue Index Change Notes
BAM.PR.X FixedReset Disc -1.98 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-24
Maturity Price : 13.38
Evaluated at bid price : 13.38
Bid-YTW : 6.23 %
GWO.PR.N FixedReset Ins Non -1.62 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-24
Maturity Price : 13.36
Evaluated at bid price : 13.36
Bid-YTW : 5.42 %
EIT.PR.B SplitShare 1.03 % YTW SCENARIO
Maturity Type : Soft Maturity
Maturity Date : 2025-03-14
Maturity Price : 25.00
Evaluated at bid price : 25.61
Bid-YTW : 4.32 %
TRP.PR.F FloatingReset 1.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-24
Maturity Price : 14.12
Evaluated at bid price : 14.12
Bid-YTW : 6.40 %
BAM.PR.B Floater 1.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-24
Maturity Price : 11.50
Evaluated at bid price : 11.50
Bid-YTW : 6.03 %
HSE.PR.C FixedReset Disc 1.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-24
Maturity Price : 17.25
Evaluated at bid price : 17.25
Bid-YTW : 6.93 %
TRP.PR.D FixedReset Disc 1.27 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-24
Maturity Price : 16.80
Evaluated at bid price : 16.80
Bid-YTW : 6.02 %
TRP.PR.C FixedReset Disc 1.28 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-24
Maturity Price : 12.62
Evaluated at bid price : 12.62
Bid-YTW : 6.24 %
HSE.PR.G FixedReset Disc 2.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-24
Maturity Price : 18.59
Evaluated at bid price : 18.59
Bid-YTW : 6.95 %
IFC.PR.C FixedReset Ins Non 2.36 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-24
Maturity Price : 17.76
Evaluated at bid price : 17.76
Bid-YTW : 5.92 %
TRP.PR.B FixedReset Disc 2.89 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-24
Maturity Price : 12.12
Evaluated at bid price : 12.12
Bid-YTW : 5.99 %
Volume Highlights
Issue Index Shares
Traded		 Notes
TD.PF.K FixedReset Disc 25,866 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-24
Maturity Price : 19.25
Evaluated at bid price : 19.25
Bid-YTW : 5.73 %
PWF.PR.R Perpetual-Premium 23,700 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-24
Maturity Price : 24.79
Evaluated at bid price : 25.11
Bid-YTW : 5.55 %
CM.PR.R FixedReset Disc 20,784 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-24
Maturity Price : 21.06
Evaluated at bid price : 21.06
Bid-YTW : 5.82 %
CM.PR.S FixedReset Disc 20,530 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-24
Maturity Price : 17.93
Evaluated at bid price : 17.93
Bid-YTW : 5.79 %
RY.PR.J FixedReset Disc 20,256 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-24
Maturity Price : 19.48
Evaluated at bid price : 19.48
Bid-YTW : 5.65 %
RY.PR.S FixedReset Disc 18,936 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-24
Maturity Price : 19.23
Evaluated at bid price : 19.23
Bid-YTW : 5.52 %
There were 11 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: 23.51 – 24.50
Spot Rate : 0.9900
Average : 0.8029

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-24
Maturity Price : 23.21
Evaluated at bid price : 23.51
Bid-YTW : 5.33 %
BMO.PR.W FixedReset Disc Quote: 17.34 – 17.89
Spot Rate : 0.5500
Average : 0.3773

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-24
Maturity Price : 17.34
Evaluated at bid price : 17.34
Bid-YTW : 5.61 %
PVS.PR.F SplitShare Quote: 25.39 – 25.90
Spot Rate : 0.5100
Average : 0.3603

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2024-09-30
Maturity Price : 25.00
Evaluated at bid price : 25.39
Bid-YTW : 4.51 %
HSE.PR.G FixedReset Disc Quote: 18.59 – 19.34
Spot Rate : 0.7500
Average : 0.6095

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-24
Maturity Price : 18.59
Evaluated at bid price : 18.59
Bid-YTW : 6.95 %
PWF.PR.T FixedReset Disc Quote: 18.27 – 18.73
Spot Rate : 0.4600
Average : 0.3549

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-24
Maturity Price : 18.27
Evaluated at bid price : 18.27
Bid-YTW : 5.63 %
TD.PF.C FixedReset Disc Quote: 17.34 – 17.60
Spot Rate : 0.2600
Average : 0.1686

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-24
Maturity Price : 17.34
Evaluated at bid price : 17.34
Bid-YTW : 5.68 %
Market Action

December 23, 2019

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 1.1615 % 2,075.2
FixedFloater 0.00 % 0.00 % 0 0.00 0 1.1615 % 3,807.9
Floater 5.88 % 6.03 % 57,140 13.87 4 1.1615 % 2,194.5
OpRet 0.00 % 0.00 % 0 0.00 0 0.1571 % 3,443.1
SplitShare 4.63 % 4.27 % 39,438 3.81 7 0.1571 % 4,111.8
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.1571 % 3,208.2
Perpetual-Premium 5.57 % -6.82 % 68,037 0.09 10 0.0362 % 3,040.7
Perpetual-Discount 5.28 % 5.36 % 72,783 14.84 25 0.0630 % 3,285.2
FixedReset Disc 5.49 % 5.76 % 225,481 14.26 66 -0.1746 % 2,149.5
Deemed-Retractible 5.17 % 5.26 % 71,939 14.93 27 0.1110 % 3,230.5
FloatingReset 6.19 % 6.47 % 140,728 13.25 2 -1.0619 % 2,502.1
FixedReset Prem 5.08 % 3.35 % 154,556 1.51 20 0.1766 % 2,650.1
FixedReset Bank Non 1.94 % 3.74 % 68,483 2.04 3 0.2049 % 2,726.9
FixedReset Ins Non 5.39 % 5.71 % 156,835 14.27 22 -0.1500 % 2,178.3
Performance Highlights
Issue Index Change Notes
TRP.PR.A FixedReset Disc -2.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-23
Maturity Price : 14.50
Evaluated at bid price : 14.50
Bid-YTW : 6.14 %
TRP.PR.F FloatingReset -1.69 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-23
Maturity Price : 13.97
Evaluated at bid price : 13.97
Bid-YTW : 6.47 %
CM.PR.S FixedReset Disc -1.63 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-23
Maturity Price : 18.15
Evaluated at bid price : 18.15
Bid-YTW : 5.83 %
TRP.PR.B FixedReset Disc -1.51 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-23
Maturity Price : 11.78
Evaluated at bid price : 11.78
Bid-YTW : 6.16 %
TD.PF.K FixedReset Disc -1.28 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-23
Maturity Price : 19.21
Evaluated at bid price : 19.21
Bid-YTW : 5.74 %
RY.PR.J FixedReset Disc -1.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-23
Maturity Price : 19.30
Evaluated at bid price : 19.30
Bid-YTW : 5.70 %
IFC.PR.G FixedReset Ins Non -1.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-23
Maturity Price : 18.40
Evaluated at bid price : 18.40
Bid-YTW : 5.91 %
MFC.PR.Q FixedReset Ins Non -1.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-23
Maturity Price : 19.42
Evaluated at bid price : 19.42
Bid-YTW : 5.55 %
RY.PR.S FixedReset Disc -1.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-23
Maturity Price : 19.20
Evaluated at bid price : 19.20
Bid-YTW : 5.53 %
TD.PF.I FixedReset Disc -1.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-23
Maturity Price : 20.78
Evaluated at bid price : 20.78
Bid-YTW : 5.64 %
W.PR.K FixedReset Prem 1.13 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-01-15
Maturity Price : 25.00
Evaluated at bid price : 26.02
Bid-YTW : 2.30 %
EIT.PR.A SplitShare 1.26 % YTW SCENARIO
Maturity Type : Soft Maturity
Maturity Date : 2024-03-14
Maturity Price : 25.00
Evaluated at bid price : 25.72
Bid-YTW : 4.10 %
PWF.PR.A Floater 1.27 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-23
Maturity Price : 12.71
Evaluated at bid price : 12.71
Bid-YTW : 5.51 %
BAM.PR.C Floater 1.42 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-23
Maturity Price : 11.46
Evaluated at bid price : 11.46
Bid-YTW : 6.05 %
GWO.PR.N FixedReset Ins Non 1.65 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-23
Maturity Price : 13.58
Evaluated at bid price : 13.58
Bid-YTW : 5.33 %
PWF.PR.T FixedReset Disc 1.73 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-23
Maturity Price : 18.24
Evaluated at bid price : 18.24
Bid-YTW : 5.64 %
BAM.PR.K Floater 1.77 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-23
Maturity Price : 11.50
Evaluated at bid price : 11.50
Bid-YTW : 6.03 %
HSE.PR.A FixedReset Disc 1.82 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-23
Maturity Price : 11.76
Evaluated at bid price : 11.76
Bid-YTW : 7.01 %
Volume Highlights
Issue Index Shares
Traded		 Notes
TD.PF.C FixedReset Disc 93,347 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-23
Maturity Price : 17.34
Evaluated at bid price : 17.34
Bid-YTW : 5.67 %
TD.PF.A FixedReset Disc 59,287 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-23
Maturity Price : 17.12
Evaluated at bid price : 17.12
Bid-YTW : 5.65 %
TD.PF.H FixedReset Prem 50,600 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-10-31
Maturity Price : 25.00
Evaluated at bid price : 25.85
Bid-YTW : 3.35 %
RY.PR.S FixedReset Disc 34,603 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-23
Maturity Price : 19.20
Evaluated at bid price : 19.20
Bid-YTW : 5.53 %
IAF.PR.G FixedReset Ins Non 34,536 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-23
Maturity Price : 18.77
Evaluated at bid price : 18.77
Bid-YTW : 5.85 %
MFC.PR.O FixedReset Ins Non 33,250 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-06-19
Maturity Price : 25.00
Evaluated at bid price : 25.70
Bid-YTW : 3.72 %
There were 52 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
BAM.PF.F FixedReset Disc Quote: 18.25 – 18.87
Spot Rate : 0.6200
Average : 0.3646

