Category: Market Action

Market Action

October 11, 2019

The hiccup in the US repo market, last discussed on September 20, is now being addressed by the Fed:

The Federal Reserve said Friday that it would buy more government-backed securities in a move meant to keep an obscure but critical corner of financial markets functioning smoothly.

The central bank said that it had decided to begin buying Treasury bills — expanding its balance sheet for the first time since 2014 — and would begin the purchases on Tuesday. The Fed will continue buying “at least into the second quarter of next year,” it said in a statement.

The Fed will also continue to intervene in the market for repurchase agreements, essentially short-term loans between banks and financial institutions. It started doing so last month for the first time since the financial crisis after rates on repos shot up briefly, spilling over to push the central bank’s benchmark interest rate higher. The Fed will conduct the operations “at least through January of next year,” according to the release, “to ensure that the supply of reserves remains ample even during periods of sharp increases in nonreserve liabilities.”

Unlike its previous bond buying campaign, which began during the Great Recession, the Fed stressed on Friday that its new effort is not meant to boost the economy.

Jobs, jobs, jobs!

Canada’s unemployment rate nudged down to a near four-decade low last month as the economy added more jobs than analysts expect – dropping an economic figure into a tight electoral race, and warnings from economists that things may not be as rosy as they seem.

Statistics Canada’s monthly labour force survey showed the country added about 54,000 net new jobs in September, driven largely by gains in full-time work, and dropping the jobless rate nationally by 0.2 points to 5.5 per cent.
…
The national statistics office said September’s jobs growth was largely concentrated in an expansion of public-sector staff and self-employed workers. The report also said 70,000 of the new jobs were full-time, as the number of part-time workers declined.

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 1.0223 % 1,851.5
FixedFloater 0.00 % 0.00 % 0 0.00 0 1.0223 % 3,397.5
Floater 6.51 % 6.68 % 48,283 12.96 4 1.0223 % 1,958.0
OpRet 0.00 % 0.00 % 0 0.00 0 0.1574 % 3,396.7
SplitShare 4.64 % 4.52 % 54,786 3.96 7 0.1574 % 4,056.4
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.1574 % 3,164.9
Perpetual-Premium 5.49 % -22.27 % 57,952 0.09 8 0.0832 % 3,026.6
Perpetual-Discount 5.40 % 5.45 % 69,721 14.71 25 0.1451 % 3,204.3
FixedReset Disc 5.68 % 5.74 % 170,272 14.36 66 0.5714 % 2,069.1
Deemed-Retractible 5.22 % 5.78 % 66,331 7.86 27 -0.1401 % 3,157.6
FloatingReset 6.39 % 6.90 % 81,750 12.68 2 2.2817 % 2,376.7
FixedReset Prem 5.15 % 4.05 % 163,110 1.70 20 0.1258 % 2,598.0
FixedReset Bank Non 1.97 % 4.21 % 76,682 2.23 3 0.0693 % 2,680.3
FixedReset Ins Non 5.49 % 8.14 % 103,202 7.79 21 0.9525 % 2,104.0
Performance Highlights
Issue Index Change Notes
NA.PR.E FixedReset Disc -2.33 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-11
Maturity Price : 18.02
Evaluated at bid price : 18.02
Bid-YTW : 5.85 %
BMO.PR.E FixedReset Disc -1.70 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-11
Maturity Price : 19.70
Evaluated at bid price : 19.70
Bid-YTW : 5.63 %
RY.PR.S FixedReset Disc -1.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-11
Maturity Price : 19.92
Evaluated at bid price : 19.92
Bid-YTW : 5.27 %
GWO.PR.T Deemed-Retractible -1.04 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.85
Bid-YTW : 5.81 %
CM.PR.P FixedReset Disc 1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-11
Maturity Price : 15.91
Evaluated at bid price : 15.91
Bid-YTW : 5.94 %
TD.PF.J FixedReset Disc 1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-11
Maturity Price : 19.50
Evaluated at bid price : 19.50
Bid-YTW : 5.56 %
TRP.PR.D FixedReset Disc 1.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-11
Maturity Price : 15.85
Evaluated at bid price : 15.85
Bid-YTW : 6.19 %
BAM.PF.F FixedReset Disc 1.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-11
Maturity Price : 17.45
Evaluated at bid price : 17.45
Bid-YTW : 6.19 %
TD.PF.C FixedReset Disc 1.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-11
Maturity Price : 16.61
Evaluated at bid price : 16.61
Bid-YTW : 5.71 %
CM.PR.Q FixedReset Disc 1.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-11
Maturity Price : 18.12
Evaluated at bid price : 18.12
Bid-YTW : 5.93 %
TD.PF.B FixedReset Disc 1.30 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-11
Maturity Price : 17.10
Evaluated at bid price : 17.10
Bid-YTW : 5.52 %
TD.PF.A FixedReset Disc 1.31 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-11
Maturity Price : 17.00
Evaluated at bid price : 17.00
Bid-YTW : 5.56 %
PWF.PR.A Floater 1.33 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-11
Maturity Price : 11.41
Evaluated at bid price : 11.41
Bid-YTW : 6.16 %
NA.PR.S FixedReset Disc 1.35 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-11
Maturity Price : 17.33
Evaluated at bid price : 17.33
Bid-YTW : 5.71 %
BAM.PR.T FixedReset Disc 1.37 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-11
Maturity Price : 14.85
Evaluated at bid price : 14.85
Bid-YTW : 6.42 %
MFC.PR.G FixedReset Ins Non 1.48 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.50
Bid-YTW : 8.14 %
BMO.PR.T FixedReset Disc 1.49 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-11
Maturity Price : 17.05
Evaluated at bid price : 17.05
Bid-YTW : 5.55 %
TRP.PR.C FixedReset Disc 1.49 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-11
Maturity Price : 11.58
Evaluated at bid price : 11.58
Bid-YTW : 6.52 %
BMO.PR.Y FixedReset Disc 1.51 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-11
Maturity Price : 18.83
Evaluated at bid price : 18.83
Bid-YTW : 5.69 %
TRP.PR.F FloatingReset 1.55 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-11
Maturity Price : 13.11
Evaluated at bid price : 13.11
Bid-YTW : 6.90 %
BMO.PR.W FixedReset Disc 1.72 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-11
Maturity Price : 16.59
Evaluated at bid price : 16.59
Bid-YTW : 5.74 %
TRP.PR.A FixedReset Disc 1.72 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-11
Maturity Price : 13.02
Evaluated at bid price : 13.02
Bid-YTW : 6.69 %
BAM.PR.B Floater 1.75 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-11
Maturity Price : 10.45
Evaluated at bid price : 10.45
Bid-YTW : 6.68 %
MFC.PR.N FixedReset Ins Non 1.81 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 15.76
Bid-YTW : 9.65 %
CU.PR.C FixedReset Disc 1.86 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-11
Maturity Price : 17.01
Evaluated at bid price : 17.01
Bid-YTW : 5.73 %
HSE.PR.A FixedReset Disc 1.89 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-11
Maturity Price : 10.80
Evaluated at bid price : 10.80
Bid-YTW : 7.40 %
MFC.PR.F FixedReset Ins Non 1.95 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 12.56
Bid-YTW : 11.03 %
MFC.PR.M FixedReset Ins Non 2.16 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 16.10
Bid-YTW : 9.45 %
BAM.PF.G FixedReset Disc 2.24 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-11
Maturity Price : 17.35
Evaluated at bid price : 17.35
Bid-YTW : 6.37 %
SLF.PR.H FixedReset Ins Non 2.32 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 15.91
Bid-YTW : 9.04 %
BAM.PR.X FixedReset Disc 2.54 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-11
Maturity Price : 12.93
Evaluated at bid price : 12.93
Bid-YTW : 6.30 %
BAM.PR.R FixedReset Disc 2.57 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-11
Maturity Price : 14.78
Evaluated at bid price : 14.78
Bid-YTW : 6.40 %
GWO.PR.N FixedReset Ins Non 2.57 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 13.96
Bid-YTW : 9.60 %
IFC.PR.C FixedReset Ins Non 2.68 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 17.60
Bid-YTW : 8.39 %
HSE.PR.G FixedReset Disc 2.70 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-11
Maturity Price : 17.11
Evaluated at bid price : 17.11
Bid-YTW : 7.44 %
PWF.PR.P FixedReset Disc 2.85 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-11
Maturity Price : 12.61
Evaluated at bid price : 12.61
Bid-YTW : 6.11 %
SLF.PR.J FloatingReset 3.04 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 12.89
Bid-YTW : 11.13 %
SLF.PR.G FixedReset Ins Non 3.28 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 12.91
Bid-YTW : 10.84 %
TRP.PR.B FixedReset Disc 3.75 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-11
Maturity Price : 10.79
Evaluated at bid price : 10.79
Bid-YTW : 6.52 %
IFC.PR.A FixedReset Ins Non 3.91 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 14.07
Bid-YTW : 10.38 %
Volume Highlights
Issue Index Shares
Traded		 Notes
TD.PF.J FixedReset Disc 146,863 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-11
Maturity Price : 19.50
Evaluated at bid price : 19.50
Bid-YTW : 5.56 %
CM.PR.S FixedReset Disc 103,217 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-11
Maturity Price : 17.61
Evaluated at bid price : 17.61
Bid-YTW : 5.83 %
RY.PR.Z FixedReset Disc 69,098 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-11
Maturity Price : 17.18
Evaluated at bid price : 17.18
Bid-YTW : 5.51 %
SLF.PR.G FixedReset Ins Non 51,600 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 12.91
Bid-YTW : 10.84 %
CM.PR.T FixedReset Disc 51,550 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-11
Maturity Price : 22.62
Evaluated at bid price : 23.60
Bid-YTW : 5.19 %
BMO.PR.Y FixedReset Disc 46,120 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-11
Maturity Price : 18.83
Evaluated at bid price : 18.83
Bid-YTW : 5.69 %
There were 56 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
NA.PR.E FixedReset Disc Quote: 18.02 – 18.56
Spot Rate : 0.5400
Average : 0.3469

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-11
Maturity Price : 18.02
Evaluated at bid price : 18.02
Bid-YTW : 5.85 %
SLF.PR.H FixedReset Ins Non Quote: 15.91 – 16.40
Spot Rate : 0.4900
Average : 0.3548

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 15.91
Bid-YTW : 9.04 %
HSE.PR.E FixedReset Disc Quote: 17.07 – 17.43
Spot Rate : 0.3600
Average : 0.2299

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-11
Maturity Price : 17.07
Evaluated at bid price : 17.07
Bid-YTW : 7.52 %
MFC.PR.J FixedReset Ins Non Quote: 18.44 – 18.84
Spot Rate : 0.4000
Average : 0.2778

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.44
Bid-YTW : 8.31 %
CM.PR.Q FixedReset Disc Quote: 18.12 – 18.45
Spot Rate : 0.3300
Average : 0.2081

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-11
Maturity Price : 18.12
Evaluated at bid price : 18.12
Bid-YTW : 5.93 %
GWO.PR.T Deemed-Retractible Quote: 23.85 – 24.15
Spot Rate : 0.3000
Average : 0.1929

