Category: Market Action

Market Action

September 21, 2018

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 0.7302 % 3,124.6
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.7302 % 5,733.5
Floater 3.48 % 3.64 % 37,075 18.20 4 0.7302 % 3,304.3
OpRet 0.00 % 0.00 % 0 0.00 0 0.0555 % 3,228.4
SplitShare 4.61 % 4.66 % 54,699 4.79 5 0.0555 % 3,855.4
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0555 % 3,008.1
Perpetual-Premium 5.56 % -3.71 % 53,909 0.11 12 -0.1203 % 2,919.4
Perpetual-Discount 5.44 % 5.54 % 57,072 14.52 22 -0.1384 % 2,993.8
FixedReset Disc 4.19 % 4.98 % 137,526 15.61 42 -0.1258 % 2,572.9
Deemed-Retractible 5.16 % 5.94 % 60,434 5.36 27 -0.1002 % 2,995.3
FloatingReset 3.37 % 4.12 % 44,306 5.65 5 0.0000 % 2,844.3
FixedReset Prem 4.83 % 4.09 % 163,692 2.86 35 -0.0301 % 2,567.6
FixedReset Bank Non 3.19 % 3.67 % 66,475 0.42 9 -0.0181 % 2,571.5
FixedReset Ins Non 4.33 % 5.20 % 88,621 5.44 22 -0.1186 % 2,578.3
Performance Highlights
Issue Index Change Notes
BAM.PR.Z FixedReset Disc -1.63 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-09-21
Maturity Price : 22.90
Evaluated at bid price : 24.15
Bid-YTW : 5.21 %
PWF.PR.S Perpetual-Discount -1.50 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-09-21
Maturity Price : 21.62
Evaluated at bid price : 21.62
Bid-YTW : 5.64 %
BAM.PR.X FixedReset Disc -1.31 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-09-21
Maturity Price : 18.87
Evaluated at bid price : 18.87
Bid-YTW : 5.02 %
PWF.PR.E Perpetual-Premium -1.28 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-09-21
Maturity Price : 24.50
Evaluated at bid price : 24.75
Bid-YTW : 5.64 %
IFC.PR.G FixedReset Ins Non -1.05 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.51
Bid-YTW : 5.26 %
PWF.PR.T FixedReset Disc -1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-09-21
Maturity Price : 23.30
Evaluated at bid price : 24.16
Bid-YTW : 4.79 %
MFC.PR.M FixedReset Ins Non -1.01 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.41
Bid-YTW : 5.71 %
MFC.PR.K FixedReset Ins Non 1.64 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.88
Bid-YTW : 6.13 %
BAM.PR.K Floater 1.97 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-09-21
Maturity Price : 17.58
Evaluated at bid price : 17.58
Bid-YTW : 3.68 %
Volume Highlights
Issue Index Shares
Traded		 Notes
BMO.PR.E FixedReset Disc 187,330 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-09-21
Maturity Price : 23.15
Evaluated at bid price : 25.01
Bid-YTW : 4.83 %
RY.PR.H FixedReset Disc 123,556 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-09-21
Maturity Price : 22.72
Evaluated at bid price : 23.28
Bid-YTW : 4.83 %
RY.PR.J FixedReset Disc 111,432 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-09-21
Maturity Price : 24.12
Evaluated at bid price : 24.44
Bid-YTW : 5.01 %
TD.PF.K FixedReset Disc 63,038 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-09-21
Maturity Price : 23.15
Evaluated at bid price : 24.99
Bid-YTW : 4.75 %
BIP.PR.F FixedReset Disc 24,250 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-09-21
Maturity Price : 23.13
Evaluated at bid price : 24.97
Bid-YTW : 5.09 %
POW.PR.A Perpetual-Premium 17,565 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2018-10-21
Maturity Price : 25.00
Evaluated at bid price : 25.10
Bid-YTW : -3.71 %
There were 21 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
MFC.PR.M FixedReset Ins Non Quote: 23.41 – 24.49
Spot Rate : 1.0800
Average : 0.5981

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.41
Bid-YTW : 5.71 %
MFC.PR.N FixedReset Ins Non Quote: 23.61 – 24.74
Spot Rate : 1.1300
Average : 0.6592

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.61
Bid-YTW : 5.45 %
PVS.PR.B SplitShare Quote: 25.10 – 26.10
Spot Rate : 1.0000
Average : 0.5496

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2019-01-10
Maturity Price : 25.00
Evaluated at bid price : 25.10
Bid-YTW : 3.61 %
MFC.PR.L FixedReset Ins Non Quote: 22.86 – 23.80
Spot Rate : 0.9400
Average : 0.5767

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.86
Bid-YTW : 6.03 %
PWF.PR.S Perpetual-Discount Quote: 21.62 – 22.10
Spot Rate : 0.4800
Average : 0.3045

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-09-21
Maturity Price : 21.62
Evaluated at bid price : 21.62
Bid-YTW : 5.64 %
PWF.PR.E Perpetual-Premium Quote: 24.75 – 25.20
Spot Rate : 0.4500
Average : 0.3021

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-09-21
Maturity Price : 24.50
Evaluated at bid price : 24.75
Bid-YTW : 5.64 %
Market Action

September 20, 2018

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 0.2576 % 3,102.0
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.2576 % 5,692.0
Floater 3.50 % 3.67 % 35,713 18.14 4 0.2576 % 3,280.3
OpRet 0.00 % 0.00 % 0 0.00 0 -0.1347 % 3,226.6
SplitShare 4.61 % 4.66 % 55,263 4.79 5 -0.1347 % 3,853.3
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.1347 % 3,006.5
Perpetual-Premium 5.53 % -1.48 % 54,845 0.09 12 0.0721 % 2,922.9
Perpetual-Discount 5.42 % 5.54 % 57,188 14.52 22 0.0433 % 2,998.0
FixedReset Disc 4.18 % 4.99 % 138,548 15.62 42 0.0281 % 2,576.2
Deemed-Retractible 5.16 % 5.94 % 59,887 5.36 27 -0.0422 % 2,998.3
FloatingReset 3.37 % 4.12 % 44,957 5.66 5 0.1272 % 2,844.3
FixedReset Prem 4.83 % 4.09 % 163,886 3.07 35 0.0279 % 2,568.4
FixedReset Bank Non 3.19 % 3.76 % 64,071 0.42 9 -0.0496 % 2,572.0
FixedReset Ins Non 4.32 % 5.06 % 87,535 5.44 22 0.0759 % 2,581.4
Performance Highlights
Issue Index Change Notes
BAM.PR.K Floater -1.32 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-09-20
Maturity Price : 17.24
Evaluated at bid price : 17.24
Bid-YTW : 3.75 %
EMA.PR.F FixedReset Disc -1.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-09-20
Maturity Price : 23.36
Evaluated at bid price : 23.80
Bid-YTW : 5.11 %
CM.PR.O FixedReset Disc -1.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-09-20
Maturity Price : 22.77
Evaluated at bid price : 23.36
Bid-YTW : 4.88 %
IFC.PR.A FixedReset Ins Non -1.01 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.70
Bid-YTW : 7.86 %
BAM.PR.Z FixedReset Disc 1.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-09-20
Maturity Price : 23.06
Evaluated at bid price : 24.55
Bid-YTW : 5.11 %
BIP.PR.E FixedReset Prem 1.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-09-20
Maturity Price : 23.08
Evaluated at bid price : 24.68
Bid-YTW : 5.18 %
PWF.PR.A Floater 1.61 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-09-20
Maturity Price : 21.50
Evaluated at bid price : 21.50
Bid-YTW : 3.03 %
Volume Highlights
Issue Index Shares
Traded		 Notes
CM.PR.S FixedReset Disc 134,848 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-09-20
Maturity Price : 22.92
Evaluated at bid price : 24.23
Bid-YTW : 4.79 %
RY.PR.M FixedReset Disc 101,100 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-09-20
Maturity Price : 23.21
Evaluated at bid price : 24.20
Bid-YTW : 4.86 %
BMO.PR.E FixedReset Disc 81,505 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-09-20
Maturity Price : 23.15
Evaluated at bid price : 25.01
Bid-YTW : 4.83 %
POW.PR.D Perpetual-Discount 69,000 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-09-20
Maturity Price : 22.71
Evaluated at bid price : 22.95
Bid-YTW : 5.54 %
BNS.PR.H FixedReset Prem 64,600 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-01-26
Maturity Price : 25.00
Evaluated at bid price : 26.11
Bid-YTW : 3.68 %
TD.PF.G FixedReset Prem 54,525 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-04-30
Maturity Price : 25.00
Evaluated at bid price : 26.39
Bid-YTW : 3.57 %
There were 16 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
CM.PR.O FixedReset Disc Quote: 23.36 – 23.88
Spot Rate : 0.5200
Average : 0.3491

