Category: Market Action

Market Action

July 25, 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 0.6625 % 1,968.8
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.6625 % 3,612.7
Floater 6.07 % 6.19 % 37,911 13.61 4 0.6625 % 2,082.0
OpRet 0.00 % 0.00 % 0 0.00 0 -0.0338 % 3,340.8
SplitShare 4.66 % 4.63 % 77,130 4.12 7 -0.0338 % 3,989.6
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.0338 % 3,112.9
Perpetual-Premium 5.62 % -18.36 % 56,828 0.09 7 -0.0168 % 2,985.3
Perpetual-Discount 5.45 % 5.55 % 59,426 14.58 25 0.0382 % 3,125.5
FixedReset Disc 5.39 % 5.20 % 164,120 15.04 69 0.4034 % 2,135.8
Deemed-Retractible 5.22 % 5.85 % 63,900 7.95 27 0.0758 % 3,121.3
FloatingReset 4.04 % 4.25 % 37,398 2.43 4 0.1583 % 2,357.7
FixedReset Prem 5.14 % 3.62 % 164,169 1.90 17 -0.0732 % 2,598.5
FixedReset Bank Non 1.98 % 3.92 % 90,795 2.44 3 0.0139 % 2,657.6
FixedReset Ins Non 5.23 % 7.37 % 84,808 8.05 22 0.4197 % 2,181.5
Performance Highlights
Issue Index Change Notes
GWO.PR.T Deemed-Retractible -1.43 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.44
Bid-YTW : 6.04 %
POW.PR.B Perpetual-Discount -1.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-25
Maturity Price : 23.49
Evaluated at bid price : 23.76
Bid-YTW : 5.66 %
CM.PR.R FixedReset Disc 1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-25
Maturity Price : 22.05
Evaluated at bid price : 22.41
Bid-YTW : 5.25 %
PWF.PR.S Perpetual-Discount 1.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-25
Maturity Price : 21.74
Evaluated at bid price : 21.74
Bid-YTW : 5.55 %
MFC.PR.L FixedReset Ins Non 1.10 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 17.50
Bid-YTW : 8.05 %
BMO.PR.S FixedReset Disc 1.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-25
Maturity Price : 18.36
Evaluated at bid price : 18.36
Bid-YTW : 5.20 %
GWO.PR.N FixedReset Ins Non 1.14 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 14.20
Bid-YTW : 9.10 %
CM.PR.Q FixedReset Disc 1.25 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-25
Maturity Price : 19.39
Evaluated at bid price : 19.39
Bid-YTW : 5.37 %
BAM.PR.B Floater 1.25 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-25
Maturity Price : 11.30
Evaluated at bid price : 11.30
Bid-YTW : 6.19 %
TRP.PR.C FixedReset Disc 1.26 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-25
Maturity Price : 12.10
Evaluated at bid price : 12.10
Bid-YTW : 5.97 %
BIP.PR.E FixedReset Disc 1.29 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-25
Maturity Price : 21.73
Evaluated at bid price : 22.03
Bid-YTW : 5.72 %
IAF.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 : 21.12
Bid-YTW : 6.18 %
BMO.PR.D FixedReset Disc 1.31 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-25
Maturity Price : 22.10
Evaluated at bid price : 22.49
Bid-YTW : 5.10 %
BIP.PR.F FixedReset Disc 1.34 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-25
Maturity Price : 21.63
Evaluated at bid price : 21.95
Bid-YTW : 5.86 %
GWO.PR.R Deemed-Retractible 1.39 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.61
Bid-YTW : 6.12 %
BAM.PR.C Floater 1.44 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-25
Maturity Price : 11.26
Evaluated at bid price : 11.26
Bid-YTW : 6.21 %
RY.PR.M FixedReset Disc 1.47 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-25
Maturity Price : 19.35
Evaluated at bid price : 19.35
Bid-YTW : 5.15 %
TD.PF.D FixedReset Disc 1.68 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-25
Maturity Price : 20.61
Evaluated at bid price : 20.61
Bid-YTW : 5.06 %
TD.PF.E FixedReset Disc 1.75 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-25
Maturity Price : 20.91
Evaluated at bid price : 20.91
Bid-YTW : 5.07 %
MFC.PR.K FixedReset Ins Non 1.76 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.53
Bid-YTW : 7.73 %
Volume Highlights
Issue Index Shares
Traded		 Notes
TD.PF.M FixedReset Disc 168,600 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-25
Maturity Price : 23.18
Evaluated at bid price : 25.06
Bid-YTW : 4.94 %
SLF.PR.B Deemed-Retractible 143,400 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.50
Bid-YTW : 6.19 %
MFC.PR.O FixedReset Ins Non 100,130 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-06-19
Maturity Price : 25.00
Evaluated at bid price : 25.85
Bid-YTW : 4.06 %
BMO.PR.T FixedReset Disc 87,760 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-25
Maturity Price : 18.00
Evaluated at bid price : 18.00
Bid-YTW : 5.13 %
W.PR.M FixedReset Prem 61,000 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-10-15
Maturity Price : 25.00
Evaluated at bid price : 25.60
Bid-YTW : 4.15 %
TRP.PR.J FixedReset Prem 43,820 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-05-31
Maturity Price : 25.00
Evaluated at bid price : 25.75
Bid-YTW : 4.29 %
There were 29 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
MFC.PR.G FixedReset Ins Non Quote: 19.29 – 19.67
Spot Rate : 0.3800
Average : 0.2497

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.29
Bid-YTW : 7.44 %
GWO.PR.S Deemed-Retractible Quote: 24.25 – 24.60
Spot Rate : 0.3500
Average : 0.2482

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.25
Bid-YTW : 5.71 %
PWF.PR.P FixedReset Disc Quote: 13.51 – 13.76
Spot Rate : 0.2500
Average : 0.1500

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-25
Maturity Price : 13.51
Evaluated at bid price : 13.51
Bid-YTW : 5.46 %
IAF.PR.B Deemed-Retractible Quote: 21.76 – 22.23
Spot Rate : 0.4700
Average : 0.3909

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.76
Bid-YTW : 6.39 %
TRP.PR.B FixedReset Disc Quote: 11.55 – 11.83
Spot Rate : 0.2800
Average : 0.2067

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-25
Maturity Price : 11.55
Evaluated at bid price : 11.55
Bid-YTW : 5.79 %
GWO.PR.G Deemed-Retractible Quote: 23.81 – 24.04
Spot Rate : 0.2300
Average : 0.1590

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.81
Bid-YTW : 5.90 %
Market Action

July 24, 2019

PerpetualDiscounts now yield 5.54%, equivalent to 7.20% interest at the standard equivalency factor of 1.3x. Long corporates now yield 3.43%, so the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) is now about 375bp, a slight (and perhaps spurious) narrowing from the 380bp reported July 17.

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 1.0037 % 1,955.9
FixedFloater 0.00 % 0.00 % 0 0.00 0 1.0037 % 3,588.9
Floater 6.11 % 6.26 % 37,051 13.51 4 1.0037 % 2,068.3
OpRet 0.00 % 0.00 % 0 0.00 0 -0.0113 % 3,341.9
SplitShare 4.66 % 4.63 % 78,093 4.12 7 -0.0113 % 3,991.0
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.0113 % 3,113.9
Perpetual-Premium 5.61 % -18.11 % 56,843 0.09 7 0.1224 % 2,985.8
Perpetual-Discount 5.45 % 5.54 % 56,685 14.55 25 0.1246 % 3,124.3
FixedReset Disc 5.41 % 5.25 % 164,740 14.97 69 0.0489 % 2,127.3
Deemed-Retractible 5.22 % 5.86 % 64,511 7.96 27 0.1019 % 3,118.9
FloatingReset 4.05 % 4.24 % 38,737 2.43 4 -0.0264 % 2,353.9
FixedReset Prem 5.13 % 3.80 % 164,271 1.90 17 0.0703 % 2,600.4
FixedReset Bank Non 1.98 % 3.92 % 91,868 2.44 3 0.0695 % 2,657.2
FixedReset Ins Non 5.25 % 7.33 % 85,027 8.04 22 -0.2225 % 2,172.4
Performance Highlights
Issue Index Change Notes
HSE.PR.A FixedReset Disc -3.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-24
Maturity Price : 12.01
Evaluated at bid price : 12.01
Bid-YTW : 6.39 %
MFC.PR.H FixedReset Ins Non -2.31 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.71
Bid-YTW : 6.87 %
TRP.PR.B FixedReset Disc -2.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-24
Maturity Price : 11.55
Evaluated at bid price : 11.55
Bid-YTW : 5.79 %
TRP.PR.D FixedReset Disc -2.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-24
Maturity Price : 16.29
Evaluated at bid price : 16.29
Bid-YTW : 5.88 %
HSE.PR.E FixedReset Disc -1.37 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-24
Maturity Price : 19.48
Evaluated at bid price : 19.48
Bid-YTW : 6.41 %
TD.PF.D FixedReset Disc -1.27 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-24
Maturity Price : 20.27
Evaluated at bid price : 20.27
Bid-YTW : 5.14 %
HSE.PR.C FixedReset Disc -1.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-24
Maturity Price : 18.40
Evaluated at bid price : 18.40
Bid-YTW : 6.22 %
BIP.PR.A FixedReset Disc -1.21 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-24
Maturity Price : 18.77
Evaluated at bid price : 18.77
Bid-YTW : 6.65 %
BIK.PR.A FixedReset Prem -1.20 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-03-31
Maturity Price : 25.00
Evaluated at bid price : 25.55
Bid-YTW : 5.44 %
EMA.PR.F FixedReset Disc -1.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-24
Maturity Price : 17.20
Evaluated at bid price : 17.20
Bid-YTW : 5.97 %
TRP.PR.C FixedReset Disc -1.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-24
Maturity Price : 11.95
Evaluated at bid price : 11.95
Bid-YTW : 6.04 %
MFC.PR.N FixedReset Ins Non -1.05 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 16.97
Bid-YTW : 8.46 %
IAF.PR.G FixedReset Ins Non 1.07 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.85
Bid-YTW : 6.34 %
RY.PR.S FixedReset Disc 1.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-24
Maturity Price : 20.94
Evaluated at bid price : 20.94
Bid-YTW : 4.80 %
RY.PR.H FixedReset Disc 1.29 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-24
Maturity Price : 18.10
Evaluated at bid price : 18.10
Bid-YTW : 5.05 %
TD.PF.E FixedReset Disc 1.33 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-24
Maturity Price : 20.55
Evaluated at bid price : 20.55
Bid-YTW : 5.16 %
PWF.PR.A Floater 1.36 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-24
Maturity Price : 11.85
Evaluated at bid price : 11.85
Bid-YTW : 5.84 %
BMO.PR.Y FixedReset Disc 1.46 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-24
Maturity Price : 20.10
Evaluated at bid price : 20.10
Bid-YTW : 5.16 %
PWF.PR.T FixedReset Disc 1.61 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-24
Maturity Price : 18.35
Evaluated at bid price : 18.35
Bid-YTW : 5.31 %
NA.PR.G FixedReset Disc 1.86 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-24
Maturity Price : 20.76
Evaluated at bid price : 20.76
Bid-YTW : 5.25 %
CM.PR.S FixedReset Disc 2.44 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-24
Maturity Price : 19.28
Evaluated at bid price : 19.28
Bid-YTW : 5.19 %
Volume Highlights
Issue Index Shares
Traded		 Notes
SLF.PR.B Deemed-Retractible 151,443 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.40
Bid-YTW : 6.24 %
RY.PR.R FixedReset Prem 145,595 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-08-24
Maturity Price : 25.00
Evaluated at bid price : 26.01
Bid-YTW : 3.27 %
BNS.PR.Z FixedReset Bank Non 142,500 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.05
Bid-YTW : 3.92 %
NA.PR.A FixedReset Prem 133,100 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-08-15
Maturity Price : 25.00
Evaluated at bid price : 25.72
Bid-YTW : 3.80 %
BMO.PR.W FixedReset Disc 59,600 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-24
Maturity Price : 17.69
Evaluated at bid price : 17.69
Bid-YTW : 5.19 %
BMO.PR.S FixedReset Disc 56,939 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-24
Maturity Price : 18.16
Evaluated at bid price : 18.16
Bid-YTW : 5.26 %
There were 40 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
CM.PR.Q FixedReset Disc Quote: 19.15 – 19.78
Spot Rate : 0.6300
Average : 0.4167