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-23
Maturity Price : 18.25
Evaluated at bid price : 18.25
Bid-YTW : 6.00 %
HSE.PR.G FixedReset Disc Quote: 18.20 – 18.84
Spot Rate : 0.6400
Average : 0.4555

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-23
Maturity Price : 18.20
Evaluated at bid price : 18.20
Bid-YTW : 7.09 %
CU.PR.F Perpetual-Discount Quote: 21.55 – 22.11
Spot Rate : 0.5600
Average : 0.4098

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-23
Maturity Price : 21.55
Evaluated at bid price : 21.55
Bid-YTW : 5.28 %
PWF.PR.P FixedReset Disc Quote: 13.62 – 14.10
Spot Rate : 0.4800
Average : 0.3405

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-23
Maturity Price : 13.62
Evaluated at bid price : 13.62
Bid-YTW : 5.89 %
PVS.PR.G SplitShare Quote: 25.61 – 26.00
Spot Rate : 0.3900
Average : 0.2661

YTW SCENARIO
Maturity Type : Option Certainty
Maturity Date : 2026-02-28
Maturity Price : 25.00
Evaluated at bid price : 25.61
Bid-YTW : 4.51 %
TD.PF.J FixedReset Disc Quote: 19.58 – 19.95
Spot Rate : 0.3700
Average : 0.2507

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-23
Maturity Price : 19.58
Evaluated at bid price : 19.58
Bid-YTW : 5.71 %
Market Action

December 20, 2019

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 0.1940 % 2,051.4
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.1940 % 3,764.2
Floater 5.95 % 6.11 % 57,894 13.75 4 0.1940 % 2,169.3
OpRet 0.00 % 0.00 % 0 0.00 0 0.0955 % 3,437.7
SplitShare 4.64 % 4.43 % 38,870 3.81 7 0.0955 % 4,105.3
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0955 % 3,203.1
Perpetual-Premium 5.55 % -7.28 % 64,331 0.09 10 -0.0783 % 3,039.6
Perpetual-Discount 5.27 % 5.34 % 72,650 14.85 25 -0.0772 % 3,283.2
FixedReset Disc 5.49 % 5.73 % 227,239 14.24 66 -0.0740 % 2,153.2
Deemed-Retractible 5.17 % 5.28 % 72,152 14.91 27 -0.0219 % 3,226.9
FloatingReset 6.09 % 6.32 % 137,312 13.46 2 -0.4375 % 2,529.0
FixedReset Prem 5.09 % 3.42 % 160,584 1.57 20 0.1088 % 2,645.4
FixedReset Bank Non 1.94 % 3.89 % 68,156 2.05 3 -0.0137 % 2,721.3
FixedReset Ins Non 5.39 % 5.71 % 156,689 14.29 22 0.2711 % 2,181.6
Performance Highlights
Issue Index Change Notes
CCS.PR.C Deemed-Retractible -1.60 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-20
Maturity Price : 23.07
Evaluated at bid price : 23.33
Bid-YTW : 5.37 %
IFC.PR.C FixedReset Ins Non -1.47 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-20
Maturity Price : 17.41
Evaluated at bid price : 17.41
Bid-YTW : 6.03 %
BNS.PR.I FixedReset Disc -1.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-20
Maturity Price : 19.38
Evaluated at bid price : 19.38
Bid-YTW : 5.57 %
CM.PR.Q FixedReset Disc -1.21 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-20
Maturity Price : 18.82
Evaluated at bid price : 18.82
Bid-YTW : 5.90 %
TD.PF.J FixedReset Disc -1.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-20
Maturity Price : 19.60
Evaluated at bid price : 19.60
Bid-YTW : 5.70 %
TD.PF.K FixedReset Disc -1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-20
Maturity Price : 19.46
Evaluated at bid price : 19.46
Bid-YTW : 5.66 %
GWO.PR.N FixedReset Ins Non 1.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-20
Maturity Price : 13.36
Evaluated at bid price : 13.36
Bid-YTW : 5.42 %
BIP.PR.D FixedReset Disc 1.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-20
Maturity Price : 23.00
Evaluated at bid price : 23.30
Bid-YTW : 5.75 %
BAM.PR.Z FixedReset Disc 1.27 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-20
Maturity Price : 19.91
Evaluated at bid price : 19.91
Bid-YTW : 5.80 %
SLF.PR.B Deemed-Retractible 1.32 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-20
Maturity Price : 22.82
Evaluated at bid price : 23.10
Bid-YTW : 5.20 %
MFC.PR.M FixedReset Ins Non 1.44 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-20
Maturity Price : 17.67
Evaluated at bid price : 17.67
Bid-YTW : 5.67 %
BAM.PF.G FixedReset Disc 1.57 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-20
Maturity Price : 18.78
Evaluated at bid price : 18.78
Bid-YTW : 5.97 %
TRP.PR.E FixedReset Disc 1.74 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-20
Maturity Price : 16.40
Evaluated at bid price : 16.40
Bid-YTW : 6.06 %
MFC.PR.Q FixedReset Ins Non 1.97 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-20
Maturity Price : 19.64
Evaluated at bid price : 19.64
Bid-YTW : 5.48 %
Volume Highlights
Issue Index Shares
Traded		 Notes
CU.PR.C FixedReset Disc 200,455 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-20
Maturity Price : 17.36
Evaluated at bid price : 17.36
Bid-YTW : 5.72 %
RY.PR.J FixedReset Disc 112,451 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-20
Maturity Price : 19.54
Evaluated at bid price : 19.54
Bid-YTW : 5.63 %
BAM.PF.G FixedReset Disc 95,600 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-20
Maturity Price : 18.78
Evaluated at bid price : 18.78
Bid-YTW : 5.97 %
BAM.PR.X FixedReset Disc 75,970 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-20
Maturity Price : 13.66
Evaluated at bid price : 13.66
Bid-YTW : 6.10 %
RY.PR.Z FixedReset Disc 75,321 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-20
Maturity Price : 17.26
Evaluated at bid price : 17.26
Bid-YTW : 5.56 %
BAM.PR.R FixedReset Disc 73,550 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-20
Maturity Price : 15.90
Evaluated at bid price : 15.90
Bid-YTW : 6.07 %
There were 61 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
PWF.PR.T FixedReset Disc Quote: 17.93 – 18.50
Spot Rate : 0.5700
Average : 0.3930

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-20
Maturity Price : 17.93
Evaluated at bid price : 17.93
Bid-YTW : 5.73 %
IFC.PR.C FixedReset Ins Non Quote: 17.41 – 17.86
Spot Rate : 0.4500
Average : 0.2917

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-20
Maturity Price : 17.41
Evaluated at bid price : 17.41
Bid-YTW : 6.03 %
BAM.PF.E FixedReset Disc Quote: 17.45 – 17.90
Spot Rate : 0.4500
Average : 0.3222

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-20
Maturity Price : 17.45
Evaluated at bid price : 17.45
Bid-YTW : 6.01 %
BNS.PR.I FixedReset Disc Quote: 19.38 – 19.75
Spot Rate : 0.3700
Average : 0.2658

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-20
Maturity Price : 19.38
Evaluated at bid price : 19.38
Bid-YTW : 5.57 %
BAM.PR.K Floater Quote: 11.30 – 11.69
Spot Rate : 0.3900
Average : 0.2988

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-20
Maturity Price : 11.30
Evaluated at bid price : 11.30
Bid-YTW : 6.13 %
ELF.PR.G Perpetual-Discount Quote: 22.23 – 22.69
Spot Rate : 0.4600
Average : 0.3783

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-20
Maturity Price : 22.00
Evaluated at bid price : 22.23
Bid-YTW : 5.43 %
Market Action

