Category: Market Action

Market Action

November 20, 2019

PerpetualDiscounts now yield 5.43%, equivalent to 7.06% interest at the standard equivalency factor of 1.3x. Long corporates now yield 3.36%, so the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) has widened to 370bp from the 360bp reported November 13.

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 % 1,958.8
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.3779 % 3,594.3
Floater 6.17 % 6.33 % 45,304 13.35 4 -0.3779 % 2,071.4
OpRet 0.00 % 0.00 % 0 0.00 0 0.0785 % 3,404.9
SplitShare 4.63 % 4.59 % 47,986 3.85 7 0.0785 % 4,066.2
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0785 % 3,172.6
Perpetual-Premium 5.55 % -20.57 % 46,522 0.09 10 0.1372 % 3,040.9
Perpetual-Discount 5.31 % 5.43 % 70,044 14.73 25 0.0744 % 3,251.6
FixedReset Disc 5.60 % 5.63 % 182,382 14.37 66 -0.1566 % 2,101.1
Deemed-Retractible 5.16 % 5.59 % 63,764 7.77 27 0.0858 % 3,202.1
FloatingReset 6.19 % 6.76 % 108,601 12.77 2 -0.5908 % 2,460.8
FixedReset Prem 5.13 % 3.84 % 119,110 1.60 20 -0.1328 % 2,617.8
FixedReset Bank Non 1.97 % 4.06 % 74,107 2.13 3 0.0000 % 2,689.0
FixedReset Ins Non 5.46 % 8.13 % 121,078 7.84 22 -0.5259 % 2,138.0
Performance Highlights
Issue Index Change Notes
EMA.PR.C FixedReset Disc -1.68 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-11-20
Maturity Price : 17.60
Evaluated at bid price : 17.60
Bid-YTW : 6.10 %
SLF.PR.G FixedReset Ins Non -1.55 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 13.35
Bid-YTW : 10.48 %
MFC.PR.F FixedReset Ins Non -1.52 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 12.35
Bid-YTW : 11.19 %
IFC.PR.G FixedReset Ins Non -1.50 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.42
Bid-YTW : 8.45 %
BIK.PR.A FixedReset Prem -1.36 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-03-31
Maturity Price : 25.00
Evaluated at bid price : 25.40
Bid-YTW : 5.69 %
MFC.PR.K FixedReset Ins Non -1.14 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 17.32
Bid-YTW : 8.60 %
PWF.PR.A Floater -1.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-11-20
Maturity Price : 11.58
Evaluated at bid price : 11.58
Bid-YTW : 6.02 %
TD.PF.D FixedReset Disc -1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-11-20
Maturity Price : 19.00
Evaluated at bid price : 19.00
Bid-YTW : 5.63 %
BIP.PR.F FixedReset Disc -1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-11-20
Maturity Price : 21.89
Evaluated at bid price : 22.30
Bid-YTW : 5.79 %
BAM.PF.A FixedReset Disc -1.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-11-20
Maturity Price : 19.80
Evaluated at bid price : 19.80
Bid-YTW : 5.82 %
CU.PR.C FixedReset Disc 1.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-11-20
Maturity Price : 16.62
Evaluated at bid price : 16.62
Bid-YTW : 5.74 %
TD.PF.C FixedReset Disc 1.56 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-11-20
Maturity Price : 16.91
Evaluated at bid price : 16.91
Bid-YTW : 5.56 %
Volume Highlights
Issue Index Shares
Traded		 Notes
TRP.PR.F FloatingReset 172,300 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-11-20
Maturity Price : 13.52
Evaluated at bid price : 13.52
Bid-YTW : 6.76 %
TRP.PR.A FixedReset Disc 167,802 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-11-20
Maturity Price : 13.70
Evaluated at bid price : 13.70
Bid-YTW : 6.29 %
BMO.PR.E FixedReset Disc 129,127 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-11-20
Maturity Price : 19.70
Evaluated at bid price : 19.70
Bid-YTW : 5.50 %
TRP.PR.D FixedReset Disc 95,800 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-11-20
Maturity Price : 15.97
Evaluated at bid price : 15.97
Bid-YTW : 6.12 %
BMO.PR.F FixedReset Disc 48,390 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-11-20
Maturity Price : 23.00
Evaluated at bid price : 24.46
Bid-YTW : 5.06 %
IFC.PR.G FixedReset Ins Non 40,200 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.42
Bid-YTW : 8.45 %
There were 40 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
EML.PR.A FixedReset Ins Non Quote: 25.65 – 26.12
Spot Rate : 0.4700
Average : 0.3110

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-04-17
Maturity Price : 25.00
Evaluated at bid price : 25.65
Bid-YTW : 4.24 %
EMA.PR.C FixedReset Disc Quote: 17.60 – 17.98
Spot Rate : 0.3800
Average : 0.2678

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-11-20
Maturity Price : 17.60
Evaluated at bid price : 17.60
Bid-YTW : 6.10 %
IFC.PR.G FixedReset Ins Non Quote: 18.42 – 18.80
Spot Rate : 0.3800
Average : 0.2694

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.42
Bid-YTW : 8.45 %
PVS.PR.F SplitShare Quote: 25.50 – 25.89
Spot Rate : 0.3900
Average : 0.2885

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2024-09-30
Maturity Price : 25.00
Evaluated at bid price : 25.50
Bid-YTW : 4.59 %
CM.PR.Q FixedReset Disc Quote: 18.11 – 18.39
Spot Rate : 0.2800
Average : 0.1829

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-11-20
Maturity Price : 18.11
Evaluated at bid price : 18.11
Bid-YTW : 5.90 %
BMO.PR.Y FixedReset Disc Quote: 18.83 – 19.15
Spot Rate : 0.3200
Average : 0.2288

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-11-20
Maturity Price : 18.83
Evaluated at bid price : 18.83
Bid-YTW : 5.56 %
Market Action

November 19, 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 -0.3764 % 1,966.2
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.3764 % 3,607.9
Floater 6.15 % 6.30 % 47,139 13.40 4 -0.3764 % 2,079.3
OpRet 0.00 % 0.00 % 0 0.00 0 -0.1399 % 3,402.2
SplitShare 4.63 % 4.62 % 48,293 3.85 7 -0.1399 % 4,063.0
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.1399 % 3,170.1
Perpetual-Premium 5.56 % -18.60 % 48,440 0.09 10 0.0274 % 3,036.7
Perpetual-Discount 5.32 % 5.43 % 69,995 14.74 25 -0.0208 % 3,249.1
FixedReset Disc 5.59 % 5.62 % 180,578 14.43 66 -0.1531 % 2,104.4
Deemed-Retractible 5.16 % 5.61 % 64,257 7.77 27 0.0219 % 3,199.3
FloatingReset 6.16 % 6.72 % 100,543 12.81 2 0.7440 % 2,475.4
FixedReset Prem 5.12 % 3.79 % 120,476 1.60 20 -0.0312 % 2,621.3
FixedReset Bank Non 1.97 % 4.18 % 74,798 2.13 3 -0.2069 % 2,689.0
FixedReset Ins Non 5.43 % 8.00 % 111,490 7.86 22 -0.0967 % 2,149.3
Performance Highlights
Issue Index Change Notes
TD.PF.C FixedReset Disc -2.46 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-11-19
Maturity Price : 16.65
Evaluated at bid price : 16.65
Bid-YTW : 5.64 %
HSE.PR.E FixedReset Disc -2.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-11-19
Maturity Price : 17.65
Evaluated at bid price : 17.65
Bid-YTW : 7.25 %
CU.PR.C FixedReset Disc -2.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-11-19
Maturity Price : 16.45
Evaluated at bid price : 16.45
Bid-YTW : 5.80 %
HSE.PR.A FixedReset Disc -1.76 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-11-19
Maturity Price : 11.16
Evaluated at bid price : 11.16
Bid-YTW : 7.10 %
PWF.PR.A Floater -1.60 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-11-19
Maturity Price : 11.71
Evaluated at bid price : 11.71
Bid-YTW : 5.95 %
GWO.PR.N FixedReset Ins Non -1.24 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 13.53
Bid-YTW : 10.04 %
EIT.PR.A SplitShare -1.13 % YTW SCENARIO
Maturity Type : Soft Maturity
Maturity Date : 2024-03-14
Maturity Price : 25.00
Evaluated at bid price : 25.46
Bid-YTW : 4.57 %
BAM.PR.T FixedReset Disc -1.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-11-19
Maturity Price : 15.38
Evaluated at bid price : 15.38
Bid-YTW : 6.17 %
HSE.PR.G FixedReset Disc -1.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-11-19
Maturity Price : 17.39
Evaluated at bid price : 17.39
Bid-YTW : 7.30 %
BAM.PR.R FixedReset Disc -1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-11-19
Maturity Price : 15.22
Evaluated at bid price : 15.22
Bid-YTW : 6.17 %
HSE.PR.C FixedReset Disc -1.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-11-19
Maturity Price : 16.34
Evaluated at bid price : 16.34
Bid-YTW : 7.18 %
IFC.PR.C FixedReset Ins Non 1.03 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 17.70
Bid-YTW : 8.37 %
TRP.PR.A FixedReset Disc 1.18 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-11-19
Maturity Price : 13.75
Evaluated at bid price : 13.75
Bid-YTW : 6.27 %
TD.PF.E FixedReset Disc 1.35 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-11-19
Maturity Price : 19.45
Evaluated at bid price : 19.45
Bid-YTW : 5.59 %
Volume Highlights
Issue Index Shares
Traded		 Notes
PWF.PR.S Perpetual-Discount 178,600 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-11-19
Maturity Price : 22.13
Evaluated at bid price : 22.13
Bid-YTW : 5.48 %
TD.PF.M FixedReset Disc 121,893 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-11-19
Maturity Price : 23.04
Evaluated at bid price : 24.60
Bid-YTW : 5.09 %
TRP.PR.D FixedReset Disc 116,721 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-11-19
Maturity Price : 16.04
Evaluated at bid price : 16.04
Bid-YTW : 6.09 %
BMO.PR.D FixedReset Disc 94,578 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-11-19
Maturity Price : 21.20
Evaluated at bid price : 21.20
Bid-YTW : 5.46 %
RY.PR.H FixedReset Disc 73,897 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-11-19
Maturity Price : 17.26
Evaluated at bid price : 17.26
Bid-YTW : 5.40 %
EMA.PR.E Perpetual-Discount 65,978 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-11-19
Maturity Price : 21.05
Evaluated at bid price : 21.05
Bid-YTW : 5.38 %
There were 48 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
TD.PF.C FixedReset Disc Quote: 16.65 – 17.00
Spot Rate : 0.3500
Average : 0.2146