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-24
Maturity Price : 19.15
Evaluated at bid price : 19.15
Bid-YTW : 5.43 %
BAM.PR.K Floater Quote: 11.17 – 11.70
Spot Rate : 0.5300
Average : 0.3321

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-24
Maturity Price : 11.17
Evaluated at bid price : 11.17
Bid-YTW : 6.26 %
BAM.PR.M Perpetual-Discount Quote: 20.60 – 21.03
Spot Rate : 0.4300
Average : 0.2911

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-24
Maturity Price : 20.60
Evaluated at bid price : 20.60
Bid-YTW : 5.83 %
BAM.PR.T FixedReset Disc Quote: 15.17 – 15.74
Spot Rate : 0.5700
Average : 0.4316

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-24
Maturity Price : 15.17
Evaluated at bid price : 15.17
Bid-YTW : 6.10 %
CU.PR.C FixedReset Disc Quote: 17.76 – 18.23
Spot Rate : 0.4700
Average : 0.3566

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-24
Maturity Price : 17.76
Evaluated at bid price : 17.76
Bid-YTW : 5.33 %
MFC.PR.N FixedReset Ins Non Quote: 16.97 – 17.33
Spot Rate : 0.3600
Average : 0.2496

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 16.97
Bid-YTW : 8.46 %
Market Action

July 23, 2019

HIMIPref™ Preferred Indices
These values reflect the December 2008 revision of the HIMIPref™ Indices
Values are provisional and are finalized monthly
Index Mean
Current
Yield
(at bid)		 Median
YTW		 Median
Average
Trading
Value		 Median
Mod Dur
(YTW)		 Issues Day’s Perf. Index Value
Ratchet 0.00 % 0.00 % 0 0.00 0 -0.1776 % 1,936.4
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.1776 % 3,553.3
Floater 6.15 % 6.32 % 38,609 13.43 4 -0.1776 % 2,047.8
OpRet 0.00 % 0.00 % 0 0.00 0 -0.1801 % 3,342.3
SplitShare 4.66 % 4.68 % 78,078 4.13 7 -0.1801 % 3,991.4
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.1801 % 3,114.3
Perpetual-Premium 5.61 % -16.54 % 56,139 0.09 7 0.0786 % 2,982.2
Perpetual-Discount 5.45 % 5.58 % 57,481 14.55 25 0.1302 % 3,120.4
FixedReset Disc 5.41 % 5.31 % 162,833 14.95 69 0.7197 % 2,126.2
Deemed-Retractible 5.22 % 5.86 % 64,704 7.96 27 0.1548 % 3,115.8
FloatingReset 4.05 % 4.20 % 40,043 2.43 4 0.4105 % 2,354.6
FixedReset Prem 5.13 % 3.78 % 163,106 1.90 17 0.2705 % 2,598.6
FixedReset Bank Non 1.98 % 3.95 % 91,815 2.44 3 0.4189 % 2,655.4
FixedReset Ins Non 5.24 % 7.21 % 84,711 8.07 22 0.4785 % 2,177.2
Performance Highlights
Issue Index Change Notes
CCS.PR.C Deemed-Retractible -1.63 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.10
Bid-YTW : 5.53 %
PWF.PR.A Floater -1.50 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-23
Maturity Price : 11.82
Evaluated at bid price : 11.82
Bid-YTW : 5.96 %
IFC.PR.A FixedReset Ins Non -1.36 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 15.25
Bid-YTW : 9.15 %
GWO.PR.N FixedReset Ins Non -1.33 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 14.06
Bid-YTW : 9.22 %
PWF.PR.T FixedReset Disc -1.31 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-23
Maturity Price : 18.06
Evaluated at bid price : 18.06
Bid-YTW : 5.39 %
TRP.PR.A FixedReset Disc 1.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-23
Maturity Price : 13.76
Evaluated at bid price : 13.76
Bid-YTW : 6.08 %
BAM.PF.A FixedReset Disc 1.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-23
Maturity Price : 19.10
Evaluated at bid price : 19.10
Bid-YTW : 5.94 %
TRP.PR.G FixedReset Disc 1.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-23
Maturity Price : 18.42
Evaluated at bid price : 18.42
Bid-YTW : 5.94 %
TRP.PR.F FloatingReset 1.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-23
Maturity Price : 13.80
Evaluated at bid price : 13.80
Bid-YTW : 6.55 %
CM.PR.R FixedReset Disc 1.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-23
Maturity Price : 21.79
Evaluated at bid price : 22.06
Bid-YTW : 5.34 %
CM.PR.P FixedReset Disc 1.18 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-23
Maturity Price : 17.20
Evaluated at bid price : 17.20
Bid-YTW : 5.31 %
TD.PF.B FixedReset Disc 1.19 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-23
Maturity Price : 17.90
Evaluated at bid price : 17.90
Bid-YTW : 5.14 %
BAM.PF.C Perpetual-Discount 1.21 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-23
Maturity Price : 20.85
Evaluated at bid price : 20.85
Bid-YTW : 5.88 %
BMO.PR.D FixedReset Disc 1.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-23
Maturity Price : 21.87
Evaluated at bid price : 22.17
Bid-YTW : 5.18 %
TRP.PR.D FixedReset Disc 1.28 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-23
Maturity Price : 16.64
Evaluated at bid price : 16.64
Bid-YTW : 5.75 %
BIP.PR.A FixedReset Disc 1.28 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-23
Maturity Price : 19.00
Evaluated at bid price : 19.00
Bid-YTW : 6.56 %
HSE.PR.A FixedReset Disc 1.31 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-23
Maturity Price : 12.41
Evaluated at bid price : 12.41
Bid-YTW : 6.18 %
RY.PR.M FixedReset Disc 1.31 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-23
Maturity Price : 19.35
Evaluated at bid price : 19.35
Bid-YTW : 5.23 %
SLF.PR.G FixedReset Ins Non 1.33 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 13.70
Bid-YTW : 9.77 %
TD.PF.J FixedReset Disc 1.37 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-23
Maturity Price : 20.70
Evaluated at bid price : 20.70
Bid-YTW : 5.12 %
TD.PF.E FixedReset Disc 1.40 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-23
Maturity Price : 20.28
Evaluated at bid price : 20.28
Bid-YTW : 5.23 %
RY.PR.J FixedReset Disc 1.41 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-23
Maturity Price : 20.10
Evaluated at bid price : 20.10
Bid-YTW : 5.19 %
SLF.PR.I FixedReset Ins Non 1.51 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.54
Bid-YTW : 7.07 %
BMO.PR.Y FixedReset Disc 1.54 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-23
Maturity Price : 19.81
Evaluated at bid price : 19.81
Bid-YTW : 5.24 %
BMO.PR.T FixedReset Disc 1.54 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-23
Maturity Price : 17.79
Evaluated at bid price : 17.79
Bid-YTW : 5.19 %
NA.PR.C FixedReset Disc 1.58 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-23
Maturity Price : 21.66
Evaluated at bid price : 21.91
Bid-YTW : 5.42 %
TD.PF.A FixedReset Disc 1.59 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-23
Maturity Price : 17.84
Evaluated at bid price : 17.84
Bid-YTW : 5.11 %
CU.PR.H Perpetual-Discount 1.69 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-23
Maturity Price : 24.24
Evaluated at bid price : 24.71
Bid-YTW : 5.37 %
TD.PF.C FixedReset Disc 1.76 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-23
Maturity Price : 17.91
Evaluated at bid price : 17.91
Bid-YTW : 5.11 %
BAM.PF.G FixedReset Disc 1.81 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-23
Maturity Price : 17.48
Evaluated at bid price : 17.48
Bid-YTW : 6.14 %
BAM.PR.X FixedReset Disc 1.97 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-23
Maturity Price : 12.94
Evaluated at bid price : 12.94
Bid-YTW : 6.07 %
CM.PR.Q FixedReset Disc 2.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-23
Maturity Price : 19.24
Evaluated at bid price : 19.24
Bid-YTW : 5.41 %
HSE.PR.E FixedReset Disc 2.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-23
Maturity Price : 19.75
Evaluated at bid price : 19.75
Bid-YTW : 6.32 %
HSE.PR.G FixedReset Disc 2.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-23
Maturity Price : 19.45
Evaluated at bid price : 19.45
Bid-YTW : 6.37 %
BMO.PR.C FixedReset Disc 2.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-23
Maturity Price : 22.61
Evaluated at bid price : 23.25
Bid-YTW : 5.08 %
IAF.PR.I FixedReset Ins Non 2.22 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.16
Bid-YTW : 6.54 %
MFC.PR.H FixedReset Ins Non 2.51 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.20
Bid-YTW : 6.57 %
TRP.PR.B FixedReset Disc 2.70 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-23
Maturity Price : 11.81
Evaluated at bid price : 11.81
Bid-YTW : 5.66 %
TD.PF.D FixedReset Disc 2.91 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-23
Maturity Price : 20.53
Evaluated at bid price : 20.53
Bid-YTW : 5.08 %
Volume Highlights
Issue Index Shares
Traded		 Notes
TD.PF.M FixedReset Disc 125,945 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-23
Maturity Price : 23.17
Evaluated at bid price : 25.04
Bid-YTW : 4.95 %
POW.PR.D Perpetual-Discount 72,032 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-23
Maturity Price : 22.05
Evaluated at bid price : 22.28
Bid-YTW : 5.64 %
MFC.PR.R FixedReset Ins Non 70,063 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.18
Bid-YTW : 5.62 %
BNS.PR.I FixedReset Disc 56,392 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-23
Maturity Price : 20.50
Evaluated at bid price : 20.50
Bid-YTW : 5.00 %
TD.PF.D FixedReset Disc 55,432 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-23
Maturity Price : 20.53
Evaluated at bid price : 20.53
Bid-YTW : 5.08 %
CM.PR.S FixedReset Disc 53,800 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-23
Maturity Price : 18.82
Evaluated at bid price : 18.82
Bid-YTW : 5.32 %
There were 28 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
IAF.PR.G FixedReset Ins Non Quote: 20.63 – 21.10
Spot Rate : 0.4700
Average : 0.2764