December 19, 2025

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 -0.1936 % 2,047.4
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.1936 % 3,756.9
Floater 5.96 % 6.14 % 57,769 13.71 4 -0.1936 % 2,165.1
OpRet 0.00 % 0.00 % 0 0.00 0 -0.3582 % 3,434.4
SplitShare 4.64 % 4.42 % 39,870 3.82 7 -0.3582 % 4,101.4
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.3582 % 3,200.1
Perpetual-Premium 5.55 % -10.76 % 61,714 0.09 10 -0.0704 % 3,041.9
Perpetual-Discount 5.27 % 5.32 % 72,488 14.86 25 -0.0137 % 3,285.7
FixedReset Disc 5.48 % 5.76 % 227,719 14.28 66 -0.0571 % 2,154.8
Deemed-Retractible 5.17 % 5.28 % 72,385 14.97 27 -0.1420 % 3,227.6
FloatingReset 6.06 % 6.27 % 138,687 13.53 2 -0.7598 % 2,540.1
FixedReset Prem 5.10 % 3.54 % 122,847 1.52 20 -0.1009 % 2,642.5
FixedReset Bank Non 1.94 % 3.96 % 67,876 2.05 3 -0.0955 % 2,721.7
FixedReset Ins Non 5.40 % 5.73 % 146,146 14.31 22 -0.1378 % 2,175.7
Performance Highlights
Issue Index Change Notes
TRP.PR.E FixedReset Disc -2.18 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-19
Maturity Price : 16.12
Evaluated at bid price : 16.12
Bid-YTW : 6.17 %
CCS.PR.C Deemed-Retractible -1.98 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-19
Maturity Price : 23.42
Evaluated at bid price : 23.71
Bid-YTW : 5.28 %
CU.PR.C FixedReset Disc -1.86 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-19
Maturity Price : 17.37
Evaluated at bid price : 17.37
Bid-YTW : 5.71 %
MFC.PR.M FixedReset Ins Non -1.80 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-19
Maturity Price : 17.42
Evaluated at bid price : 17.42
Bid-YTW : 5.75 %
GWO.PR.N FixedReset Ins Non -1.78 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-19
Maturity Price : 13.22
Evaluated at bid price : 13.22
Bid-YTW : 5.47 %
MFC.PR.L FixedReset Ins Non -1.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-19
Maturity Price : 17.11
Evaluated at bid price : 17.11
Bid-YTW : 5.56 %
PWF.PR.R Perpetual-Premium -1.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-19
Maturity Price : 24.80
Evaluated at bid price : 25.10
Bid-YTW : 5.55 %
SLF.PR.J FloatingReset -1.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-19
Maturity Price : 13.12
Evaluated at bid price : 13.12
Bid-YTW : 5.86 %
PWF.PR.S Perpetual-Discount 1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-19
Maturity Price : 22.38
Evaluated at bid price : 22.79
Bid-YTW : 5.32 %
BAM.PR.X FixedReset Disc 1.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-19
Maturity Price : 13.75
Evaluated at bid price : 13.75
Bid-YTW : 6.06 %
TRP.PR.B FixedReset Disc 1.18 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-19
Maturity Price : 11.99
Evaluated at bid price : 11.99
Bid-YTW : 6.05 %
BAM.PR.T FixedReset Disc 1.19 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-19
Maturity Price : 16.13
Evaluated at bid price : 16.13
Bid-YTW : 6.02 %
BAM.PR.R FixedReset Disc 2.76 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-19
Maturity Price : 16.00
Evaluated at bid price : 16.00
Bid-YTW : 6.03 %
Volume Highlights
Issue Index Shares
Traded		 Notes
RY.PR.Z FixedReset Disc 131,602 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-19
Maturity Price : 17.31
Evaluated at bid price : 17.31
Bid-YTW : 5.55 %
RY.PR.S FixedReset Disc 75,837 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-19
Maturity Price : 19.35
Evaluated at bid price : 19.35
Bid-YTW : 5.48 %
BMO.PR.E FixedReset Disc 63,250 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-19
Maturity Price : 20.02
Evaluated at bid price : 20.02
Bid-YTW : 5.59 %
BMO.PR.D FixedReset Disc 60,345 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-19
Maturity Price : 21.05
Evaluated at bid price : 21.05
Bid-YTW : 5.68 %
NA.PR.G FixedReset Disc 45,980 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-19
Maturity Price : 19.48
Evaluated at bid price : 19.48
Bid-YTW : 5.89 %
TD.PF.J FixedReset Disc 45,246 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-19
Maturity Price : 19.82
Evaluated at bid price : 19.82
Bid-YTW : 5.64 %
There were 64 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
ELF.PR.G Perpetual-Discount Quote: 22.22 – 22.69
Spot Rate : 0.4700
Average : 0.2888

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-19
Maturity Price : 21.98
Evaluated at bid price : 22.22
Bid-YTW : 5.43 %
CCS.PR.C Deemed-Retractible Quote: 23.71 – 24.32
Spot Rate : 0.6100
Average : 0.4748

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-19
Maturity Price : 23.42
Evaluated at bid price : 23.71
Bid-YTW : 5.28 %
BMO.PR.B FixedReset Prem Quote: 25.68 – 26.00
Spot Rate : 0.3200
Average : 0.1947

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-02-25
Maturity Price : 25.00
Evaluated at bid price : 25.68
Bid-YTW : 3.72 %
TRP.PR.E FixedReset Disc Quote: 16.12 – 16.48
Spot Rate : 0.3600
Average : 0.2450

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-19
Maturity Price : 16.12
Evaluated at bid price : 16.12
Bid-YTW : 6.17 %
EMA.PR.C FixedReset Disc Quote: 18.35 – 18.72
Spot Rate : 0.3700
Average : 0.2705

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-19
Maturity Price : 18.35
Evaluated at bid price : 18.35
Bid-YTW : 6.04 %
CU.PR.C FixedReset Disc Quote: 17.37 – 17.65
Spot Rate : 0.2800
Average : 0.1870

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-19
Maturity Price : 17.37
Evaluated at bid price : 17.37
Bid-YTW : 5.71 %
Market Action

December 18, 2019

PerpetualDiscounts now yield 5.35%, equivalent to 6.96% interest at the standard equivalency factor of 1.3x. Long corporates now yield 3.37%, so the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) has narrowed to 360bp from the 370bp reported December 11.

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 1.0652 % 2,051.4
FixedFloater 0.00 % 0.00 % 0 0.00 0 1.0652 % 3,764.2
Floater 5.95 % 6.15 % 56,754 13.70 4 1.0652 % 2,169.3
OpRet 0.00 % 0.00 % 0 0.00 0 0.1626 % 3,446.7
SplitShare 4.62 % 4.16 % 40,093 3.82 7 0.1626 % 4,116.2
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.1626 % 3,211.6
Perpetual-Premium 5.54 % -10.49 % 64,161 0.09 10 0.0313 % 3,044.1
Perpetual-Discount 5.27 % 5.35 % 75,473 14.89 25 -0.0017 % 3,286.2
FixedReset Disc 5.48 % 5.74 % 223,641 14.30 66 0.7220 % 2,156.0
Deemed-Retractible 5.16 % 5.27 % 71,935 14.98 27 0.2393 % 3,232.2
FloatingReset 6.01 % 6.24 % 135,270 13.57 2 1.9926 % 2,559.5
FixedReset Prem 5.09 % 3.44 % 160,247 1.58 20 0.1828 % 2,645.2
FixedReset Bank Non 1.94 % 3.82 % 66,325 2.05 3 0.2736 % 2,724.3
FixedReset Ins Non 5.39 % 5.72 % 146,131 14.34 22 0.9768 % 2,178.7
Performance Highlights
Issue Index Change Notes
PWF.PR.S Perpetual-Discount -1.78 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-18
Maturity Price : 22.23
Evaluated at bid price : 22.56
Bid-YTW : 5.38 %
TD.PF.H FixedReset Prem 1.02 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-10-31
Maturity Price : 25.00
Evaluated at bid price : 25.78
Bid-YTW : 3.48 %
PWF.PR.P FixedReset Disc 1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-18
Maturity Price : 13.80
Evaluated at bid price : 13.80
Bid-YTW : 5.81 %
PWF.PR.T FixedReset Disc 1.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-18
Maturity Price : 17.89
Evaluated at bid price : 17.89
Bid-YTW : 5.75 %
MFC.PR.G FixedReset Ins Non 1.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-18
Maturity Price : 19.31
Evaluated at bid price : 19.31
Bid-YTW : 5.80 %
EMA.PR.C FixedReset Disc 1.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-18
Maturity Price : 18.20
Evaluated at bid price : 18.20
Bid-YTW : 6.09 %
BNS.PR.H FixedReset Prem 1.13 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-01-26
Maturity Price : 25.00
Evaluated at bid price : 25.89
Bid-YTW : 3.44 %
BAM.PR.C Floater 1.17 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-18
Maturity Price : 11.26
Evaluated at bid price : 11.26
Bid-YTW : 6.15 %
CM.PR.O FixedReset Disc 1.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-18
Maturity Price : 16.91
Evaluated at bid price : 16.91
Bid-YTW : 5.82 %
BMO.PR.Y FixedReset Disc 1.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-18
Maturity Price : 19.38
Evaluated at bid price : 19.38
Bid-YTW : 5.62 %
MFC.PR.K FixedReset Ins Non 1.34 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-18
Maturity Price : 17.45
Evaluated at bid price : 17.45
Bid-YTW : 5.72 %
TRP.PR.E FixedReset Disc 1.35 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-18
Maturity Price : 16.48
Evaluated at bid price : 16.48
Bid-YTW : 6.03 %
BAM.PF.A FixedReset Disc 1.37 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-18
Maturity Price : 20.00
Evaluated at bid price : 20.00
Bid-YTW : 5.83 %
NA.PR.S FixedReset Disc 1.38 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-18
Maturity Price : 17.60
Evaluated at bid price : 17.60
Bid-YTW : 5.79 %
HSE.PR.C FixedReset Disc 1.42 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-18
Maturity Price : 17.10
Evaluated at bid price : 17.10
Bid-YTW : 6.98 %
BAM.PF.F FixedReset Disc 1.60 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-18
Maturity Price : 18.40
Evaluated at bid price : 18.40
Bid-YTW : 5.94 %
MFC.PR.M FixedReset Ins Non 1.66 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-18
Maturity Price : 17.74
Evaluated at bid price : 17.74
Bid-YTW : 5.65 %
MFC.PR.I FixedReset Ins Non 1.66 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-18
Maturity Price : 19.57
Evaluated at bid price : 19.57
Bid-YTW : 5.74 %
BAM.PF.E FixedReset Disc 1.71 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-18
Maturity Price : 17.29
Evaluated at bid price : 17.29
Bid-YTW : 6.06 %
MFC.PR.N FixedReset Ins Non 1.79 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-18
Maturity Price : 17.10
Evaluated at bid price : 17.10
Bid-YTW : 5.77 %
PWF.PR.A Floater 1.84 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-18
Maturity Price : 12.73
Evaluated at bid price : 12.73
Bid-YTW : 5.49 %
CM.PR.P FixedReset Disc 1.92 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-18
Maturity Price : 16.95
Evaluated at bid price : 16.95
Bid-YTW : 5.78 %
IFC.PR.G FixedReset Ins Non 1.93 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-18
Maturity Price : 18.50
Evaluated at bid price : 18.50
Bid-YTW : 5.87 %
MFC.PR.H FixedReset Ins Non 1.93 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-18
Maturity Price : 20.60
Evaluated at bid price : 20.60
Bid-YTW : 5.73 %
TRP.PR.F FloatingReset 1.99 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-18
Maturity Price : 14.38
Evaluated at bid price : 14.38
Bid-YTW : 6.24 %
SLF.PR.J FloatingReset 2.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-18
Maturity Price : 13.26
Evaluated at bid price : 13.26
Bid-YTW : 5.80 %
CM.PR.Q FixedReset Disc 2.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-18
Maturity Price : 19.20
Evaluated at bid price : 19.20
Bid-YTW : 5.78 %
BAM.PR.Z FixedReset Disc 2.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-18
Maturity Price : 19.60
Evaluated at bid price : 19.60
Bid-YTW : 5.89 %
HSE.PR.A FixedReset Disc 2.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-18
Maturity Price : 11.55
Evaluated at bid price : 11.55
Bid-YTW : 7.13 %
MFC.PR.Q FixedReset Ins Non 2.34 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-18
Maturity Price : 19.23
Evaluated at bid price : 19.23
Bid-YTW : 5.60 %
SLF.PR.H FixedReset Ins Non 2.56 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-18
Maturity Price : 16.41
Evaluated at bid price : 16.41
Bid-YTW : 5.65 %
MFC.PR.L FixedReset Ins Non 3.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-18
Maturity Price : 17.31
Evaluated at bid price : 17.31
Bid-YTW : 5.50 %
BAM.PF.B FixedReset Disc 3.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-18
Maturity Price : 18.59
Evaluated at bid price : 18.59
Bid-YTW : 5.81 %
TRP.PR.C FixedReset Disc 3.32 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-18
Maturity Price : 12.77
Evaluated at bid price : 12.77
Bid-YTW : 6.17 %
CCS.PR.C Deemed-Retractible 3.73 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-18
Maturity Price : 23.93
Evaluated at bid price : 24.19
Bid-YTW : 5.17 %
Volume Highlights
Issue Index Shares
Traded		 Notes
TD.PF.J FixedReset Disc 132,100 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-18
Maturity Price : 19.87
Evaluated at bid price : 19.87
Bid-YTW : 5.62 %
NA.PR.E FixedReset Disc 123,875 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-18
Maturity Price : 18.50
Evaluated at bid price : 18.50
Bid-YTW : 5.87 %
NA.PR.S FixedReset Disc 82,683 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-18
Maturity Price : 17.60
Evaluated at bid price : 17.60
Bid-YTW : 5.79 %
CM.PR.O FixedReset Disc 70,625 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-18
Maturity Price : 16.91
Evaluated at bid price : 16.91
Bid-YTW : 5.82 %
RY.PR.Z FixedReset Disc 64,730 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-18
Maturity Price : 17.30
Evaluated at bid price : 17.30
Bid-YTW : 5.55 %
EMA.PR.C FixedReset Disc 59,215 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-18
Maturity Price : 18.20
Evaluated at bid price : 18.20
Bid-YTW : 6.09 %
There were 72 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
MFC.PR.K FixedReset Ins Non Quote: 17.45 – 17.86
Spot Rate : 0.4100
Average : 0.2563