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-09-20
Maturity Price : 22.77
Evaluated at bid price : 23.36
Bid-YTW : 4.88 %
HSE.PR.C FixedReset Prem Quote: 24.70 – 25.08
Spot Rate : 0.3800
Average : 0.2370

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-09-20
Maturity Price : 24.35
Evaluated at bid price : 24.70
Bid-YTW : 5.38 %
BAM.PF.B FixedReset Disc Quote: 23.50 – 24.00
Spot Rate : 0.5000
Average : 0.3660

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-09-20
Maturity Price : 22.77
Evaluated at bid price : 23.50
Bid-YTW : 5.15 %
IFC.PR.A FixedReset Ins Non Quote: 19.70 – 20.09
Spot Rate : 0.3900
Average : 0.2838

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.70
Bid-YTW : 7.86 %
CM.PR.Q FixedReset Disc Quote: 24.40 – 24.75
Spot Rate : 0.3500
Average : 0.2540

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-09-20
Maturity Price : 23.38
Evaluated at bid price : 24.40
Bid-YTW : 5.00 %
TD.PF.J FixedReset Prem Quote: 25.11 – 25.55
Spot Rate : 0.4400
Average : 0.3493

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2023-04-30
Maturity Price : 25.00
Evaluated at bid price : 25.11
Bid-YTW : 4.77 %
Market Action

September 19, 2018

PerpetualDiscounts now yield 5.54%, equivalent to 7.20% interest at the standard equivalency factor of 1.3x. Long corporates now yield 4.05%, so the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) is now about 315bp, a slight (and perhaps spurious) narrowing from the 320bp reported September 12.

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 -0.3916 % 3,094.0
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.3916 % 5,677.3
Floater 3.51 % 3.67 % 37,090 18.13 4 -0.3916 % 3,271.9
OpRet 0.00 % 0.00 % 0 0.00 0 0.0634 % 3,231.0
SplitShare 4.61 % 4.63 % 54,899 4.80 5 0.0634 % 3,858.5
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0634 % 3,010.5
Perpetual-Premium 5.54 % -0.23 % 50,646 0.09 12 0.0721 % 2,920.8
Perpetual-Discount 5.43 % 5.54 % 57,453 14.50 22 -0.0217 % 2,996.7
FixedReset Disc 4.18 % 4.98 % 140,565 15.64 42 -0.0665 % 2,575.5
Deemed-Retractible 5.16 % 5.93 % 59,733 5.37 27 -0.0500 % 2,999.6
FloatingReset 3.38 % 4.11 % 45,271 5.66 5 -0.3800 % 2,840.7
FixedReset Prem 4.83 % 4.16 % 164,658 2.87 35 0.0089 % 2,567.7
FixedReset Bank Non 3.19 % 3.73 % 65,073 0.43 9 0.0045 % 2,573.3
FixedReset Ins Non 4.32 % 5.09 % 88,832 5.44 22 0.0876 % 2,579.4
Performance Highlights
Issue Index Change Notes
PWF.PR.Q FloatingReset -1.94 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-09-19
Maturity Price : 21.28
Evaluated at bid price : 21.28
Bid-YTW : 3.70 %
PWF.PR.A Floater -1.58 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-09-19
Maturity Price : 21.16
Evaluated at bid price : 21.16
Bid-YTW : 3.08 %
BAM.PR.Z FixedReset Disc -1.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-09-19
Maturity Price : 22.96
Evaluated at bid price : 24.30
Bid-YTW : 5.17 %
BIP.PR.E FixedReset Prem -1.21 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-09-19
Maturity Price : 22.98
Evaluated at bid price : 24.40
Bid-YTW : 5.25 %
SLF.PR.E Deemed-Retractible -1.21 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.24
Bid-YTW : 7.53 %
RY.PR.Z FixedReset Disc -1.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-09-19
Maturity Price : 22.23
Evaluated at bid price : 22.97
Bid-YTW : 4.84 %
CM.PR.O FixedReset Disc 1.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-09-19
Maturity Price : 23.01
Evaluated at bid price : 23.61
Bid-YTW : 4.83 %
EMA.PR.F FixedReset Disc 1.43 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-09-19
Maturity Price : 23.63
Evaluated at bid price : 24.06
Bid-YTW : 5.05 %
MFC.PR.K FixedReset Ins Non 1.48 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.64
Bid-YTW : 6.32 %
BAM.PR.K Floater 1.57 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-09-19
Maturity Price : 17.47
Evaluated at bid price : 17.47
Bid-YTW : 3.70 %
Volume Highlights
Issue Index Shares
Traded		 Notes
BMO.PR.E FixedReset Disc 256,467 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-09-19
Maturity Price : 23.15
Evaluated at bid price : 25.01
Bid-YTW : 4.82 %
TD.PF.D FixedReset Disc 84,405 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-09-19
Maturity Price : 23.39
Evaluated at bid price : 24.42
Bid-YTW : 5.01 %
TD.PF.K FixedReset Disc 64,580 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-09-19
Maturity Price : 23.15
Evaluated at bid price : 24.99
Bid-YTW : 4.75 %
BNS.PR.Z FixedReset Bank Non 56,930 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.84
Bid-YTW : 4.09 %
BMO.PR.T FixedReset Disc 49,300 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-09-19
Maturity Price : 22.52
Evaluated at bid price : 23.06
Bid-YTW : 4.85 %
BNS.PR.D FloatingReset 46,400 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.25
Bid-YTW : 3.59 %
There were 10 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
PWF.PR.Q FloatingReset Quote: 21.28 – 21.85
Spot Rate : 0.5700
Average : 0.3754