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.85
Bid-YTW : 5.81 %
Market Action

October 10, 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 -1.1980 % 1,832.8
FixedFloater 0.00 % 0.00 % 0 0.00 0 -1.1980 % 3,363.1
Floater 6.57 % 6.79 % 47,573 12.82 4 -1.1980 % 1,938.2
OpRet 0.00 % 0.00 % 0 0.00 0 -0.0225 % 3,391.4
SplitShare 4.65 % 4.64 % 56,722 3.96 7 -0.0225 % 4,050.0
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.0225 % 3,160.0
Perpetual-Premium 5.50 % -21.59 % 60,242 0.09 8 0.0735 % 3,024.1
Perpetual-Discount 5.41 % 5.44 % 71,975 14.71 25 0.0795 % 3,199.7
FixedReset Disc 5.71 % 5.45 % 168,265 14.70 66 0.2580 % 2,057.3
Deemed-Retractible 5.21 % 5.77 % 61,419 7.87 27 0.0567 % 3,162.1
FloatingReset 6.50 % 6.97 % 80,878 12.60 2 0.1576 % 2,323.7
FixedReset Prem 5.15 % 3.96 % 169,823 1.71 20 0.0039 % 2,594.8
FixedReset Bank Non 1.97 % 4.09 % 79,251 2.24 3 0.0000 % 2,678.5
FixedReset Ins Non 5.54 % 7.96 % 103,256 7.87 21 0.2121 % 2,084.1
Performance Highlights
Issue Index Change Notes
HSE.PR.G FixedReset Disc -2.91 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-10
Maturity Price : 16.66
Evaluated at bid price : 16.66
Bid-YTW : 7.27 %
PWF.PR.A Floater -1.66 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-10
Maturity Price : 11.26
Evaluated at bid price : 11.26
Bid-YTW : 6.24 %
BAM.PR.B Floater -1.53 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-10
Maturity Price : 10.27
Evaluated at bid price : 10.27
Bid-YTW : 6.80 %
PWF.PR.T FixedReset Disc -1.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-10
Maturity Price : 17.10
Evaluated at bid price : 17.10
Bid-YTW : 5.56 %
TD.PF.D FixedReset Disc 1.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-10
Maturity Price : 18.70
Evaluated at bid price : 18.70
Bid-YTW : 5.43 %
RY.PR.M FixedReset Disc 1.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-10
Maturity Price : 18.30
Evaluated at bid price : 18.30
Bid-YTW : 5.38 %
BAM.PR.R FixedReset Disc 1.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-10
Maturity Price : 14.41
Evaluated at bid price : 14.41
Bid-YTW : 6.17 %
IFC.PR.C FixedReset Ins Non 1.12 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 17.14
Bid-YTW : 8.48 %
NA.PR.S FixedReset Disc 1.18 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-10
Maturity Price : 17.10
Evaluated at bid price : 17.10
Bid-YTW : 5.51 %
BIP.PR.E FixedReset Disc 1.54 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-10
Maturity Price : 21.97
Evaluated at bid price : 22.35
Bid-YTW : 5.62 %
GWO.PR.N FixedReset Ins Non 1.57 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 13.61
Bid-YTW : 9.61 %
BAM.PF.E FixedReset Disc 1.62 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-10
Maturity Price : 15.70
Evaluated at bid price : 15.70
Bid-YTW : 6.19 %
TRP.PR.C FixedReset Disc 1.69 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-10
Maturity Price : 11.41
Evaluated at bid price : 11.41
Bid-YTW : 6.11 %
BAM.PR.T FixedReset Disc 1.88 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-10
Maturity Price : 14.65
Evaluated at bid price : 14.65
Bid-YTW : 6.15 %
HSE.PR.C FixedReset Disc 1.92 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-10
Maturity Price : 15.90
Evaluated at bid price : 15.90
Bid-YTW : 7.01 %
Volume Highlights
Issue Index Shares
Traded		 Notes
W.PR.M FixedReset Prem 111,178 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-10-15
Maturity Price : 25.00
Evaluated at bid price : 25.55
Bid-YTW : 4.04 %
PWF.PR.P FixedReset Disc 83,100 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-10
Maturity Price : 12.26
Evaluated at bid price : 12.26
Bid-YTW : 5.81 %
TRP.PR.E FixedReset Disc 60,785 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-10
Maturity Price : 15.60
Evaluated at bid price : 15.60
Bid-YTW : 5.84 %
BIP.PR.D FixedReset Disc 50,162 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-10
Maturity Price : 22.42
Evaluated at bid price : 22.86
Bid-YTW : 5.55 %
TD.PF.K FixedReset Disc 49,075 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-10
Maturity Price : 19.20
Evaluated at bid price : 19.20
Bid-YTW : 5.31 %
PWF.PR.A Floater 37,500 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-10
Maturity Price : 11.26
Evaluated at bid price : 11.26
Bid-YTW : 6.24 %
There were 27 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
BNS.PR.Y FixedReset Bank Non Quote: 24.53 – 24.83
Spot Rate : 0.3000
Average : 0.1964

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.53
Bid-YTW : 3.03 %
HSE.PR.G FixedReset Disc Quote: 16.66 – 17.00
Spot Rate : 0.3400
Average : 0.2410

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-10
Maturity Price : 16.66
Evaluated at bid price : 16.66
Bid-YTW : 7.27 %
TRP.PR.E FixedReset Disc Quote: 15.60 – 15.94
Spot Rate : 0.3400
Average : 0.2427

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-10
Maturity Price : 15.60
Evaluated at bid price : 15.60
Bid-YTW : 5.84 %
BNS.PR.I FixedReset Disc Quote: 20.17 – 20.45
Spot Rate : 0.2800
Average : 0.1919

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-10
Maturity Price : 20.17
Evaluated at bid price : 20.17
Bid-YTW : 4.94 %
TRP.PR.G FixedReset Disc Quote: 17.10 – 17.39
Spot Rate : 0.2900
Average : 0.2146

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-10
Maturity Price : 17.10
Evaluated at bid price : 17.10
Bid-YTW : 6.25 %
PWF.PR.L Perpetual-Discount Quote: 23.31 – 23.74
Spot Rate : 0.4300
Average : 0.3546

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-10
Maturity Price : 23.04
Evaluated at bid price : 23.31
Bid-YTW : 5.47 %
Market Action

October 9, 2019

PerpetualDiscounts now yield 5.38%, equivalent to 6.99% interest at the standard equivalency factor of 1.3x. Long corporates now yield 3.18%, so the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) has narrowed slightly (and perhaps spuriously) to 380bp from the 385bp reported October 2.

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 0.8529 % 1,855.0
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.8529 % 3,403.9
Floater 6.50 % 6.69 % 44,102 12.95 4 0.8529 % 1,961.7
OpRet 0.00 % 0.00 % 0 0.00 0 0.1069 % 3,392.1
SplitShare 4.64 % 4.56 % 57,212 3.96 7 0.1069 % 4,050.9
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.1069 % 3,160.7
Perpetual-Premium 5.50 % -21.76 % 60,592 0.09 8 0.3996 % 3,021.8
Perpetual-Discount 5.42 % 5.38 % 72,422 14.70 25 0.3697 % 3,197.2
FixedReset Disc 5.72 % 5.49 % 162,629 14.65 66 0.1363 % 2,052.0
Deemed-Retractible 5.21 % 5.77 % 67,391 7.86 27 0.0867 % 3,160.3
FloatingReset 6.51 % 6.99 % 81,458 12.57 2 0.3162 % 2,320.0
FixedReset Prem 5.15 % 4.11 % 161,816 1.71 20 0.0210 % 2,594.7
FixedReset Bank Non 1.97 % 4.09 % 82,512 2.24 3 -0.0277 % 2,678.5
FixedReset Ins Non 5.55 % 8.01 % 101,644 7.86 21 0.2312 % 2,079.7
Performance Highlights
Issue Index Change Notes
IAF.PR.B Deemed-Retractible -1.27 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.83
Bid-YTW : 6.35 %
BAM.PF.F FixedReset Disc -1.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-09
Maturity Price : 17.22
Evaluated at bid price : 17.22
Bid-YTW : 6.02 %
TRP.PR.B FixedReset Disc 1.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-09
Maturity Price : 10.35
Evaluated at bid price : 10.35
Bid-YTW : 6.21 %
EMA.PR.C FixedReset Disc 1.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-09
Maturity Price : 17.69
Evaluated at bid price : 17.69
Bid-YTW : 5.93 %
MFC.PR.G FixedReset Ins Non 1.11 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.23
Bid-YTW : 8.10 %
BAM.PR.B Floater 1.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-09
Maturity Price : 10.43
Evaluated at bid price : 10.43
Bid-YTW : 6.69 %
IFC.PR.C FixedReset Ins Non 1.25 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 16.95
Bid-YTW : 8.62 %
MFC.PR.K FixedReset Ins Non 1.27 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 17.60
Bid-YTW : 8.33 %
TD.PF.A FixedReset Disc 1.27 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-09
Maturity Price : 16.74
Evaluated at bid price : 16.74
Bid-YTW : 5.27 %
IFC.PR.G FixedReset Ins Non 1.29 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.89
Bid-YTW : 7.86 %
IAF.PR.I FixedReset Ins Non 1.32 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.20
Bid-YTW : 7.73 %
BAM.PR.C Floater 1.47 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-09
Maturity Price : 10.35
Evaluated at bid price : 10.35
Bid-YTW : 6.75 %
PWF.PR.R Perpetual-Premium 1.48 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2020-04-30
Maturity Price : 25.25
Evaluated at bid price : 25.20
Bid-YTW : 5.20 %
CM.PR.Q FixedReset Disc 1.99 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-09
Maturity Price : 17.92
Evaluated at bid price : 17.92
Bid-YTW : 5.66 %
Volume Highlights
Issue Index Shares
Traded		 Notes
SLF.PR.B Deemed-Retractible 344,000 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.31
Bid-YTW : 6.29 %
BMO.PR.T FixedReset Disc 106,700 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-09
Maturity Price : 16.80
Evaluated at bid price : 16.80
Bid-YTW : 5.36 %
MFC.PR.G FixedReset Ins Non 55,600 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.23
Bid-YTW : 8.10 %
BIP.PR.D FixedReset Disc 50,500 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-09
Maturity Price : 22.38
Evaluated at bid price : 22.80
Bid-YTW : 5.56 %
RY.PR.M FixedReset Disc 47,109 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-09
Maturity Price : 18.11
Evaluated at bid price : 18.11
Bid-YTW : 5.44 %
RY.PR.Q FixedReset Prem 47,000 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-05-24
Maturity Price : 25.00
Evaluated at bid price : 25.82
Bid-YTW : 3.85 %
There were 37 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
POW.PR.B Perpetual-Discount Quote: 24.01 – 24.38
Spot Rate : 0.3700
Average : 0.2286

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-09
Maturity Price : 23.70
Evaluated at bid price : 24.01
Bid-YTW : 5.59 %
PWF.PR.L Perpetual-Discount Quote: 23.15 – 23.53
Spot Rate : 0.3800
Average : 0.2719

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-09
Maturity Price : 22.88
Evaluated at bid price : 23.15
Bid-YTW : 5.51 %
BAM.PF.G FixedReset Disc Quote: 16.93 – 17.27
Spot Rate : 0.3400
Average : 0.2368

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-09
Maturity Price : 16.93
Evaluated at bid price : 16.93
Bid-YTW : 6.16 %
BIP.PR.E FixedReset Disc Quote: 22.01 – 22.50
Spot Rate : 0.4900
Average : 0.3881

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-09
Maturity Price : 21.72
Evaluated at bid price : 22.01
Bid-YTW : 5.71 %
CM.PR.P FixedReset Disc Quote: 15.70 – 16.00
Spot Rate : 0.3000
Average : 0.2071

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-09
Maturity Price : 15.70
Evaluated at bid price : 15.70
Bid-YTW : 5.63 %
BIP.PR.A FixedReset Disc Quote: 17.85 – 18.25
Spot Rate : 0.4000
Average : 0.3076

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-09
Maturity Price : 17.85
Evaluated at bid price : 17.85
Bid-YTW : 6.83 %
Market Action

October 8, 2019

Here’s a sign of the times:

The latest property owner to attempt an initial public offering is aiming to pay an annual yield around 2 per cent, an uncommonly low rate that illustrates the heavy demand for Canadian apartment buildings.