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-18
Maturity Price : 17.45
Evaluated at bid price : 17.45
Bid-YTW : 5.72 %
PWF.PR.S Perpetual-Discount Quote: 22.56 – 22.95
Spot Rate : 0.3900
Average : 0.2577

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-18
Maturity Price : 22.23
Evaluated at bid price : 22.56
Bid-YTW : 5.38 %
BAM.PF.A FixedReset Disc Quote: 20.00 – 20.42
Spot Rate : 0.4200
Average : 0.2888

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-18
Maturity Price : 20.00
Evaluated at bid price : 20.00
Bid-YTW : 5.83 %
IAF.PR.G FixedReset Ins Non Quote: 18.70 – 19.15
Spot Rate : 0.4500
Average : 0.3278

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-18
Maturity Price : 18.70
Evaluated at bid price : 18.70
Bid-YTW : 5.86 %
TRP.PR.J FixedReset Prem Quote: 25.90 – 26.19
Spot Rate : 0.2900
Average : 0.1821

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-05-31
Maturity Price : 25.00
Evaluated at bid price : 25.90
Bid-YTW : 3.15 %
BAM.PF.H FixedReset Prem Quote: 25.58 – 25.89
Spot Rate : 0.3100
Average : 0.2099

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2020-12-31
Maturity Price : 25.00
Evaluated at bid price : 25.58
Bid-YTW : 2.55 %
Market Action

December 17, 2019

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 0.3053 % 2,029.8
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.3053 % 3,724.5
Floater 6.01 % 6.19 % 57,013 13.65 4 0.3053 % 2,146.5
OpRet 0.00 % 0.00 % 0 0.00 0 -0.1400 % 3,441.2
SplitShare 4.63 % 4.34 % 40,437 3.82 7 -0.1400 % 4,109.5
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.1400 % 3,206.4
Perpetual-Premium 5.54 % -9.17 % 60,543 0.09 10 0.0274 % 3,043.1
Perpetual-Discount 5.27 % 5.35 % 73,896 14.89 25 -0.0497 % 3,286.2
FixedReset Disc 5.52 % 5.72 % 216,505 14.26 66 0.2922 % 2,140.6
Deemed-Retractible 5.17 % 5.28 % 72,205 14.95 27 0.1033 % 3,224.5
FloatingReset 6.13 % 6.36 % 134,531 13.40 2 -0.1106 % 2,509.5
FixedReset Prem 5.10 % 3.54 % 157,677 1.52 20 0.1090 % 2,640.4
FixedReset Bank Non 1.95 % 3.97 % 61,934 2.05 3 0.0000 % 2,716.8
FixedReset Ins Non 5.44 % 5.77 % 145,060 14.23 22 0.3137 % 2,157.6
Performance Highlights
Issue Index Change Notes
BAM.PR.Z FixedReset Disc -2.24 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-17
Maturity Price : 19.21
Evaluated at bid price : 19.21
Bid-YTW : 6.01 %
BAM.PF.B FixedReset Disc -2.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-17
Maturity Price : 18.01
Evaluated at bid price : 18.01
Bid-YTW : 5.99 %
PWF.PR.T FixedReset Disc -1.67 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-17
Maturity Price : 17.70
Evaluated at bid price : 17.70
Bid-YTW : 5.81 %
BAM.PR.M Perpetual-Discount -1.33 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-17
Maturity Price : 21.25
Evaluated at bid price : 21.52
Bid-YTW : 5.52 %
MFC.PR.Q FixedReset Ins Non -1.31 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-17
Maturity Price : 18.79
Evaluated at bid price : 18.79
Bid-YTW : 5.73 %
CCS.PR.C Deemed-Retractible -1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-17
Maturity Price : 23.06
Evaluated at bid price : 23.32
Bid-YTW : 5.37 %
BMO.PR.E FixedReset Disc 1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-17
Maturity Price : 19.82
Evaluated at bid price : 19.82
Bid-YTW : 5.65 %
BNS.PR.I FixedReset Disc 1.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-17
Maturity Price : 19.60
Evaluated at bid price : 19.60
Bid-YTW : 5.50 %
BAM.PF.G FixedReset Disc 1.17 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-17
Maturity Price : 18.21
Evaluated at bid price : 18.21
Bid-YTW : 6.15 %
NA.PR.W FixedReset Disc 1.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-17
Maturity Price : 16.60
Evaluated at bid price : 16.60
Bid-YTW : 5.91 %
SLF.PR.G FixedReset Ins Non 1.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-17
Maturity Price : 13.16
Evaluated at bid price : 13.16
Bid-YTW : 5.75 %
SLF.PR.I FixedReset Ins Non 1.24 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-17
Maturity Price : 18.82
Evaluated at bid price : 18.82
Bid-YTW : 5.72 %
BAM.PF.I FixedReset Prem 1.26 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-03-31
Maturity Price : 25.00
Evaluated at bid price : 25.81
Bid-YTW : 3.25 %
NA.PR.E FixedReset Disc 1.37 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-17
Maturity Price : 18.45
Evaluated at bid price : 18.45
Bid-YTW : 5.88 %
BAM.PR.T FixedReset Disc 1.41 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-17
Maturity Price : 15.80
Evaluated at bid price : 15.80
Bid-YTW : 6.15 %
PWF.PR.P FixedReset Disc 1.49 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-17
Maturity Price : 13.66
Evaluated at bid price : 13.66
Bid-YTW : 5.87 %
PWF.PR.A Floater 1.54 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-17
Maturity Price : 12.50
Evaluated at bid price : 12.50
Bid-YTW : 5.59 %
TRP.PR.E FixedReset Disc 1.63 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-17
Maturity Price : 16.26
Evaluated at bid price : 16.26
Bid-YTW : 6.11 %
MFC.PR.L FixedReset Ins Non 1.64 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-17
Maturity Price : 16.77
Evaluated at bid price : 16.77
Bid-YTW : 5.68 %
RY.PR.M FixedReset Disc 1.86 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-17
Maturity Price : 19.13
Evaluated at bid price : 19.13
Bid-YTW : 5.56 %
HSE.PR.G FixedReset Disc 1.97 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-17
Maturity Price : 18.10
Evaluated at bid price : 18.10
Bid-YTW : 7.12 %
Volume Highlights
Issue Index Shares
Traded		 Notes
PWF.PR.G Perpetual-Premium 79,625 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2020-01-16
Maturity Price : 25.00
Evaluated at bid price : 25.55
Bid-YTW : -11.13 %
RY.PR.Z FixedReset Disc 73,161 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-17
Maturity Price : 17.23
Evaluated at bid price : 17.23
Bid-YTW : 5.57 %
BMO.PR.D FixedReset Disc 57,133 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-17
Maturity Price : 21.00
Evaluated at bid price : 21.00
Bid-YTW : 5.69 %
BMO.PR.T FixedReset Disc 48,529 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-17
Maturity Price : 17.02
Evaluated at bid price : 17.02
Bid-YTW : 5.64 %
CM.PR.Q FixedReset Disc 47,460 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-17
Maturity Price : 18.82
Evaluated at bid price : 18.82
Bid-YTW : 5.90 %
HSE.PR.E FixedReset Disc 43,600 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-17
Maturity Price : 18.01
Evaluated at bid price : 18.01
Bid-YTW : 7.24 %
There were 64 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
HSE.PR.G FixedReset Disc Quote: 18.10 – 19.60
Spot Rate : 1.5000
Average : 0.9584