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-09-19
Maturity Price : 21.28
Evaluated at bid price : 21.28
Bid-YTW : 3.70 %
EML.PR.A FixedReset Ins Non Quote: 26.09 – 26.63
Spot Rate : 0.5400
Average : 0.3484

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-04-17
Maturity Price : 25.00
Evaluated at bid price : 26.09
Bid-YTW : 3.80 %
PWF.PR.A Floater Quote: 21.16 – 21.70
Spot Rate : 0.5400
Average : 0.4093

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-09-19
Maturity Price : 21.16
Evaluated at bid price : 21.16
Bid-YTW : 3.08 %
BIP.PR.E FixedReset Prem Quote: 24.40 – 24.75
Spot Rate : 0.3500
Average : 0.2321

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-09-19
Maturity Price : 22.98
Evaluated at bid price : 24.40
Bid-YTW : 5.25 %
BAM.PF.I FixedReset Prem Quote: 25.95 – 26.33
Spot Rate : 0.3800
Average : 0.2936

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-03-31
Maturity Price : 25.00
Evaluated at bid price : 25.95
Bid-YTW : 3.63 %
BAM.PF.E FixedReset Disc Quote: 23.55 – 23.79
Spot Rate : 0.2400
Average : 0.1909

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-09-19
Maturity Price : 23.13
Evaluated at bid price : 23.55
Bid-YTW : 5.05 %
Market Action

September 18, 2018

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 0.7209 % 3,106.2
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.7209 % 5,699.7
Floater 3.50 % 3.65 % 38,541 18.18 4 0.7209 % 3,284.7
OpRet 0.00 % 0.00 % 0 0.00 0 0.0159 % 3,228.9
SplitShare 4.61 % 4.62 % 57,135 4.80 5 0.0159 % 3,856.0
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0159 % 3,008.6
Perpetual-Premium 5.54 % 0.55 % 52,286 0.12 12 0.0098 % 2,918.7
Perpetual-Discount 5.43 % 5.53 % 56,881 14.52 22 -0.0374 % 2,997.3
FixedReset Disc 4.18 % 4.98 % 140,965 15.65 42 0.1520 % 2,577.2
Deemed-Retractible 5.15 % 5.93 % 59,547 5.37 27 -0.0344 % 3,001.1
FloatingReset 3.36 % 4.14 % 41,910 5.66 5 -0.0271 % 2,851.6
FixedReset Prem 4.83 % 4.15 % 167,147 3.07 35 0.0569 % 2,567.5
FixedReset Bank Non 3.19 % 3.66 % 67,757 0.43 9 0.1627 % 2,573.2
FixedReset Ins Non 4.30 % 5.12 % 91,934 5.43 22 0.0760 % 2,577.2
Performance Highlights
Issue Index Change Notes
MFC.PR.L FixedReset Ins Non 1.02 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.79
Bid-YTW : 6.08 %
PWF.PR.P FixedReset Disc 1.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-09-18
Maturity Price : 19.54
Evaluated at bid price : 19.54
Bid-YTW : 4.73 %
BAM.PR.B Floater 1.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-09-18
Maturity Price : 17.65
Evaluated at bid price : 17.65
Bid-YTW : 3.66 %
Volume Highlights
Issue Index Shares
Traded		 Notes
BMO.PR.E FixedReset Disc 530,541 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-09-18
Maturity Price : 23.15
Evaluated at bid price : 25.00
Bid-YTW : 4.83 %
TD.PR.Y FixedReset Bank Non 98,800 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2018-10-31
Maturity Price : 25.00
Evaluated at bid price : 25.14
Bid-YTW : 2.86 %
BNS.PR.D FloatingReset 77,700 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.27
Bid-YTW : 3.56 %
TD.PF.K FixedReset Disc 64,700 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-09-18
Maturity Price : 23.15
Evaluated at bid price : 24.98
Bid-YTW : 4.75 %
RY.PR.Q FixedReset Prem 57,000 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-05-24
Maturity Price : 25.00
Evaluated at bid price : 26.27
Bid-YTW : 3.66 %
BMO.PR.C FixedReset Prem 55,100 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-05-25
Maturity Price : 25.00
Evaluated at bid price : 25.35
Bid-YTW : 4.19 %
There were 19 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: 25.73 – 26.28
Spot Rate : 0.5500
Average : 0.3612

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-03-19
Maturity Price : 25.00
Evaluated at bid price : 25.73
Bid-YTW : 3.97 %
MFC.PR.K FixedReset Ins Non Quote: 22.31 – 23.15
Spot Rate : 0.8400
Average : 0.7378

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.31
Bid-YTW : 6.59 %
BAM.PR.X FixedReset Disc Quote: 19.05 – 19.49
Spot Rate : 0.4400
Average : 0.3606

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-09-18
Maturity Price : 19.05
Evaluated at bid price : 19.05
Bid-YTW : 4.97 %
MFC.PR.F FixedReset Ins Non Quote: 18.60 – 18.85
Spot Rate : 0.2500
Average : 0.1775

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.60
Bid-YTW : 8.24 %
BAM.PF.J FixedReset Prem Quote: 25.20 – 25.55
Spot Rate : 0.3500
Average : 0.2862

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-12-31
Maturity Price : 25.00
Evaluated at bid price : 25.20
Bid-YTW : 4.53 %
IAG.PR.A Deemed-Retractible Quote: 22.20 – 22.50
Spot Rate : 0.3000
Average : 0.2468

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.20
Bid-YTW : 6.81 %
Market Action