Late last week, Toronto-based Continuum Residential Real Estate Investment Trust filed the paperwork for its IPO. According to two people familiar with the offering, the issuer is looking to raise $300-million and would pay investors 2 per cent annually if its units are priced at the mid-point of their marketing range.
…
Amid such heavy demand, Minto Apartment REIT was able to go public in 2018 at a 2.8-per-cent yield and, 16 months later, Continuum is targeting an even lower level.
…
Continuum’s bet reflects the conditions of the current market. Canadian Apartment Properties REIT, the country’s largest publicly traded rental-unit owner, now trades at a 2.4-per-cent yield, and Minto’s units have performed so well since the REIT’s IPO that they now yield 1.9 per cent.

Sorry this is so late! A number of non-market things came up unexpectedly last 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 -0.5419 % 1,839.3
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.5419 % 3,375.1
Floater 6.55 % 6.75 % 42,987 12.88 4 -0.5419 % 1,945.1
OpRet 0.00 % 0.00 % 0 0.00 0 -0.0787 % 3,388.5
SplitShare 4.65 % 4.64 % 57,242 3.97 7 -0.0787 % 4,046.6
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.0787 % 3,157.3
Perpetual-Premium 5.47 % -16.47 % 59,034 0.09 8 0.0683 % 3,009.8
Perpetual-Discount 5.42 % 5.49 % 68,169 14.55 25 0.1246 % 3,185.4
FixedReset Disc 5.72 % 5.48 % 164,532 14.61 66 -0.3118 % 2,049.2
Deemed-Retractible 5.22 % 5.78 % 62,195 7.87 27 -0.0016 % 3,157.5
FloatingReset 6.53 % 7.02 % 82,774 12.53 2 0.1980 % 2,312.7
FixedReset Prem 5.15 % 4.10 % 164,375 1.71 20 0.0373 % 2,594.1
FixedReset Bank Non 1.97 % 4.05 % 85,907 2.24 3 0.1804 % 2,679.2
FixedReset Ins Non 5.57 % 8.02 % 98,868 7.88 21 -0.2598 % 2,074.9
Performance Highlights
Issue Index Change Notes
TRP.PR.B FixedReset Disc -2.48 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-08
Maturity Price : 10.24
Evaluated at bid price : 10.24
Bid-YTW : 6.27 %
EMA.PR.C FixedReset Disc -2.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-08
Maturity Price : 17.50
Evaluated at bid price : 17.50
Bid-YTW : 5.99 %
EMA.PR.F FixedReset Disc -1.82 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-08
Maturity Price : 16.15
Evaluated at bid price : 16.15
Bid-YTW : 6.17 %
HSE.PR.C FixedReset Disc -1.70 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-08
Maturity Price : 15.60
Evaluated at bid price : 15.60
Bid-YTW : 7.15 %
BAM.PF.A FixedReset Disc -1.69 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-08
Maturity Price : 18.58
Evaluated at bid price : 18.58
Bid-YTW : 5.96 %
BAM.PF.E FixedReset Disc -1.60 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-08
Maturity Price : 15.42
Evaluated at bid price : 15.42
Bid-YTW : 6.30 %
TRP.PR.A FixedReset Disc -1.47 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-08
Maturity Price : 12.72
Evaluated at bid price : 12.72
Bid-YTW : 6.35 %
BAM.PR.X FixedReset Disc -1.35 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-08
Maturity Price : 12.43
Evaluated at bid price : 12.43
Bid-YTW : 6.13 %
BAM.PR.R FixedReset Disc -1.25 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-08
Maturity Price : 14.26
Evaluated at bid price : 14.26
Bid-YTW : 6.23 %
BIP.PR.A FixedReset Disc -1.21 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-08
Maturity Price : 17.94
Evaluated at bid price : 17.94
Bid-YTW : 6.80 %
IAF.PR.G FixedReset Ins Non -1.19 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.25
Bid-YTW : 7.95 %
GWO.PR.N FixedReset Ins Non -1.10 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 13.52
Bid-YTW : 9.68 %
IAF.PR.B Deemed-Retractible -1.03 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.11
Bid-YTW : 6.18 %
SLF.PR.J FloatingReset 1.05 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 12.50
Bid-YTW : 11.49 %
Volume Highlights
Issue Index Shares
Traded		 Notes
TD.PF.M FixedReset Disc 74,985 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-08
Maturity Price : 23.09
Evaluated at bid price : 24.75
Bid-YTW : 5.01 %
EMA.PR.C FixedReset Disc 58,300 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-08
Maturity Price : 17.50
Evaluated at bid price : 17.50
Bid-YTW : 5.99 %
BAM.PF.D Perpetual-Discount 53,000 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-08
Maturity Price : 21.20
Evaluated at bid price : 21.20
Bid-YTW : 5.83 %
PWF.PR.L Perpetual-Discount 52,700 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-08
Maturity Price : 23.21
Evaluated at bid price : 23.51
Bid-YTW : 5.51 %
CM.PR.S FixedReset Disc 47,750 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-08
Maturity Price : 17.65
Evaluated at bid price : 17.65
Bid-YTW : 5.52 %
BMO.PR.Y FixedReset Disc 40,800 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-08
Maturity Price : 18.38
Evaluated at bid price : 18.38
Bid-YTW : 5.49 %
There were 34 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
MFC.PR.R FixedReset Ins Non Quote: 24.23 – 24.70
Spot Rate : 0.4700
Average : 0.3097

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.23
Bid-YTW : 5.50 %
IFC.PR.C FixedReset Ins Non Quote: 16.74 – 17.19
Spot Rate : 0.4500
Average : 0.3134

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 16.74
Bid-YTW : 8.78 %
TD.PF.A FixedReset Disc Quote: 16.77 – 17.07
Spot Rate : 0.3000
Average : 0.2010

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-08
Maturity Price : 16.77
Evaluated at bid price : 16.77
Bid-YTW : 5.35 %
NA.PR.G FixedReset Disc Quote: 19.73 – 19.98
Spot Rate : 0.2500
Average : 0.1576

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-08
Maturity Price : 19.73
Evaluated at bid price : 19.73
Bid-YTW : 5.39 %
PVS.PR.E SplitShare Quote: 25.51 – 25.78
Spot Rate : 0.2700
Average : 0.1816

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-10-31
Maturity Price : 25.00
Evaluated at bid price : 25.51
Bid-YTW : 4.97 %
NA.PR.C FixedReset Disc Quote: 21.14 – 21.35
Spot Rate : 0.2100
Average : 0.1302

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-08
Maturity Price : 21.14
Evaluated at bid price : 21.14
Bid-YTW : 5.51 %

Here’s a sign of the times:

The latest property owner to attempt an initial public offering is aiming to pay an annual yield around 2 per cent, an uncommonly low rate that illustrates the heavy demand for Canadian apartment buildings.

Late last week, Toronto-based Continuum Residential Real Estate Investment Trust filed the paperwork for its IPO. According to two people familiar with the offering, the issuer is looking to raise $300-million and would pay investors 2 per cent annually if its units are priced at the mid-point of their marketing range.
…
Amid such heavy demand, Minto Apartment REIT was able to go public in 2018 at a 2.8-per-cent yield and, 16 months later, Continuum is targeting an even lower level.
…
Continuum’s bet reflects the conditions of the current market. Canadian Apartment Properties REIT, the country’s largest publicly traded rental-unit owner, now trades at a 2.4-per-cent yield, and Minto’s units have performed so well since the REIT’s IPO that they now yield 1.9 per cent.

Sorry this is so late! A number of non-market things came up unexpectedly last 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 -0.5419 % 1,839.3
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.5419 % 3,375.1
Floater 6.55 % 6.75 % 42,987 12.88 4 -0.5419 % 1,945.1
OpRet 0.00 % 0.00 % 0 0.00 0 -0.0787 % 3,388.5
SplitShare 4.65 % 4.64 % 57,242 3.97 7 -0.0787 % 4,046.6
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.0787 % 3,157.3
Perpetual-Premium 5.47 % -16.47 % 59,034 0.09 8 0.0683 % 3,009.8
Perpetual-Discount 5.42 % 5.49 % 68,169 14.55 25 0.1246 % 3,185.4
FixedReset Disc 5.72 % 5.48 % 164,532 14.61 66 -0.3118 % 2,049.2
Deemed-Retractible 5.22 % 5.78 % 62,195 7.87 27 -0.0016 % 3,157.5
FloatingReset 6.53 % 7.02 % 82,774 12.53 2 0.1980 % 2,312.7
FixedReset Prem 5.15 % 4.10 % 164,375 1.71 20 0.0373 % 2,594.1
FixedReset Bank Non 1.97 % 4.05 % 85,907 2.24 3 0.1804 % 2,679.2
FixedReset Ins Non 5.57 % 8.02 % 98,868 7.88 21 -0.2598 % 2,074.9
Performance Highlights
Issue Index Change Notes
TRP.PR.B FixedReset Disc -2.48 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-08
Maturity Price : 10.24
Evaluated at bid price : 10.24
Bid-YTW : 6.27 %
EMA.PR.C FixedReset Disc -2.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-08
Maturity Price : 17.50
Evaluated at bid price : 17.50
Bid-YTW : 5.99 %
EMA.PR.F FixedReset Disc -1.82 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-08
Maturity Price : 16.15
Evaluated at bid price : 16.15
Bid-YTW : 6.17 %
HSE.PR.C FixedReset Disc -1.70 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-08
Maturity Price : 15.60
Evaluated at bid price : 15.60
Bid-YTW : 7.15 %
BAM.PF.A FixedReset Disc -1.69 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-08
Maturity Price : 18.58
Evaluated at bid price : 18.58
Bid-YTW : 5.96 %
BAM.PF.E FixedReset Disc -1.60 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-08
Maturity Price : 15.42
Evaluated at bid price : 15.42
Bid-YTW : 6.30 %
TRP.PR.A FixedReset Disc -1.47 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-08
Maturity Price : 12.72
Evaluated at bid price : 12.72
Bid-YTW : 6.35 %
BAM.PR.X FixedReset Disc -1.35 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-08
Maturity Price : 12.43
Evaluated at bid price : 12.43
Bid-YTW : 6.13 %
BAM.PR.R FixedReset Disc -1.25 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-08
Maturity Price : 14.26
Evaluated at bid price : 14.26
Bid-YTW : 6.23 %
BIP.PR.A FixedReset Disc -1.21 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-08
Maturity Price : 17.94
Evaluated at bid price : 17.94
Bid-YTW : 6.80 %
IAF.PR.G FixedReset Ins Non -1.19 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.25
Bid-YTW : 7.95 %
GWO.PR.N FixedReset Ins Non -1.10 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 13.52
Bid-YTW : 9.68 %
IAF.PR.B Deemed-Retractible -1.03 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.11
Bid-YTW : 6.18 %
SLF.PR.J FloatingReset 1.05 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 12.50
Bid-YTW : 11.49 %
Volume Highlights
Issue Index Shares
Traded		 Notes
TD.PF.M FixedReset Disc 74,985 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-08
Maturity Price : 23.09
Evaluated at bid price : 24.75
Bid-YTW : 5.01 %
EMA.PR.C FixedReset Disc 58,300 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-08
Maturity Price : 17.50
Evaluated at bid price : 17.50
Bid-YTW : 5.99 %
BAM.PF.D Perpetual-Discount 53,000 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-08
Maturity Price : 21.20
Evaluated at bid price : 21.20
Bid-YTW : 5.83 %
PWF.PR.L Perpetual-Discount 52,700 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-08
Maturity Price : 23.21
Evaluated at bid price : 23.51
Bid-YTW : 5.51 %
CM.PR.S FixedReset Disc 47,750 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-08
Maturity Price : 17.65
Evaluated at bid price : 17.65
Bid-YTW : 5.52 %
BMO.PR.Y FixedReset Disc 40,800 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-08
Maturity Price : 18.38
Evaluated at bid price : 18.38
Bid-YTW : 5.49 %
There were 34 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
MFC.PR.R FixedReset Ins Non Quote: 24.23 – 24.70
Spot Rate : 0.4700
Average : 0.3097