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-17
Maturity Price : 18.10
Evaluated at bid price : 18.10
Bid-YTW : 7.12 %
BAM.PR.Z FixedReset Disc Quote: 19.21 – 19.74
Spot Rate : 0.5300
Average : 0.3505

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-17
Maturity Price : 19.21
Evaluated at bid price : 19.21
Bid-YTW : 6.01 %
BAM.PF.B FixedReset Disc Quote: 18.01 – 18.57
Spot Rate : 0.5600
Average : 0.4047

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-17
Maturity Price : 18.01
Evaluated at bid price : 18.01
Bid-YTW : 5.99 %
BAM.PF.D Perpetual-Discount Quote: 22.15 – 22.58
Spot Rate : 0.4300
Average : 0.2844

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-17
Maturity Price : 21.88
Evaluated at bid price : 22.15
Bid-YTW : 5.54 %
CCS.PR.C Deemed-Retractible Quote: 23.32 – 23.98
Spot Rate : 0.6600
Average : 0.5203

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-17
Maturity Price : 23.06
Evaluated at bid price : 23.32
Bid-YTW : 5.37 %
IFC.PR.G FixedReset Ins Non Quote: 18.15 – 18.60
Spot Rate : 0.4500
Average : 0.3219

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-17
Maturity Price : 18.15
Evaluated at bid price : 18.15
Bid-YTW : 5.99 %
Market Action

December 16, 2019

rainbow_191216
Click for Big

Despite all my gloomy fears, the market has not just held up, but actually done rather well so far this month in the face of elevated volumes attributable to tax-loss selling.

TXPR closed at 610.51, up 0.64% on the day. Volume was 3.90-million, behind only December 10 in the past thirty days.

CPD closed at 12.24, up 0.33% on the day. Volume of 334,405 was the second-highest of the past 30 days, behind only December 13.

ZPR closed at 9.75, up 0.41% on the day. Volume of 374,184 was second-highest of the past 30 days, but well behind December 13.

Five-year Canada yields were steady at 1.64% today.

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 0.3721 % 2,023.6
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.3721 % 3,713.2
Floater 6.03 % 6.17 % 57,650 13.68 4 0.3721 % 2,139.9
OpRet 0.00 % 0.00 % 0 0.00 0 0.0224 % 3,446.0
SplitShare 4.63 % 4.28 % 40,927 3.83 7 0.0224 % 4,115.2
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0224 % 3,210.9
Perpetual-Premium 5.55 % -6.75 % 59,354 0.09 10 0.0862 % 3,042.3
Perpetual-Discount 5.27 % 5.34 % 71,938 14.89 25 0.2302 % 3,287.8
FixedReset Disc 5.53 % 5.73 % 209,419 14.24 66 0.9192 % 2,134.4
Deemed-Retractible 5.18 % 5.28 % 73,276 14.96 27 0.1223 % 3,221.1
FloatingReset 6.13 % 6.32 % 129,582 13.47 2 -0.5134 % 2,512.3
FixedReset Prem 5.11 % 3.52 % 156,354 1.53 20 0.1638 % 2,637.5
FixedReset Bank Non 1.95 % 3.97 % 62,451 2.06 3 0.1644 % 2,716.8
FixedReset Ins Non 5.45 % 5.81 % 141,940 14.23 22 0.5209 % 2,150.8
Performance Highlights
Issue Index Change Notes
PWF.PR.E Perpetual-Discount -1.57 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-16
Maturity Price : 24.68
Evaluated at bid price : 25.00
Bid-YTW : 5.57 %
IFC.PR.G FixedReset Ins Non -1.42 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-16
Maturity Price : 18.10
Evaluated at bid price : 18.10
Bid-YTW : 6.00 %
GWO.PR.N FixedReset Ins Non -1.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-16
Maturity Price : 13.50
Evaluated at bid price : 13.50
Bid-YTW : 5.36 %
BAM.PF.G FixedReset Disc 1.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-16
Maturity Price : 18.00
Evaluated at bid price : 18.00
Bid-YTW : 6.22 %
BIK.PR.A FixedReset Prem 1.06 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-03-31
Maturity Price : 25.00
Evaluated at bid price : 25.85
Bid-YTW : 4.93 %
PWF.PR.T FixedReset Disc 1.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-16
Maturity Price : 18.00
Evaluated at bid price : 18.00
Bid-YTW : 5.71 %
MFC.PR.N FixedReset Ins Non 1.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-16
Maturity Price : 16.82
Evaluated at bid price : 16.82
Bid-YTW : 5.87 %
BMO.PR.E FixedReset Disc 1.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-16
Maturity Price : 19.62
Evaluated at bid price : 19.62
Bid-YTW : 5.70 %
HSE.PR.G FixedReset Disc 1.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-16
Maturity Price : 17.75
Evaluated at bid price : 17.75
Bid-YTW : 7.26 %
BAM.PR.K Floater 1.17 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-16
Maturity Price : 11.23
Evaluated at bid price : 11.23
Bid-YTW : 6.17 %
TD.PF.B FixedReset Disc 1.18 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-16
Maturity Price : 17.20
Evaluated at bid price : 17.20
Bid-YTW : 5.66 %
BAM.PR.R FixedReset Disc 1.24 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-16
Maturity Price : 15.55
Evaluated at bid price : 15.55
Bid-YTW : 6.20 %
TD.PF.D FixedReset Disc 1.26 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-16
Maturity Price : 19.36
Evaluated at bid price : 19.36
Bid-YTW : 5.75 %
IFC.PR.C FixedReset Ins Non 1.28 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-16
Maturity Price : 17.46
Evaluated at bid price : 17.46
Bid-YTW : 6.01 %
BAM.PF.F FixedReset Disc 1.28 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-16
Maturity Price : 18.23
Evaluated at bid price : 18.23
Bid-YTW : 6.00 %
MFC.PR.M FixedReset Ins Non 1.28 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-16
Maturity Price : 17.42
Evaluated at bid price : 17.42
Bid-YTW : 5.75 %
RY.PR.S FixedReset Disc 1.32 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-16
Maturity Price : 19.20
Evaluated at bid price : 19.20
Bid-YTW : 5.52 %
TD.PF.E FixedReset Disc 1.34 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-16
Maturity Price : 19.71
Evaluated at bid price : 19.71
Bid-YTW : 5.73 %
TD.PF.J FixedReset Disc 1.34 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-16
Maturity Price : 19.70
Evaluated at bid price : 19.70
Bid-YTW : 5.67 %
CM.PR.S FixedReset Disc 1.34 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-16
Maturity Price : 18.12
Evaluated at bid price : 18.12
Bid-YTW : 5.83 %
BAM.PF.B FixedReset Disc 1.38 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-16
Maturity Price : 18.40
Evaluated at bid price : 18.40
Bid-YTW : 5.86 %
TRP.PR.A FixedReset Disc 1.38 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-16
Maturity Price : 14.70
Evaluated at bid price : 14.70
Bid-YTW : 6.05 %
CM.PR.Q FixedReset Disc 1.40 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-16
Maturity Price : 18.89
Evaluated at bid price : 18.89
Bid-YTW : 5.87 %
NA.PR.S FixedReset Disc 1.41 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-16
Maturity Price : 17.27
Evaluated at bid price : 17.27
Bid-YTW : 5.90 %
CM.PR.P FixedReset Disc 1.41 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-16
Maturity Price : 16.51
Evaluated at bid price : 16.51
Bid-YTW : 5.94 %
BAM.PR.M Perpetual-Discount 1.44 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-16
Maturity Price : 21.55
Evaluated at bid price : 21.81
Bid-YTW : 5.45 %
SLF.PR.H FixedReset Ins Non 1.46 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-16
Maturity Price : 15.98
Evaluated at bid price : 15.98
Bid-YTW : 5.80 %
NA.PR.W FixedReset Disc 1.49 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-16
Maturity Price : 16.40
Evaluated at bid price : 16.40
Bid-YTW : 5.98 %
TD.PF.K FixedReset Disc 1.50 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-16
Maturity Price : 19.65
Evaluated at bid price : 19.65
Bid-YTW : 5.60 %
MFC.PR.Q FixedReset Ins Non 1.55 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-16
Maturity Price : 19.04
Evaluated at bid price : 19.04
Bid-YTW : 5.66 %
CU.PR.C FixedReset Disc 1.56 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-16
Maturity Price : 17.56
Evaluated at bid price : 17.56
Bid-YTW : 5.65 %
TRP.PR.B FixedReset Disc 1.57 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-16
Maturity Price : 11.68
Evaluated at bid price : 11.68
Bid-YTW : 6.20 %
BAM.PR.X FixedReset Disc 1.57 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-16
Maturity Price : 13.57
Evaluated at bid price : 13.57
Bid-YTW : 6.13 %
HSE.PR.E FixedReset Disc 1.65 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-16
Maturity Price : 17.84
Evaluated at bid price : 17.84
Bid-YTW : 7.31 %
MFC.PR.F FixedReset Ins Non 1.69 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-16
Maturity Price : 12.65
Evaluated at bid price : 12.65
Bid-YTW : 5.88 %
BMO.PR.S FixedReset Disc 1.71 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-16
Maturity Price : 17.85
Evaluated at bid price : 17.85
Bid-YTW : 5.56 %
MFC.PR.I FixedReset Ins Non 1.75 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-16
Maturity Price : 19.20
Evaluated at bid price : 19.20
Bid-YTW : 5.84 %
MFC.PR.G FixedReset Ins Non 1.76 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-16
Maturity Price : 19.05
Evaluated at bid price : 19.05
Bid-YTW : 5.87 %
BNS.PR.I FixedReset Disc 1.89 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-16
Maturity Price : 19.38
Evaluated at bid price : 19.38
Bid-YTW : 5.57 %
TRP.PR.G FixedReset Disc 1.98 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-16
Maturity Price : 18.02
Evaluated at bid price : 18.02
Bid-YTW : 6.36 %
BAM.PR.Z FixedReset Disc 2.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-16
Maturity Price : 19.65
Evaluated at bid price : 19.65
Bid-YTW : 5.88 %
NA.PR.E FixedReset Disc 2.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-16
Maturity Price : 18.20
Evaluated at bid price : 18.20
Bid-YTW : 5.96 %
BAM.PF.E FixedReset Disc 2.29 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-16
Maturity Price : 17.00
Evaluated at bid price : 17.00
Bid-YTW : 6.16 %
HSE.PR.A FixedReset Disc 4.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-16
Maturity Price : 11.35
Evaluated at bid price : 11.35
Bid-YTW : 7.25 %
Volume Highlights
Issue Index Shares
Traded		 Notes
BNS.PR.E FixedReset Prem 114,310 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-04-25
Maturity Price : 25.00
Evaluated at bid price : 25.84
Bid-YTW : 3.52 %
SLF.PR.A Deemed-Retractible 98,800 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-16
Maturity Price : 22.13
Evaluated at bid price : 22.41
Bid-YTW : 5.30 %
TD.PF.C FixedReset Disc 90,475 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-16
Maturity Price : 17.25
Evaluated at bid price : 17.25
Bid-YTW : 5.70 %
RY.PR.J FixedReset Disc 70,775 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-16
Maturity Price : 19.26
Evaluated at bid price : 19.26
Bid-YTW : 5.70 %
BMO.PR.S FixedReset Disc 69,400 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-16
Maturity Price : 17.85
Evaluated at bid price : 17.85
Bid-YTW : 5.56 %
CM.PR.P FixedReset Disc 61,200 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-16
Maturity Price : 16.51
Evaluated at bid price : 16.51
Bid-YTW : 5.94 %
There were 72 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
MFC.PR.M FixedReset Ins Non Quote: 17.42 – 17.76
Spot Rate : 0.3400
Average : 0.2537