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.63
Bid-YTW : 6.47 %
BMO.PR.Y FixedReset Disc Quote: 19.81 – 20.48
Spot Rate : 0.6700
Average : 0.4804

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-23
Maturity Price : 19.81
Evaluated at bid price : 19.81
Bid-YTW : 5.24 %
BAM.PR.T FixedReset Disc Quote: 15.19 – 15.61
Spot Rate : 0.4200
Average : 0.2798

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-23
Maturity Price : 15.19
Evaluated at bid price : 15.19
Bid-YTW : 6.09 %
BMO.PR.D FixedReset Disc Quote: 22.17 – 22.58
Spot Rate : 0.4100
Average : 0.2838

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-23
Maturity Price : 21.87
Evaluated at bid price : 22.17
Bid-YTW : 5.18 %
PVS.PR.F SplitShare Quote: 25.30 – 25.59
Spot Rate : 0.2900
Average : 0.1839

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2024-09-30
Maturity Price : 25.00
Evaluated at bid price : 25.30
Bid-YTW : 4.69 %
NA.PR.G FixedReset Disc Quote: 20.38 – 21.01
Spot Rate : 0.6300
Average : 0.5277

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-23
Maturity Price : 20.38
Evaluated at bid price : 20.38
Bid-YTW : 5.35 %
Market Action

July 22, 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 0.0667 % 1,939.9
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.0667 % 3,559.6
Floater 6.14 % 6.35 % 39,274 13.40 4 0.0667 % 2,051.4
OpRet 0.00 % 0.00 % 0 0.00 0 -0.0338 % 3,348.3
SplitShare 4.65 % 4.62 % 77,925 4.13 7 -0.0338 % 3,998.6
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.0338 % 3,119.9
Perpetual-Premium 5.62 % -16.72 % 53,536 0.09 7 0.0449 % 2,979.8
Perpetual-Discount 5.46 % 5.58 % 57,990 14.56 25 0.1495 % 3,116.4
FixedReset Disc 5.45 % 5.30 % 162,665 14.91 69 0.1310 % 2,111.0
Deemed-Retractible 5.23 % 5.85 % 63,344 7.96 27 0.1518 % 3,110.9
FloatingReset 4.06 % 4.39 % 37,074 2.43 4 -0.1454 % 2,344.9
FixedReset Prem 5.14 % 3.92 % 164,432 1.90 17 0.1079 % 2,591.6
FixedReset Bank Non 1.99 % 4.23 % 92,918 2.44 3 -0.1255 % 2,644.3
FixedReset Ins Non 5.26 % 7.33 % 84,079 8.04 22 0.2918 % 2,166.9
Performance Highlights
Issue Index Change Notes
BIP.PR.D FixedReset Disc -2.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-22
Maturity Price : 21.53
Evaluated at bid price : 21.91
Bid-YTW : 5.91 %
BAM.PF.G FixedReset Disc -2.17 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-22
Maturity Price : 17.17
Evaluated at bid price : 17.17
Bid-YTW : 6.25 %
GWO.PR.N FixedReset Ins Non -1.72 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 14.25
Bid-YTW : 9.05 %
TRP.PR.C FixedReset Disc -1.72 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-22
Maturity Price : 12.01
Evaluated at bid price : 12.01
Bid-YTW : 6.01 %
TRP.PR.F FloatingReset -1.66 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-22
Maturity Price : 13.65
Evaluated at bid price : 13.65
Bid-YTW : 6.62 %
BIP.PR.A FixedReset Disc -1.26 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-22
Maturity Price : 18.76
Evaluated at bid price : 18.76
Bid-YTW : 6.65 %
IFC.PR.F Deemed-Retractible -1.26 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.30
Bid-YTW : 5.73 %
TD.PF.C FixedReset Disc -1.18 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-22
Maturity Price : 17.60
Evaluated at bid price : 17.60
Bid-YTW : 5.20 %
GWO.PR.R Deemed-Retractible -1.11 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.30
Bid-YTW : 6.29 %
TRP.PR.B FixedReset Disc -1.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-22
Maturity Price : 11.50
Evaluated at bid price : 11.50
Bid-YTW : 5.81 %
TD.PF.A FixedReset Disc -1.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-22
Maturity Price : 17.56
Evaluated at bid price : 17.56
Bid-YTW : 5.19 %
MFC.PR.K FixedReset Ins Non 1.00 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.18
Bid-YTW : 7.96 %
CCS.PR.C Deemed-Retractible 1.11 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.50
Bid-YTW : 5.32 %
TD.PF.E FixedReset Disc 1.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-22
Maturity Price : 20.00
Evaluated at bid price : 20.00
Bid-YTW : 5.30 %
RY.PR.M FixedReset Disc 1.17 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-22
Maturity Price : 19.10
Evaluated at bid price : 19.10
Bid-YTW : 5.29 %
SLF.PR.H FixedReset Ins Non 1.24 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 16.35
Bid-YTW : 8.46 %
PWF.PR.Z Perpetual-Discount 1.24 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-22
Maturity Price : 22.40
Evaluated at bid price : 22.78
Bid-YTW : 5.66 %
NA.PR.C FixedReset Disc 1.27 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-22
Maturity Price : 21.28
Evaluated at bid price : 21.57
Bid-YTW : 5.50 %
GWO.PR.Q Deemed-Retractible 1.33 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.56
Bid-YTW : 5.97 %
EMA.PR.F FixedReset Disc 1.35 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-22
Maturity Price : 17.29
Evaluated at bid price : 17.29
Bid-YTW : 5.94 %
GWO.PR.P Deemed-Retractible 1.43 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.75
Bid-YTW : 5.60 %
TD.PF.J FixedReset Disc 1.44 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-22
Maturity Price : 20.42
Evaluated at bid price : 20.42
Bid-YTW : 5.19 %
BIP.PR.E FixedReset Disc 1.49 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-22
Maturity Price : 21.40
Evaluated at bid price : 21.73
Bid-YTW : 5.80 %
SLF.PR.D Deemed-Retractible 1.80 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.95
Bid-YTW : 6.69 %
SLF.PR.J FloatingReset 1.83 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 13.36
Bid-YTW : 10.54 %
MFC.PR.N FixedReset Ins Non 1.98 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 16.99
Bid-YTW : 8.44 %
TD.PF.D FixedReset Disc 2.31 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-22
Maturity Price : 19.95
Evaluated at bid price : 19.95
Bid-YTW : 5.23 %
Volume Highlights
Issue Index Shares
Traded		 Notes
TD.PF.G FixedReset Prem 142,675 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-04-30
Maturity Price : 25.00
Evaluated at bid price : 25.91
Bid-YTW : 3.29 %
MFC.PR.F FixedReset Ins Non 108,900 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 13.35
Bid-YTW : 9.96 %
CM.PR.Q FixedReset Disc 50,800 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-22
Maturity Price : 18.86
Evaluated at bid price : 18.86
Bid-YTW : 5.52 %
NA.PR.A FixedReset Prem 37,800 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-08-15
Maturity Price : 25.00
Evaluated at bid price : 25.60
Bid-YTW : 4.03 %
BAM.PF.B FixedReset Disc 33,186 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-22
Maturity Price : 17.35
Evaluated at bid price : 17.35
Bid-YTW : 6.04 %
BMO.PR.Y FixedReset Disc 29,967 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-22
Maturity Price : 19.51
Evaluated at bid price : 19.51
Bid-YTW : 5.32 %
There were 15 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
BIP.PR.D FixedReset Disc Quote: 21.91 – 22.50
Spot Rate : 0.5900
Average : 0.4479