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.23
Bid-YTW : 5.50 %
IFC.PR.C FixedReset Ins Non Quote: 16.74 – 17.19
Spot Rate : 0.4500
Average : 0.3134

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 16.74
Bid-YTW : 8.78 %
TD.PF.A FixedReset Disc Quote: 16.77 – 17.07
Spot Rate : 0.3000
Average : 0.2010

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-08
Maturity Price : 16.77
Evaluated at bid price : 16.77
Bid-YTW : 5.35 %
NA.PR.G FixedReset Disc Quote: 19.73 – 19.98
Spot Rate : 0.2500
Average : 0.1576

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-08
Maturity Price : 19.73
Evaluated at bid price : 19.73
Bid-YTW : 5.39 %
PVS.PR.E SplitShare Quote: 25.51 – 25.78
Spot Rate : 0.2700
Average : 0.1816

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-10-31
Maturity Price : 25.00
Evaluated at bid price : 25.51
Bid-YTW : 4.97 %
NA.PR.C FixedReset Disc Quote: 21.14 – 21.35
Spot Rate : 0.2100
Average : 0.1302

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-08
Maturity Price : 21.14
Evaluated at bid price : 21.14
Bid-YTW : 5.51 %
Market Action

October 7, 2019

Look what’s back!

Low borrowing costs and strong investor demand have led to a rush of activity in the “maple” bond market, as global public-sector entities tap the Canadian debt market for cash.

Public-sector borrowers have issued $5.2-billion worth of maple bonds in the past three months.
…
There have been nine Canadian-dollar bond offerings by SSAs [sovereigns, supranationals and agencies] totalling $7.2-billion since the start of 2019. That’s more than was issued in the past three years combined. Public-sector borrowers issued $5.5-billion worth of maple bonds in all of 2018, none in 2017 and $1-billion in 2016, according to data from RBC.

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 0.9515 % 1,849.3
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.9515 % 3,393.5
Floater 6.52 % 6.71 % 43,184 12.93 4 0.9515 % 1,955.7
OpRet 0.00 % 0.00 % 0 0.00 0 0.1070 % 3,391.2
SplitShare 4.65 % 4.55 % 58,159 3.97 7 0.1070 % 4,049.8
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.1070 % 3,159.8
Perpetual-Premium 5.48 % -12.23 % 59,607 0.09 8 0.0684 % 3,007.8
Perpetual-Discount 5.42 % 5.50 % 63,086 14.51 25 0.1630 % 3,181.4
FixedReset Disc 5.70 % 5.48 % 163,626 14.66 66 0.2768 % 2,055.6
Deemed-Retractible 5.22 % 5.74 % 62,900 7.87 27 0.2909 % 3,157.6
FloatingReset 6.54 % 6.98 % 86,156 12.59 2 0.3976 % 2,308.2
FixedReset Prem 5.15 % 4.19 % 160,830 1.71 20 0.0570 % 2,593.2
FixedReset Bank Non 1.97 % 4.08 % 85,780 2.25 3 0.0972 % 2,674.4
FixedReset Ins Non 5.55 % 8.07 % 98,696 7.88 21 0.5383 % 2,080.3
Performance Highlights
Issue Index Change Notes
BAM.PF.B FixedReset Disc -1.39 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-07
Maturity Price : 17.02
Evaluated at bid price : 17.02
Bid-YTW : 6.01 %
HSE.PR.C FixedReset Disc 1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-07
Maturity Price : 15.87
Evaluated at bid price : 15.87
Bid-YTW : 7.02 %
TD.PF.D FixedReset Disc 1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-07
Maturity Price : 18.80
Evaluated at bid price : 18.80
Bid-YTW : 5.48 %
MFC.PR.N FixedReset Ins Non 1.04 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 15.61
Bid-YTW : 9.43 %
TRP.PR.D FixedReset Disc 1.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-07
Maturity Price : 15.45
Evaluated at bid price : 15.45
Bid-YTW : 6.04 %
GWO.PR.S Deemed-Retractible 1.07 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.49
Bid-YTW : 5.56 %
BAM.PR.C Floater 1.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-07
Maturity Price : 10.30
Evaluated at bid price : 10.30
Bid-YTW : 6.78 %
BIP.PR.A FixedReset Disc 1.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-07
Maturity Price : 18.16
Evaluated at bid price : 18.16
Bid-YTW : 6.71 %
BAM.PF.A FixedReset Disc 1.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-07
Maturity Price : 18.90
Evaluated at bid price : 18.90
Bid-YTW : 5.86 %
TRP.PR.A FixedReset Disc 1.25 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-07
Maturity Price : 12.91
Evaluated at bid price : 12.91
Bid-YTW : 6.26 %
BAM.PR.B Floater 1.27 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-07
Maturity Price : 10.34
Evaluated at bid price : 10.34
Bid-YTW : 6.75 %
SLF.PR.H FixedReset Ins Non 1.30 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 15.56
Bid-YTW : 9.06 %
BAM.PR.Z FixedReset Disc 1.32 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-07
Maturity Price : 18.37
Evaluated at bid price : 18.37
Bid-YTW : 5.95 %
BAM.PR.R FixedReset Disc 1.33 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-07
Maturity Price : 14.44
Evaluated at bid price : 14.44
Bid-YTW : 6.15 %
MFC.PR.J FixedReset Ins Non 1.43 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.50
Bid-YTW : 8.07 %
IAF.PR.B Deemed-Retractible 1.55 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.34
Bid-YTW : 6.05 %
BAM.PR.K Floater 1.56 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-07
Maturity Price : 10.40
Evaluated at bid price : 10.40
Bid-YTW : 6.71 %
PWF.PR.P FixedReset Disc 1.64 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-07
Maturity Price : 12.36
Evaluated at bid price : 12.36
Bid-YTW : 5.84 %
MFC.PR.Q FixedReset Ins Non 2.39 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.45
Bid-YTW : 8.07 %
MFC.PR.F FixedReset Ins Non 2.56 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 12.44
Bid-YTW : 10.83 %
Volume Highlights
Issue Index Shares
Traded		 Notes
CM.PR.R FixedReset Disc 95,239 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-07
Maturity Price : 21.25
Evaluated at bid price : 21.25
Bid-YTW : 5.44 %
TD.PF.M FixedReset Disc 79,800 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-07
Maturity Price : 23.09
Evaluated at bid price : 24.75
Bid-YTW : 5.00 %
TD.PF.L FixedReset Disc 79,400 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-07
Maturity Price : 22.94
Evaluated at bid price : 24.31
Bid-YTW : 4.85 %
PWF.PR.P FixedReset Disc 45,000 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-07
Maturity Price : 12.36
Evaluated at bid price : 12.36
Bid-YTW : 5.84 %
TRP.PR.J FixedReset Prem 40,105 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-05-31
Maturity Price : 25.00
Evaluated at bid price : 25.92
Bid-YTW : 3.55 %
TD.PF.H FixedReset Prem 37,068 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-10-31
Maturity Price : 25.00
Evaluated at bid price : 25.35
Bid-YTW : 4.61 %
There were 27 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
BMO.PR.W FixedReset Disc Quote: 16.25 – 16.85
Spot Rate : 0.6000
Average : 0.4087

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-07
Maturity Price : 16.25
Evaluated at bid price : 16.25
Bid-YTW : 5.46 %
BAM.PF.B FixedReset Disc Quote: 17.02 – 17.48
Spot Rate : 0.4600
Average : 0.2721

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-07
Maturity Price : 17.02
Evaluated at bid price : 17.02
Bid-YTW : 6.01 %
EMA.PR.F FixedReset Disc Quote: 16.45 – 16.99
Spot Rate : 0.5400
Average : 0.4213

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-07
Maturity Price : 16.45
Evaluated at bid price : 16.45
Bid-YTW : 6.05 %
MFC.PR.B Deemed-Retractible Quote: 21.55 – 21.93
Spot Rate : 0.3800
Average : 0.2860

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.55
Bid-YTW : 6.58 %
HSE.PR.A FixedReset Disc Quote: 10.51 – 10.94
Spot Rate : 0.4300
Average : 0.3450

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-07
Maturity Price : 10.51
Evaluated at bid price : 10.51
Bid-YTW : 7.07 %
BMO.PR.E FixedReset Disc Quote: 20.15 – 20.50
Spot Rate : 0.3500
Average : 0.2716

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-07
Maturity Price : 20.15
Evaluated at bid price : 20.15
Bid-YTW : 5.25 %
Market Action