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-11-19
Maturity Price : 16.65
Evaluated at bid price : 16.65
Bid-YTW : 5.64 %
EIT.PR.A SplitShare Quote: 25.46 – 25.96
Spot Rate : 0.5000
Average : 0.3768

YTW SCENARIO
Maturity Type : Soft Maturity
Maturity Date : 2024-03-14
Maturity Price : 25.00
Evaluated at bid price : 25.46
Bid-YTW : 4.57 %
CU.PR.C FixedReset Disc Quote: 16.45 – 16.88
Spot Rate : 0.4300
Average : 0.3261

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-11-19
Maturity Price : 16.45
Evaluated at bid price : 16.45
Bid-YTW : 5.80 %
TD.PF.L FixedReset Disc Quote: 23.96 – 24.18
Spot Rate : 0.2200
Average : 0.1299

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-11-19
Maturity Price : 22.80
Evaluated at bid price : 23.96
Bid-YTW : 5.04 %
CU.PR.I FixedReset Prem Quote: 25.33 – 25.63
Spot Rate : 0.3000
Average : 0.2125

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2020-12-01
Maturity Price : 25.00
Evaluated at bid price : 25.33
Bid-YTW : 3.05 %
BAM.PF.C Perpetual-Discount Quote: 21.91 – 22.18
Spot Rate : 0.2700
Average : 0.1830

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-11-19
Maturity Price : 21.91
Evaluated at bid price : 21.91
Bid-YTW : 5.63 %
Market Action

November 19, 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 -0.3764 % 1,966.2
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.3764 % 3,607.9
Floater 6.15 % 6.30 % 47,139 13.40 4 -0.3764 % 2,079.3
OpRet 0.00 % 0.00 % 0 0.00 0 -0.1399 % 3,402.2
SplitShare 4.63 % 4.62 % 48,293 3.85 7 -0.1399 % 4,063.0
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.1399 % 3,170.1
Perpetual-Premium 5.56 % -18.60 % 48,440 0.09 10 0.0274 % 3,036.7
Perpetual-Discount 5.32 % 5.43 % 69,995 14.74 25 -0.0208 % 3,249.1
FixedReset Disc 5.59 % 5.62 % 180,578 14.43 66 -0.1531 % 2,104.4
Deemed-Retractible 5.16 % 5.61 % 64,257 7.77 27 0.0219 % 3,199.3
FloatingReset 6.16 % 6.72 % 100,543 12.81 2 0.7440 % 2,475.4
FixedReset Prem 5.12 % 3.79 % 120,476 1.60 20 -0.0312 % 2,621.3
FixedReset Bank Non 1.97 % 4.18 % 74,798 2.13 3 -0.2069 % 2,689.0
FixedReset Ins Non 5.43 % 8.00 % 111,490 7.86 22 -0.0967 % 2,149.3
Performance Highlights
Issue Index Change Notes
TD.PF.C FixedReset Disc -2.46 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-11-19
Maturity Price : 16.65
Evaluated at bid price : 16.65
Bid-YTW : 5.64 %
HSE.PR.E FixedReset Disc -2.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-11-19
Maturity Price : 17.65
Evaluated at bid price : 17.65
Bid-YTW : 7.25 %
CU.PR.C FixedReset Disc -2.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-11-19
Maturity Price : 16.45
Evaluated at bid price : 16.45
Bid-YTW : 5.80 %
HSE.PR.A FixedReset Disc -1.76 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-11-19
Maturity Price : 11.16
Evaluated at bid price : 11.16
Bid-YTW : 7.10 %
PWF.PR.A Floater -1.60 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-11-19
Maturity Price : 11.71
Evaluated at bid price : 11.71
Bid-YTW : 5.95 %
GWO.PR.N FixedReset Ins Non -1.24 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 13.53
Bid-YTW : 10.04 %
EIT.PR.A SplitShare -1.13 % YTW SCENARIO
Maturity Type : Soft Maturity
Maturity Date : 2024-03-14
Maturity Price : 25.00
Evaluated at bid price : 25.46
Bid-YTW : 4.57 %
BAM.PR.T FixedReset Disc -1.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-11-19
Maturity Price : 15.38
Evaluated at bid price : 15.38
Bid-YTW : 6.17 %
HSE.PR.G FixedReset Disc -1.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-11-19
Maturity Price : 17.39
Evaluated at bid price : 17.39
Bid-YTW : 7.30 %
BAM.PR.R FixedReset Disc -1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-11-19
Maturity Price : 15.22
Evaluated at bid price : 15.22
Bid-YTW : 6.17 %
HSE.PR.C FixedReset Disc -1.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-11-19
Maturity Price : 16.34
Evaluated at bid price : 16.34
Bid-YTW : 7.18 %
IFC.PR.C FixedReset Ins Non 1.03 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 17.70
Bid-YTW : 8.37 %
TRP.PR.A FixedReset Disc 1.18 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-11-19
Maturity Price : 13.75
Evaluated at bid price : 13.75
Bid-YTW : 6.27 %
TD.PF.E FixedReset Disc 1.35 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-11-19
Maturity Price : 19.45
Evaluated at bid price : 19.45
Bid-YTW : 5.59 %
Volume Highlights
Issue Index Shares
Traded		 Notes
PWF.PR.S Perpetual-Discount 178,600 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-11-19
Maturity Price : 22.13
Evaluated at bid price : 22.13
Bid-YTW : 5.48 %
TD.PF.M FixedReset Disc 121,893 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-11-19
Maturity Price : 23.04
Evaluated at bid price : 24.60
Bid-YTW : 5.09 %
TRP.PR.D FixedReset Disc 116,721 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-11-19
Maturity Price : 16.04
Evaluated at bid price : 16.04
Bid-YTW : 6.09 %
BMO.PR.D FixedReset Disc 94,578 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-11-19
Maturity Price : 21.20
Evaluated at bid price : 21.20
Bid-YTW : 5.46 %
RY.PR.H FixedReset Disc 73,897 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-11-19
Maturity Price : 17.26
Evaluated at bid price : 17.26
Bid-YTW : 5.40 %
EMA.PR.E Perpetual-Discount 65,978 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-11-19
Maturity Price : 21.05
Evaluated at bid price : 21.05
Bid-YTW : 5.38 %
There were 48 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
TD.PF.C FixedReset Disc Quote: 16.65 – 17.00
Spot Rate : 0.3500
Average : 0.2146

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-11-19
Maturity Price : 16.65
Evaluated at bid price : 16.65
Bid-YTW : 5.64 %
EIT.PR.A SplitShare Quote: 25.46 – 25.96
Spot Rate : 0.5000
Average : 0.3768

YTW SCENARIO
Maturity Type : Soft Maturity
Maturity Date : 2024-03-14
Maturity Price : 25.00
Evaluated at bid price : 25.46
Bid-YTW : 4.57 %
CU.PR.C FixedReset Disc Quote: 16.45 – 16.88
Spot Rate : 0.4300
Average : 0.3261

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-11-19
Maturity Price : 16.45
Evaluated at bid price : 16.45
Bid-YTW : 5.80 %
TD.PF.L FixedReset Disc Quote: 23.96 – 24.18
Spot Rate : 0.2200
Average : 0.1299

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-11-19
Maturity Price : 22.80
Evaluated at bid price : 23.96
Bid-YTW : 5.04 %
CU.PR.I FixedReset Prem Quote: 25.33 – 25.63
Spot Rate : 0.3000
Average : 0.2125

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2020-12-01
Maturity Price : 25.00
Evaluated at bid price : 25.33
Bid-YTW : 3.05 %
BAM.PF.C Perpetual-Discount Quote: 21.91 – 22.18
Spot Rate : 0.2700
Average : 0.1830

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-11-19
Maturity Price : 21.91
Evaluated at bid price : 21.91
Bid-YTW : 5.63 %
Market Action