September 17, 2018

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 1.1001 % 3,083.9
FixedFloater 0.00 % 0.00 % 0 0.00 0 1.1001 % 5,658.9
Floater 3.52 % 3.67 % 39,059 18.14 4 1.1001 % 3,261.2
OpRet 0.00 % 0.00 % 0 0.00 0 0.1907 % 3,228.4
SplitShare 4.61 % 4.55 % 56,631 4.80 5 0.1907 % 3,855.4
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.1907 % 3,008.1
Perpetual-Premium 5.54 % 0.37 % 52,056 0.12 12 0.1445 % 2,918.4
Perpetual-Discount 5.42 % 5.53 % 57,115 14.53 22 0.1913 % 2,998.5
FixedReset Disc 4.19 % 4.98 % 136,573 15.64 42 0.0481 % 2,573.3
Deemed-Retractible 5.15 % 5.85 % 59,839 5.37 27 0.3844 % 3,002.1
FloatingReset 3.36 % 4.17 % 38,797 5.66 5 -0.1175 % 2,852.3
FixedReset Prem 4.84 % 4.14 % 166,259 3.08 35 -0.0346 % 2,566.0
FixedReset Bank Non 3.19 % 4.02 % 68,837 3.13 9 -0.0678 % 2,569.0
FixedReset Ins Non 4.30 % 5.11 % 92,623 5.44 22 0.5150 % 2,575.2
Performance Highlights
Issue Index Change Notes
EMA.PR.F FixedReset Disc -2.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-09-17
Maturity Price : 23.04
Evaluated at bid price : 23.49
Bid-YTW : 5.17 %
CU.PR.C FixedReset Disc -1.56 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-09-17
Maturity Price : 21.81
Evaluated at bid price : 22.15
Bid-YTW : 4.98 %
BAM.PF.C Perpetual-Discount -1.55 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-09-17
Maturity Price : 20.96
Evaluated at bid price : 20.96
Bid-YTW : 5.81 %
MFC.PR.K FixedReset Ins Non -1.54 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.43
Bid-YTW : 6.49 %
BAM.PR.X FixedReset Disc -1.31 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-09-17
Maturity Price : 18.90
Evaluated at bid price : 18.90
Bid-YTW : 5.01 %
TRP.PR.B FixedReset Disc 1.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-09-17
Maturity Price : 17.00
Evaluated at bid price : 17.00
Bid-YTW : 5.02 %
PWF.PR.E Perpetual-Premium 1.21 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-09-17
Maturity Price : 24.83
Evaluated at bid price : 25.05
Bid-YTW : 5.56 %
MFC.PR.B Deemed-Retractible 1.38 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.00
Bid-YTW : 7.06 %
BAM.PR.K Floater 1.42 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-09-17
Maturity Price : 17.12
Evaluated at bid price : 17.12
Bid-YTW : 3.78 %
PWF.PR.A Floater 1.67 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-09-17
Maturity Price : 21.35
Evaluated at bid price : 21.35
Bid-YTW : 3.05 %
TD.PF.B FixedReset Disc 1.97 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-09-17
Maturity Price : 22.67
Evaluated at bid price : 23.25
Bid-YTW : 4.85 %
BAM.PR.Z FixedReset Disc 2.50 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-12-31
Maturity Price : 25.00
Evaluated at bid price : 24.60
Bid-YTW : 5.09 %
CM.PR.O FixedReset Disc 3.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-09-17
Maturity Price : 22.86
Evaluated at bid price : 23.45
Bid-YTW : 4.86 %
BAM.PF.D Perpetual-Discount 3.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-09-17
Maturity Price : 21.22
Evaluated at bid price : 21.22
Bid-YTW : 5.80 %
BAM.PR.R FixedReset Disc 3.27 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-09-17
Maturity Price : 20.85
Evaluated at bid price : 20.85
Bid-YTW : 5.19 %
SLF.PR.G FixedReset Ins Non 4.01 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.69
Bid-YTW : 7.52 %
CU.PR.D Perpetual-Discount 4.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-09-17
Maturity Price : 22.59
Evaluated at bid price : 22.90
Bid-YTW : 5.38 %
MFC.PR.I FixedReset Ins Non 4.15 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-09-19
Maturity Price : 25.00
Evaluated at bid price : 24.84
Bid-YTW : 4.55 %
SLF.PR.D Deemed-Retractible 4.65 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.39
Bid-YTW : 7.34 %
SLF.PR.H FixedReset Ins Non 7.18 % Just a reversal of Friday’s nonsense.

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.93
Bid-YTW : 5.99 %
Volume Highlights
Issue Index Shares
Traded		 Notes
BMO.PR.E FixedReset Disc 1,362,183 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-09-17
Maturity Price : 23.14
Evaluated at bid price : 24.98
Bid-YTW : 4.83 %
CM.PR.R FixedReset Prem 438,965 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-07-31
Maturity Price : 25.00
Evaluated at bid price : 25.40
Bid-YTW : 4.14 %
TD.PF.K FixedReset Disc 234,979 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-09-17
Maturity Price : 23.13
Evaluated at bid price : 24.94
Bid-YTW : 4.76 %
BNS.PR.H FixedReset Prem 204,090 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-01-26
Maturity Price : 25.00
Evaluated at bid price : 26.07
Bid-YTW : 3.72 %
BIP.PR.F FixedReset Disc 57,000 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-09-17
Maturity Price : 23.14
Evaluated at bid price : 24.98
Bid-YTW : 5.08 %
BMO.PR.S FixedReset Disc 55,368 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-09-17
Maturity Price : 22.86
Evaluated at bid price : 23.53
Bid-YTW : 4.85 %
There were 12 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
EMA.PR.F FixedReset Disc Quote: 23.49 – 24.15
Spot Rate : 0.6600
Average : 0.4304

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-09-17
Maturity Price : 23.04
Evaluated at bid price : 23.49
Bid-YTW : 5.17 %
BAM.PF.J FixedReset Prem Quote: 25.21 – 25.55
Spot Rate : 0.3400
Average : 0.2162

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-12-31
Maturity Price : 25.00
Evaluated at bid price : 25.21
Bid-YTW : 4.52 %
TRP.PR.B FixedReset Disc Quote: 17.00 – 17.50
Spot Rate : 0.5000
Average : 0.3966

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-09-17
Maturity Price : 17.00
Evaluated at bid price : 17.00
Bid-YTW : 5.02 %
W.PR.M FixedReset Prem Quote: 25.87 – 26.20
Spot Rate : 0.3300
Average : 0.2331

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-10-15
Maturity Price : 25.00
Evaluated at bid price : 25.87
Bid-YTW : 4.33 %
MFC.PR.K FixedReset Ins Non Quote: 22.43 – 23.15
Spot Rate : 0.7200
Average : 0.6258

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.43
Bid-YTW : 6.49 %
PWF.PR.P FixedReset Disc Quote: 19.34 – 19.69
Spot Rate : 0.3500
Average : 0.2598

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-09-17
Maturity Price : 19.34
Evaluated at bid price : 19.34
Bid-YTW : 4.77 %
Market Action

September 14, 2018

To my astonishment, the media have not picked up on the Hydro One downgrade I mentioned yesterday. Have we entered the Trump-zone, in which repercussions from old idiocies are overwhelmed by contemplation of new idiocies?

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 -1.4768 % 3,050.4
FixedFloater 0.00 % 0.00 % 0 0.00 0 -1.4768 % 5,597.3
Floater 3.56 % 3.70 % 40,494 18.09 4 -1.4768 % 3,225.7
OpRet 0.00 % 0.00 % 0 0.00 0 -0.2378 % 3,222.3
SplitShare 4.62 % 4.61 % 57,275 4.81 5 -0.2378 % 3,848.1
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.2378 % 3,002.4
Perpetual-Premium 5.55 % 1.22 % 50,968 0.13 12 -0.1934 % 2,914.2
Perpetual-Discount 5.43 % 5.53 % 55,010 14.54 22 -0.4223 % 2,992.7
FixedReset Disc 4.17 % 4.99 % 136,445 15.58 41 -0.2400 % 2,572.0
Deemed-Retractible 5.17 % 5.86 % 60,256 5.38 27 -0.3347 % 2,990.6
FloatingReset 3.36 % 4.03 % 38,847 5.67 5 -0.3063 % 2,855.7
FixedReset Prem 4.84 % 4.05 % 167,322 2.88 35 0.0391 % 2,566.9
FixedReset Bank Non 3.19 % 3.92 % 63,736 3.13 9 -0.0677 % 2,570.7
FixedReset Ins Non 4.32 % 5.25 % 93,848 5.46 22 -0.4986 % 2,562.0
Performance Highlights
Issue Index Change Notes
SLF.PR.H FixedReset Ins Non -6.83 % A nonsensical quote from Nonsense Central, as this issue traded 600 shares today, all at 22.35 before being quoted at 20.46-22.35 by the Exchange.