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-16
Maturity Price : 17.42
Evaluated at bid price : 17.42
Bid-YTW : 5.75 %
MFC.PR.R FixedReset Ins Non Quote: 24.46 – 24.74
Spot Rate : 0.2800
Average : 0.1982

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-16
Maturity Price : 23.31
Evaluated at bid price : 24.46
Bid-YTW : 5.46 %
BNS.PR.I FixedReset Disc Quote: 19.38 – 19.64
Spot Rate : 0.2600
Average : 0.1812

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-16
Maturity Price : 19.38
Evaluated at bid price : 19.38
Bid-YTW : 5.57 %
CU.PR.D Perpetual-Discount Quote: 23.13 – 23.48
Spot Rate : 0.3500
Average : 0.2717

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-16
Maturity Price : 22.85
Evaluated at bid price : 23.13
Bid-YTW : 5.33 %
GWO.PR.I Deemed-Retractible Quote: 21.28 – 21.57
Spot Rate : 0.2900
Average : 0.2117

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-16
Maturity Price : 21.28
Evaluated at bid price : 21.28
Bid-YTW : 5.31 %
CGI.PR.D SplitShare Quote: 25.28 – 25.67
Spot Rate : 0.3900
Average : 0.3181

YTW SCENARIO
Maturity Type : Soft Maturity
Maturity Date : 2023-06-14
Maturity Price : 25.00
Evaluated at bid price : 25.28
Bid-YTW : 3.43 %
Market Action

December 13, 2019

I had a stray thought today regarding the HSE.PR.C reset fiasco … if they calculated the rate in good faith as of November 29, why didn’t they announce the rate on November 29?

But now it’s time for PrefLetter!

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 1.2857 % 2,016.1
FixedFloater 0.00 % 0.00 % 0 0.00 0 1.2857 % 3,699.4
Floater 6.05 % 6.18 % 57,958 13.67 4 1.2857 % 2,132.0
OpRet 0.00 % 0.00 % 0 0.00 0 0.0953 % 3,445.2
SplitShare 4.63 % 4.11 % 41,255 3.84 7 0.0953 % 4,114.3
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0953 % 3,210.1
Perpetual-Premium 5.55 % -11.63 % 58,385 0.09 10 -0.2889 % 3,039.7
Perpetual-Discount 5.28 % 5.36 % 70,921 14.87 25 0.3881 % 3,280.3
FixedReset Disc 5.58 % 5.81 % 205,252 14.19 66 0.1000 % 2,114.9
Deemed-Retractible 5.19 % 5.29 % 72,090 14.92 27 0.0668 % 3,217.2
FloatingReset 6.10 % 6.31 % 130,430 13.49 2 0.6273 % 2,525.3
FixedReset Prem 5.11 % 3.59 % 151,683 1.53 20 0.0273 % 2,633.2
FixedReset Bank Non 1.95 % 3.93 % 60,359 2.06 3 0.0411 % 2,712.4
FixedReset Ins Non 5.48 % 5.84 % 131,435 14.14 22 0.3629 % 2,139.7
Performance Highlights
Issue Index Change Notes
IFC.PR.A FixedReset Ins Non -2.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-13
Maturity Price : 14.16
Evaluated at bid price : 14.16
Bid-YTW : 5.94 %
PWF.PR.I Perpetual-Premium -1.96 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2020-01-12
Maturity Price : 25.00
Evaluated at bid price : 25.55
Bid-YTW : -11.63 %
HSE.PR.A FixedReset Disc -1.45 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-13
Maturity Price : 10.91
Evaluated at bid price : 10.91
Bid-YTW : 7.54 %
MFC.PR.R FixedReset Ins Non -1.41 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-13
Maturity Price : 23.31
Evaluated at bid price : 24.45
Bid-YTW : 5.46 %
PWF.PR.G Perpetual-Premium -1.12 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2020-01-12
Maturity Price : 25.00
Evaluated at bid price : 25.56
Bid-YTW : -12.30 %
MFC.PR.F FixedReset Ins Non -1.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-13
Maturity Price : 12.44
Evaluated at bid price : 12.44
Bid-YTW : 5.97 %
GWO.PR.N FixedReset Ins Non 1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-13
Maturity Price : 13.64
Evaluated at bid price : 13.64
Bid-YTW : 5.30 %
SLF.PR.G FixedReset Ins Non 1.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-13
Maturity Price : 13.11
Evaluated at bid price : 13.11
Bid-YTW : 5.77 %
MFC.PR.M FixedReset Ins Non 1.18 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-13
Maturity Price : 17.20
Evaluated at bid price : 17.20
Bid-YTW : 5.82 %
MFC.PR.I FixedReset Ins Non 1.18 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-13
Maturity Price : 18.87
Evaluated at bid price : 18.87
Bid-YTW : 5.94 %
IAF.PR.G FixedReset Ins Non 1.19 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-13
Maturity Price : 18.70
Evaluated at bid price : 18.70
Bid-YTW : 5.86 %
PWF.PR.E Perpetual-Discount 1.20 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2020-01-12
Maturity Price : 25.00
Evaluated at bid price : 25.40
Bid-YTW : -5.93 %
TRP.PR.F FloatingReset 1.21 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-13
Maturity Price : 14.22
Evaluated at bid price : 14.22
Bid-YTW : 6.31 %
MFC.PR.L FixedReset Ins Non 1.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-13
Maturity Price : 16.62
Evaluated at bid price : 16.62
Bid-YTW : 5.72 %
PWF.PR.K Perpetual-Discount 1.26 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-13
Maturity Price : 23.04
Evaluated at bid price : 23.31
Bid-YTW : 5.37 %
PWF.PR.S Perpetual-Discount 1.38 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-13
Maturity Price : 22.40
Evaluated at bid price : 22.81
Bid-YTW : 5.31 %
BAM.PF.C Perpetual-Discount 1.38 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-13
Maturity Price : 22.00
Evaluated at bid price : 22.00
Bid-YTW : 5.53 %
HSE.PR.E FixedReset Disc 1.45 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-13
Maturity Price : 17.55
Evaluated at bid price : 17.55
Bid-YTW : 7.43 %
IFC.PR.G FixedReset Ins Non 1.45 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-13
Maturity Price : 18.36
Evaluated at bid price : 18.36
Bid-YTW : 5.91 %
EMA.PR.F FixedReset Disc 1.71 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-13
Maturity Price : 17.25
Evaluated at bid price : 17.25
Bid-YTW : 6.23 %
SLF.PR.H FixedReset Ins Non 1.94 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-13
Maturity Price : 15.75
Evaluated at bid price : 15.75
Bid-YTW : 5.88 %
TRP.PR.A FixedReset Disc 2.40 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-13
Maturity Price : 14.50
Evaluated at bid price : 14.50
Bid-YTW : 6.13 %
PWF.PR.P FixedReset Disc 4.32 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-13
Maturity Price : 13.51
Evaluated at bid price : 13.51
Bid-YTW : 5.93 %
PWF.PR.A Floater 4.60 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-13
Maturity Price : 12.29
Evaluated at bid price : 12.29
Bid-YTW : 5.69 %
Volume Highlights
Issue Index Shares
Traded		 Notes
TD.PF.D FixedReset Disc 210,314 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-13
Maturity Price : 19.12
Evaluated at bid price : 19.12
Bid-YTW : 5.82 %
MFC.PR.N FixedReset Ins Non 158,298 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-13
Maturity Price : 16.64
Evaluated at bid price : 16.64
Bid-YTW : 5.93 %
BMO.PR.E FixedReset Disc 89,758 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-13
Maturity Price : 19.40
Evaluated at bid price : 19.40
Bid-YTW : 5.77 %
PWF.PR.P FixedReset Disc 75,788 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-13
Maturity Price : 13.51
Evaluated at bid price : 13.51
Bid-YTW : 5.93 %
NA.PR.S FixedReset Disc 72,178 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-13
Maturity Price : 17.03
Evaluated at bid price : 17.03
Bid-YTW : 5.98 %
EMA.PR.C FixedReset Disc 71,475 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-13
Maturity Price : 17.90
Evaluated at bid price : 17.90
Bid-YTW : 6.19 %
There were 69 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
PWF.PR.R Perpetual-Premium Quote: 25.37 – 25.96
Spot Rate : 0.5900
Average : 0.3635