November 14, 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 -0.1767 % 1,975.4
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.1767 % 3,624.8
Floater 6.12 % 6.31 % 45,324 13.39 4 -0.1767 % 2,089.0
OpRet 0.00 % 0.00 % 0 0.00 0 -0.0504 % 3,402.4
SplitShare 4.63 % 4.55 % 47,962 3.86 7 -0.0504 % 4,063.2
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.0504 % 3,170.3
Perpetual-Premium 5.56 % -19.46 % 51,656 0.09 10 -0.0941 % 3,032.1
Perpetual-Discount 5.33 % 5.44 % 68,996 14.73 25 -0.0329 % 3,243.9
FixedReset Disc 5.59 % 5.75 % 173,562 14.31 66 -0.3591 % 2,102.7
Deemed-Retractible 5.17 % 5.63 % 62,411 7.79 27 0.0047 % 3,195.1
FloatingReset 6.16 % 6.73 % 102,519 12.82 2 -0.9482 % 2,482.8
FixedReset Prem 5.12 % 3.72 % 125,106 1.61 20 -0.1207 % 2,623.1
FixedReset Bank Non 1.96 % 4.17 % 80,202 2.14 3 0.0691 % 2,692.7
FixedReset Ins Non 5.42 % 8.32 % 114,602 7.78 22 -0.5244 % 2,137.5
Performance Highlights
Issue Index Change Notes
PWF.PR.P FixedReset Disc -2.66 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-11-14
Maturity Price : 12.81
Evaluated at bid price : 12.81
Bid-YTW : 6.11 %
BAM.PR.R FixedReset Disc -2.50 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-11-14
Maturity Price : 15.19
Evaluated at bid price : 15.19
Bid-YTW : 6.31 %
MFC.PR.F FixedReset Ins Non -2.39 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 12.67
Bid-YTW : 11.08 %
HSE.PR.E FixedReset Disc -2.17 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-11-14
Maturity Price : 18.00
Evaluated at bid price : 18.00
Bid-YTW : 7.22 %
SLF.PR.G FixedReset Ins Non -1.76 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 13.43
Bid-YTW : 10.51 %
SLF.PR.J FloatingReset -1.74 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 13.56
Bid-YTW : 10.63 %
CM.PR.O FixedReset Disc -1.68 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-11-14
Maturity Price : 16.38
Evaluated at bid price : 16.38
Bid-YTW : 5.91 %
HSE.PR.A FixedReset Disc -1.58 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-11-14
Maturity Price : 11.18
Evaluated at bid price : 11.18
Bid-YTW : 7.26 %
GWO.PR.N FixedReset Ins Non -1.37 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 13.66
Bid-YTW : 10.01 %
IFC.PR.C FixedReset Ins Non -1.35 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 17.51
Bid-YTW : 8.59 %
TRP.PR.B FixedReset Disc -1.24 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-11-14
Maturity Price : 11.19
Evaluated at bid price : 11.19
Bid-YTW : 6.40 %
NA.PR.S FixedReset Disc -1.21 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-11-14
Maturity Price : 17.21
Evaluated at bid price : 17.21
Bid-YTW : 5.82 %
MFC.PR.N FixedReset Ins Non -1.19 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 16.62
Bid-YTW : 9.10 %
BIP.PR.E FixedReset Disc -1.18 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-11-14
Maturity Price : 22.20
Evaluated at bid price : 22.68
Bid-YTW : 5.57 %
HSE.PR.C FixedReset Disc -1.17 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-11-14
Maturity Price : 16.85
Evaluated at bid price : 16.85
Bid-YTW : 7.08 %
HSE.PR.G FixedReset Disc -1.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-11-14
Maturity Price : 18.00
Evaluated at bid price : 18.00
Bid-YTW : 7.16 %
BAM.PR.X FixedReset Disc -1.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-11-14
Maturity Price : 13.50
Evaluated at bid price : 13.50
Bid-YTW : 6.12 %
BIP.PR.A FixedReset Disc -1.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-11-14
Maturity Price : 19.95
Evaluated at bid price : 19.95
Bid-YTW : 6.50 %
BAM.PR.T FixedReset Disc -1.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-11-14
Maturity Price : 15.35
Evaluated at bid price : 15.35
Bid-YTW : 6.30 %
IFC.PR.A FixedReset Ins Non -1.03 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 14.40
Bid-YTW : 10.22 %
IFC.PR.F Deemed-Retractible -1.01 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.45
Bid-YTW : 5.71 %
MFC.PR.C Deemed-Retractible 1.03 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.60
Bid-YTW : 6.47 %
TD.PF.J FixedReset Disc 1.56 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-11-14
Maturity Price : 19.58
Evaluated at bid price : 19.58
Bid-YTW : 5.61 %
Volume Highlights
Issue Index Shares
Traded		 Notes
BNS.PR.E FixedReset Prem 96,732 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-04-25
Maturity Price : 25.00
Evaluated at bid price : 25.70
Bid-YTW : 3.70 %
PWF.PR.S Perpetual-Discount 76,400 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-11-14
Maturity Price : 22.09
Evaluated at bid price : 22.09
Bid-YTW : 5.48 %
MFC.PR.O FixedReset Ins Non 68,754 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-06-19
Maturity Price : 25.00
Evaluated at bid price : 25.89
Bid-YTW : 3.87 %
BAM.PR.B Floater 63,850 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-11-14
Maturity Price : 11.08
Evaluated at bid price : 11.08
Bid-YTW : 6.34 %
TRP.PR.J FixedReset Prem 62,383 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-05-31
Maturity Price : 25.00
Evaluated at bid price : 25.75
Bid-YTW : 3.35 %
MFC.PR.M FixedReset Ins Non 60,712 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 17.00
Bid-YTW : 8.88 %
There were 52 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
CM.PR.O FixedReset Disc Quote: 16.38 – 16.74
Spot Rate : 0.3600
Average : 0.2234

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-11-14
Maturity Price : 16.38
Evaluated at bid price : 16.38
Bid-YTW : 5.91 %
SLF.PR.G FixedReset Ins Non Quote: 13.43 – 13.89
Spot Rate : 0.4600
Average : 0.3321

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 13.43
Bid-YTW : 10.51 %
W.PR.M FixedReset Prem Quote: 25.88 – 26.25
Spot Rate : 0.3700
Average : 0.2686

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-10-15
Maturity Price : 25.00
Evaluated at bid price : 25.88
Bid-YTW : 3.54 %
BAM.PR.N Perpetual-Discount Quote: 21.71 – 21.95
Spot Rate : 0.2400
Average : 0.1406

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-11-14
Maturity Price : 21.45
Evaluated at bid price : 21.71
Bid-YTW : 5.54 %
TRP.PR.D FixedReset Disc Quote: 16.09 – 16.40
Spot Rate : 0.3100
Average : 0.2143

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-11-14
Maturity Price : 16.09
Evaluated at bid price : 16.09
Bid-YTW : 6.17 %
TRP.PR.E FixedReset Disc Quote: 15.63 – 16.00
Spot Rate : 0.3700
Average : 0.2768

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-11-14
Maturity Price : 15.63
Evaluated at bid price : 15.63
Bid-YTW : 6.25 %
Market Action

November 13, 2019

PerpetualDiscounts now yield 5.43%, equivalent to 7.06% interest at the standard equivalency factor of 1.3x. Long corporates now yield 3.47%, so the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) has narrowed sharply to 360bp from the 375bp reported November 6.