October 4, 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 -0.2136 % 1,831.9
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.2136 % 3,361.5
Floater 6.58 % 6.81 % 43,737 12.81 4 -0.2136 % 1,937.2
OpRet 0.00 % 0.00 % 0 0.00 0 -0.0787 % 3,387.5
SplitShare 4.65 % 4.54 % 53,861 3.98 7 -0.0787 % 4,045.4
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.0787 % 3,156.4
Perpetual-Premium 5.58 % -20.28 % 58,469 0.09 6 0.0583 % 3,005.7
Perpetual-Discount 5.41 % 5.49 % 68,512 14.51 28 0.1651 % 3,176.2
FixedReset Disc 5.63 % 5.59 % 178,416 14.36 72 0.1843 % 2,050.0
Deemed-Retractible 5.23 % 5.77 % 63,773 7.88 27 0.2298 % 3,148.4
FloatingReset 4.69 % 7.03 % 63,906 7.84 3 0.5676 % 2,299.0
FixedReset Prem 5.26 % 3.89 % 124,184 1.55 14 0.1474 % 2,591.7
FixedReset Bank Non 1.97 % 4.21 % 84,989 2.25 3 0.2367 % 2,671.8
FixedReset Ins Non 5.58 % 8.21 % 99,969 7.82 21 0.2190 % 2,069.2
Performance Highlights
Issue Index Change Notes
TD.PF.E FixedReset Disc -1.59 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-04
Maturity Price : 19.14
Evaluated at bid price : 19.14
Bid-YTW : 5.64 %
EMA.PR.C FixedReset Disc 1.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-04
Maturity Price : 18.04
Evaluated at bid price : 18.04
Bid-YTW : 5.95 %
BMO.PR.S FixedReset Disc 1.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-04
Maturity Price : 17.51
Evaluated at bid price : 17.51
Bid-YTW : 5.46 %
BAM.PF.B FixedReset Disc 1.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-04
Maturity Price : 17.26
Evaluated at bid price : 17.26
Bid-YTW : 6.06 %
BMO.PR.E FixedReset Disc 1.26 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-04
Maturity Price : 20.15
Evaluated at bid price : 20.15
Bid-YTW : 5.38 %
BAM.PF.G FixedReset Disc 1.32 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-04
Maturity Price : 16.90
Evaluated at bid price : 16.90
Bid-YTW : 6.36 %
MFC.PR.J FixedReset Ins Non 1.33 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.24
Bid-YTW : 8.34 %
RY.PR.J FixedReset Disc 1.51 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-04
Maturity Price : 18.85
Evaluated at bid price : 18.85
Bid-YTW : 5.56 %
BAM.PF.F FixedReset Disc 1.52 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-04
Maturity Price : 17.35
Evaluated at bid price : 17.35
Bid-YTW : 6.21 %
SLF.PR.I FixedReset Ins Non 1.55 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.40
Bid-YTW : 7.87 %
IAF.PR.B Deemed-Retractible 1.62 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.00
Bid-YTW : 6.24 %
BMO.PR.Z Perpetual-Discount 1.69 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-04
Maturity Price : 24.22
Evaluated at bid price : 24.70
Bid-YTW : 5.10 %
TRP.PR.B FixedReset Disc 1.86 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-04
Maturity Price : 10.43
Evaluated at bid price : 10.43
Bid-YTW : 6.46 %
TRP.PR.F FloatingReset 1.90 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-04
Maturity Price : 12.85
Evaluated at bid price : 12.85
Bid-YTW : 7.03 %
Volume Highlights
Issue Index Shares
Traded		 Notes
PVS.PR.E SplitShare 57,600 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-10-31
Maturity Price : 25.00
Evaluated at bid price : 25.42
Bid-YTW : 5.08 %
MFC.PR.H FixedReset Ins Non 51,700 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.60
Bid-YTW : 6.96 %
NA.PR.S FixedReset Disc 30,853 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-04
Maturity Price : 16.90
Evaluated at bid price : 16.90
Bid-YTW : 5.71 %
BAM.PF.F FixedReset Disc 28,500 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-04
Maturity Price : 17.35
Evaluated at bid price : 17.35
Bid-YTW : 6.21 %
TD.PF.I FixedReset Disc 24,579 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-04
Maturity Price : 21.08
Evaluated at bid price : 21.08
Bid-YTW : 5.36 %
TD.PF.K FixedReset Disc 20,364 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-04
Maturity Price : 19.51
Evaluated at bid price : 19.51
Bid-YTW : 5.46 %
There were 21 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
BAM.PR.Z FixedReset Disc Quote: 18.13 – 18.47
Spot Rate : 0.3400
Average : 0.2061

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-04
Maturity Price : 18.13
Evaluated at bid price : 18.13
Bid-YTW : 6.17 %
PWF.PR.P FixedReset Disc Quote: 12.16 – 12.51
Spot Rate : 0.3500
Average : 0.2307

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-04
Maturity Price : 12.16
Evaluated at bid price : 12.16
Bid-YTW : 6.18 %
HSE.PR.G FixedReset Disc Quote: 17.20 – 17.69
Spot Rate : 0.4900
Average : 0.3787

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-04
Maturity Price : 17.20
Evaluated at bid price : 17.20
Bid-YTW : 7.22 %
CU.PR.G Perpetual-Discount Quote: 21.11 – 21.49
Spot Rate : 0.3800
Average : 0.2694

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-04
Maturity Price : 21.11
Evaluated at bid price : 21.11
Bid-YTW : 5.40 %
EIT.PR.A SplitShare Quote: 25.46 – 25.88
Spot Rate : 0.4200
Average : 0.3133

YTW SCENARIO
Maturity Type : Soft Maturity
Maturity Date : 2024-03-14
Maturity Price : 25.00
Evaluated at bid price : 25.46
Bid-YTW : 4.43 %
PVS.PR.G SplitShare Quote: 25.50 – 25.75
Spot Rate : 0.2500
Average : 0.1473

YTW SCENARIO
Maturity Type : Option Certainty
Maturity Date : 2026-02-28
Maturity Price : 25.00
Evaluated at bid price : 25.50
Bid-YTW : 4.63 %
Market Action

October 3, 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 -0.1422 % 1,835.8
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.1422 % 3,368.7
Floater 6.56 % 6.80 % 43,719 12.82 4 -0.1422 % 1,941.4
OpRet 0.00 % 0.00 % 0 0.00 0 0.0619 % 3,390.2
SplitShare 4.65 % 4.55 % 50,702 3.98 7 0.0619 % 4,048.6
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0619 % 3,158.9
Perpetual-Premium 5.59 % -20.02 % 59,319 0.09 6 0.0972 % 3,004.0
Perpetual-Discount 5.42 % 5.50 % 68,759 14.55 28 -0.0786 % 3,171.0
FixedReset Disc 5.63 % 5.57 % 173,175 14.34 72 -0.6429 % 2,046.2
Deemed-Retractible 5.24 % 5.79 % 64,404 7.88 27 -0.0966 % 3,141.2
FloatingReset 4.72 % 7.16 % 63,580 7.84 3 -0.7445 % 2,286.0
FixedReset Prem 5.26 % 4.00 % 124,358 1.56 14 -0.1478 % 2,587.9
FixedReset Bank Non 1.98 % 4.47 % 85,624 2.25 3 -0.0139 % 2,665.5
FixedReset Ins Non 5.59 % 8.12 % 100,969 7.82 21 -0.3168 % 2,064.6
Performance Highlights
Issue Index Change Notes
BAM.PF.F FixedReset Disc -3.17 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-03
Maturity Price : 17.09
Evaluated at bid price : 17.09
Bid-YTW : 6.30 %
BAM.PF.G FixedReset Disc -3.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-03
Maturity Price : 16.68
Evaluated at bid price : 16.68
Bid-YTW : 6.44 %
TRP.PR.G FixedReset Disc -2.66 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-03
Maturity Price : 16.84
Evaluated at bid price : 16.84
Bid-YTW : 6.52 %
TRP.PR.F FloatingReset -2.17 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-03
Maturity Price : 12.61
Evaluated at bid price : 12.61
Bid-YTW : 7.16 %
BAM.PF.E FixedReset Disc -2.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-03
Maturity Price : 15.47
Evaluated at bid price : 15.47
Bid-YTW : 6.48 %
MFC.PR.M FixedReset Ins Non -2.05 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 15.74
Bid-YTW : 9.56 %
EMA.PR.F FixedReset Disc -2.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-03
Maturity Price : 16.36
Evaluated at bid price : 16.36
Bid-YTW : 6.28 %
TD.PF.D FixedReset Disc -2.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-03
Maturity Price : 18.62
Evaluated at bid price : 18.62
Bid-YTW : 5.70 %
SLF.PR.G FixedReset Ins Non -1.97 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 12.41
Bid-YTW : 11.15 %
RY.PR.J FixedReset Disc -1.95 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-03
Maturity Price : 18.57
Evaluated at bid price : 18.57
Bid-YTW : 5.64 %
HSE.PR.C FixedReset Disc -1.86 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-03
Maturity Price : 15.80
Evaluated at bid price : 15.80
Bid-YTW : 7.25 %
MFC.PR.N FixedReset Ins Non -1.85 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 15.36
Bid-YTW : 9.80 %
BAM.PR.Z FixedReset Disc -1.82 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-03
Maturity Price : 18.31
Evaluated at bid price : 18.31
Bid-YTW : 6.11 %
TD.PF.C FixedReset Disc -1.78 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-03
Maturity Price : 16.57
Evaluated at bid price : 16.57
Bid-YTW : 5.63 %
BAM.PR.X FixedReset Disc -1.74 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-03
Maturity Price : 12.43
Evaluated at bid price : 12.43
Bid-YTW : 6.34 %
BMO.PR.Z Perpetual-Discount -1.66 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-03
Maturity Price : 23.82
Evaluated at bid price : 24.29
Bid-YTW : 5.19 %
MFC.PR.J FixedReset Ins Non -1.64 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.00
Bid-YTW : 8.52 %
TRP.PR.D FixedReset Disc -1.60 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-03
Maturity Price : 15.35
Evaluated at bid price : 15.35
Bid-YTW : 6.24 %
BAM.PR.R FixedReset Disc -1.53 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-03
Maturity Price : 14.17
Evaluated at bid price : 14.17
Bid-YTW : 6.47 %
TD.PF.B FixedReset Disc -1.45 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-03
Maturity Price : 16.95
Evaluated at bid price : 16.95
Bid-YTW : 5.53 %
HSE.PR.A FixedReset Disc -1.41 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-03
Maturity Price : 10.52
Evaluated at bid price : 10.52
Bid-YTW : 7.33 %
NA.PR.E FixedReset Disc -1.31 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-03
Maturity Price : 18.80
Evaluated at bid price : 18.80
Bid-YTW : 5.57 %
BAM.PR.T FixedReset Disc -1.30 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-03
Maturity Price : 14.42
Evaluated at bid price : 14.42
Bid-YTW : 6.43 %
BIP.PR.A FixedReset Disc -1.27 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-03
Maturity Price : 17.82
Evaluated at bid price : 17.82
Bid-YTW : 7.01 %
PWF.PR.P FixedReset Disc -1.21 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-03
Maturity Price : 12.20
Evaluated at bid price : 12.20
Bid-YTW : 6.16 %
CM.PR.P FixedReset Disc -1.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-03
Maturity Price : 15.70
Evaluated at bid price : 15.70
Bid-YTW : 5.83 %
BMO.PR.W FixedReset Disc -1.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-03
Maturity Price : 16.26
Evaluated at bid price : 16.26
Bid-YTW : 5.66 %
BMO.PR.S FixedReset Disc -1.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-03
Maturity Price : 17.32
Evaluated at bid price : 17.32
Bid-YTW : 5.52 %
CU.PR.G Perpetual-Discount -1.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-03
Maturity Price : 21.11
Evaluated at bid price : 21.11
Bid-YTW : 5.40 %
TD.PF.I FixedReset Disc -1.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-03
Maturity Price : 20.95
Evaluated at bid price : 20.95
Bid-YTW : 5.39 %
BAM.PF.B FixedReset Disc -1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-03
Maturity Price : 17.05
Evaluated at bid price : 17.05
Bid-YTW : 6.14 %
TRP.PR.A FixedReset Disc -1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-03
Maturity Price : 12.63
Evaluated at bid price : 12.63
Bid-YTW : 6.65 %
IAF.PR.B Deemed-Retractible -1.01 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.65
Bid-YTW : 6.44 %
ELF.PR.G Perpetual-Discount 1.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-03
Maturity Price : 21.86
Evaluated at bid price : 22.10
Bid-YTW : 5.38 %
IFC.PR.G FixedReset Ins Non 1.36 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.65
Bid-YTW : 8.10 %
CU.PR.C FixedReset Disc 2.30 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-03
Maturity Price : 16.45
Evaluated at bid price : 16.45
Bid-YTW : 5.76 %
Volume Highlights
Issue Index Shares
Traded		 Notes
TD.PF.M FixedReset Disc 206,000 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-03
Maturity Price : 23.02
Evaluated at bid price : 24.57
Bid-YTW : 5.15 %
PWF.PR.L Perpetual-Discount 77,900 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-03
Maturity Price : 23.12
Evaluated at bid price : 23.38
Bid-YTW : 5.54 %
BNS.PR.H FixedReset Disc 71,400 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-01-26
Maturity Price : 25.00
Evaluated at bid price : 25.15
Bid-YTW : 4.45 %
RY.PR.Q FixedReset Prem 70,300 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-05-24
Maturity Price : 25.00
Evaluated at bid price : 25.71
Bid-YTW : 4.08 %
POW.PR.D Perpetual-Discount 50,000 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-03
Maturity Price : 22.06
Evaluated at bid price : 22.35
Bid-YTW : 5.60 %
TD.PF.G FixedReset Prem 49,858 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-04-30
Maturity Price : 25.00
Evaluated at bid price : 25.94
Bid-YTW : 3.65 %
There were 31 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: 17.09 – 17.50
Spot Rate : 0.4100
Average : 0.2728