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-04-30
Maturity Price : 25.00
Evaluated at bid price : 25.37
Bid-YTW : 4.87 %
PWF.PR.A Floater Quote: 12.29 – 12.94
Spot Rate : 0.6500
Average : 0.4488

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-13
Maturity Price : 12.29
Evaluated at bid price : 12.29
Bid-YTW : 5.69 %
CM.PR.Y FixedReset Disc Quote: 24.34 – 24.74
Spot Rate : 0.4000
Average : 0.2716

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-13
Maturity Price : 22.95
Evaluated at bid price : 24.34
Bid-YTW : 5.36 %
CU.PR.E Perpetual-Discount Quote: 23.07 – 23.46
Spot Rate : 0.3900
Average : 0.2690

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-13
Maturity Price : 22.79
Evaluated at bid price : 23.07
Bid-YTW : 5.34 %
POW.PR.B Perpetual-Discount Quote: 24.84 – 25.15
Spot Rate : 0.3100
Average : 0.2123

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-13
Maturity Price : 24.59
Evaluated at bid price : 24.84
Bid-YTW : 5.47 %
IFC.PR.A FixedReset Ins Non Quote: 14.16 – 14.43
Spot Rate : 0.2700
Average : 0.1791

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-13
Maturity Price : 14.16
Evaluated at bid price : 14.16
Bid-YTW : 5.94 %
Market Action

December 6, 2019

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 0.0
0		 0 -0.0443 % 1,972.3
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.0443 % 3,619.2
Floater 6.13 % 6.29 % 55,052 13.37 4 -0.0443 % 2,085.7
OpRet 0.00 % 0.00 % 0 0.00 0 -0.0506 % 3,429.0
SplitShare 4.65 % 4.43 % 44,846 3.85 7 -0.0506 % 4,095.0
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.0506 % 3,195.0
Perpetual-Premium 5.54 % -15.65 % 55,592 0.09 10 0.1135 % 3,044.1
Perpetual-Discount 5.29 % 5.41 % 70,783 14.76 25 -0.0706 % 3,263.4
FixedReset Disc 5.64 % 5.75 % 193,111 14
.21		 66 -0.0166 % 2,087.6
Deemed-Retractible 5.19 % 5.27 % 76,231 14.93 27 -0.0282 % 3,214.6
FloatingReset 6.28 % 6.46 % 131,329 13.29 2 0.7227 % 2,452.1
FixedReset Prem 5.12 % 3.71 % 152,298 1.55 20 0.0215 % 2,628.5
FixedReset Bank Non 1.95 % 3.96 % 66,836 2.09 3 0.0686 % 2,712.0
FixedReset Ins Non 5.54 % 5.83 % 121,171 14.17 22 -0.2070 % 2,114.4
Performance Highlights
Issue Index Change Notes
SLF.PR.H FixedReset Ins Non -1.84 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-06
Maturity Price : 15.46
Evaluated at bid price : 15.46
Bid-YTW : 5.87 %
MFC.PR.M FixedReset Ins Non -1.66 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-06
Maturity Price : 17.17
Evaluated at bid price : 17.17
Bid-YTW : 5.70 %
PWF.PR.A Floater -1.43 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-06
Maturity Price : 11.69
Evaluated at bid price : 11.69
Bid-YTW : 5.98 %
HSE.PR.A FixedReset Disc -1.31 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-06
Maturity Price : 10.56
Evaluated at bid price : 10.56
Bid-YTW : 7.60 %
BAM.PF.B FixedReset Disc -1.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-06
Maturity Price : 17.80
Evaluated at bid price : 17.80
Bid-YTW : 6.08 %
RY.PR.S FixedReset Disc -1.17 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-06
Maturity Price : 18.63
Evaluated at bid price : 18.63
Bid-YTW : 5.60 %
SLF.PR.J FloatingReset -1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-06
Maturity Price : 12.62
Evaluated at bid price : 12.62
Bid-YTW : 6.08 %
TRP.PR.B FixedReset Disc 1.33 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-06
Maturity Price : 11.45
Evaluated at bid price : 11.45
Bid-YTW : 6.14 %
EMA.PR.C FixedReset Disc 1.49 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-06
Maturity Price : 17.71
Evaluated at bid price : 17.71
Bid-YTW : 6.16 %
TRP.PR.F FloatingReset 2.36 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-06
Maturity Price : 13.86
Evaluated at bid price : 13.86
Bid-YTW : 6.46 %
Volume Highlights
Issue Index Shares
Traded		 Notes
BAM.PR.C Floater 135,400 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-06
Maturity Price : 11.09
Evaluated at bid price : 11.09
Bid-YTW : 6.35 %
MFC.PR.M FixedReset Ins Non 81,418 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-06
Maturity Price : 17.17
Evaluated at bid price : 17.17
Bid-YTW : 5.70 %
TRP.PR.E FixedReset Disc 76,050 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-06
Maturity Price : 15.82
Evaluated at bid price : 15.82
Bid-YTW : 6.18 %
BAM.PF.D Perpetual-Discount 74,850 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-06
Maturity Price : 22.07
Evaluated at bid price : 22.41
Bid-YTW : 5.55 %
MFC.PR.B Deemed-Retractible 59,735 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-06
Maturity Price : 21.89
Evaluated at bid price : 22.13
Bid-YTW : 5.26 %
NA.PR.W FixedReset Disc 59,600 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-06
Maturity Price : 15.89
Evaluated at bid price : 15.89
Bid-YTW : 6.03 %
There were 53 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
BAM.PF.B FixedReset Disc Quote: 17.80 – 18.34
Spot Rate : 0.5400
Average : 0.3434


YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-06
Maturity Price : 17.80
Evaluated at bid price : 17.80
Bid-YTW : 6.08 %
HSE.PR.A FixedReset Disc Quote: 10.56 – 11.15
Spot Rate : 0.5900
Average : 0.4211


YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-06
Maturity Price : 10.56
Evaluated at bid price : 10.56
Bid-YTW : 7.60 %
BIP.PR.A FixedReset Disc Quote: 20.51 – 21.00
Spot Rate : 0.4900
Average : 0.3565


YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-06
Maturity Price : 20.51
Evaluated at bid price : 20.51
Bid-YTW : 6.22 %
PWF.PR.P FixedReset Disc Quote: 12.66 – 13.04
Spot Rate : 0.3800
Average : 0.2774


YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-06
Maturity Price : 12.66
Evaluated at bid price : 12.66
Bid-YTW : 6.17 %
PWF.PR.F Perpetual-Discount Quote: 24.26 – 24.64
Spot Rate : 0.3800
Average : 0.2858


YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-06
Maturity Price : 24.01
Evaluated at bid price : 24.26
Bid-YTW : 5.47 %
EMA.PR.F FixedReset Disc Quote: 16.71 – 17.00
Spot Rate : 0.2900
Average : 0.2057


YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-06
Maturity Price : 16.71
Evaluated at bid price : 16.71
Bid-YTW : 6.31 %
Market Action

December 5, 2019

I was pleased to see that Atlantic Power ‘fessed up to their error regarding the reset rate for AZP.PR.B. Very impressive! It isn’t “making no errors” that makes you good; errors happen all the time. It’s recognizing, acknowledging and fixing errors that makes you good.