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 0.2435 % 1,978.9
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.2435 % 3,631.2
Floater 6.11 % 6.30 % 47,122 13.41 4 0.2435 % 2,092.7
OpRet 0.00 % 0.00 % 0 0.00 0 0.0168 % 3,404.1
SplitShare 4.63 % 4.54 % 48,678 3.87 7 0.0168 % 4,065.3
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0168 % 3,171.9
Perpetual-Premium 5.56 % -18.34 % 51,484 0.09 10 0.1060 % 3,034.9
Perpetual-Discount 5.32 % 5.43 % 69,866 14.75 25 0.0121 % 3,245.0
FixedReset Disc 5.57 % 5.75 % 176,255 14.31 66 -0.0637 % 2,110.3
Deemed-Retractible 5.17 % 5.58 % 62,001 7.79 27 -0.0094 % 3,195.0
FloatingReset 6.10 % 10.39 % 68,418 7.89 2 -0.8677 % 2,506.5
FixedReset Prem 5.10 % 3.71 % 146,907 1.62 20 -0.0195 % 2,626.3
FixedReset Bank Non 1.96 % 4.24 % 80,811 2.15 3 0.1383 % 2,690.8
FixedReset Ins Non 5.39 % 8.24 % 114,116 7.79 22 -0.5119 % 2,148.7
Performance Highlights
Issue Index Change Notes
CU.PR.C FixedReset Disc -2.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-11-13
Maturity Price : 16.75
Evaluated at bid price : 16.75
Bid-YTW : 5.81 %
TRP.PR.A FixedReset Disc -1.88 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-11-13
Maturity Price : 13.56
Evaluated at bid price : 13.56
Bid-YTW : 6.52 %
MFC.PR.I FixedReset Ins Non -1.60 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.09
Bid-YTW : 7.96 %
MFC.PR.F FixedReset Ins Non -1.52 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 12.98
Bid-YTW : 10.77 %
TD.PF.E FixedReset Disc -1.24 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-11-13
Maturity Price : 19.11
Evaluated at bid price : 19.11
Bid-YTW : 5.80 %
MFC.PR.L FixedReset Ins Non -1.18 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 16.76
Bid-YTW : 8.85 %
SLF.PR.G FixedReset Ins Non -1.16 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 13.67
Bid-YTW : 10.27 %
SLF.PR.H FixedReset Ins Non -1.15 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 16.31
Bid-YTW : 8.86 %
IFC.PR.A FixedReset Ins Non -1.09 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 14.55
Bid-YTW : 10.08 %
PWF.PR.A Floater 1.44 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-11-13
Maturity Price : 11.94
Evaluated at bid price : 11.94
Bid-YTW : 5.81 %
BIP.PR.A FixedReset Disc 1.61 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-11-13
Maturity Price : 20.17
Evaluated at bid price : 20.17
Bid-YTW : 6.42 %
TRP.PR.B FixedReset Disc 1.71 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-11-13
Maturity Price : 11.33
Evaluated at bid price : 11.33
Bid-YTW : 6.31 %
Volume Highlights
Issue Index Shares
Traded		 Notes
TD.PF.M FixedReset Disc 260,201 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-11-13
Maturity Price : 23.02
Evaluated at bid price : 24.55
Bid-YTW : 5.16 %
BMO.PR.D FixedReset Disc 99,878 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-11-13
Maturity Price : 21.10
Evaluated at bid price : 21.10
Bid-YTW : 5.57 %
BAM.PF.B FixedReset Disc 79,000 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-11-13
Maturity Price : 18.15
Evaluated at bid price : 18.15
Bid-YTW : 5.96 %
CU.PR.I FixedReset Prem 55,936 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2020-12-01
Maturity Price : 25.00
Evaluated at bid price : 25.26
Bid-YTW : 3.28 %
TD.PF.I FixedReset Disc 50,706 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-11-13
Maturity Price : 21.08
Evaluated at bid price : 21.08
Bid-YTW : 5.45 %
RY.PR.H FixedReset Disc 48,847 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-11-13
Maturity Price : 17.32
Evaluated at bid price : 17.32
Bid-YTW : 5.47 %
There were 46 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
PWF.PR.L Perpetual-Discount Quote: 23.51 – 24.20
Spot Rate : 0.6900
Average : 0.4749

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-11-13
Maturity Price : 23.21
Evaluated at bid price : 23.51
Bid-YTW : 5.45 %
BMO.PR.C FixedReset Disc Quote: 22.01 – 22.45
Spot Rate : 0.4400
Average : 0.2996

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-11-13
Maturity Price : 21.60
Evaluated at bid price : 22.01
Bid-YTW : 5.49 %
BNS.PR.I FixedReset Disc Quote: 19.35 – 19.93
Spot Rate : 0.5800
Average : 0.4542

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-11-13
Maturity Price : 19.35
Evaluated at bid price : 19.35
Bid-YTW : 5.48 %
CU.PR.D Perpetual-Discount Quote: 23.00 – 23.35
Spot Rate : 0.3500
Average : 0.2294

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-11-13
Maturity Price : 22.72
Evaluated at bid price : 23.00
Bid-YTW : 5.33 %
TRP.PR.A FixedReset Disc Quote: 13.56 – 13.94
Spot Rate : 0.3800
Average : 0.2668

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-11-13
Maturity Price : 13.56
Evaluated at bid price : 13.56
Bid-YTW : 6.52 %
BAM.PF.G FixedReset Disc Quote: 18.00 – 18.36
Spot Rate : 0.3600
Average : 0.2738

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-11-13
Maturity Price : 18.00
Evaluated at bid price : 18.00
Bid-YTW : 6.22 %
Market Action

November 12, 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 0.3109 % 1,974.1
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.3109 % 3,622.4
Floater 6.12 % 6.28 % 43,607 13.44 4 0.3109 % 2,087.6
OpRet 0.00 % 0.00 % 0 0.00 0 0.2528 % 3,403.6
SplitShare 4.63 % 4.54 % 49,306 3.87 7 0.2528 % 4,064.6
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.2528 % 3,171.3
Perpetual-Premium 5.57 % -17.64 % 52,173 0.09 10 -0.0745 % 3,031.7
Perpetual-Discount 5.32 % 5.41 % 70,263 14.78 25 0.0191 % 3,244.6
FixedReset Disc 5.57 % 5.73 % 173,476 14.33 66 0.1505 % 2,111.6
Deemed-Retractible 5.17 % 5.64 % 62,983 7.79 27 0.0484 % 3,195.3
FloatingReset 6.05 % 10.29 % 69,143 7.90 2 0.2901 % 2,528.5
FixedReset Prem 5.10 % 3.54 % 148,335 1.62 20 0.0409 % 2,626.8
FixedReset Bank Non 1.97 % 4.30 % 82,064 2.15 3 -0.2070 % 2,687.1
FixedReset Ins Non 5.36 % 8.15 % 113,971 7.80 22 0.4923 % 2,159.8
Performance Highlights
Issue Index Change Notes
HSE.PR.A FixedReset Disc -2.93 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-11-12
Maturity Price : 11.26
Evaluated at bid price : 11.26
Bid-YTW : 7.21 %
NA.PR.G FixedReset Disc -2.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-11-12
Maturity Price : 19.11
Evaluated at bid price : 19.11
Bid-YTW : 5.90 %
TRP.PR.B FixedReset Disc -1.76 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-11-12
Maturity Price : 11.14
Evaluated at bid price : 11.14
Bid-YTW : 6.42 %
BIK.PR.A FixedReset Prem -1.70 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-03-31
Maturity Price : 25.00
Evaluated at bid price : 26.00
Bid-YTW : 5.04 %
BAM.PF.F FixedReset Disc -1.26 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-11-12
Maturity Price : 18.05
Evaluated at bid price : 18.05
Bid-YTW : 6.06 %
TD.PF.E FixedReset Disc 1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-11-12
Maturity Price : 19.35
Evaluated at bid price : 19.35
Bid-YTW : 5.73 %
MFC.PR.G FixedReset Ins Non 1.05 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.20
Bid-YTW : 7.77 %
CM.PR.O FixedReset Disc 1.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-11-12
Maturity Price : 16.75
Evaluated at bid price : 16.75
Bid-YTW : 5.77 %
SLF.PR.J FloatingReset 1.16 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 13.91
Bid-YTW : 10.29 %
BAM.PR.T FixedReset Disc 1.32 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-11-12
Maturity Price : 15.40
Evaluated at bid price : 15.40
Bid-YTW : 6.27 %
MFC.PR.J FixedReset Ins Non 1.51 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.82
Bid-YTW : 8.15 %
MFC.PR.I FixedReset Ins Non 1.57 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.40
Bid-YTW : 7.74 %
RY.PR.M FixedReset Disc 1.78 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-11-12
Maturity Price : 18.25
Evaluated at bid price : 18.25
Bid-YTW : 5.71 %
IFC.PR.C FixedReset Ins Non 2.29 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 17.90
Bid-YTW : 8.29 %
BAM.PR.R FixedReset Disc 2.45 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-11-12
Maturity Price : 15.50
Evaluated at bid price : 15.50
Bid-YTW : 6.18 %
Volume Highlights
Issue Index Shares
Traded		 Notes
EMA.PR.C FixedReset Disc 57,920 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-11-12
Maturity Price : 17.95
Evaluated at bid price : 17.95
Bid-YTW : 6.07 %
BMO.PR.T FixedReset Disc 50,194 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-11-12
Maturity Price : 16.97
Evaluated at bid price : 16.97
Bid-YTW : 5.55 %
CM.PR.O FixedReset Disc 48,732 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-11-12
Maturity Price : 16.75
Evaluated at bid price : 16.75
Bid-YTW : 5.77 %
CM.PR.S FixedReset Disc 45,330 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-11-12
Maturity Price : 18.30
Evaluated at bid price : 18.30
Bid-YTW : 5.67 %
TD.PF.K FixedReset Disc 44,977 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-11-12
Maturity Price : 19.00
Evaluated at bid price : 19.00
Bid-YTW : 5.70 %
CM.PR.T FixedReset Disc 38,000 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-11-12
Maturity Price : 22.72
Evaluated at bid price : 23.79
Bid-YTW : 5.19 %
There were 43 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
PWF.PR.A Floater Quote: 11.77 – 12.16
Spot Rate : 0.3900
Average : 0.2568

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-11-12
Maturity Price : 11.77
Evaluated at bid price : 11.77
Bid-YTW : 5.89 %
EIT.PR.A SplitShare Quote: 25.47 – 25.87
Spot Rate : 0.4000
Average : 0.2726

YTW SCENARIO
Maturity Type : Soft Maturity
Maturity Date : 2024-03-14
Maturity Price : 25.00
Evaluated at bid price : 25.47
Bid-YTW : 4.54 %
BNS.PR.I FixedReset Disc Quote: 19.30 – 19.74
Spot Rate : 0.4400
Average : 0.3163

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-11-12
Maturity Price : 19.30
Evaluated at bid price : 19.30
Bid-YTW : 5.49 %
BAM.PF.G FixedReset Disc Quote: 17.91 – 18.21
Spot Rate : 0.3000
Average : 0.1792

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-11-12
Maturity Price : 17.91
Evaluated at bid price : 17.91
Bid-YTW : 6.25 %
HSE.PR.E FixedReset Disc Quote: 18.45 – 18.89
Spot Rate : 0.4400
Average : 0.3280

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-11-12
Maturity Price : 18.45
Evaluated at bid price : 18.45
Bid-YTW : 7.04 %
PWF.PR.T FixedReset Disc Quote: 17.40 – 17.66
Spot Rate : 0.2600
Average : 0.1686

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-11-12
Maturity Price : 17.40
Evaluated at bid price : 17.40
Bid-YTW : 5.80 %
Market Action

November 7, 2019

Here’s a phrase you don’t see very often: hard-working traders!