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-03
Maturity Price : 17.09
Evaluated at bid price : 17.09
Bid-YTW : 6.30 %
BMO.PR.Z Perpetual-Discount Quote: 24.29 – 24.68
Spot Rate : 0.3900
Average : 0.2764

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-03
Maturity Price : 23.82
Evaluated at bid price : 24.29
Bid-YTW : 5.19 %
BAM.PF.H FixedReset Prem Quote: 25.05 – 25.42
Spot Rate : 0.3700
Average : 0.2579

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2020-12-31
Maturity Price : 25.00
Evaluated at bid price : 25.05
Bid-YTW : 4.89 %
SLF.PR.I FixedReset Ins Non Quote: 18.12 – 18.45
Spot Rate : 0.3300
Average : 0.2213

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.12
Bid-YTW : 8.06 %
BNS.PR.I FixedReset Disc Quote: 20.35 – 20.76
Spot Rate : 0.4100
Average : 0.3076

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-03
Maturity Price : 20.35
Evaluated at bid price : 20.35
Bid-YTW : 5.02 %
MFC.PR.M FixedReset Ins Non Quote: 15.74 – 16.13
Spot Rate : 0.3900
Average : 0.2950

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 15.74
Bid-YTW : 9.56 %
Market Action

October 2, 2019

explosion_191002
Click for Big

It was a pretty rotten day all ’round:

Stocks slid on Wednesday, a second day of selling that has shattered a relatively calm period for Wall Street, as investors faced new evidence that the world’s industrial sector is weakening in the face of the trade war.

The S&P 500 dropped 1.8 percent, its worst day since late August. Stocks in Europe tumbled.

The selling this week began after a report on manufacturing activity showed that factory output in the United States slowed in September to levels last seen at the end of the financial crisis a decade ago. The data was fresh indication that the trade conflict between Washington and Beijing is chipping away at the industrial base in the United States, after having already dented factories in China, Japan and Germany.
…
The primary culprit for the economic slowdown is the trade war between the United States and China. On Tuesday, the World Trade Organization cut its forecast for growth in trade.
…
In Europe, where manufacturing accounts for a larger share of economic output, the selling on Wednesday was sharper than in the United States. Britain’s FTSE 100 dropped more than 3 percent, its worst decline this year, while Germany’s Dax index dropped 2.8 percent.

TXPR closed at 594.70, down 0.79% on the day. Volume was 2.06-million, slightly below average in the context of the past thirty days.

CPD closed at 11.86, down 0.84% on the day. Volume of 63,003 was below average in the context of the past 30 days.

ZPR closed at 9.47, down 0.94% on the day. Volume of 419,698 was second-highest of the past 30 days, behind only September 6.

Five-year Canada yields were down 4bp to 1.33% today.

PerpetualDiscounts now yield 5.51%, equivalent to 7.16% interest at the standard equivalency factor of 1.3x. Long corporates now yield 3.31%, so the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) has narrowed slightly (and perhaps spuriously) to 385bp from the 390bp reported September 25.

HIMIPref™ Preferred Indices
These values reflect the December 2008 revision of the HIMIPref™ Indices
Values are provisional and are finalized monthly
Index Mean
Current
Yield
(at bid)		 Median
YTW		 Median
Average
Trading
Value		 Median
Mod Dur
(YTW)		 Issues Day’s Perf. Index Value
Ratchet 0.00 % 0.00 % 0 0.00 0 -2.7208 % 1,838.5
FixedFloater 0.00 % 0.00 % 0 0.00 0 -2.7208 % 3,373.5
Floater 6.55 % 6.79 % 45,468 12.84 4 -2.7208 % 1,944.1
OpRet 0.00 % 0.00 % 0 0.00 0 -0.0787 % 3,388.1
SplitShare 4.65 % 4.55 % 51,372 3.98 7 -0.0787 % 4,046.1
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.0787 % 3,156.9
Perpetual-Premium 5.59 % -20.19 % 59,222 0.09 6 -0.1424 % 3,001.0
Perpetual-Discount 5.41 % 5.51 % 69,014 14.52 28 -0.1524 % 3,173.5
FixedReset Disc 5.59 % 5.55 % 175,182 14.36 72 -0.8678 % 2,059.4
Deemed-Retractible 5.24 % 5.78 % 65,359 7.89 27 -0.2401 % 3,144.3
FloatingReset 4.68 % 7.01 % 59,128 7.85 3 -1.6231 % 2,303.2
FixedReset Prem 5.25 % 3.95 % 123,361 1.56 14 -0.4001 % 2,591.7
FixedReset Bank Non 1.98 % 4.47 % 86,271 2.26 3 -0.5124 % 2,665.9
FixedReset Ins Non 5.58 % 8.27 % 99,965 7.84 21 -0.9676 % 2,071.2
Performance Highlights
Issue Index Change Notes
TRP.PR.B FixedReset Disc -4.64 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-02
Maturity Price : 10.27
Evaluated at bid price : 10.27
Bid-YTW : 6.56 %
SLF.PR.J FloatingReset -4.19 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 12.35
Bid-YTW : 11.65 %
BAM.PR.K Floater -3.48 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-02
Maturity Price : 10.25
Evaluated at bid price : 10.25
Bid-YTW : 6.80 %
BAM.PR.C Floater -3.48 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-02
Maturity Price : 10.27
Evaluated at bid price : 10.27
Bid-YTW : 6.79 %
CU.PR.C FixedReset Disc -3.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-02
Maturity Price : 16.08
Evaluated at bid price : 16.08
Bid-YTW : 5.90 %
BAM.PR.B Floater -3.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-02
Maturity Price : 10.27
Evaluated at bid price : 10.27
Bid-YTW : 6.79 %
TRP.PR.C FixedReset Disc -2.88 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-02
Maturity Price : 11.12
Evaluated at bid price : 11.12
Bid-YTW : 6.53 %
TRP.PR.A FixedReset Disc -2.74 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-02
Maturity Price : 12.76
Evaluated at bid price : 12.76
Bid-YTW : 6.58 %
RY.PR.M FixedReset Disc -2.41 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-02
Maturity Price : 18.25
Evaluated at bid price : 18.25
Bid-YTW : 5.56 %
MFC.PR.M FixedReset Ins Non -2.31 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 16.07
Bid-YTW : 9.29 %
MFC.PR.K FixedReset Ins Non -2.28 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 17.13
Bid-YTW : 8.76 %
RY.PR.H FixedReset Disc -2.27 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-02
Maturity Price : 17.20
Evaluated at bid price : 17.20
Bid-YTW : 5.40 %
HSE.PR.E FixedReset Disc -2.25 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-02
Maturity Price : 17.40
Evaluated at bid price : 17.40
Bid-YTW : 7.19 %
TD.PF.D FixedReset Disc -2.21 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-02
Maturity Price : 19.00
Evaluated at bid price : 19.00
Bid-YTW : 5.59 %
TRP.PR.F FloatingReset -2.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-02
Maturity Price : 12.89
Evaluated at bid price : 12.89
Bid-YTW : 7.01 %
RY.PR.J FixedReset Disc -2.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-02
Maturity Price : 18.94
Evaluated at bid price : 18.94
Bid-YTW : 5.53 %
PWF.PR.P FixedReset Disc -2.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-02
Maturity Price : 12.35
Evaluated at bid price : 12.35
Bid-YTW : 6.09 %
MFC.PR.G FixedReset Ins Non -2.03 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 17.86
Bid-YTW : 8.46 %
BAM.PF.G FixedReset Disc -1.94 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-02
Maturity Price : 17.21
Evaluated at bid price : 17.21
Bid-YTW : 6.24 %
SLF.PR.H FixedReset Ins Non -1.92 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 15.34
Bid-YTW : 9.35 %
BMO.PR.T FixedReset Disc -1.81 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-02
Maturity Price : 16.80
Evaluated at bid price : 16.80
Bid-YTW : 5.50 %
BMO.PR.S FixedReset Disc -1.79 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-02
Maturity Price : 17.52
Evaluated at bid price : 17.52
Bid-YTW : 5.45 %
SLF.PR.I FixedReset Ins Non -1.79 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.07
Bid-YTW : 8.09 %
TD.PF.A FixedReset Disc -1.78 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-02
Maturity Price : 17.06
Evaluated at bid price : 17.06
Bid-YTW : 5.45 %
IFC.PR.A FixedReset Ins Non -1.77 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 13.30
Bid-YTW : 10.98 %
HSE.PR.C FixedReset Disc -1.77 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-02
Maturity Price : 16.10
Evaluated at bid price : 16.10
Bid-YTW : 7.11 %
SLF.PR.G FixedReset Ins Non -1.71 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 12.66
Bid-YTW : 10.89 %
TRP.PR.G FixedReset Disc -1.70 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-02
Maturity Price : 17.30
Evaluated at bid price : 17.30
Bid-YTW : 6.34 %
TD.PF.J FixedReset Disc -1.64 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-02
Maturity Price : 19.80
Evaluated at bid price : 19.80
Bid-YTW : 5.45 %
TD.PF.E FixedReset Disc -1.52 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-02
Maturity Price : 19.45
Evaluated at bid price : 19.45
Bid-YTW : 5.55 %
BMO.PR.W FixedReset Disc -1.50 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-02
Maturity Price : 16.45
Evaluated at bid price : 16.45
Bid-YTW : 5.59 %
BMO.PR.Y FixedReset Disc -1.49 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-02
Maturity Price : 18.50
Evaluated at bid price : 18.50
Bid-YTW : 5.62 %
MFC.PR.F FixedReset Ins Non -1.38 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 12.12
Bid-YTW : 11.30 %
BNS.PR.I FixedReset Disc -1.35 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-02
Maturity Price : 20.41
Evaluated at bid price : 20.41
Bid-YTW : 5.00 %
IFC.PR.G FixedReset Ins Non -1.34 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.40
Bid-YTW : 8.27 %
IAF.PR.G FixedReset Ins Non -1.17 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.55
Bid-YTW : 7.84 %
MFC.PR.J FixedReset Ins Non -1.13 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.30
Bid-YTW : 8.29 %
TD.PF.K FixedReset Disc -1.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-02
Maturity Price : 19.63
Evaluated at bid price : 19.63
Bid-YTW : 5.42 %
EMA.PR.C FixedReset Disc -1.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-02
Maturity Price : 17.95
Evaluated at bid price : 17.95
Bid-YTW : 5.97 %
SLF.PR.C Deemed-Retractible -1.10 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.67
Bid-YTW : 6.86 %
ELF.PR.G Perpetual-Discount -1.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-02
Maturity Price : 21.61
Evaluated at bid price : 21.86
Bid-YTW : 5.44 %
PWF.PR.T FixedReset Disc -1.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-02
Maturity Price : 17.31
Evaluated at bid price : 17.31
Bid-YTW : 5.73 %
BAM.PR.Z FixedReset Disc -1.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-02
Maturity Price : 18.65
Evaluated at bid price : 18.65
Bid-YTW : 5.99 %
RY.PR.Z FixedReset Disc -1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-02
Maturity Price : 17.18
Evaluated at bid price : 17.18
Bid-YTW : 5.37 %
HSE.PR.A FixedReset Disc -1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-02
Maturity Price : 10.67
Evaluated at bid price : 10.67
Bid-YTW : 7.23 %
MFC.PR.N FixedReset Ins Non -1.01 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 15.65
Bid-YTW : 9.55 %
BAM.PF.F FixedReset Disc -1.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-02
Maturity Price : 17.65
Evaluated at bid price : 17.65
Bid-YTW : 6.10 %
Volume Highlights
Issue Index Shares
Traded		 Notes
TD.PF.M FixedReset Disc 45,925 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-02
Maturity Price : 23.02
Evaluated at bid price : 24.57
Bid-YTW : 5.15 %
CM.PR.R FixedReset Disc 42,392 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-02
Maturity Price : 21.16
Evaluated at bid price : 21.16
Bid-YTW : 5.59 %
BAM.PF.G FixedReset Disc 37,783 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-02
Maturity Price : 17.21
Evaluated at bid price : 17.21
Bid-YTW : 6.24 %
BAM.PF.F FixedReset Disc 37,100 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-02
Maturity Price : 17.65
Evaluated at bid price : 17.65
Bid-YTW : 6.10 %
RY.PR.M FixedReset Disc 30,700 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-02
Maturity Price : 18.25
Evaluated at bid price : 18.25
Bid-YTW : 5.56 %
TD.PF.L FixedReset Disc 27,178 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-02
Maturity Price : 22.92
Evaluated at bid price : 24.26
Bid-YTW : 4.96 %
There were 33 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
HSE.PR.E FixedReset Disc Quote: 17.40 – 18.10
Spot Rate : 0.7000
Average : 0.4906