I have not checked whether this lamentable state of affairs is due to inadequate Toronto Stock Exchange reporting or inadequate Toronto Stock Exchange supervision of market-makers.

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.46
Bid-YTW : 7.23 %
SLF.PR.G FixedReset Ins Non -5.11 % A nonsensical quote from Nonsense Central, as this issue traded 2,200 shares today in a range of 19.85-98 before being quoted at 18.93-19.93 by the Exchange.

I have not checked whether this lamentable state of affairs is due to inadequate Toronto Stock Exchange reporting or inadequate Toronto Stock Exchange supervision of market-makers.

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.93
Bid-YTW : 8.22 %
SLF.PR.D Deemed-Retractible -4.66 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.44
Bid-YTW : 8.18 %
CU.PR.D Perpetual-Discount -4.60 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-09-14
Maturity Price : 21.75
Evaluated at bid price : 22.00
Bid-YTW : 5.61 %
MFC.PR.I FixedReset Ins Non -3.99 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.85
Bid-YTW : 5.50 %
BAM.PR.K Floater -3.54 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-09-14
Maturity Price : 16.88
Evaluated at bid price : 16.88
Bid-YTW : 3.83 %
BAM.PF.D Perpetual-Discount -3.52 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-09-14
Maturity Price : 20.58
Evaluated at bid price : 20.58
Bid-YTW : 5.98 %
CM.PR.O FixedReset Disc -3.44 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-09-14
Maturity Price : 22.10
Evaluated at bid price : 22.75
Bid-YTW : 5.00 %
BAM.PR.Z FixedReset Disc -2.95 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-09-14
Maturity Price : 22.83
Evaluated at bid price : 24.00
Bid-YTW : 5.24 %
TRP.PR.B FixedReset Disc -2.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-09-14
Maturity Price : 16.81
Evaluated at bid price : 16.81
Bid-YTW : 5.07 %
PWF.PR.A Floater -1.96 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-09-14
Maturity Price : 21.00
Evaluated at bid price : 21.00
Bid-YTW : 3.10 %
TD.PF.B FixedReset Disc -1.94 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-09-14
Maturity Price : 22.13
Evaluated at bid price : 22.80
Bid-YTW : 4.94 %
BAM.PR.R FixedReset Disc -1.90 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-09-14
Maturity Price : 20.19
Evaluated at bid price : 20.19
Bid-YTW : 5.35 %
PWF.PR.E Perpetual-Premium -1.47 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-09-14
Maturity Price : 24.50
Evaluated at bid price : 24.75
Bid-YTW : 5.63 %
MFC.PR.B Deemed-Retractible -1.45 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.70
Bid-YTW : 7.30 %
MFC.PR.L FixedReset Ins Non -1.32 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.50
Bid-YTW : 6.30 %
TRP.PR.C FixedReset Disc -1.18 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-09-14
Maturity Price : 17.52
Evaluated at bid price : 17.52
Bid-YTW : 5.18 %
SLF.PR.B Deemed-Retractible -1.06 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.50
Bid-YTW : 6.75 %
MFC.PR.K FixedReset Ins Non 1.47 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.78
Bid-YTW : 6.19 %
MFC.PR.F FixedReset Ins Non 1.47 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.58
Bid-YTW : 8.24 %
BAM.PF.F FixedReset Disc 1.60 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-09-14
Maturity Price : 24.37
Evaluated at bid price : 24.76
Bid-YTW : 5.12 %
Volume Highlights
Issue Index Shares
Traded		 Notes
TD.PF.K FixedReset Disc 207,708 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-09-14
Maturity Price : 23.13
Evaluated at bid price : 24.94
Bid-YTW : 4.75 %
BNS.PR.G FixedReset Prem 153,400 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-07-25
Maturity Price : 25.00
Evaluated at bid price : 26.42
Bid-YTW : 3.69 %
BIP.PR.F FixedReset Disc 72,935 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-09-14
Maturity Price : 23.15
Evaluated at bid price : 25.01
Bid-YTW : 5.07 %
BAM.PF.A FixedReset Prem 49,584 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-09-14
Maturity Price : 23.67
Evaluated at bid price : 24.75
Bid-YTW : 5.16 %
RY.PR.J FixedReset Disc 42,414 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-09-14
Maturity Price : 24.08
Evaluated at bid price : 24.41
Bid-YTW : 5.01 %
CM.PR.S FixedReset Disc 20,676 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-09-14
Maturity Price : 22.92
Evaluated at bid price : 24.22
Bid-YTW : 4.78 %
There were 4 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
SLF.PR.H FixedReset Ins Non Quote: 20.46 – 22.35
Spot Rate : 1.8900
Average : 1.1300

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.46
Bid-YTW : 7.23 %
BAM.PR.Z FixedReset Disc Quote: 24.00 – 25.00
Spot Rate : 1.0000
Average : 0.5425

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-09-14
Maturity Price : 22.83
Evaluated at bid price : 24.00
Bid-YTW : 5.24 %
GWO.PR.L Deemed-Retractible Quote: 25.59 – 26.59
Spot Rate : 1.0000
Average : 0.5451

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2018-10-14
Maturity Price : 25.25
Evaluated at bid price : 25.59
Bid-YTW : -13.22 %
MFC.PR.I FixedReset Ins Non Quote: 23.85 – 24.85
Spot Rate : 1.0000
Average : 0.5499

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.85
Bid-YTW : 5.50 %
CU.PR.D Perpetual-Discount Quote: 22.00 – 23.05
Spot Rate : 1.0500
Average : 0.6054

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-09-14
Maturity Price : 21.75
Evaluated at bid price : 22.00
Bid-YTW : 5.61 %
SLF.PR.D Deemed-Retractible Quote: 20.44 – 21.44
Spot Rate : 1.0000
Average : 0.5713

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.44
Bid-YTW : 8.18 %
Market Action

September 13, 2018

S&P downgraded Hydro One today:

•The Government of Ontario recently implemented legislation, requiring Hydro One’s board of directors to establish a new executive compensation framework for the board, CEO, and other executives. The legislation also amends the current Ontario Energy Board Act, requiring the Ontario Energy Board to exclude any compensation paid to the CEO and other executives from consumer rates.
•We consider such action as a governance deficiency related to Hydro One’s ownership structure and are lowering our management and governance (M&G) assessment on Hydro One Ltd. (HOL) and Hydro One Inc. (HOI) to fair from satisfactory.
•At the same time, we are lowering the issuer credit ratings on both HOL and HOI by one notch to ‘A-‘ from ‘A’, reflecting the change in our M&G assessment.
•We are also lowering the issue-level rating on HOI’s senior unsecured debt to ‘A-‘, the rating on its commercial paper program to ‘A-2’, and the global short-term and Canadian National Scale ratings to ‘A-1 (Low)’.•All ratings remain on CreditWatch with negative implications.