A proposal to shorten trading hours on Europe’s stock exchanges could help to boost liquidity and would have far-reaching benefits for the industry’s hard-working traders.

But a proposed 90 minute reduction in the trading day could also drive some business away from Europe’s main stock exchanges into so-called dark pools, trading venues which are less transparent and which regulators have been trying to curb.

Banks and fund managers on Thursday have proposed shortening the trading day in Europe to 7 hours from current 8-1/2 — one of the longest in the world.

I don’t understand why exchanges ever close in this day and age, frankly.

Ontario is going to review the Securities Act:

The fall statement acknowledged that the Securities Act is “outdated, and should support modern capital markets.”

“Ontario will undertake measures to create a modernized securities regulatory framework that is responsive to innovation and changes in a rapidly evolving marketplace,” the statement said. “Accordingly, the government will establish a securities modernization task force.”
…
The Securities Act requires that the Minister of Finance appoint an advisory committee to review securities legislation every five years. However, the most recent such review finished in March 2003, when a committee chaired by Purdy Crawford released a comprehensive report.

The act also requires that the finance minister and the OSC review their memorandum of understanding (MOU), which sets out both parties’ respective roles and responsibilities, every five years. The parties have not formally reviewed the current MOU since November 2009.

Yields popped:

U.S. Treasury yields surged to more than three-month highs on Thursday, exaggerated by technical factors, as reports that a U.S.-China agreement to roll back trade tariffs boosted global economic growth expectations.

Tariffs imposed during the months-long bilateral trade war will be phased out, the Chinese commerce ministry said on Thursday, without specifying a timetable.

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 0.7084 % 1,988.1
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.7084 % 3,648.0
Floater 6.08 % 6.24 % 46,889 13.50 4 0.7084 % 2,102.4
OpRet 0.00 % 0.00 % 0 0.00 0 0.1405 % 3,397.5
SplitShare 4.64 % 4.56 % 51,807 3.88 7 0.1405 % 4,057.3
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.1405 % 3,165.7
Perpetual-Premium 5.56 % -18.51 % 51,709 0.09 10 0.0353 % 3,034.6
Perpetual-Discount 5.33 % 5.43 % 70,749 14.75 25 -0.1421 % 3,240.1
FixedReset Disc 5.58 % 5.72 % 175,955 14.30 66 0.7753 % 2,107.8
Deemed-Retractible 5.17 % 5.64 % 64,298 7.80 27 0.0861 % 3,191.1
FloatingReset 6.13 % 6.69 % 93,310 12.88 2 1.2213 % 2,500.1
FixedReset Prem 5.11 % 3.78 % 153,368 1.63 20 0.1444 % 2,622.9
FixedReset Bank Non 1.96 % 4.10 % 89,570 2.16 3 0.0000 % 2,695.7
FixedReset Ins Non 5.40 % 8.24 % 112,549 7.79 22 0.4364 % 2,143.0
Performance Highlights
Issue Index Change Notes
BAM.PR.M Perpetual-Discount -1.25 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-11-07
Maturity Price : 21.31
Evaluated at bid price : 21.31
Bid-YTW : 5.65 %
CU.PR.D Perpetual-Discount -1.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-11-07
Maturity Price : 22.72
Evaluated at bid price : 23.00
Bid-YTW : 5.32 %
TRP.PR.G FixedReset Disc 1.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-11-07
Maturity Price : 17.95
Evaluated at bid price : 17.95
Bid-YTW : 6.33 %
NA.PR.G FixedReset Disc 1.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-11-07
Maturity Price : 19.55
Evaluated at bid price : 19.55
Bid-YTW : 5.74 %
RY.PR.J FixedReset Disc 1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-11-07
Maturity Price : 18.50
Evaluated at bid price : 18.50
Bid-YTW : 5.79 %
BNS.PR.I FixedReset Disc 1.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-11-07
Maturity Price : 19.15
Evaluated at bid price : 19.15
Bid-YTW : 5.51 %
NA.PR.W FixedReset Disc 1.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-11-07
Maturity Price : 16.22
Evaluated at bid price : 16.22
Bid-YTW : 5.87 %
BAM.PF.E FixedReset Disc 1.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-11-07
Maturity Price : 16.66
Evaluated at bid price : 16.66
Bid-YTW : 6.25 %
BAM.PF.B FixedReset Disc 1.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-11-07
Maturity Price : 18.20
Evaluated at bid price : 18.20
Bid-YTW : 5.92 %
SLF.PR.H FixedReset Ins Non 1.11 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 16.35
Bid-YTW : 8.79 %
RY.PR.M FixedReset Disc 1.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-11-07
Maturity Price : 18.06
Evaluated at bid price : 18.06
Bid-YTW : 5.74 %
CU.PR.C FixedReset Disc 1.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-11-07
Maturity Price : 16.99
Evaluated at bid price : 16.99
Bid-YTW : 5.69 %
MFC.PR.N FixedReset Ins Non 1.15 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 16.70
Bid-YTW : 8.99 %
CM.PR.Q FixedReset Disc 1.17 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-11-07
Maturity Price : 18.12
Evaluated at bid price : 18.12
Bid-YTW : 5.97 %
SLF.PR.J FloatingReset 1.19 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 13.66
Bid-YTW : 10.52 %
HSE.PR.C FixedReset Disc 1.19 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-11-07
Maturity Price : 17.00
Evaluated at bid price : 17.00
Bid-YTW : 6.98 %
NA.PR.E FixedReset Disc 1.21 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-11-07
Maturity Price : 18.35
Evaluated at bid price : 18.35
Bid-YTW : 5.78 %
TRP.PR.F FloatingReset 1.26 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-11-07
Maturity Price : 13.69
Evaluated at bid price : 13.69
Bid-YTW : 6.69 %
BIP.PR.A FixedReset Disc 1.29 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-11-07
Maturity Price : 19.65
Evaluated at bid price : 19.65
Bid-YTW : 6.56 %
PWF.PR.P FixedReset Disc 1.38 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-11-07
Maturity Price : 13.21
Evaluated at bid price : 13.21
Bid-YTW : 5.88 %
TRP.PR.D FixedReset Disc 1.43 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-11-07
Maturity Price : 16.27
Evaluated at bid price : 16.27
Bid-YTW : 6.07 %
TD.PF.E FixedReset Disc 1.48 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-11-07
Maturity Price : 19.15
Evaluated at bid price : 19.15
Bid-YTW : 5.76 %
HSE.PR.E FixedReset Disc 1.51 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-11-07
Maturity Price : 18.13
Evaluated at bid price : 18.13
Bid-YTW : 7.13 %
EMA.PR.F FixedReset Disc 1.53 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-11-07
Maturity Price : 16.59
Evaluated at bid price : 16.59
Bid-YTW : 6.32 %
BMO.PR.Y FixedReset Disc 1.60 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-11-07
Maturity Price : 19.10
Evaluated at bid price : 19.10
Bid-YTW : 5.56 %
HSE.PR.G FixedReset Disc 1.69 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-11-07
Maturity Price : 18.05
Evaluated at bid price : 18.05
Bid-YTW : 7.10 %
RY.PR.S FixedReset Disc 1.69 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-11-07
Maturity Price : 19.22
Evaluated at bid price : 19.22
Bid-YTW : 5.40 %
BAM.PF.F FixedReset Disc 1.79 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-11-07
Maturity Price : 18.20
Evaluated at bid price : 18.20
Bid-YTW : 5.98 %
IFC.PR.A FixedReset Ins Non 1.99 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 14.85
Bid-YTW : 9.78 %
MFC.PR.F FixedReset Ins Non 2.01 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 13.20
Bid-YTW : 10.51 %
BAM.PR.X FixedReset Disc 2.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-11-07
Maturity Price : 13.75
Evaluated at bid price : 13.75
Bid-YTW : 5.98 %
SLF.PR.G FixedReset Ins Non 2.40 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 13.67
Bid-YTW : 10.23 %
TRP.PR.E FixedReset Disc 2.43 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-11-07
Maturity Price : 16.00
Evaluated at bid price : 16.00
Bid-YTW : 6.07 %
TRP.PR.C FixedReset Disc 2.56 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-11-07
Maturity Price : 12.01
Evaluated at bid price : 12.01
Bid-YTW : 6.35 %
BAM.PR.K Floater 2.84 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-11-07
Maturity Price : 11.23
Evaluated at bid price : 11.23
Bid-YTW : 6.24 %
HSE.PR.A FixedReset Disc 4.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-11-07
Maturity Price : 11.66
Evaluated at bid price : 11.66
Bid-YTW : 6.92 %
Volume Highlights
Issue Index Shares
Traded		 Notes
CU.PR.C FixedReset Disc 104,367 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-11-07
Maturity Price : 16.99
Evaluated at bid price : 16.99
Bid-YTW : 5.69 %
TD.PF.I FixedReset Disc 62,700 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-11-07
Maturity Price : 20.81
Evaluated at bid price : 20.81
Bid-YTW : 5.50 %
PWF.PR.P FixedReset Disc 41,500 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-11-07
Maturity Price : 13.21
Evaluated at bid price : 13.21
Bid-YTW : 5.88 %
TD.PF.J FixedReset Disc 34,255 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-11-07
Maturity Price : 19.25
Evaluated at bid price : 19.25
Bid-YTW : 5.67 %
BMO.PR.C FixedReset Disc 32,577 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-11-07
Maturity Price : 21.90
Evaluated at bid price : 22.14
Bid-YTW : 5.44 %
TRP.PR.C FixedReset Disc 32,300 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-11-07
Maturity Price : 12.01
Evaluated at bid price : 12.01
Bid-YTW : 6.35 %
There were 44 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
SLF.PR.H FixedReset Ins Non Quote: 16.35 – 16.95
Spot Rate : 0.6000
Average : 0.4010