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-02
Maturity Price : 17.40
Evaluated at bid price : 17.40
Bid-YTW : 7.19 %
CU.PR.C FixedReset Disc Quote: 16.08 – 16.62
Spot Rate : 0.5400
Average : 0.3806

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-02
Maturity Price : 16.08
Evaluated at bid price : 16.08
Bid-YTW : 5.90 %
MFC.PR.K FixedReset Ins Non Quote: 17.13 – 17.56
Spot Rate : 0.4300
Average : 0.2844

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 17.13
Bid-YTW : 8.76 %
BAM.PR.C Floater Quote: 10.27 – 10.66
Spot Rate : 0.3900
Average : 0.2471

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-02
Maturity Price : 10.27
Evaluated at bid price : 10.27
Bid-YTW : 6.79 %
BNS.PR.Z FixedReset Bank Non Quote: 23.81 – 24.15
Spot Rate : 0.3400
Average : 0.2323

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.81
Bid-YTW : 4.47 %
ELF.PR.G Perpetual-Discount Quote: 21.86 – 22.30
Spot Rate : 0.4400
Average : 0.3423

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-02
Maturity Price : 21.61
Evaluated at bid price : 21.86
Bid-YTW : 5.44 %
Market Action

October 1, 2019

Schwab is eliminating brokerage commissions:

Discount brokerage Charles Schwab Corp said on Tuesday it is eliminating commissions for online trading of stocks, ETFs and options listed on U.S. or Canadian exchanges.

Schwab’s latest move is likely to have a knock-on effect across the sector, forcing rivals to follow suit and eliminate commissions, experts warned.
…
The decision marks an inflection point for online brokers, as newer, nimbler rivals such as Menlo Park, California-based startup brokerage Robinhood have been capturing market share in recent years by offering commission-free stock trades.

The firms are able to offer the free trading by selling their customers’ orders to so-called wholesale market makers, such as Citadel Securities and Virtu Financial, which aim to make a profit on the spread between the bid and the offer on the shares.
…
“Stocks commissions long ago stopped being a primary revenue item for Schwab, dropping to 8 per cent of revenues last year and currently under 5 per cent. Net interest income from customer deposits and asset management fees are far more important,” added [director of financial institutions research at Argus Research Stephen] Biggar in an email to Reuters.

Schwab made $139 million from selling its customers’ orders in 2018, up 22 per cent from the previous year, according to a regulatory filing.

TD Ameritrade was paid $458 million for customer orders in its last fiscal year, up from $320 million the year before, according to a filing.

Asset Management fees? Yes, Schwab offers ETFs and mutual funds.

Investors will be pleased to remember that there isn’t much chance of such a thing happening here. Why should the bank-owned market-makers pay the bank-owned brokerages for order flow? They get it already! Why should they use asset management to subsidize commission trading? They’ve got it already! Thank you, securities regulators and Competition Bureau for the fine job you’ve done over the years.

Meanwhile, some distraction from impeachment proceedings has been found necessary:

As I predicted, Jay Powell and the Federal Reserve have allowed the Dollar to get so strong, especially relative to ALL other currencies, that our manufacturers are being negatively affected. Fed Rate too high. They are their own worst enemies, they don’t have a clue. Pathetic!

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 -0.1841 % 1,889.9
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.1841 % 3,467.8
Floater 6.38 % 6.55 % 47,245 13.16 4 -0.1841 % 1,998.5
OpRet 0.00 % 0.00 % 0 0.00 0 0.1690 % 3,390.8
SplitShare 4.65 % 4.59 % 53,381 3.99 7 0.1690 % 4,049.3
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.1690 % 3,159.4
Perpetual-Premium 5.58 % -19.38 % 59,240 0.09 6 -0.0259 % 3,005.3
Perpetual-Discount 5.41 % 5.48 % 69,879 14.53 28 -0.1415 % 3,178.3
FixedReset Disc 5.55 % 5.47 % 168,965 14.36 72 -0.3116 % 2,077.5
Deemed-Retractible 5.23 % 5.79 % 65,015 7.89 27 -0.1908 % 3,151.8
FloatingReset 4.61 % 6.85 % 56,305 7.92 3 -0.1778 % 2,341.2
FixedReset Prem 5.23 % 3.57 % 123,949 1.56 14 -0.0888 % 2,602.1
FixedReset Bank Non 1.97 % 4.09 % 85,818 2.26 3 -0.0554 % 2,679.6
FixedReset Ins Non 5.52 % 8.14 % 100,250 7.86 21 -0.7303 % 2,091.4
Performance Highlights
Issue Index Change Notes
GWO.PR.N FixedReset Ins Non -3.27 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 13.89
Bid-YTW : 9.48 %
TRP.PR.D FixedReset Disc -3.25 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-01
Maturity Price : 15.48
Evaluated at bid price : 15.48
Bid-YTW : 6.18 %
HSE.PR.A FixedReset Disc -2.36 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-01
Maturity Price : 10.78
Evaluated at bid price : 10.78
Bid-YTW : 7.15 %
IFC.PR.A FixedReset Ins Non -2.10 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 13.54
Bid-YTW : 10.74 %
MFC.PR.J FixedReset Ins Non -2.06 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.51
Bid-YTW : 8.14 %
TD.PF.D FixedReset Disc -1.97 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-01
Maturity Price : 19.43
Evaluated at bid price : 19.43
Bid-YTW : 5.46 %
MFC.PR.N FixedReset Ins Non -1.92 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 15.81
Bid-YTW : 9.42 %
MFC.PR.F FixedReset Ins Non -1.84 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 12.29
Bid-YTW : 11.12 %
HSE.PR.G FixedReset Disc -1.75 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-01
Maturity Price : 17.40
Evaluated at bid price : 17.40
Bid-YTW : 7.13 %
MFC.PR.B Deemed-Retractible -1.51 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.48
Bid-YTW : 6.61 %
TD.PF.C FixedReset Disc -1.33 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-01
Maturity Price : 17.04
Evaluated at bid price : 17.04
Bid-YTW : 5.47 %
CM.PR.Q FixedReset Disc -1.33 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-01
Maturity Price : 17.85
Evaluated at bid price : 17.85
Bid-YTW : 5.85 %
TD.PF.A FixedReset Disc -1.19 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-01
Maturity Price : 17.37
Evaluated at bid price : 17.37
Bid-YTW : 5.35 %
TRP.PR.B FixedReset Disc -1.19 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-01
Maturity Price : 10.77
Evaluated at bid price : 10.77
Bid-YTW : 6.25 %
BMO.PR.Y FixedReset Disc -1.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-01
Maturity Price : 18.78
Evaluated at bid price : 18.78
Bid-YTW : 5.54 %
CU.PR.F Perpetual-Discount -1.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-01
Maturity Price : 21.35
Evaluated at bid price : 21.35
Bid-YTW : 5.33 %
SLF.PR.J FloatingReset -1.15 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 12.89
Bid-YTW : 11.09 %
TRP.PR.E FixedReset Disc -1.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-01
Maturity Price : 15.51
Evaluated at bid price : 15.51
Bid-YTW : 6.07 %
CM.PR.S FixedReset Disc -1.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-01
Maturity Price : 17.80
Evaluated at bid price : 17.80
Bid-YTW : 5.61 %
PWF.PR.A Floater -1.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-01
Maturity Price : 11.51
Evaluated at bid price : 11.51
Bid-YTW : 6.10 %
BIP.PR.A FixedReset Disc 1.17 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-01
Maturity Price : 18.10
Evaluated at bid price : 18.10
Bid-YTW : 6.90 %
CGI.PR.D SplitShare 1.20 % YTW SCENARIO
Maturity Type : Soft Maturity
Maturity Date : 2023-06-14
Maturity Price : 25.00
Evaluated at bid price : 25.40
Bid-YTW : 3.35 %
PWF.PR.T FixedReset Disc 1.33 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-01
Maturity Price : 17.50
Evaluated at bid price : 17.50
Bid-YTW : 5.67 %
BAM.PR.Z FixedReset Disc 1.34 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-01
Maturity Price : 18.85
Evaluated at bid price : 18.85
Bid-YTW : 5.93 %
BMO.PR.T FixedReset Disc 1.54 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-01
Maturity Price : 17.11
Evaluated at bid price : 17.11
Bid-YTW : 5.39 %
Volume Highlights
Issue Index Shares
Traded		 Notes
RY.PR.H FixedReset Disc 106,689 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-01
Maturity Price : 17.60
Evaluated at bid price : 17.60
Bid-YTW : 5.27 %
POW.PR.G Perpetual-Discount 78,223 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-01
Maturity Price : 24.61
Evaluated at bid price : 24.87
Bid-YTW : 5.64 %
EMA.PR.C FixedReset Disc 75,130 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-01
Maturity Price : 18.15
Evaluated at bid price : 18.15
Bid-YTW : 5.90 %
TRP.PR.C FixedReset Disc 55,963 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-01
Maturity Price : 11.45
Evaluated at bid price : 11.45
Bid-YTW : 6.34 %
TRP.PR.J FixedReset Prem 40,245 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-05-31
Maturity Price : 25.00
Evaluated at bid price : 26.01
Bid-YTW : 3.30 %
RY.PR.M FixedReset Disc 37,655 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-01
Maturity Price : 18.70
Evaluated at bid price : 18.70
Bid-YTW : 5.42 %
There were 39 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
TRP.PR.D FixedReset Disc Quote: 15.48 – 15.99
Spot Rate : 0.5100
Average : 0.3421