Well done, Doug Ford! Does anybody want to try their hand at calculating how much the downgrade may be expected to cost us due to increased interest charges on Hydro One’s debt as it rolls over?:

•Hydro One Inc. currently has $9,923 billion [sic] in public long-term debt outstanding.

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 1.9422 % 3,096.1
FixedFloater 0.00 % 0.00 % 0 0.00 0 1.9422 % 5,681.2
Floater 3.51 % 3.69 % 38,818 18.11 4 1.9422 % 3,274.1
OpRet 0.00 % 0.00 % 0 0.00 0 0.0873 % 3,229.9
SplitShare 4.61 % 4.61 % 57,677 4.82 5 0.0873 % 3,857.2
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0873 % 3,009.6
Perpetual-Premium 5.54 % -0.72 % 50,396 0.13 12 0.0361 % 2,919.8
Perpetual-Discount 5.41 % 5.52 % 56,894 14.54 22 0.0810 % 3,005.4
FixedReset Disc 4.16 % 4.93 % 137,931 15.72 41 -0.0264 % 2,578.2
Deemed-Retractible 5.15 % 5.92 % 62,538 5.39 27 0.1277 % 3,000.7
FloatingReset 3.31 % 3.94 % 40,144 5.68 5 0.3344 % 2,864.5
FixedReset Prem 4.84 % 4.18 % 173,474 2.89 35 0.1070 % 2,565.9
FixedReset Bank Non 3.19 % 3.57 % 64,395 0.44 9 0.0271 % 2,572.5
FixedReset Ins Non 4.29 % 5.13 % 95,442 5.46 22 0.3857 % 2,574.9
Performance Highlights
Issue Index Change Notes
BAM.PR.R FixedReset Disc -2.27 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-09-13
Maturity Price : 20.58
Evaluated at bid price : 20.58
Bid-YTW : 5.21 %
BAM.PF.F FixedReset Disc -1.59 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-09-13
Maturity Price : 23.89
Evaluated at bid price : 24.37
Bid-YTW : 5.16 %
CU.PR.C FixedReset Disc -1.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-09-13
Maturity Price : 21.98
Evaluated at bid price : 22.40
Bid-YTW : 4.88 %
MFC.PR.R FixedReset Ins Non -1.00 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-03-19
Maturity Price : 25.00
Evaluated at bid price : 25.72
Bid-YTW : 3.96 %
BAM.PR.N Perpetual-Discount 1.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-09-13
Maturity Price : 20.90
Evaluated at bid price : 20.90
Bid-YTW : 5.70 %
TRP.PR.D FixedReset Disc 1.24 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-09-13
Maturity Price : 22.22
Evaluated at bid price : 22.95
Bid-YTW : 5.00 %
IFC.PR.E Deemed-Retractible 1.52 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.05
Bid-YTW : 5.92 %
BAM.PR.K Floater 1.62 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-09-13
Maturity Price : 17.50
Evaluated at bid price : 17.50
Bid-YTW : 3.69 %
BAM.PR.C Floater 1.63 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-09-13
Maturity Price : 17.37
Evaluated at bid price : 17.37
Bid-YTW : 3.72 %
IFC.PR.C FixedReset Ins Non 1.72 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.39
Bid-YTW : 5.32 %
PWF.PR.A Floater 2.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-09-13
Maturity Price : 21.42
Evaluated at bid price : 21.42
Bid-YTW : 3.04 %
TRP.PR.B FixedReset Disc 2.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-09-13
Maturity Price : 17.17
Evaluated at bid price : 17.17
Bid-YTW : 4.91 %
BAM.PR.B Floater 2.50 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-09-13
Maturity Price : 17.52
Evaluated at bid price : 17.52
Bid-YTW : 3.69 %
MFC.PR.L FixedReset Ins Non 2.66 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.80
Bid-YTW : 6.02 %
Volume Highlights
Issue Index Shares
Traded		 Notes
TD.PF.K FixedReset Disc 946,070 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-09-13
Maturity Price : 23.13
Evaluated at bid price : 24.92
Bid-YTW : 4.73 %
BIP.PR.F FixedReset Disc 154,600 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-09-13
Maturity Price : 23.13
Evaluated at bid price : 24.95
Bid-YTW : 5.06 %
BNS.PR.H FixedReset Prem 136,300 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-01-26
Maturity Price : 25.00
Evaluated at bid price : 26.11
Bid-YTW : 3.66 %
BMO.PR.S FixedReset Disc 56,619 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-09-13
Maturity Price : 22.77
Evaluated at bid price : 23.42
Bid-YTW : 4.83 %
CM.PR.Q FixedReset Disc 51,300 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-09-13
Maturity Price : 23.41
Evaluated at bid price : 24.48
Bid-YTW : 4.93 %
BAM.PR.B Floater 33,400 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-09-13
Maturity Price : 17.52
Evaluated at bid price : 17.52
Bid-YTW : 3.69 %
There were 10 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
SLF.PR.B Deemed-Retractible Quote: 22.74 – 23.50
Spot Rate : 0.7600
Average : 0.4266

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.74
Bid-YTW : 6.55 %
BAM.PR.R FixedReset Disc Quote: 20.58 – 21.33
Spot Rate : 0.7500
Average : 0.4512

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-09-13
Maturity Price : 20.58
Evaluated at bid price : 20.58
Bid-YTW : 5.21 %
BAM.PF.F FixedReset Disc Quote: 24.37 – 24.94
Spot Rate : 0.5700
Average : 0.3452

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-09-13
Maturity Price : 23.89
Evaluated at bid price : 24.37
Bid-YTW : 5.16 %
BAM.PF.B FixedReset Disc Quote: 23.50 – 23.90
Spot Rate : 0.4000
Average : 0.2367

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-09-13
Maturity Price : 22.78
Evaluated at bid price : 23.50
Bid-YTW : 5.10 %
SLF.PR.J FloatingReset Quote: 20.05 – 20.50
Spot Rate : 0.4500
Average : 0.2931

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.05
Bid-YTW : 6.73 %
BAM.PR.X FixedReset Disc Quote: 19.06 – 19.49
Spot Rate : 0.4300
Average : 0.2805

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-09-13
Maturity Price : 19.06
Evaluated at bid price : 19.06
Bid-YTW : 4.93 %
Market Action

September 12, 2018

PerpetualDiscounts now yield 5.53%, equivalent to 7.19% interest at the standard equivalency factor of 1.3x. Long corporates now yield just a hair under 4.00%, so the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) is now about 320bp, a slight (and perhaps spurious) narrowing from the 325bp reported September 5.