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 16.35
Bid-YTW : 8.79 %
MFC.PR.G FixedReset Ins Non Quote: 18.82 – 19.24
Spot Rate : 0.4200
Average : 0.2760

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.82
Bid-YTW : 8.00 %
CU.PR.F Perpetual-Discount Quote: 21.25 – 21.74
Spot Rate : 0.4900
Average : 0.3677

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-11-07
Maturity Price : 21.25
Evaluated at bid price : 21.25
Bid-YTW : 5.31 %
BAM.PF.E FixedReset Disc Quote: 16.66 – 16.97
Spot Rate : 0.3100
Average : 0.1907

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-11-07
Maturity Price : 16.66
Evaluated at bid price : 16.66
Bid-YTW : 6.25 %
TD.PF.C FixedReset Disc Quote: 16.96 – 17.29
Spot Rate : 0.3300
Average : 0.2114

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-11-07
Maturity Price : 16.96
Evaluated at bid price : 16.96
Bid-YTW : 5.63 %
SLF.PR.G FixedReset Ins Non Quote: 13.67 – 14.06
Spot Rate : 0.3900
Average : 0.2728

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 13.67
Bid-YTW : 10.23 %
Market Action

November 6, 2019

Another bubble has burst:

A real estate developer who raised tens of millions of dollars from dozens of individual investors bundled into syndicated mortgages to fund Toronto-area condominium buildings is facing an investor revolt on one project and insolvency on another.

Dimitrios (Jim) Neilas, chief executive officer of Storey Living Inc., is facing legal fights on two fronts as projects he has pushed – known as the Adelaide Lofts in downtown Toronto and the OpArt condos in Oakville – are now subject to court actions from creditors seeking to sell land parcels that he had hoped to make into condominium or rental properties. At stake are millions of dollars for small investors whose loans are not registered and not protected in an insolvency process, or in the settlement deals proposed by the debtors.
…
Noor Al-Awqati, the chief operating officer of Hi-Rise Capital Ltd. and principal mortgage broker for the company, denied some of [Ontario’s Superintendent of Financial Services’] claims in an April 3, 2019 affidavit, saying Hi-Rise has received no fees from the Adelaide project since at least September, 2017. He admits to the 14 per cent commission paid on the initial investments, but said Hi-Rise transferred 10 or 12 per cent of each commission to third-parties who referred the investors.

What a great business, eh? 14% commission!

The Ontario Ministry of Finance has announced:

As dividends are paid out of after‐tax corporate earnings, individual shareholders receive dividend tax credits, the rate of which approximates the CIT rate paid by the corporation. Corresponding to the reduction in the small business CIT rate, Ontario’s small business (non‐eligible) dividend tax credit rate would be reduced from 3.2863 per cent to 2.9863 per cent, effective January 1, 2020. As a result, recipients of non‐eligible dividends would receive reduced dividend tax credits.

Apparently (see the Annex) this will raise 55-million annually once it’s running, about 60% of the cost of reducing the small business CIT rate.

PerpetualDiscounts now yield 5.44%, equivalent to 7.07% interest at the standard equivalency factor of 1.3x. Long corporates now yield 3.34%, so the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) has widened sharply to 375bp from the 355bp reported October 30.

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 -0.1327 % 1,974.1
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.1327 % 3,622.4
Floater 6.12 % 6.26 % 48,406 13.48 4 -0.1327 % 2,087.6
OpRet 0.00 % 0.00 % 0 0.00 0 0.1689 % 3,392.7
SplitShare 4.64 % 4.64 % 51,675 3.89 7 0.1689 % 4,051.6
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.1689 % 3,161.2
Perpetual-Premium 5.56 % -18.68 % 52,086 0.09 10 0.2045 % 3,033.5
Perpetual-Discount 5.32 % 5.44 % 67,719 14.74 25 0.0727 % 3,244.7
FixedReset Disc 5.62 % 5.76 % 173,571 14.24 66 -0.2244 % 2,091.6
Deemed-Retractible 5.18 % 5.64 % 64,089 7.81 27 0.0626 % 3,188.4
FloatingReset 6.21 % 6.78 % 94,392 12.78 2 -0.2216 % 2,470.0
FixedReset Prem 5.12 % 3.75 % 152,371 1.63 20 -0.0407 % 2,619.1
FixedReset Bank Non 1.96 % 3.94 % 90,929 2.16 3 -0.2064 % 2,695.7
FixedReset Ins Non 5.43 % 8.21 % 111,656 7.80 22 -0.0966 % 2,133.7
Performance Highlights
Issue Index Change Notes
TRP.PR.C FixedReset Disc -3.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-11-06
Maturity Price : 11.71
Evaluated at bid price : 11.71
Bid-YTW : 6.51 %
BAM.PR.K Floater -2.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-11-06
Maturity Price : 10.92
Evaluated at bid price : 10.92
Bid-YTW : 6.42 %
TRP.PR.E FixedReset Disc -2.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-11-06
Maturity Price : 15.62
Evaluated at bid price : 15.62
Bid-YTW : 6.22 %
IFC.PR.A FixedReset Ins Non -1.95 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 14.56
Bid-YTW : 10.03 %
TD.PF.I FixedReset Disc -1.57 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-11-06
Maturity Price : 20.68
Evaluated at bid price : 20.68
Bid-YTW : 5.53 %
MFC.PR.R FixedReset Ins Non -1.26 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.31
Bid-YTW : 5.71 %
PWF.PR.P FixedReset Disc -1.21 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-11-06
Maturity Price : 13.03
Evaluated at bid price : 13.03
Bid-YTW : 5.96 %
NA.PR.S FixedReset Disc -1.21 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-11-06
Maturity Price : 17.14
Evaluated at bid price : 17.14
Bid-YTW : 5.81 %
TD.PF.E FixedReset Disc -1.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-11-06
Maturity Price : 18.87
Evaluated at bid price : 18.87
Bid-YTW : 5.84 %
TRP.PR.D FixedReset Disc -1.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-11-06
Maturity Price : 16.04
Evaluated at bid price : 16.04
Bid-YTW : 6.16 %
BAM.PR.B Floater 1.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-11-06
Maturity Price : 11.20
Evaluated at bid price : 11.20
Bid-YTW : 6.26 %
IFC.PR.E Deemed-Retractible 1.12 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.40
Bid-YTW : 5.62 %
NA.PR.G FixedReset Disc 1.26 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-11-06
Maturity Price : 19.35
Evaluated at bid price : 19.35
Bid-YTW : 5.80 %
BMO.PR.Y FixedReset Disc 1.35 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-11-06
Maturity Price : 18.80
Evaluated at bid price : 18.80
Bid-YTW : 5.65 %
CU.PR.C FixedReset Disc 1.51 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-11-06
Maturity Price : 16.80
Evaluated at bid price : 16.80
Bid-YTW : 5.76 %
Volume Highlights
Issue Index Shares
Traded		 Notes
CU.PR.E Perpetual-Discount 330,524 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-11-06
Maturity Price : 22.62
Evaluated at bid price : 22.90
Bid-YTW : 5.34 %
BAM.PR.X FixedReset Disc 223,100 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-11-06
Maturity Price : 13.46
Evaluated at bid price : 13.46
Bid-YTW : 6.10 %
SLF.PR.D Deemed-Retractible 53,386 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.10
Bid-YTW : 6.68 %
IFC.PR.G FixedReset Ins Non 53,200 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.43
Bid-YTW : 8.45 %
EMA.PR.H FixedReset Disc 42,420 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-11-06
Maturity Price : 23.26
Evaluated at bid price : 24.95
Bid-YTW : 4.83 %
GWO.PR.S Deemed-Retractible 39,920 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.55
Bid-YTW : 5.59 %
There were 31 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
GWO.PR.I Deemed-Retractible Quote: 21.23 – 21.65
Spot Rate : 0.4200
Average : 0.2829

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.23
Bid-YTW : 6.65 %
CCS.PR.C Deemed-Retractible Quote: 23.91 – 24.58
Spot Rate : 0.6700
Average : 0.5369

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.91
Bid-YTW : 5.67 %
TRP.PR.E FixedReset Disc Quote: 15.62 – 16.11
Spot Rate : 0.4900
Average : 0.3624