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-22
Maturity Price : 21.53
Evaluated at bid price : 21.91
Bid-YTW : 5.91 %
CU.PR.H Perpetual-Discount Quote: 24.30 – 24.80
Spot Rate : 0.5000
Average : 0.3971

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-22
Maturity Price : 23.84
Evaluated at bid price : 24.30
Bid-YTW : 5.46 %
GWO.PR.N FixedReset Ins Non Quote: 14.25 – 14.55
Spot Rate : 0.3000
Average : 0.1994

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 14.25
Bid-YTW : 9.05 %
IAF.PR.B Deemed-Retractible Quote: 21.76 – 22.32
Spot Rate : 0.5600
Average : 0.4620

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.76
Bid-YTW : 6.38 %
BAM.PF.G FixedReset Disc Quote: 17.17 – 17.50
Spot Rate : 0.3300
Average : 0.2348

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-22
Maturity Price : 17.17
Evaluated at bid price : 17.17
Bid-YTW : 6.25 %
EIT.PR.A SplitShare Quote: 25.50 – 25.88
Spot Rate : 0.3800
Average : 0.2906

YTW SCENARIO
Maturity Type : Soft Maturity
Maturity Date : 2024-03-14
Maturity Price : 25.00
Evaluated at bid price : 25.50
Bid-YTW : 4.46 %
Market Action

July 19, 2019

Caldwell Investment Management Ltd. has been naughty:

Caldwell Investment ran nine mutual funds and managed assets ranging from $320-million to $495-million between Jan. 1, 2013, and Nov. 15, 2016, the period in which the OSC found the infractions occurred.

As an example of problematic dealings, the OSC said two-thirds of Caldwell’s balanced-fund equity trades were made through unaffiliated dealers at an average commission rate of 5 cents a share. The remaining third, however, were executed through Caldwell Securities, at an average commission rate of 16 cents a share.

The OSC also found instances where the same security was traded at Caldwell Securities with commission rates between four and 13 times higher than what was available at unaffiliated dealers.

The Settlement Agreement has more juicy details, e.g.:

Security Account B/S Date traded Quantity Dealer Commission/
share		 Multiple over unaffiliated dealer
Bank Nova Scotia Balanced Fund B 2014-01-30 4400 CIBC $0.05  
Bank Nova Scotia Balanced Fund B 2014-01-31 2000 CSL $0.30 6x

Some readers may wonder who in their right mind would agree to pay even $0.05 per share to trade 4,400 BNS. So I’ll point out that, in the ethos of the Street, we’re not talking about real money here. We’re talking about client money, which is an entirely different thing.

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 -1.0334 % 1,938.6
FixedFloater 0.00 % 0.00 % 0 0.00 0 -1.0334 % 3,557.2
Floater 6.14 % 6.32 % 37,162 13.43 4 -1.0334 % 2,050.1
OpRet 0.00 % 0.00 % 0 0.00 0 0.0225 % 3,349.5
SplitShare 4.65 % 4.63 % 78,481 4.14 7 0.0225 % 4,000.0
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0225 % 3,121.0
Perpetual-Premium 5.62 % -17.88 % 54,310 0.09 7 -0.2801 % 2,978.5
Perpetual-Discount 5.46 % 5.58 % 60,377 14.55 25 -0.2619 % 3,111.7
FixedReset Disc 5.45 % 5.53 % 163,346 14.60 69 -0.5795 % 2,108.3
Deemed-Retractible 5.23 % 5.88 % 65,954 7.97 27 -0.1532 % 3,106.2
FloatingReset 4.07 % 4.18 % 38,302 2.44 4 -0.5523 % 2,348.4
FixedReset Prem 5.15 % 4.01 % 166,861 1.91 17 -0.3089 % 2,588.8
FixedReset Bank Non 1.98 % 4.30 % 93,979 2.45 3 -0.1393 % 2,647.6
FixedReset Ins Non 5.28 % 7.48 % 87,570 8.00 22 -0.5659 % 2,160.6
Performance Highlights
Issue Index Change Notes
BAM.PR.X FixedReset Disc -3.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-19
Maturity Price : 12.61
Evaluated at bid price : 12.61
Bid-YTW : 6.50 %
SLF.PR.J FloatingReset -2.96 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 13.12
Bid-YTW : 10.77 %
MFC.PR.N FixedReset Ins Non -2.74 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 16.66
Bid-YTW : 8.88 %
TD.PF.D FixedReset Disc -2.74 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-19
Maturity Price : 19.50
Evaluated at bid price : 19.50
Bid-YTW : 5.55 %
BAM.PF.A FixedReset Disc -2.44 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-19
Maturity Price : 18.78
Evaluated at bid price : 18.78
Bid-YTW : 6.21 %
TD.PF.E FixedReset Disc -2.37 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-19
Maturity Price : 19.77
Evaluated at bid price : 19.77
Bid-YTW : 5.56 %
TD.PF.J FixedReset Disc -2.19 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-19
Maturity Price : 20.13
Evaluated at bid price : 20.13
Bid-YTW : 5.43 %
RY.PR.M FixedReset Disc -2.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-19
Maturity Price : 18.88
Evaluated at bid price : 18.88
Bid-YTW : 5.57 %
SLF.PR.D Deemed-Retractible -2.09 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.58
Bid-YTW : 6.91 %
PWF.PR.Z Perpetual-Discount -2.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-19
Maturity Price : 22.17
Evaluated at bid price : 22.50
Bid-YTW : 5.73 %
MFC.PR.M FixedReset Ins Non -2.02 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 16.99
Bid-YTW : 8.72 %
GWO.PR.Q Deemed-Retractible -1.98 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.25
Bid-YTW : 6.13 %
TRP.PR.A FixedReset Disc -1.80 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-19
Maturity Price : 13.65
Evaluated at bid price : 13.65
Bid-YTW : 6.43 %
BAM.PR.B Floater -1.79 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-19
Maturity Price : 10.95
Evaluated at bid price : 10.95
Bid-YTW : 6.38 %
EMA.PR.F FixedReset Disc -1.78 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-19
Maturity Price : 17.06
Evaluated at bid price : 17.06
Bid-YTW : 6.27 %
CM.PR.Q FixedReset Disc -1.62 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-19
Maturity Price : 18.79
Evaluated at bid price : 18.79
Bid-YTW : 5.75 %
MFC.PR.K FixedReset Ins Non -1.59 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.00
Bid-YTW : 8.19 %
TRP.PR.E FixedReset Disc -1.57 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-19
Maturity Price : 15.70
Evaluated at bid price : 15.70
Bid-YTW : 6.26 %
NA.PR.G FixedReset Disc -1.52 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-19
Maturity Price : 20.15
Evaluated at bid price : 20.15
Bid-YTW : 5.57 %
TRP.PR.C FixedReset Disc -1.45 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-19
Maturity Price : 12.22
Evaluated at bid price : 12.22
Bid-YTW : 6.22 %
BAM.PR.K Floater -1.44 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-19
Maturity Price : 10.96
Evaluated at bid price : 10.96
Bid-YTW : 6.38 %
W.PR.K FixedReset Prem -1.42 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-01-15
Maturity Price : 25.00
Evaluated at bid price : 25.06
Bid-YTW : 5.14 %
BAM.PF.G FixedReset Disc -1.40 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-19
Maturity Price : 17.55
Evaluated at bid price : 17.55
Bid-YTW : 6.35 %
PWF.PR.S Perpetual-Discount -1.39 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-19
Maturity Price : 21.35
Evaluated at bid price : 21.35
Bid-YTW : 5.65 %
CU.PR.D Perpetual-Discount -1.36 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-19
Maturity Price : 22.26
Evaluated at bid price : 22.56
Bid-YTW : 5.50 %
SLF.PR.I FixedReset Ins Non -1.29 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.10
Bid-YTW : 7.48 %
BIP.PR.D FixedReset Disc -1.28 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-19
Maturity Price : 22.08
Evaluated at bid price : 22.41
Bid-YTW : 5.94 %
IAF.PR.I FixedReset Ins Non -1.24 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.65
Bid-YTW : 6.95 %
BMO.PR.S FixedReset Disc -1.21 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-19
Maturity Price : 17.98
Evaluated at bid price : 17.98
Bid-YTW : 5.49 %
BAM.PR.R FixedReset Disc -1.18 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-19
Maturity Price : 15.02
Evaluated at bid price : 15.02
Bid-YTW : 6.32 %
TD.PF.B FixedReset Disc -1.17 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-19
Maturity Price : 17.72
Evaluated at bid price : 17.72
Bid-YTW : 5.43 %
SLF.PR.A Deemed-Retractible -1.12 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.00
Bid-YTW : 6.40 %
BMO.PR.T FixedReset Disc -1.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-19
Maturity Price : 17.52
Evaluated at bid price : 17.52
Bid-YTW : 5.51 %
BAM.PF.F FixedReset Disc -1.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-19
Maturity Price : 17.85
Evaluated at bid price : 17.85
Bid-YTW : 6.26 %
BMO.PR.W FixedReset Disc 1.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-19
Maturity Price : 17.46
Evaluated at bid price : 17.46
Bid-YTW : 5.50 %
GWO.PR.R Deemed-Retractible 1.49 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.55
Bid-YTW : 6.14 %
Volume Highlights
Issue Index Shares
Traded		 Notes
TD.PF.M FixedReset Disc 290,998 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-19
Maturity Price : 23.16
Evaluated at bid price : 25.00
Bid-YTW : 5.08 %
CM.PR.Y FixedReset Disc 261,072 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-19
Maturity Price : 23.15
Evaluated at bid price : 24.96
Bid-YTW : 5.15 %
BMO.PR.F FixedReset Disc 190,524 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-19
Maturity Price : 23.22
Evaluated at bid price : 25.15
Bid-YTW : 5.05 %
RY.PR.F Deemed-Retractible 179,628 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2019-08-18
Maturity Price : 25.00
Evaluated at bid price : 25.33
Bid-YTW : -3.25 %
CU.PR.D Perpetual-Discount 176,710 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-19
Maturity Price : 22.26
Evaluated at bid price : 22.56
Bid-YTW : 5.50 %
MFC.PR.F FixedReset Ins Non 165,722 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 13.37
Bid-YTW : 10.12 %
SLF.PR.G FixedReset Ins Non 141,863 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 13.62
Bid-YTW : 10.05 %
There were 54 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
GWO.PR.Q Deemed-Retractible Quote: 23.25 – 23.90
Spot Rate : 0.6500
Average : 0.4403