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 -0.6280 % 3,037.1
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.6280 % 5,572.9
Floater 3.56 % 3.78 % 37,825 17.81 4 -0.6280 % 3,211.7
OpRet 0.00 % 0.00 % 0 0.00 0 -0.1505 % 3,227.1
SplitShare 4.61 % 4.61 % 58,400 4.82 5 -0.1505 % 3,853.9
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.1505 % 3,006.9
Perpetual-Premium 5.54 % -1.38 % 50,174 0.14 12 -0.0197 % 2,918.8
Perpetual-Discount 5.40 % 5.53 % 58,764 14.54 22 0.0216 % 3,003.0
FixedReset Disc 4.13 % 4.94 % 129,886 15.69 40 0.0292 % 2,578.9
Deemed-Retractible 5.16 % 5.94 % 63,012 5.38 27 0.0110 % 2,996.8
FloatingReset 3.33 % 3.98 % 40,660 5.69 5 0.2264 % 2,854.9
FixedReset Prem 4.84 % 4.23 % 175,425 3.09 35 0.0514 % 2,563.2
FixedReset Bank Non 3.19 % 3.96 % 66,549 3.14 9 0.0181 % 2,571.8
FixedReset Ins Non 4.30 % 5.17 % 96,511 5.45 22 -0.1734 % 2,565.0
Performance Highlights
Issue Index Change Notes
PWF.PR.A Floater -1.64 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-09-12
Maturity Price : 21.00
Evaluated at bid price : 21.00
Bid-YTW : 3.10 %
IFC.PR.E Deemed-Retractible -1.60 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.01
Bid-YTW : 6.20 %
MFC.PR.F FixedReset Ins Non -1.29 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.32
Bid-YTW : 8.46 %
IFC.PR.C FixedReset Ins Non -1.23 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.20
Bid-YTW : 5.62 %
BAM.PF.G FixedReset Disc -1.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-09-12
Maturity Price : 23.54
Evaluated at bid price : 24.75
Bid-YTW : 5.07 %
TD.PF.E FixedReset Disc 1.15 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2020-10-31
Maturity Price : 25.00
Evaluated at bid price : 24.70
Bid-YTW : 4.53 %
SLF.PR.G FixedReset Ins Non 1.27 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.90
Bid-YTW : 7.28 %
Volume Highlights
Issue Index Shares
Traded		 Notes
BIP.PR.F FixedReset Disc 414,753 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-09-12
Maturity Price : 23.10
Evaluated at bid price : 24.88
Bid-YTW : 5.07 %
BNS.PR.H FixedReset Prem 162,093 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-01-26
Maturity Price : 25.00
Evaluated at bid price : 26.06
Bid-YTW : 3.72 %
RY.PR.J FixedReset Disc 90,223 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-09-12
Maturity Price : 24.15
Evaluated at bid price : 24.47
Bid-YTW : 4.96 %
CM.PR.R FixedReset Prem 59,365 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-07-31
Maturity Price : 25.00
Evaluated at bid price : 25.30
Bid-YTW : 4.23 %
CM.PR.Q FixedReset Disc 54,070 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-09-12
Maturity Price : 23.37
Evaluated at bid price : 24.40
Bid-YTW : 4.95 %
EMA.PR.H FixedReset Prem 52,961 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-09-12
Maturity Price : 23.20
Evaluated at bid price : 25.10
Bid-YTW : 4.82 %
There were 23 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
CM.PR.P FixedReset Disc Quote: 23.05 – 23.60
Spot Rate : 0.5500
Average : 0.3789

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-09-12
Maturity Price : 22.61
Evaluated at bid price : 23.05
Bid-YTW : 4.79 %
VNR.PR.A FixedReset Prem Quote: 24.50 – 25.00
Spot Rate : 0.5000
Average : 0.3381

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-09-12
Maturity Price : 23.06
Evaluated at bid price : 24.50
Bid-YTW : 5.02 %
BAM.PR.B Floater Quote: 17.22 – 17.85
Spot Rate : 0.6300
Average : 0.4909

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-09-12
Maturity Price : 17.22
Evaluated at bid price : 17.22
Bid-YTW : 3.81 %
IFC.PR.C FixedReset Ins Non Quote: 23.20 – 23.55
Spot Rate : 0.3500
Average : 0.2164

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.20
Bid-YTW : 5.62 %
SLF.PR.E Deemed-Retractible Quote: 21.41 – 21.96
Spot Rate : 0.5500
Average : 0.4167

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.41
Bid-YTW : 7.36 %
HSE.PR.C FixedReset Prem Quote: 24.58 – 25.08
Spot Rate : 0.5000
Average : 0.3685

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-09-12
Maturity Price : 24.21
Evaluated at bid price : 24.58
Bid-YTW : 5.36 %
Market Action

September 11, 2018

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 0.6181 % 3,056.3
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.6181 % 5,608.2
Floater 3.54 % 3.78 % 37,812 17.79 4 0.6181 % 3,232.0
OpRet 0.00 % 0.00 % 0 0.00 0 -0.1266 % 3,232.0
SplitShare 4.60 % 4.42 % 56,598 4.82 5 -0.1266 % 3,859.7
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.1266 % 3,011.5
Perpetual-Premium 5.54 % -1.57 % 50,626 0.14 12 -0.0262 % 2,919.4
Perpetual-Discount 5.40 % 5.53 % 57,573 14.55 22 0.0805 % 3,002.3
FixedReset Disc 4.11 % 4.95 % 126,828 15.70 39 -0.0258 % 2,578.1
Deemed-Retractible 5.16 % 5.89 % 63,593 5.39 27 0.1692 % 2,996.5
FloatingReset 3.33 % 4.11 % 37,639 5.69 5 0.1815 % 2,848.5
FixedReset Prem 4.84 % 4.17 % 174,427 2.89 35 0.0916 % 2,561.8
FixedReset Bank Non 3.19 % 3.89 % 67,462 3.14 9 0.0271 % 2,571.3
FixedReset Ins Non 4.29 % 5.19 % 97,859 5.36 22 0.0916 % 2,569.4
Performance Highlights
Issue Index Change Notes
SLF.PR.G FixedReset Ins Non -1.11 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.65
Bid-YTW : 7.50 %
MFC.PR.F FixedReset Ins Non 1.09 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.56
Bid-YTW : 8.22 %
BAM.PF.I FixedReset Prem 1.17 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-03-31
Maturity Price : 25.00
Evaluated at bid price : 25.86
Bid-YTW : 4.07 %
PWF.PR.A Floater 1.67 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-09-11
Maturity Price : 21.35
Evaluated at bid price : 21.35
Bid-YTW : 3.05 %
IFC.PR.E Deemed-Retractible 1.67 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.40
Bid-YTW : 5.89 %
BAM.PR.K Floater 1.71 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-09-11
Maturity Price : 17.29
Evaluated at bid price : 17.29
Bid-YTW : 3.79 %
Volume Highlights
Issue Index Shares
Traded		 Notes
CM.PR.R FixedReset Prem 229,829 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-07-31
Maturity Price : 25.00
Evaluated at bid price : 25.25
Bid-YTW : 4.29 %
BMO.PR.S FixedReset Disc 104,024 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-09-11
Maturity Price : 22.84
Evaluated at bid price : 23.50
Bid-YTW : 4.81 %
MFC.PR.O FixedReset Ins Non 80,425 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-06-19
Maturity Price : 25.00
Evaluated at bid price : 26.29
Bid-YTW : 3.61 %
BNS.PR.G FixedReset Prem 79,462 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-07-25
Maturity Price : 25.00
Evaluated at bid price : 26.35
Bid-YTW : 3.78 %
RY.PR.R FixedReset Prem 77,192 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-08-24
Maturity Price : 25.00
Evaluated at bid price : 26.37
Bid-YTW : 3.65 %
BAM.PR.T FixedReset Disc 61,213 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-09-11
Maturity Price : 21.40
Evaluated at bid price : 21.40
Bid-YTW : 5.10 %
There were 15 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
MFC.PR.L FixedReset Ins Non Quote: 22.41 – 23.80
Spot Rate : 1.3900
Average : 1.1625