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-11-06
Maturity Price : 15.62
Evaluated at bid price : 15.62
Bid-YTW : 6.22 %
PWF.PR.L Perpetual-Discount Quote: 23.42 – 23.83
Spot Rate : 0.4100
Average : 0.3007

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-11-06
Maturity Price : 23.16
Evaluated at bid price : 23.42
Bid-YTW : 5.47 %
TRP.PR.F FloatingReset Quote: 13.52 – 13.95
Spot Rate : 0.4300
Average : 0.3245

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-11-06
Maturity Price : 13.52
Evaluated at bid price : 13.52
Bid-YTW : 6.78 %
BIP.PR.E FixedReset Disc Quote: 22.66 – 22.94
Spot Rate : 0.2800
Average : 0.1805

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-11-06
Maturity Price : 22.18
Evaluated at bid price : 22.66
Bid-YTW : 5.57 %
Market Action

November 5, 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 1.5036 % 1,976.7
FixedFloater 0.00 % 0.00 % 0 0.00 0 1.5036 % 3,627.2
Floater 6.11 % 6.28 % 46,103 13.45 4 1.5036 % 2,090.4
OpRet 0.00 % 0.00 % 0 0.00 0 0.0225 % 3,387.0
SplitShare 4.65 % 4.68 % 51,907 3.89 7 0.0225 % 4,044.8
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0225 % 3,155.9
Perpetual-Premium 5.57 % -19.29 % 54,016 0.09 10 -0.1217 % 3,027.3
Perpetual-Discount 5.31 % 5.42 % 64,140 14.73 25 -0.0017 % 3,242.3
FixedReset Disc 5.61 % 5.74 % 172,927 14.28 66 0.6259 % 2,096.3
Deemed-Retractible 5.18 % 5.65 % 65,479 7.81 27 0.0235 % 3,186.4
FloatingReset 6.19 % 6.72 % 95,852 12.85 2 1.0448 % 2,475.4
FixedReset Prem 5.11 % 3.77 % 129,102 1.64 20 0.1914 % 2,620.2
FixedReset Bank Non 1.96 % 3.92 % 91,622 2.17 3 0.3036 % 2,701.2
FixedReset Ins Non 5.42 % 8.27 % 113,118 7.81 22 0.2707 % 2,135.8
Performance Highlights
Issue Index Change Notes
BAM.PF.J FixedReset Disc 1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-11-05
Maturity Price : 23.28
Evaluated at bid price : 24.80
Bid-YTW : 4.75 %
BAM.PR.X FixedReset Disc 1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-11-05
Maturity Price : 13.55
Evaluated at bid price : 13.55
Bid-YTW : 6.06 %
PWF.PR.A Floater 1.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-11-05
Maturity Price : 11.86
Evaluated at bid price : 11.86
Bid-YTW : 5.84 %
BMO.PR.E FixedReset Disc 1.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-11-05
Maturity Price : 19.70
Evaluated at bid price : 19.70
Bid-YTW : 5.56 %
BIK.PR.A FixedReset Prem 1.15 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-03-31
Maturity Price : 25.00
Evaluated at bid price : 26.40
Bid-YTW : 4.61 %
IAF.PR.G FixedReset Ins Non 1.16 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.12
Bid-YTW : 7.64 %
TRP.PR.B FixedReset Disc 1.18 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-11-05
Maturity Price : 11.13
Evaluated at bid price : 11.13
Bid-YTW : 6.37 %
BAM.PR.R FixedReset Disc 1.26 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-11-05
Maturity Price : 15.30
Evaluated at bid price : 15.30
Bid-YTW : 6.22 %
HSE.PR.C FixedReset Disc 1.27 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-11-05
Maturity Price : 16.69
Evaluated at bid price : 16.69
Bid-YTW : 7.11 %
HSE.PR.G FixedReset Disc 1.36 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-11-05
Maturity Price : 17.84
Evaluated at bid price : 17.84
Bid-YTW : 7.18 %
TRP.PR.A FixedReset Disc 1.40 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-11-05
Maturity Price : 13.79
Evaluated at bid price : 13.79
Bid-YTW : 6.36 %
BIP.PR.D FixedReset Disc 1.40 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-11-05
Maturity Price : 22.64
Evaluated at bid price : 23.20
Bid-YTW : 5.73 %
BAM.PF.B FixedReset Disc 1.41 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-11-05
Maturity Price : 18.00
Evaluated at bid price : 18.00
Bid-YTW : 5.98 %
HSE.PR.E FixedReset Disc 1.42 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-11-05
Maturity Price : 17.87
Evaluated at bid price : 17.87
Bid-YTW : 7.24 %
BAM.PR.T FixedReset Disc 1.45 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-11-05
Maturity Price : 15.44
Evaluated at bid price : 15.44
Bid-YTW : 6.22 %
BAM.PR.K Floater 1.45 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-11-05
Maturity Price : 11.16
Evaluated at bid price : 11.16
Bid-YTW : 6.28 %
BAM.PR.B Floater 1.47 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-11-05
Maturity Price : 11.08
Evaluated at bid price : 11.08
Bid-YTW : 6.33 %
MFC.PR.L FixedReset Ins Non 1.47 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 16.56
Bid-YTW : 8.97 %
TRP.PR.G FixedReset Disc 1.71 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-11-05
Maturity Price : 17.86
Evaluated at bid price : 17.86
Bid-YTW : 6.36 %
TRP.PR.F FloatingReset 1.72 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-11-05
Maturity Price : 13.63
Evaluated at bid price : 13.63
Bid-YTW : 6.72 %
BAM.PR.Z FixedReset Disc 1.75 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-11-05
Maturity Price : 19.21
Evaluated at bid price : 19.21
Bid-YTW : 5.99 %
PWF.PR.T FixedReset Disc 1.79 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-11-05
Maturity Price : 17.10
Evaluated at bid price : 17.10
Bid-YTW : 5.88 %
BAM.PF.A FixedReset Disc 1.82 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-11-05
Maturity Price : 19.55
Evaluated at bid price : 19.55
Bid-YTW : 5.95 %
BAM.PR.C Floater 2.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-11-05
Maturity Price : 11.13
Evaluated at bid price : 11.13
Bid-YTW : 6.30 %
PWF.PR.P FixedReset Disc 2.25 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-11-05
Maturity Price : 13.19
Evaluated at bid price : 13.19
Bid-YTW : 5.89 %
IFC.PR.A FixedReset Ins Non 2.56 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 14.85
Bid-YTW : 9.77 %
TRP.PR.C FixedReset Disc 3.42 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-11-05
Maturity Price : 12.09
Evaluated at bid price : 12.09
Bid-YTW : 6.30 %
Volume Highlights
Issue Index Shares
Traded		 Notes
EMA.PR.H FixedReset Disc 91,814 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-11-05
Maturity Price : 23.22
Evaluated at bid price : 24.85
Bid-YTW : 4.85 %
GWO.PR.H Deemed-Retractible 89,643 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.74
Bid-YTW : 6.15 %
CM.PR.T FixedReset Disc 55,381 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-11-05
Maturity Price : 22.73
Evaluated at bid price : 23.81
Bid-YTW : 5.16 %
BAM.PR.B Floater 48,359 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-11-05
Maturity Price : 11.08
Evaluated at bid price : 11.08
Bid-YTW : 6.33 %
PWF.PR.P FixedReset Disc 39,600 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-11-05
Maturity Price : 13.19
Evaluated at bid price : 13.19
Bid-YTW : 5.89 %
IFC.PR.G FixedReset Ins Non 35,678 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.41
Bid-YTW : 8.46 %
There were 42 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
BNS.PR.I FixedReset Disc Quote: 19.00 – 19.41
Spot Rate : 0.4100
Average : 0.2828

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-11-05
Maturity Price : 19.00
Evaluated at bid price : 19.00
Bid-YTW : 5.55 %
CM.PR.Y FixedReset Disc Quote: 24.64 – 24.95
Spot Rate : 0.3100
Average : 0.1939

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-11-05
Maturity Price : 23.05
Evaluated at bid price : 24.64
Bid-YTW : 5.18 %
CU.PR.C FixedReset Disc Quote: 16.76 – 17.27
Spot Rate : 0.5100
Average : 0.4171

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-11-05
Maturity Price : 16.76
Evaluated at bid price : 16.76
Bid-YTW : 5.86 %
BAM.PF.F FixedReset Disc Quote: 17.72 – 18.20
Spot Rate : 0.4800
Average : 0.3890

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-11-05
Maturity Price : 17.72
Evaluated at bid price : 17.72
Bid-YTW : 6.14 %
BNS.PR.Z FixedReset Bank Non Quote: 24.22 – 24.49
Spot Rate : 0.2700
Average : 0.1879

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.22
Bid-YTW : 3.92 %
CM.PR.Q FixedReset Disc Quote: 17.97 – 18.22
Spot Rate : 0.2500
Average : 0.1705

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-11-05
Maturity Price : 17.97
Evaluated at bid price : 17.97
Bid-YTW : 6.02 %
Market Action

November 4, 2019

rainbow_191104
Click for Big

TXPR closed at 602.55, up 0.55% on the day. Volume was 2.70-million, behind only October 18 and October 11 in the past thirty days.

CPD closed at 12.05, up 0.42% on the day. Volume of 165,979 was the highest of the past 30 days, well ahead of second-place October 21.