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.25
Bid-YTW : 6.13 %
TD.PF.L FixedReset Disc Quote: 24.74 – 25.20
Spot Rate : 0.4600
Average : 0.2606

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-19
Maturity Price : 23.09
Evaluated at bid price : 24.74
Bid-YTW : 4.90 %
TD.PF.D FixedReset Disc Quote: 19.50 – 20.12
Spot Rate : 0.6200
Average : 0.4240

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-19
Maturity Price : 19.50
Evaluated at bid price : 19.50
Bid-YTW : 5.55 %
NA.PR.G FixedReset Disc Quote: 20.15 – 20.69
Spot Rate : 0.5400
Average : 0.3777

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-19
Maturity Price : 20.15
Evaluated at bid price : 20.15
Bid-YTW : 5.57 %
EMA.PR.F FixedReset Disc Quote: 17.06 – 17.60
Spot Rate : 0.5400
Average : 0.3831

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-19
Maturity Price : 17.06
Evaluated at bid price : 17.06
Bid-YTW : 6.27 %
TD.PF.E FixedReset Disc Quote: 19.77 – 20.21
Spot Rate : 0.4400
Average : 0.2899

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-19
Maturity Price : 19.77
Evaluated at bid price : 19.77
Bid-YTW : 5.56 %
Market Action

July 18, 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 -0.2632 % 1,958.8
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.2632 % 3,594.4
Floater 6.08 % 6.26 % 37,141 13.52 4 -0.2632 % 2,071.5
OpRet 0.00 % 0.00 % 0 0.00 0 -0.0563 % 3,348.7
SplitShare 4.65 % 4.64 % 78,242 4.14 7 -0.0563 % 3,999.1
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.0563 % 3,120.3
Perpetual-Premium 5.60 % -18.72 % 53,918 0.09 7 0.2696 % 2,986.8
Perpetual-Discount 5.45 % 5.57 % 58,872 14.58 25 0.0625 % 3,119.9
FixedReset Disc 5.42 % 5.48 % 164,797 14.62 69 -0.3848 % 2,120.6
Deemed-Retractible 5.22 % 5.78 % 65,053 7.98 27 -0.0158 % 3,111.0
FloatingReset 4.05 % 4.17 % 38,085 2.44 4 -0.2099 % 2,361.4
FixedReset Prem 5.13 % 3.98 % 164,228 1.91 17 0.1421 % 2,596.8
FixedReset Bank Non 1.98 % 4.04 % 94,357 2.45 3 -0.1669 % 2,651.3
FixedReset Ins Non 5.25 % 7.38 % 88,172 8.01 22 -0.2678 % 2,172.8
Performance Highlights
Issue Index Change Notes
BMO.PR.W FixedReset Disc -3.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-18
Maturity Price : 17.27
Evaluated at bid price : 17.27
Bid-YTW : 5.57 %
HSE.PR.G FixedReset Disc -1.85 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-18
Maturity Price : 19.07
Evaluated at bid price : 19.07
Bid-YTW : 6.70 %
GWO.PR.N FixedReset Ins Non -1.84 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 14.38
Bid-YTW : 9.13 %
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 : 13.32
Bid-YTW : 10.16 %
PWF.PR.T FixedReset Disc -1.63 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-18
Maturity Price : 18.06
Evaluated at bid price : 18.06
Bid-YTW : 5.57 %
TRP.PR.E FixedReset Disc -1.54 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-18
Maturity Price : 15.95
Evaluated at bid price : 15.95
Bid-YTW : 6.16 %
TRP.PR.D FixedReset Disc -1.50 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-18
Maturity Price : 16.41
Evaluated at bid price : 16.41
Bid-YTW : 6.02 %
HSE.PR.A FixedReset Disc -1.44 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-18
Maturity Price : 12.35
Evaluated at bid price : 12.35
Bid-YTW : 6.51 %
TRP.PR.B FixedReset Disc -1.43 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-18
Maturity Price : 11.73
Evaluated at bid price : 11.73
Bid-YTW : 6.04 %
BIP.PR.A FixedReset Disc -1.40 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-18
Maturity Price : 19.00
Evaluated at bid price : 19.00
Bid-YTW : 6.77 %
MFC.PR.Q FixedReset Ins Non -1.27 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.45
Bid-YTW : 7.56 %
MFC.PR.N FixedReset Ins Non -1.27 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 17.13
Bid-YTW : 8.53 %
RY.PR.J FixedReset Disc -1.24 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-18
Maturity Price : 19.94
Evaluated at bid price : 19.94
Bid-YTW : 5.44 %
BAM.PR.Z FixedReset Disc -1.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-18
Maturity Price : 18.67
Evaluated at bid price : 18.67
Bid-YTW : 6.17 %
NA.PR.S FixedReset Disc -1.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-18
Maturity Price : 17.81
Evaluated at bid price : 17.81
Bid-YTW : 5.59 %
PWF.PR.S Perpetual-Discount -1.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-18
Maturity Price : 21.65
Evaluated at bid price : 21.65
Bid-YTW : 5.57 %
TD.PF.D FixedReset Disc -1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-18
Maturity Price : 20.05
Evaluated at bid price : 20.05
Bid-YTW : 5.40 %
BIP.PR.E FixedReset Disc 1.41 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-18
Maturity Price : 21.31
Evaluated at bid price : 21.60
Bid-YTW : 5.83 %
BAM.PF.F FixedReset Disc 1.81 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-18
Maturity Price : 18.04
Evaluated at bid price : 18.04
Bid-YTW : 6.19 %
Volume Highlights
Issue Index Shares
Traded		 Notes
RY.PR.H FixedReset Disc 205,562 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-18
Maturity Price : 18.18
Evaluated at bid price : 18.18
Bid-YTW : 5.34 %
TD.PF.K FixedReset Disc 169,503 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-18
Maturity Price : 20.39
Evaluated at bid price : 20.39
Bid-YTW : 5.29 %
TD.PF.I FixedReset Disc 71,919 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-18
Maturity Price : 21.45
Evaluated at bid price : 21.80
Bid-YTW : 5.22 %
CM.PR.S FixedReset Disc 69,697 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-18
Maturity Price : 18.65
Evaluated at bid price : 18.65
Bid-YTW : 5.54 %
BMO.PR.T FixedReset Disc 60,900 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-18
Maturity Price : 17.71
Evaluated at bid price : 17.71
Bid-YTW : 5.45 %
IAF.PR.G FixedReset Ins Non 52,298 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.57
Bid-YTW : 6.62 %
There were 20 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
HSE.PR.G FixedReset Disc Quote: 19.07 – 20.00
Spot Rate : 0.9300
Average : 0.6744

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-18
Maturity Price : 19.07
Evaluated at bid price : 19.07
Bid-YTW : 6.70 %
CCS.PR.C Deemed-Retractible Quote: 24.10 – 24.70
Spot Rate : 0.6000
Average : 0.4117

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.10
Bid-YTW : 5.52 %
BMO.PR.W FixedReset Disc Quote: 17.27 – 17.71
Spot Rate : 0.4400
Average : 0.2779

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-18
Maturity Price : 17.27
Evaluated at bid price : 17.27
Bid-YTW : 5.57 %
BAM.PR.Z FixedReset Disc Quote: 18.67 – 19.10
Spot Rate : 0.4300
Average : 0.2911

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-18
Maturity Price : 18.67
Evaluated at bid price : 18.67
Bid-YTW : 6.17 %
TRP.PR.B FixedReset Disc Quote: 11.73 – 12.09
Spot Rate : 0.3600
Average : 0.2693

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-18
Maturity Price : 11.73
Evaluated at bid price : 11.73
Bid-YTW : 6.04 %
BNS.PR.D FloatingReset Quote: 24.35 – 24.70
Spot Rate : 0.3500
Average : 0.2603

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.35
Bid-YTW : 3.71 %
Market Action

July 17, 2019

Inflation does not appear to be a problem:

Although two of the Bank of Canada’s measures of core inflation remained above 2 per cent, CPI common – which the central bank says is the best gauge of the economy’s underperformance – was unchanged at 1.8 per cent.