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.41
Bid-YTW : 6.33 %
BAM.PR.B Floater Quote: 17.32 – 17.85
Spot Rate : 0.5300
Average : 0.3383

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-09-11
Maturity Price : 17.32
Evaluated at bid price : 17.32
Bid-YTW : 3.78 %
MFC.PR.K FixedReset Ins Non Quote: 22.44 – 23.50
Spot Rate : 1.0600
Average : 0.9449

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.44
Bid-YTW : 6.42 %
BAM.PR.K Floater Quote: 17.29 – 17.88
Spot Rate : 0.5900
Average : 0.4760

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-09-11
Maturity Price : 17.29
Evaluated at bid price : 17.29
Bid-YTW : 3.79 %
TD.PF.E FixedReset Disc Quote: 24.42 – 24.72
Spot Rate : 0.3000
Average : 0.1874

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-09-11
Maturity Price : 23.32
Evaluated at bid price : 24.42
Bid-YTW : 5.03 %
HSE.PR.C FixedReset Prem Quote: 24.75 – 25.08
Spot Rate : 0.3300
Average : 0.2242

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2019-12-31
Maturity Price : 25.00
Evaluated at bid price : 24.75
Bid-YTW : 5.15 %
Market Action

September 10, 2018

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 -0.7769 % 3,037.5
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.7769 % 5,573.7
Floater 3.56 % 3.77 % 38,296 17.84 4 -0.7769 % 3,212.2
OpRet 0.00 % 0.00 % 0 0.00 0 0.0475 % 3,236.1
SplitShare 4.60 % 4.42 % 53,020 4.82 5 0.0475 % 3,864.6
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0475 % 3,015.3
Perpetual-Premium 5.54 % -0.32 % 50,240 0.09 12 -0.0753 % 2,920.1
Perpetual-Discount 5.41 % 5.55 % 58,329 14.51 22 -0.0745 % 2,999.9
FixedReset Disc 4.11 % 4.94 % 127,949 15.70 39 -0.0999 % 2,578.8
Deemed-Retractible 5.17 % 5.97 % 64,387 5.39 27 -0.0298 % 2,991.5
FloatingReset 3.34 % 4.10 % 38,984 5.69 5 -0.0181 % 2,843.3
FixedReset Prem 4.84 % 4.25 % 176,821 2.89 35 -0.1863 % 2,559.5
FixedReset Bank Non 3.19 % 3.94 % 67,763 3.15 9 -0.0632 % 2,570.6
FixedReset Ins Non 4.30 % 5.16 % 101,166 5.37 22 -0.2101 % 2,567.1
Performance Highlights
Issue Index Change Notes
BAM.PF.I FixedReset Prem -1.92 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-03-31
Maturity Price : 25.00
Evaluated at bid price : 25.56
Bid-YTW : 4.43 %
BAM.PR.K Floater -1.85 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-09-10
Maturity Price : 17.00
Evaluated at bid price : 17.00
Bid-YTW : 3.86 %
MFC.PR.L FixedReset Ins Non -1.46 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.21
Bid-YTW : 6.49 %
MFC.PR.F FixedReset Ins Non -1.45 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.36
Bid-YTW : 8.41 %
MFC.PR.I FixedReset Ins Non -1.24 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-09-19
Maturity Price : 25.00
Evaluated at bid price : 24.59
Bid-YTW : 4.80 %
IFC.PR.G FixedReset Ins Non 1.14 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.90
Bid-YTW : 5.24 %
CU.PR.C FixedReset Disc 1.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-09-10
Maturity Price : 22.15
Evaluated at bid price : 22.65
Bid-YTW : 4.82 %
Volume Highlights
Issue Index Shares
Traded		 Notes
CM.PR.R FixedReset Prem 84,271 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-07-31
Maturity Price : 25.00
Evaluated at bid price : 25.22
Bid-YTW : 4.32 %
TD.PF.H FixedReset Prem 81,114 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-10-31
Maturity Price : 25.00
Evaluated at bid price : 25.85
Bid-YTW : 3.89 %
BAM.PR.R FixedReset Disc 58,600 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-09-10
Maturity Price : 21.22
Evaluated at bid price : 21.22
Bid-YTW : 5.11 %
MFC.PR.R FixedReset Ins Non 54,975 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-03-19
Maturity Price : 25.00
Evaluated at bid price : 25.75
Bid-YTW : 3.92 %
EMA.PR.F FixedReset Disc 52,448 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-09-10
Maturity Price : 23.57
Evaluated at bid price : 24.00
Bid-YTW : 5.02 %
TD.PF.I FixedReset Prem 44,390 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-10-31
Maturity Price : 25.00
Evaluated at bid price : 25.03
Bid-YTW : 4.63 %
There were 18 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
MFC.PR.L FixedReset Ins Non Quote: 22.21 – 23.80
Spot Rate : 1.5900
Average : 0.9130

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.21
Bid-YTW : 6.49 %
SLF.PR.A Deemed-Retractible Quote: 22.25 – 23.80
Spot Rate : 1.5500
Average : 0.9214

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.25
Bid-YTW : 6.90 %
PVS.PR.B SplitShare Quote: 25.11 – 26.11
Spot Rate : 1.0000
Average : 0.5787

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2019-01-10
Maturity Price : 25.00
Evaluated at bid price : 25.11
Bid-YTW : 3.15 %
MFC.PR.K FixedReset Ins Non Quote: 22.45 – 23.50
Spot Rate : 1.0500
Average : 0.8188

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.45
Bid-YTW : 6.40 %
BAM.PF.I FixedReset Prem Quote: 25.56 – 26.20
Spot Rate : 0.6400
Average : 0.4148

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-03-31
Maturity Price : 25.00
Evaluated at bid price : 25.56
Bid-YTW : 4.43 %
MFC.PR.G FixedReset Ins Non Quote: 24.40 – 24.95
Spot Rate : 0.5500
Average : 0.3592

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-12-19
Maturity Price : 25.00
Evaluated at bid price : 24.40
Bid-YTW : 4.68 %