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-01
Maturity Price : 15.48
Evaluated at bid price : 15.48
Bid-YTW : 6.18 %
IAF.PR.B Deemed-Retractible Quote: 21.87 – 22.53
Spot Rate : 0.6600
Average : 0.5504

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.87
Bid-YTW : 6.30 %
GWO.PR.N FixedReset Ins Non Quote: 13.89 – 14.32
Spot Rate : 0.4300
Average : 0.3224

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 13.89
Bid-YTW : 9.48 %
CU.PR.F Perpetual-Discount Quote: 21.35 – 21.79
Spot Rate : 0.4400
Average : 0.3325

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-01
Maturity Price : 21.35
Evaluated at bid price : 21.35
Bid-YTW : 5.33 %
MFC.PR.O FixedReset Ins Non Quote: 25.65 – 25.95
Spot Rate : 0.3000
Average : 0.1971

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-06-19
Maturity Price : 25.00
Evaluated at bid price : 25.65
Bid-YTW : 4.16 %
CM.PR.S FixedReset Disc Quote: 17.80 – 18.15
Spot Rate : 0.3500
Average : 0.2493

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-10-01
Maturity Price : 17.80
Evaluated at bid price : 17.80
Bid-YTW : 5.61 %
Market Action

September 30, 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 0.1614 % 1,893.4
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.1614 % 3,474.2
Floater 6.36 % 6.54 % 47,664 13.13 4 0.1614 % 2,002.2
OpRet 0.00 % 0.00 % 0 0.00 0 0.0846 % 3,385.1
SplitShare 4.65 % 4.61 % 53,950 3.99 7 0.0846 % 4,042.5
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0846 % 3,154.1
Perpetual-Premium 5.58 % -21.67 % 60,173 0.09 6 0.2010 % 3,006.1
Perpetual-Discount 5.40 % 5.46 % 68,768 14.53 28 0.1987 % 3,182.8
FixedReset Disc 5.51 % 5.47 % 166,113 14.42 73 0.2546 % 2,084.0
Deemed-Retractible 5.22 % 5.78 % 68,625 7.89 27 -0.0079 % 3,157.8
FloatingReset 4.60 % 6.76 % 56,535 7.95 3 0.0074 % 2,345.4
FixedReset Prem 5.23 % 3.44 % 127,624 1.57 14 0.2330 % 2,604.4
FixedReset Bank Non 1.97 % 3.99 % 85,985 2.27 3 0.0451 % 2,681.1
FixedReset Ins Non 5.48 % 8.02 % 100,958 7.90 21 0.2624 % 2,106.8
Performance Highlights
Issue Index Change Notes
BIP.PR.A FixedReset Disc -1.87 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-09-30
Maturity Price : 17.89
Evaluated at bid price : 17.89
Bid-YTW : 6.98 %
CM.PR.O FixedReset Disc -1.32 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-09-30
Maturity Price : 16.42
Evaluated at bid price : 16.42
Bid-YTW : 5.68 %
CM.PR.P FixedReset Disc -1.24 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-09-30
Maturity Price : 15.91
Evaluated at bid price : 15.91
Bid-YTW : 5.75 %
NA.PR.W FixedReset Disc -1.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-09-30
Maturity Price : 15.92
Evaluated at bid price : 15.92
Bid-YTW : 5.85 %
CM.PR.S FixedReset Disc -1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-09-30
Maturity Price : 18.00
Evaluated at bid price : 18.00
Bid-YTW : 5.55 %
CM.PR.Q FixedReset Disc 1.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-09-30
Maturity Price : 18.09
Evaluated at bid price : 18.09
Bid-YTW : 5.77 %
RY.PR.M FixedReset Disc 1.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-09-30
Maturity Price : 18.70
Evaluated at bid price : 18.70
Bid-YTW : 5.42 %
BAM.PR.Z FixedReset Disc 1.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-09-30
Maturity Price : 18.60
Evaluated at bid price : 18.60
Bid-YTW : 6.01 %
TD.PF.A FixedReset Disc 1.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-09-30
Maturity Price : 17.58
Evaluated at bid price : 17.58
Bid-YTW : 5.28 %
SLF.PR.J FloatingReset 1.09 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 13.04
Bid-YTW : 10.94 %
MFC.PR.M FixedReset Ins Non 1.10 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 16.56
Bid-YTW : 8.89 %
EMA.PR.C FixedReset Disc 1.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-09-30
Maturity Price : 18.10
Evaluated at bid price : 18.10
Bid-YTW : 5.92 %
TRP.PR.B FixedReset Disc 1.21 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-09-30
Maturity Price : 10.90
Evaluated at bid price : 10.90
Bid-YTW : 6.17 %
CU.PR.F Perpetual-Discount 1.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-09-30
Maturity Price : 21.60
Evaluated at bid price : 21.60
Bid-YTW : 5.27 %
TD.PF.I FixedReset Disc 1.43 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-09-30
Maturity Price : 21.25
Evaluated at bid price : 21.25
Bid-YTW : 5.31 %
BAM.PF.A FixedReset Disc 1.44 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-09-30
Maturity Price : 19.07
Evaluated at bid price : 19.07
Bid-YTW : 5.93 %
IFC.PR.G FixedReset Ins Non 1.74 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.75
Bid-YTW : 8.02 %
GWO.PR.N FixedReset Ins Non 1.77 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 14.36
Bid-YTW : 9.08 %
BMO.PR.Y FixedReset Disc 1.88 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-09-30
Maturity Price : 19.00
Evaluated at bid price : 19.00
Bid-YTW : 5.47 %
HSE.PR.A FixedReset Disc 1.94 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-09-30
Maturity Price : 11.04
Evaluated at bid price : 11.04
Bid-YTW : 6.98 %
TD.PF.D FixedReset Disc 1.95 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-09-30
Maturity Price : 19.82
Evaluated at bid price : 19.82
Bid-YTW : 5.35 %
BAM.PF.F FixedReset Disc 2.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-09-30
Maturity Price : 17.80
Evaluated at bid price : 17.80
Bid-YTW : 6.04 %
RY.PR.J FixedReset Disc 2.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-09-30
Maturity Price : 19.25
Evaluated at bid price : 19.25
Bid-YTW : 5.44 %
Volume Highlights
Issue Index Shares
Traded		 Notes
EIT.PR.B SplitShare 80,200 YTW SCENARIO
Maturity Type : Soft Maturity
Maturity Date : 2025-03-14
Maturity Price : 25.00
Evaluated at bid price : 25.31
Bid-YTW : 4.61 %
CM.PR.Y FixedReset Disc 42,800 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-09-30
Maturity Price : 22.89
Evaluated at bid price : 24.25
Bid-YTW : 5.15 %
HSE.PR.A FixedReset Disc 39,083 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-09-30
Maturity Price : 11.04
Evaluated at bid price : 11.04
Bid-YTW : 6.98 %
PWF.PR.P FixedReset Disc 30,400 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-09-30
Maturity Price : 12.72
Evaluated at bid price : 12.72
Bid-YTW : 5.91 %
BMO.PR.D FixedReset Disc 30,280 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-09-30
Maturity Price : 21.37
Evaluated at bid price : 21.69
Bid-YTW : 5.29 %
CM.PR.R FixedReset Disc 30,050 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-09-30
Maturity Price : 21.29
Evaluated at bid price : 21.29
Bid-YTW : 5.55 %
There were 29 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
BAM.PF.G FixedReset Disc Quote: 17.38 – 17.88
Spot Rate : 0.5000
Average : 0.3277

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-09-30
Maturity Price : 17.38
Evaluated at bid price : 17.38
Bid-YTW : 6.17 %
CGI.PR.D SplitShare Quote: 25.10 – 25.50
Spot Rate : 0.4000
Average : 0.2292

YTW SCENARIO
Maturity Type : Soft Maturity
Maturity Date : 2023-06-14
Maturity Price : 25.00
Evaluated at bid price : 25.10
Bid-YTW : 3.70 %
IAF.PR.B Deemed-Retractible Quote: 21.87 – 22.46
Spot Rate : 0.5900
Average : 0.4302

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.87
Bid-YTW : 6.30 %
CM.PR.T FixedReset Disc Quote: 23.64 – 23.99
Spot Rate : 0.3500
Average : 0.2334

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-09-30
Maturity Price : 22.64
Evaluated at bid price : 23.64
Bid-YTW : 5.07 %
BAM.PF.D Perpetual-Discount Quote: 21.15 – 21.53
Spot Rate : 0.3800
Average : 0.2636

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-09-30
Maturity Price : 21.15
Evaluated at bid price : 21.15
Bid-YTW : 5.83 %
EMA.PR.C FixedReset Disc Quote: 18.10 – 18.49
Spot Rate : 0.3900
Average : 0.2785

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-09-30
Maturity Price : 18.10
Evaluated at bid price : 18.10
Bid-YTW : 5.92 %