ZPR closed at 9.62, up 0.63% on the day. Volume of 303,104 was second-highest of the past 30 days, just a whisker behind October 30.

Five-year Canada yields were up 8bp to 1.54% 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 1.5265 % 1,947.4
FixedFloater 0.00 % 0.00 % 0 0.00 0 1.5265 % 3,573.4
Floater 6.21 % 6.37 % 46,330 13.33 4 1.5265 % 2,059.4
OpRet 0.00 % 0.00 % 0 0.00 0 0.1410 % 3,386.2
SplitShare 4.65 % 4.68 % 51,758 3.89 7 0.1410 % 4,043.8
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.1410 % 3,155.2
Perpetual-Premium 5.57 % -17.73 % 55,517 0.09 10 0.0354 % 3,031.0
Perpetual-Discount 5.31 % 5.42 % 64,619 14.73 25 0.1941 % 3,242.4
FixedReset Disc 5.64 % 5.79 % 175,522 14.24 66 0.6173 % 2,083.2
Deemed-Retractible 5.18 % 5.67 % 64,591 7.81 27 0.1302 % 3,185.6
FloatingReset 6.26 % 6.84 % 73,469 7.86 2 -0.1862 % 2,449.8
FixedReset Prem 5.12 % 3.84 % 156,480 1.64 20 0.2271 % 2,615.2
FixedReset Bank Non 1.96 % 4.11 % 91,140 2.17 3 -0.0276 % 2,693.1
FixedReset Ins Non 5.44 % 8.20 % 113,687 7.78 22 0.9781 % 2,130.0
Performance Highlights
Issue Index Change Notes
TD.PF.E FixedReset Disc 1.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-11-04
Maturity Price : 19.00
Evaluated at bid price : 19.00
Bid-YTW : 5.80 %
PWF.PR.A Floater 1.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-11-04
Maturity Price : 11.73
Evaluated at bid price : 11.73
Bid-YTW : 5.91 %
SLF.PR.G FixedReset Ins Non 1.06 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 13.34
Bid-YTW : 10.53 %
BAM.PR.R FixedReset Disc 1.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-11-04
Maturity Price : 15.11
Evaluated at bid price : 15.11
Bid-YTW : 6.30 %
IFC.PR.F Deemed-Retractible 1.11 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.55
Bid-YTW : 5.64 %
RY.PR.M FixedReset Disc 1.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-11-04
Maturity Price : 17.86
Evaluated at bid price : 17.86
Bid-YTW : 5.80 %
TD.PF.C FixedReset Disc 1.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-11-04
Maturity Price : 16.88
Evaluated at bid price : 16.88
Bid-YTW : 5.66 %
NA.PR.S FixedReset Disc 1.24 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-11-04
Maturity Price : 17.21
Evaluated at bid price : 17.21
Bid-YTW : 5.78 %
NA.PR.W FixedReset Disc 1.26 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-11-04
Maturity Price : 16.05
Evaluated at bid price : 16.05
Bid-YTW : 5.93 %
BAM.PR.T FixedReset Disc 1.26 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-11-04
Maturity Price : 15.22
Evaluated at bid price : 15.22
Bid-YTW : 6.31 %
CU.PR.C FixedReset Disc 1.27 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-11-04
Maturity Price : 16.77
Evaluated at bid price : 16.77
Bid-YTW : 5.85 %
TD.PF.D FixedReset Disc 1.30 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-11-04
Maturity Price : 18.72
Evaluated at bid price : 18.72
Bid-YTW : 5.79 %
BAM.PR.C Floater 1.30 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-11-04
Maturity Price : 10.91
Evaluated at bid price : 10.91
Bid-YTW : 6.43 %
TRP.PR.G FixedReset Disc 1.33 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-11-04
Maturity Price : 17.56
Evaluated at bid price : 17.56
Bid-YTW : 6.47 %
MFC.PR.J FixedReset Ins Non 1.36 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.70
Bid-YTW : 8.20 %
BAM.PF.F FixedReset Disc 1.36 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-11-04
Maturity Price : 17.84
Evaluated at bid price : 17.84
Bid-YTW : 6.10 %
IFC.PR.G FixedReset Ins Non 1.38 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.40
Bid-YTW : 8.46 %
MFC.PR.R FixedReset Ins Non 1.40 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.64
Bid-YTW : 5.53 %
EMA.PR.F FixedReset Disc 1.49 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-11-04
Maturity Price : 16.40
Evaluated at bid price : 16.40
Bid-YTW : 6.39 %
TRP.PR.E FixedReset Disc 1.51 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-11-04
Maturity Price : 16.10
Evaluated at bid price : 16.10
Bid-YTW : 6.03 %
HSE.PR.A FixedReset Disc 1.56 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-11-04
Maturity Price : 11.10
Evaluated at bid price : 11.10
Bid-YTW : 7.26 %
PWF.PR.P FixedReset Disc 1.57 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-11-04
Maturity Price : 12.90
Evaluated at bid price : 12.90
Bid-YTW : 6.02 %
BAM.PR.X FixedReset Disc 1.59 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-11-04
Maturity Price : 13.41
Evaluated at bid price : 13.41
Bid-YTW : 6.12 %
BAM.PF.G FixedReset Disc 1.60 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-11-04
Maturity Price : 17.73
Evaluated at bid price : 17.73
Bid-YTW : 6.27 %
IAF.PR.G FixedReset Ins Non 1.72 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.90
Bid-YTW : 7.79 %
MFC.PR.F FixedReset Ins Non 1.74 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 12.84
Bid-YTW : 10.85 %
IFC.PR.A FixedReset Ins Non 1.83 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 14.48
Bid-YTW : 10.10 %
BAM.PR.K Floater 1.85 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-11-04
Maturity Price : 11.00
Evaluated at bid price : 11.00
Bid-YTW : 6.37 %
BAM.PR.Z FixedReset Disc 1.89 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-11-04
Maturity Price : 18.88
Evaluated at bid price : 18.88
Bid-YTW : 6.10 %
BAM.PF.E FixedReset Disc 1.93 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-11-04
Maturity Price : 16.34
Evaluated at bid price : 16.34
Bid-YTW : 6.37 %
BAM.PR.B Floater 1.96 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-11-04
Maturity Price : 10.92
Evaluated at bid price : 10.92
Bid-YTW : 6.42 %
SLF.PR.H FixedReset Ins Non 1.97 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 16.07
Bid-YTW : 9.00 %
BNS.PR.I FixedReset Disc 2.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-11-04
Maturity Price : 18.88
Evaluated at bid price : 18.88
Bid-YTW : 5.59 %
MFC.PR.N FixedReset Ins Non 2.15 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 16.60
Bid-YTW : 9.06 %
HSE.PR.C FixedReset Disc 2.30 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-11-04
Maturity Price : 16.48
Evaluated at bid price : 16.48
Bid-YTW : 7.20 %
HSE.PR.G FixedReset Disc 2.33 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-11-04
Maturity Price : 17.60
Evaluated at bid price : 17.60
Bid-YTW : 7.28 %
MFC.PR.I FixedReset Ins Non 3.24 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.10
Bid-YTW : 7.91 %
Volume Highlights
Issue Index Shares
Traded		 Notes
SLF.PR.A Deemed-Retractible 93,400 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.36
Bid-YTW : 6.26 %
EMA.PR.H FixedReset Disc 87,100 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-11-04
Maturity Price : 23.24
Evaluated at bid price : 24.90
Bid-YTW : 4.84 %
MFC.PR.F FixedReset Ins Non 69,720 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 12.84
Bid-YTW : 10.85 %
SLF.PR.D Deemed-Retractible 42,242 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.07
Bid-YTW : 6.69 %
GWO.PR.N FixedReset Ins Non 39,100 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 13.79
Bid-YTW : 9.84 %
CM.PR.R FixedReset Disc 37,322 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-11-04
Maturity Price : 21.14
Evaluated at bid price : 21.14
Bid-YTW : 5.76 %
There were 55 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
BAM.PR.X FixedReset Disc Quote: 13.41 – 13.97
Spot Rate : 0.5600
Average : 0.3550

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-11-04
Maturity Price : 13.41
Evaluated at bid price : 13.41
Bid-YTW : 6.12 %
BAM.PF.A FixedReset Disc Quote: 19.20 – 19.75
Spot Rate : 0.5500
Average : 0.3597

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-11-04
Maturity Price : 19.20
Evaluated at bid price : 19.20
Bid-YTW : 6.06 %
IFC.PR.A FixedReset Ins Non Quote: 14.48 – 14.99
Spot Rate : 0.5100
Average : 0.3397

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 14.48
Bid-YTW : 10.10 %
IAF.PR.G FixedReset Ins Non Quote: 18.90 – 19.39
Spot Rate : 0.4900
Average : 0.3230

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.90
Bid-YTW : 7.79 %
CU.PR.C FixedReset Disc Quote: 16.77 – 17.20
Spot Rate : 0.4300
Average : 0.3153

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-11-04
Maturity Price : 16.77
Evaluated at bid price : 16.77
Bid-YTW : 5.85 %
EMA.PR.C FixedReset Disc Quote: 17.53 – 17.99
Spot Rate : 0.4600
Average : 0.3523

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-11-04
Maturity Price : 17.53
Evaluated at bid price : 17.53
Bid-YTW : 6.18 %