Energy prices fell 4.1 per cent year-over-year in June as Canadians paid less for gasoline and other fuels. Oil prices dipped amid rising U.S. fuel inventories and the elimination of carbon pricing in Alberta.

But consumers are paying more for other products – notably fresh vegetables, where prices jumped 17.3 per cent, the largest increase seen since January, 2016. The rise, which follows a similar gain in May, was owing in part to inclement weather in agricultural regions.

But bond prices were up:

At 3:16 p.m., the Canadian dollar was trading 0.3 per cent higher at 1.3045 to the greenback, or 76.66 U.S. cents. The currency, which last Friday notched a near nine-month high at 1.3018, traded in a range of 1.3035 and 1.3093.

The gain for the loonie came even as the price of oil, one of Canada’s major exports, fell for the third straight day after U.S. government data showed large builds in refined product stockpiles. U.S. crude futures settled 1.5 per cent lower at $56.78 a barrel.

Canadian government bond prices were higher across a flatter yield curve in sympathy with U.S. Treasuries after data showed weakness in the U.S. housing market and as concerns about the trade war between the United States and China boosted demand for safe-haven debt.

The two-year rose 6 cents to yield 1.527 per cent and the 10-year was up 48 cents to yield 1.535 per cent.

The 10-year yield touched its lowest intraday since July 5 at 1.532 per cent.

The Canada 5-Year yield was down 6bp to 1.45%.

PerpetualDiscounts now yield 5.57%, equivalent to 7.24% interest at the standard equivalency factor of 1.3x. Long corporates now yield 3.43%, so the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) is now about 380bp, a slight (and perhaps spurious) widening from the 375bp reported July 10.

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 -0.1314 % 1,964.0
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.1314 % 3,603.9
Floater 6.06 % 6.24 % 37,529 13.56 4 -0.1314 % 2,076.9
OpRet 0.00 % 0.00 % 0 0.00 0 0.1070 % 3,350.6
SplitShare 4.65 % 4.63 % 76,585 4.15 7 0.1070 % 4,001.3
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.1070 % 3,122.0
Perpetual-Premium 5.62 % -15.84 % 52,786 0.09 7 0.0169 % 2,978.8
Perpetual-Discount 5.45 % 5.57 % 59,129 14.57 25 0.0365 % 3,118.0
FixedReset Disc 5.40 % 5.44 % 157,898 14.68 69 0.1576 % 2,128.7
Deemed-Retractible 5.22 % 5.78 % 64,401 7.98 27 0.1106 % 3,111.5
FloatingReset 4.04 % 4.37 % 38,372 2.45 4 -0.2095 % 2,366.4
FixedReset Prem 5.14 % 4.01 % 169,773 1.92 17 0.0711 % 2,593.1
FixedReset Bank Non 1.98 % 4.00 % 95,059 2.46 3 0.4469 % 2,655.7
FixedReset Ins Non 5.24 % 7.39 % 88,547 8.01 22 0.3070 % 2,178.7
Performance Highlights
Issue Index Change Notes
BAM.PF.F FixedReset Disc -1.61 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-17
Maturity Price : 17.72
Evaluated at bid price : 17.72
Bid-YTW : 6.31 %
IFC.PR.A FixedReset Ins Non -1.02 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 15.45
Bid-YTW : 9.10 %
CM.PR.O FixedReset Disc -1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-17
Maturity Price : 17.42
Evaluated at bid price : 17.42
Bid-YTW : 5.59 %
NA.PR.E FixedReset Disc -1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-17
Maturity Price : 19.50
Evaluated at bid price : 19.50
Bid-YTW : 5.44 %
CM.PR.S FixedReset Disc -1.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-17
Maturity Price : 18.71
Evaluated at bid price : 18.71
Bid-YTW : 5.52 %
BAM.PF.G FixedReset Disc 1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-17
Maturity Price : 17.80
Evaluated at bid price : 17.80
Bid-YTW : 6.26 %
MFC.PR.J FixedReset Ins Non 1.04 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.43
Bid-YTW : 7.61 %
MFC.PR.K FixedReset Ins Non 1.10 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.41
Bid-YTW : 7.90 %
IAF.PR.I FixedReset Ins Non 1.16 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.90
Bid-YTW : 6.80 %
CM.PR.Q FixedReset Disc 1.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-17
Maturity Price : 19.15
Evaluated at bid price : 19.15
Bid-YTW : 5.64 %
TRP.PR.C FixedReset Disc 1.30 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-17
Maturity Price : 12.47
Evaluated at bid price : 12.47
Bid-YTW : 6.09 %
TRP.PR.D FixedReset Disc 1.34 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-17
Maturity Price : 16.66
Evaluated at bid price : 16.66
Bid-YTW : 5.92 %
CCS.PR.C Deemed-Retractible 1.43 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.10
Bid-YTW : 5.52 %
BAM.PR.Z FixedReset Disc 1.89 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-17
Maturity Price : 18.90
Evaluated at bid price : 18.90
Bid-YTW : 6.09 %
Volume Highlights
Issue Index Shares
Traded		 Notes
CM.PR.R FixedReset Disc 279,524 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-17
Maturity Price : 21.51
Evaluated at bid price : 21.89
Bid-YTW : 5.53 %
TD.PF.M FixedReset Disc 106,066 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-17
Maturity Price : 23.14
Evaluated at bid price : 24.95
Bid-YTW : 5.09 %
BMO.PR.D FixedReset Disc 77,900 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-17
Maturity Price : 21.46
Evaluated at bid price : 21.81
Bid-YTW : 5.42 %
CU.PR.C FixedReset Disc 76,200 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-17
Maturity Price : 17.60
Evaluated at bid price : 17.60
Bid-YTW : 5.57 %
TRP.PR.C FixedReset Disc 51,200 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-17
Maturity Price : 12.47
Evaluated at bid price : 12.47
Bid-YTW : 6.09 %
BAM.PF.F FixedReset Disc 39,300 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-17
Maturity Price : 17.72
Evaluated at bid price : 17.72
Bid-YTW : 6.31 %
There were 19 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
BAM.PF.F FixedReset Disc Quote: 17.72 – 18.51
Spot Rate : 0.7900
Average : 0.5421

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-17
Maturity Price : 17.72
Evaluated at bid price : 17.72
Bid-YTW : 6.31 %
IFC.PR.C FixedReset Ins Non Quote: 18.16 – 18.60
Spot Rate : 0.4400
Average : 0.3146

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.16
Bid-YTW : 7.93 %
SLF.PR.G FixedReset Ins Non Quote: 13.81 – 14.19
Spot Rate : 0.3800
Average : 0.2617

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 13.81
Bid-YTW : 9.87 %
PWF.PR.O Perpetual-Premium Quote: 25.51 – 25.81
Spot Rate : 0.3000
Average : 0.1903

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2019-08-16
Maturity Price : 25.00
Evaluated at bid price : 25.51
Bid-YTW : -20.38 %
MFC.PR.H FixedReset Ins Non Quote: 20.55 – 20.91
Spot Rate : 0.3600
Average : 0.2516

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.55
Bid-YTW : 7.08 %
BMO.PR.D FixedReset Disc Quote: 21.81 – 22.18
Spot Rate : 0.3700
Average : 0.2621

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-17
Maturity Price : 21.46
Evaluated at bid price : 21.81
Bid-YTW : 5.42 %
Market Action