I just wish Husky Energy was as prompt! I have used their online form to contact Investor Relations:

I would appreciate greater detail regarding the reset rate for HSE.PR.C announced December 2, specifically the Government of Canada 5-Year Bond Yield used as the basis for this calculation.

Can you please tell me the effective date and time that the Government of Canada 5-Year Bond Yield was measured for the purpose of this calculation?

Sincerely,

I urge anybody who has a spare minute today to similarly contact the company to ask this question. This is a brief, simple question regarding a matter of fact and while I appreciate that they have a lot going on at the moment, this is my third eMail to them. First be polite, then be annoying, that’s my motto!

Shaw Communications issued 30-Year Notes today:

Shaw Communications Inc. (“Shaw” or the “Corporation”) announced today the terms of an offering of C$800 million of senior notes, comprised of C$500 million principal amount of 3.30% senior notes due 2029 (the “2029 Notes”) and C$300 million principal amount of 4.25% senior notes due 2049 (the “2049 Notes”, and together with the 2029 Notes, the “Notes”).

SJR.PR.A currently yields 6.59% (equivalent to interest of 8.57%) and SJR.PR.B yields 6.89% (equivalent to interest of 8.96%), based on GOC yields of 1.54% and 1.66% respectively. A Straight Perpetual would probably yield a little less, given the current state of the markets, but that’s quite a spread! No wonder that they – and nobody else, either – aren’t issuing new preferreds!

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 0.3779 % 1,973.2
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.3779 % 3,620.8
Floater 6.12 % 6.33 % 50,954 13.31 4 0.3779 % 2,086.7
OpRet 0.00 % 0.00 % 0 0.00 0 0.2198 % 3,430.7
SplitShare 4.65 % 4.45 % 44,031 3.86 7 0.2198 % 4,097.0
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.2198 % 3,196.7
Perpetual-Premium 5.55 % -12.88 % 55,946 0.09 10 -0.1837 % 3,040.6
Perpetual-Discount 5.29 % 5.38 % 69,203 14.79 25 0.0517 % 3,265.7
FixedReset Disc 5.64 % 5.74 % 195,234 14.27 66 0.3857 % 2,088.0
Deemed-Retractible 5.18 % 5.26 % 70,573 14.96 27 -0.0141 % 3,215.5
FloatingReset 6.32 % 6.62 % 129,739 13.09 2 1.1932 % 2,434.5
FixedReset Prem 5.12 % 3.70 % 131,535 1.56 20 -0.0507 % 2,627.9
FixedReset Bank Non 1.95 % 3.99 % 62,683 2.09 3 0.2337 % 2,710.1
FixedReset Ins Non 5.53 % 5.80 % 125,460 14.21 22 0.4004 % 2,118.8
Performance Highlights
Issue Index Change Notes
TRP.PR.G FixedReset Disc -1.41 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-05
Maturity Price : 17.45
Evaluated at bid price : 17.45
Bid-YTW : 6.45 %
SLF.PR.I FixedReset Ins Non -1.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-05
Maturity Price : 17.94
Evaluated at bid price : 17.94
Bid-YTW : 5.89 %
CM.PR.Q FixedReset Disc 1.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-05
Maturity Price : 18.20
Evaluated at bid price : 18.20
Bid-YTW : 5.98 %
SLF.PR.G FixedReset Ins Non 1.18 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-05
Maturity Price : 12.90
Evaluated at bid price : 12.90
Bid-YTW : 5.70 %
MFC.PR.R FixedReset Ins Non 1.27 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-05
Maturity Price : 23.38
Evaluated at bid price : 24.65
Bid-YTW : 5.33 %
IFC.PR.A FixedReset Ins Non 1.28 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-05
Maturity Price : 14.22
Evaluated at bid price : 14.22
Bid-YTW : 5.90 %
GWO.PR.N FixedReset Ins Non 1.32 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-05
Maturity Price : 13.01
Evaluated at bid price : 13.01
Bid-YTW : 5.40 %
BAM.PF.E FixedReset Disc 1.35 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-05
Maturity Price : 16.57
Evaluated at bid price : 16.57
Bid-YTW : 6.32 %
BAM.PR.X FixedReset Disc 1.39 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-05
Maturity Price : 13.10
Evaluated at bid price : 13.10
Bid-YTW : 6.30 %
BAM.PF.G FixedReset Disc 1.40 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-05
Maturity Price : 18.05
Evaluated at bid price : 18.05
Bid-YTW : 6.20 %
EMA.PR.C FixedReset Disc 1.45 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-05
Maturity Price : 17.45
Evaluated at bid price : 17.45
Bid-YTW : 6.25 %
PWF.PR.P FixedReset Disc 1.59 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-05
Maturity Price : 12.75
Evaluated at bid price : 12.75
Bid-YTW : 6.13 %
SLF.PR.H FixedReset Ins Non 1.68 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-05
Maturity Price : 15.75
Evaluated at bid price : 15.75
Bid-YTW : 5.76 %
TRP.PR.B FixedReset Disc 1.80 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-05
Maturity Price : 11.30
Evaluated at bid price : 11.30
Bid-YTW : 6.22 %
HSE.PR.E FixedReset Disc 1.82 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-05
Maturity Price : 17.36
Evaluated at bid price : 17.36
Bid-YTW : 7.38 %
MFC.PR.Q FixedReset Ins Non 1.86 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-05
Maturity Price : 18.61
Evaluated at bid price : 18.61
Bid-YTW : 5.69 %
BAM.PF.B FixedReset Disc 1.87 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-05
Maturity Price : 18.02
Evaluated at bid price : 18.02
Bid-YTW : 6.01 %
PWF.PR.A Floater 1.98 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-05
Maturity Price : 11.86
Evaluated at bid price : 11.86
Bid-YTW : 5.89 %
SLF.PR.J FloatingReset 2.57 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-05
Maturity Price : 12.75
Evaluated at bid price : 12.75
Bid-YTW : 6.02 %
Volume Highlights
Issue Index Shares
Traded		 Notes
BMO.PR.T FixedReset Disc 127,985 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-05
Maturity Price : 16.54
Evaluated at bid price : 16.54
Bid-YTW : 5.70 %
HSE.PR.A FixedReset Disc 116,100 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-05
Maturity Price : 10.70
Evaluated at bid price : 10.70
Bid-YTW : 7.50 %
GWO.PR.P Deemed-Retractible 83,810 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2020-01-04
Maturity Price : 25.00
Evaluated at bid price : 25.00
Bid-YTW : 0.72 %
RY.PR.Z FixedReset Disc 75,658 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-05
Maturity Price : 16.88
Evaluated at bid price : 16.88
Bid-YTW : 5.58 %
BMO.PR.E FixedReset Disc 64,980 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-05
Maturity Price : 19.42
Evaluated at bid price : 19.42
Bid-YTW : 5.67 %
TRP.PR.E FixedReset Disc 62,940 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-05
Maturity Price : 15.80
Evaluated at bid price : 15.80
Bid-YTW : 6.18 %
There were 68 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
IAF.PR.G FixedReset Ins Non Quote: 18.35 – 18.83
Spot Rate : 0.4800
Average : 0.3510

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-05
Maturity Price : 18.35
Evaluated at bid price : 18.35
Bid-YTW : 5.87 %
IFC.PR.G FixedReset Ins Non Quote: 18.04 – 18.45
Spot Rate : 0.4100
Average : 0.2975

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-05
Maturity Price : 18.04
Evaluated at bid price : 18.04
Bid-YTW : 6.05 %
POW.PR.C Perpetual-Premium Quote: 25.60 – 25.89
Spot Rate : 0.2900
Average : 0.1809

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2020-01-04
Maturity Price : 25.00
Evaluated at bid price : 25.60
Bid-YTW : -12.88 %
TRP.PR.G FixedReset Disc Quote: 17.45 – 17.83
Spot Rate : 0.3800
Average : 0.2811

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-05
Maturity Price : 17.45
Evaluated at bid price : 17.45
Bid-YTW : 6.45 %
POW.PR.D Perpetual-Discount Quote: 23.09 – 23.35
Spot Rate : 0.2600
Average : 0.1698

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-05
Maturity Price : 22.81
Evaluated at bid price : 23.09
Bid-YTW : 5.48 %
PVS.PR.F SplitShare Quote: 25.40 – 25.69
Spot Rate : 0.2900
Average : 0.2055

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2024-09-30
Maturity Price : 25.00
Evaluated at bid price : 25.40
Bid-YTW : 4.45 %