July 16, 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 -0.7175 % 1,966.6
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.7175 % 3,608.6
Floater 6.06 % 6.23 % 37,997 13.57 4 -0.7175 % 2,079.7
OpRet 0.00 % 0.00 % 0 0.00 0 -0.0619 % 3,347.0
SplitShare 4.65 % 4.63 % 79,630 4.15 7 -0.0619 % 3,997.1
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.0619 % 3,118.7
Perpetual-Premium 5.62 % -16.02 % 54,956 0.09 7 0.0900 % 2,978.3
Perpetual-Discount 5.46 % 5.56 % 61,369 14.59 25 0.0000 % 3,116.8
FixedReset Disc 5.41 % 5.43 % 159,167 14.68 69 -0.5216 % 2,125.4
Deemed-Retractible 5.23 % 5.82 % 65,918 7.99 27 0.0696 % 3,108.0
FloatingReset 4.03 % 4.37 % 39,650 2.45 4 0.2099 % 2,371.3
FixedReset Prem 5.14 % 4.01 % 166,973 1.92 17 0.0252 % 2,591.3
FixedReset Bank Non 1.99 % 4.29 % 95,980 2.46 3 -0.1951 % 2,643.9
FixedReset Ins Non 5.25 % 7.41 % 87,502 8.02 22 -0.0288 % 2,172.0
Performance Highlights
Issue Index Change Notes
TD.PF.J FixedReset Disc -2.56 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-16
Maturity Price : 20.55
Evaluated at bid price : 20.55
Bid-YTW : 5.32 %
BMO.PR.S FixedReset Disc -2.51 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-16
Maturity Price : 18.25
Evaluated at bid price : 18.25
Bid-YTW : 5.40 %
TRP.PR.G FixedReset Disc -2.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-16
Maturity Price : 18.24
Evaluated at bid price : 18.24
Bid-YTW : 6.21 %
MFC.PR.K FixedReset Ins Non -2.04 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.21
Bid-YTW : 8.04 %
CM.PR.Q FixedReset Disc -1.92 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-16
Maturity Price : 18.93
Evaluated at bid price : 18.93
Bid-YTW : 5.70 %
BAM.PF.F FixedReset Disc -1.85 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-16
Maturity Price : 18.01
Evaluated at bid price : 18.01
Bid-YTW : 6.20 %
HSE.PR.G FixedReset Disc -1.63 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-16
Maturity Price : 19.33
Evaluated at bid price : 19.33
Bid-YTW : 6.61 %
BNS.PR.I FixedReset Disc -1.59 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-16
Maturity Price : 20.49
Evaluated at bid price : 20.49
Bid-YTW : 5.15 %
RY.PR.Z FixedReset Disc -1.58 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-16
Maturity Price : 18.01
Evaluated at bid price : 18.01
Bid-YTW : 5.29 %
BAM.PF.G FixedReset Disc -1.56 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-16
Maturity Price : 17.62
Evaluated at bid price : 17.62
Bid-YTW : 6.32 %
CM.PR.S FixedReset Disc -1.56 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-16
Maturity Price : 18.90
Evaluated at bid price : 18.90
Bid-YTW : 5.47 %
PWF.PR.L Perpetual-Discount -1.48 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-16
Maturity Price : 22.45
Evaluated at bid price : 22.71
Bid-YTW : 5.62 %
BIP.PR.E FixedReset Disc -1.35 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-16
Maturity Price : 21.21
Evaluated at bid price : 21.21
Bid-YTW : 5.95 %
BAM.PR.Z FixedReset Disc -1.33 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-16
Maturity Price : 18.55
Evaluated at bid price : 18.55
Bid-YTW : 6.21 %
NA.PR.C FixedReset Disc -1.24 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-16
Maturity Price : 21.29
Evaluated at bid price : 21.58
Bid-YTW : 5.65 %
TD.PF.D FixedReset Disc -1.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-16
Maturity Price : 20.09
Evaluated at bid price : 20.09
Bid-YTW : 5.39 %
CU.PR.C FixedReset Disc -1.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-16
Maturity Price : 17.67
Evaluated at bid price : 17.67
Bid-YTW : 5.55 %
BAM.PR.B Floater -1.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-16
Maturity Price : 11.20
Evaluated at bid price : 11.20
Bid-YTW : 6.24 %
BMO.PR.D FixedReset Disc -1.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-16
Maturity Price : 21.43
Evaluated at bid price : 21.77
Bid-YTW : 5.43 %
IFC.PR.A 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 : 8.97 %
MFC.PR.N FixedReset Ins Non 1.28 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 17.39
Bid-YTW : 8.33 %
Volume Highlights
Issue Index Shares
Traded		 Notes
TD.PF.G FixedReset Prem 178,653 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-04-30
Maturity Price : 25.00
Evaluated at bid price : 25.76
Bid-YTW : 3.60 %
TD.PF.A FixedReset Disc 157,110 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-16
Maturity Price : 17.95
Evaluated at bid price : 17.95
Bid-YTW : 5.31 %
SLF.PR.A Deemed-Retractible 79,736 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.10
Bid-YTW : 6.34 %
IAF.PR.G FixedReset Ins Non 71,850 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.45
Bid-YTW : 6.69 %
BMO.PR.T FixedReset Disc 71,800 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-16
Maturity Price : 17.84
Evaluated at bid price : 17.84
Bid-YTW : 5.41 %
CM.PR.R FixedReset Disc 69,261 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-16
Maturity Price : 21.41
Evaluated at bid price : 21.75
Bid-YTW : 5.56 %
There were 33 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
TD.PF.J FixedReset Disc Quote: 20.55 – 21.07
Spot Rate : 0.5200
Average : 0.3112

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-16
Maturity Price : 20.55
Evaluated at bid price : 20.55
Bid-YTW : 5.32 %
MFC.PR.K FixedReset Ins Non Quote: 18.21 – 18.83
Spot Rate : 0.6200
Average : 0.4692

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.21
Bid-YTW : 8.04 %
SLF.PR.A Deemed-Retractible Quote: 22.10 – 22.49
Spot Rate : 0.3900
Average : 0.2421

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.10
Bid-YTW : 6.34 %
PWF.PR.L Perpetual-Discount Quote: 22.71 – 23.07
Spot Rate : 0.3600
Average : 0.2427

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-16
Maturity Price : 22.45
Evaluated at bid price : 22.71
Bid-YTW : 5.62 %
TD.PF.D FixedReset Disc Quote: 20.09 – 20.48
Spot Rate : 0.3900
Average : 0.2754

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-16
Maturity Price : 20.09
Evaluated at bid price : 20.09
Bid-YTW : 5.39 %
BAM.PF.F FixedReset Disc Quote: 18.01 – 18.39
Spot Rate : 0.3800
Average : 0.2704

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-16
Maturity Price : 18.01
Evaluated at bid price : 18.01
Bid-YTW : 6.20 %
Market Action

July 15, 2019

Some great news about drones:

In April, Google’s parent company Alphabet got the green light from the FAA to start delivering goods via drone in Virginia. The company’s service is already underway in Australia and includes foodservice establishments.

Amazon unveiled its Prime Air delivery drone in early June, with plans to deliver packages from the Amazon platform “in the coming months.”

Also in June, Uber received permission from the FAA to test drone delivery in San Diego. Its initial test phase included Uber Eats’ partner McDonald’s, and the company plans to test the service with other restaurant partners later this year, according to TechCrunch.

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 0.3929 % 1,980.8
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.3929 % 3,634.7
Floater 6.01 % 6.17 % 38,041 13.66 4 0.3929 % 2,094.7
OpRet 0.00 % 0.00 % 0 0.00 0 0.1861 % 3,349.1
SplitShare 4.65 % 4.59 % 78,371 4.15 7 0.1861 % 3,999.5
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.1861 % 3,120.6
Perpetual-Premium 5.62 % -16.20 % 54,666 0.09 7 -0.0618 % 2,975.6
Perpetual-Discount 5.46 % 5.54 % 60,163 14.57 25 0.1060 % 3,116.8
FixedReset Disc 5.38 % 5.40 % 160,316 14.69 69 -0.1640 % 2,136.5
Deemed-Retractible 5.23 % 5.86 % 68,088 7.99 27 0.0079 % 3,105.9
FloatingReset 4.04 % 4.36 % 39,411 2.45 4 -0.1572 % 2,366.4
FixedReset Prem 5.14 % 4.02 % 168,552 1.92 17 -0.0229 % 2,590.6
FixedReset Bank Non 1.98 % 4.22 % 95,691 2.46 3 0.0279 % 2,649.1
FixedReset Ins Non 5.25 % 7.45 % 88,185 8.03 22 -0.3727 % 2,172.6
Performance Highlights
Issue Index Change Notes
MFC.PR.M FixedReset Ins Non -1.74 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 17.46
Bid-YTW : 8.36 %
MFC.PR.N FixedReset Ins Non -1.66 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 17.17
Bid-YTW : 8.49 %
BMO.PR.Y FixedReset Disc -1.62 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-15
Maturity Price : 19.48
Evaluated at bid price : 19.48
Bid-YTW : 5.53 %
MFC.PR.J FixedReset Ins Non -1.59 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.21
Bid-YTW : 7.75 %
BAM.PF.B FixedReset Disc -1.51 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-15
Maturity Price : 17.60
Evaluated at bid price : 17.60
Bid-YTW : 6.12 %
RY.PR.M FixedReset Disc -1.42 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-15
Maturity Price : 19.46
Evaluated at bid price : 19.46
Bid-YTW : 5.39 %
SLF.PR.H FixedReset Ins Non -1.42 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 16.00
Bid-YTW : 8.87 %
RY.PR.J FixedReset Disc -1.33 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-15
Maturity Price : 20.06
Evaluated at bid price : 20.06
Bid-YTW : 5.40 %
TRP.PR.A FixedReset Disc -1.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-15
Maturity Price : 14.05
Evaluated at bid price : 14.05
Bid-YTW : 6.24 %
BMO.PR.S FixedReset Disc -1.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-15
Maturity Price : 18.72
Evaluated at bid price : 18.72
Bid-YTW : 5.26 %
MFC.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 : 20.73
Bid-YTW : 6.88 %
IFC.PR.A FixedReset Ins Non -1.09 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 15.45
Bid-YTW : 9.10 %
BIP.PR.D FixedReset Disc -1.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-15
Maturity Price : 22.08
Evaluated at bid price : 22.41
Bid-YTW : 5.93 %
CU.PR.I FixedReset Prem -1.05 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2020-12-01
Maturity Price : 25.00
Evaluated at bid price : 25.35
Bid-YTW : 3.86 %
BAM.PF.J FixedReset Disc 1.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-15
Maturity Price : 22.98
Evaluated at bid price : 24.15
Bid-YTW : 4.89 %
CCS.PR.C Deemed-Retractible 1.11 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.76
Bid-YTW : 5.69 %
HSE.PR.C FixedReset Disc 1.30 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-15
Maturity Price : 18.70
Evaluated at bid price : 18.70
Bid-YTW : 6.33 %
CM.PR.O FixedReset Disc 1.67 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-15
Maturity Price : 17.61
Evaluated at bid price : 17.61
Bid-YTW : 5.53 %
BAM.PR.X FixedReset Disc 2.96 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-15
Maturity Price : 13.22
Evaluated at bid price : 13.22
Bid-YTW : 6.20 %
Volume Highlights
Issue Index Shares
Traded		 Notes
BMO.PR.S FixedReset Disc 68,213 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-15
Maturity Price : 18.72
Evaluated at bid price : 18.72
Bid-YTW : 5.26 %
MFC.PR.O FixedReset Ins Non 56,000 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-06-19
Maturity Price : 25.00
Evaluated at bid price : 25.66
Bid-YTW : 4.41 %
TD.PF.M FixedReset Disc 42,787 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-15
Maturity Price : 23.15
Evaluated at bid price : 24.98
Bid-YTW : 5.08 %
TRP.PR.B FixedReset Disc 37,930 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-15
Maturity Price : 11.76
Evaluated at bid price : 11.76
Bid-YTW : 6.02 %
SLF.PR.C Deemed-Retractible 36,022 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.88
Bid-YTW : 6.72 %
TD.PF.C FixedReset Disc 34,609 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-15
Maturity Price : 17.91
Evaluated at bid price : 17.91
Bid-YTW : 5.34 %
There were 16 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
IFC.PR.E Deemed-Retractible Quote: 23.71 – 24.36
Spot Rate : 0.6500
Average : 0.4332

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.71
Bid-YTW : 5.93 %
MFC.PR.N FixedReset Ins Non Quote: 17.17 – 17.59
Spot Rate : 0.4200
Average : 0.3156

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 17.17
Bid-YTW : 8.49 %
PWF.PR.Z Perpetual-Discount Quote: 23.00 – 23.35
Spot Rate : 0.3500
Average : 0.2465

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-15
Maturity Price : 22.71
Evaluated at bid price : 23.00
Bid-YTW : 5.60 %
RY.PR.J FixedReset Disc Quote: 20.06 – 20.36
Spot Rate : 0.3000
Average : 0.2046

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-15
Maturity Price : 20.06
Evaluated at bid price : 20.06
Bid-YTW : 5.40 %
MFC.PR.C Deemed-Retractible Quote: 20.73 – 21.09
Spot Rate : 0.3600
Average : 0.2651

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.73
Bid-YTW : 6.88 %
CU.PR.D Perpetual-Discount Quote: 22.85 – 23.25
Spot Rate : 0.4000
Average : 0.3293

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-15
Maturity Price : 22.56
Evaluated at bid price : 22.85
Bid-YTW : 5.42 %
Market Action

July 2, 2019

Floater 6.16 % 6.25 % 37,274 13.58 4 0.2456 % 2,045.0 OpRet 0.00 % 0.00 % 0 0.00 0 0.1363 % 3,323.1 SplitShare 4.69 % 4.69 % 84,865 4.18 7 0.1363 % 3,968.5 Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.1363 % 3,096.4 Perpetual-Premium 5.60 % -12.21 % 67,827 0.09 7 0.0729 % 2,956.6 Perpetual-Discount 5.48 % 5.58 % 61,652 14.46 25 0.3518 % 3,090.4 FixedReset Disc 5.44 % 5.33 % 180,789 14.86 69 0.3318 % 2,105.4 Deemed-Retractible 5.26 % 6.02 % 76,210 8.00 27 -0.0302 % 3,088.7 FloatingReset 4.07 % 4.64 % 48,542 2.49 4 0.4255 % 2,345.3 FixedReset Prem 5.13 % 3.80 % 177,941 1.96 17 -0.1027 % 2,591.6 FixedReset Bank Non 1.98 % 3.96 % 127,775 2.50 3 -0.2777 % 2,651.7 FixedReset Ins Non 5.32 % 7.50 % 89,943 8.07 22 0.1512 % 2,139.6
Performance Highlights
Issue Index Change Notes
CU.PR.C FixedReset Disc -2.69 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-02
Maturity Price : 17.75
Evaluated at bid price : 17.75
Bid-YTW : 5.33 %
SLF.PR.I FixedReset Ins Non -2.58 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.85
Bid-YTW : 7.48 %
TRP.PR.G FixedReset Disc -2.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-02
Maturity Price : 17.93
Evaluated at bid price : 17.93
Bid-YTW : 6.11 %
HSE.PR.C FixedReset Disc -1.88 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-02
Maturity Price : 18.26
Evaluated at bid price : 18.26
Bid-YTW : 6.26 %
BAM.PR.B Floater -1.82 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-02
Maturity Price : 10.80
Evaluated at bid price : 10.80
Bid-YTW : 6.45 %
RY.PR.W Perpetual-Discount -1.21 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-02
Maturity Price : 24.22
Evaluated at bid price : 24.51
Bid-YTW : 5.05 %
SLF.PR.B Deemed-Retractible -1.07 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.16
Bid-YTW : 6.33 %
SLF.PR.G FixedReset Ins Non 1.04 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 13.65
Bid-YTW : 9.77 %
NA.PR.E FixedReset Disc 1.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-02
Maturity Price : 20.01
Evaluated at bid price : 20.01
Bid-YTW : 5.23 %
HSE.PR.G FixedReset Disc 1.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-02
Maturity Price : 19.61
Evaluated at bid price : 19.61
Bid-YTW : 6.31 %
TD.PF.A FixedReset Disc 1.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-02
Maturity Price : 17.64
Evaluated at bid price : 17.64
Bid-YTW : 5.28 %
BAM.PR.M Perpetual-Discount 1.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-02
Maturity Price : 20.10
Evaluated at bid price : 20.10
Bid-YTW : 5.95 %
MFC.PR.L FixedReset Ins Non 1.16 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 16.60
Bid-YTW : 8.50 %
EMA.PR.H FixedReset Disc 1.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-02
Maturity Price : 23.01
Evaluated at bid price : 24.40
Bid-YTW : 5.01 %
NA.PR.W FixedReset Disc 1.29 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-02
Maturity Price : 16.51
Evaluated at bid price : 16.51
Bid-YTW : 5.64 %
MFC.PR.G FixedReset Ins Non 1.32 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.13
Bid-YTW : 7.50 %
BMO.PR.D FixedReset Disc 1.33 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-02
Maturity Price : 21.78
Evaluated at bid price : 22.05
Bid-YTW : 5.21 %
NA.PR.C FixedReset Disc 1.33 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-02
Maturity Price : 21.75
Evaluated at bid price : 22.04
Bid-YTW : 5.47 %
BMO.PR.T FixedReset Disc 1.35 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-02
Maturity Price : 17.21
Evaluated at bid price : 17.21
Bid-YTW : 5.37 %
BAM.PR.C Floater 1.36 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-02
Maturity Price : 11.15
Evaluated at bid price : 11.15
Bid-YTW : 6.25 %
BAM.PF.J FixedReset Disc 1.37 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-02
Maturity Price : 22.72
Evaluated at bid price : 23.60
Bid-YTW : 5.01 %
BMO.PR.W FixedReset Disc 1.43 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-02
Maturity Price : 17.08
Evaluated at bid price : 17.08
Bid-YTW : 5.39 %
PWF.PR.A Floater 1.44 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-02
Maturity Price : 12.00
Evaluated at bid price : 12.00
Bid-YTW : 5.85 %
TRP.PR.F FloatingReset 1.49 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-02
Maturity Price : 13.60
Evaluated at bid price : 13.60
Bid-YTW : 6.64 %
HSE.PR.E FixedReset Disc 1.50 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-02
Maturity Price : 19.60
Evaluated at bid price : 19.60
Bid-YTW : 6.37 %
PWF.PR.S Perpetual-Discount 1.61 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-02
Maturity Price : 21.84
Evaluated at bid price : 22.10
Bid-YTW : 5.51 %
HSE.PR.A FixedReset Disc 2.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-02
Maturity Price : 12.75
Evaluated at bid price : 12.75
Bid-YTW : 6.03 %
NA.PR.G FixedReset Disc 2.46 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-02
Maturity Price : 21.28
Evaluated at bid price : 21.28
Bid-YTW : 5.22 %
CM.PR.P FixedReset Disc 2.51 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-02
Maturity Price : 16.74
Evaluated at bid price : 16.74
Bid-YTW : 5.46 %
TRP.PR.E FixedReset Disc 3.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-02
Maturity Price : 15.81
Evaluated at bid price : 15.81
Bid-YTW : 5.96 %
Volume Highlights
Issue Index Shares
Traded		 Notes
TD.PF.B FixedReset Disc 58,739 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-02
Maturity Price : 17.75
Evaluated at bid price : 17.75
Bid-YTW : 5.28 %
BAM.PF.B FixedReset Disc 55,200 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-02
Maturity Price : 17.21
Evaluated at bid price : 17.21
Bid-YTW : 6.09 %
CM.PR.P FixedReset Disc 53,734 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-02
Maturity Price : 16.74
Evaluated at bid price : 16.74
Bid-YTW : 5.46 %
TD.PF.M FixedReset Disc 50,650 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-02
Maturity Price : 23.07
Evaluated at bid price : 24.75
Bid-YTW : 5.01 %
BAM.PR.Z FixedReset Disc 50,200 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-02
Maturity Price : 18.55
Evaluated at bid price : 18.55
Bid-YTW : 6.03 %
TRP.PR.K FixedReset Disc 49,854 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-02
Maturity Price : 23.36
Evaluated at bid price : 24.91
Bid-YTW : 5.19 %
There were 24 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
HSE.PR.C FixedReset Disc Quote: 18.26 – 19.05
Spot Rate : 0.7900
Average : 0.5154

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-02
Maturity Price : 18.26
Evaluated at bid price : 18.26
Bid-YTW : 6.26 %
BAM.PR.B Floater Quote: 10.80 – 11.39
Spot Rate : 0.5900
Average : 0.4336

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-02
Maturity Price : 10.80
Evaluated at bid price : 10.80
Bid-YTW : 6.45 %
BAM.PF.A FixedReset Disc Quote: 19.11 – 19.46
Spot Rate : 0.3500
Average : 0.2266

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-02
Maturity Price : 19.11
Evaluated at bid price : 19.11
Bid-YTW : 5.93 %
SLF.PR.I FixedReset Ins Non Quote: 18.85 – 19.25
Spot Rate : 0.4000
Average : 0.2825

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.85
Bid-YTW : 7.48 %
RY.PR.W Perpetual-Discount Quote: 24.51 – 24.81
Spot Rate : 0.3000
Average : 0.1888

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-02
Maturity Price : 24.22
Evaluated at bid price : 24.51
Bid-YTW : 5.05 %
IFC.PR.E Deemed-Retractible Quote: 23.40 – 23.99
Spot Rate : 0.5900
Average : 0.4793

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.40
Bid-YTW : 6.07 %