Category: Market Action

Market Action

August 7, 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 -0.2006 % 3,113.9
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.2006 % 5,713.8
Floater 3.47 % 3.67 % 54,235 18.10 4 -0.2006 % 3,292.9
OpRet 0.00 % 0.00 % 0 0.00 0 -0.0079 % 3,213.1
SplitShare 4.57 % 4.37 % 47,357 4.86 5 -0.0079 % 3,837.1
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.0079 % 2,993.9
Perpetual-Premium 5.62 % -11.72 % 59,838 0.09 10 -0.0433 % 2,912.6
Perpetual-Discount 5.40 % 5.53 % 53,872 14.61 25 0.0224 % 2,986.4
FixedReset 4.30 % 4.73 % 128,385 3.84 107 0.0702 % 2,573.4
Deemed-Retractible 5.15 % 6.07 % 57,898 5.41 26 -0.0226 % 2,974.0
FloatingReset 3.35 % 3.55 % 31,110 5.75 7 0.2221 % 2,839.3
Performance Highlights
Issue Index Change Notes
MFC.PR.L FixedReset -4.93 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.20
Bid-YTW : 7.51 %
CU.PR.G Perpetual-Discount -1.40 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-08-07
Maturity Price : 21.06
Evaluated at bid price : 21.06
Bid-YTW : 5.44 %
BIP.PR.A FixedReset -1.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-08-07
Maturity Price : 23.67
Evaluated at bid price : 24.00
Bid-YTW : 5.98 %
EMA.PR.C FixedReset 1.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-08-07
Maturity Price : 22.83
Evaluated at bid price : 24.12
Bid-YTW : 5.04 %
BAM.PF.F FixedReset 1.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-08-07
Maturity Price : 23.84
Evaluated at bid price : 24.95
Bid-YTW : 5.10 %
TD.PF.E FixedReset 1.60 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2020-10-31
Maturity Price : 25.00
Evaluated at bid price : 24.79
Bid-YTW : 4.14 %
Volume Highlights
Issue Index Shares
Traded		 Notes
BMO.PR.Q FixedReset 225,550 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.12
Bid-YTW : 4.35 %
TD.PF.D FixedReset 71,816 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2020-07-31
Maturity Price : 25.00
Evaluated at bid price : 24.57
Bid-YTW : 4.57 %
MFC.PR.R FixedReset 57,400 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-03-19
Maturity Price : 25.00
Evaluated at bid price : 26.01
Bid-YTW : 3.86 %
SLF.PR.H FixedReset 56,909 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.11
Bid-YTW : 5.88 %
W.PR.K FixedReset 49,500 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-01-15
Maturity Price : 25.00
Evaluated at bid price : 26.15
Bid-YTW : 3.43 %
BNS.PR.G FixedReset 46,818 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-07-25
Maturity Price : 25.00
Evaluated at bid price : 26.38
Bid-YTW : 3.60 %
There were 11 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 Quote: 21.20 – 23.19
Spot Rate : 1.9900
Average : 1.3039

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.20
Bid-YTW : 7.51 %
IAG.PR.I FixedReset Quote: 25.16 – 26.16
Spot Rate : 1.0000
Average : 0.5873

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2023-03-31
Maturity Price : 25.00
Evaluated at bid price : 25.16
Bid-YTW : 4.80 %
MFC.PR.Q FixedReset Quote: 24.85 – 25.29
Spot Rate : 0.4400
Average : 0.2979

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.85
Bid-YTW : 4.98 %
CU.PR.G Perpetual-Discount Quote: 21.06 – 21.40
Spot Rate : 0.3400
Average : 0.2056

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-08-07
Maturity Price : 21.06
Evaluated at bid price : 21.06
Bid-YTW : 5.44 %
BIP.PR.A FixedReset Quote: 24.00 – 24.34
Spot Rate : 0.3400
Average : 0.2163

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-08-07
Maturity Price : 23.67
Evaluated at bid price : 24.00
Bid-YTW : 5.98 %
PWF.PR.Q FloatingReset Quote: 21.70 – 22.20
Spot Rate : 0.5000
Average : 0.4026

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-08-07
Maturity Price : 21.38
Evaluated at bid price : 21.70
Bid-YTW : 3.48 %
Market Action

August 3, 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 -0.7301 % 3,120.1
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.7301 % 5,725.3
Floater 3.46 % 3.66 % 54,654 18.14 4 -0.7301 % 3,299.5
OpRet 0.00 % 0.00 % 0 0.00 0 0.1102 % 3,213.3
SplitShare 4.57 % 4.37 % 47,685 4.87 5 0.1102 % 3,837.4
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.1102 % 2,994.1
Perpetual-Premium 5.62 % -12.88 % 60,475 0.09 10 -0.1061 % 2,913.8
Perpetual-Discount 5.40 % 5.53 % 54,708 14.61 25 -0.0242 % 2,985.7
FixedReset 4.30 % 4.70 % 124,499 3.95 107 -0.1030 % 2,571.6
Deemed-Retractible 5.14 % 6.05 % 60,191 5.42 26 -0.1357 % 2,974.6
FloatingReset 3.36 % 3.55 % 32,321 5.75 7 0.0915 % 2,833.0
Performance Highlights
Issue Index Change Notes
MFC.PR.L FixedReset -4.21 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.30
Bid-YTW : 6.49 %
PWF.PR.A Floater -1.70 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-08-03
Maturity Price : 21.34
Evaluated at bid price : 21.34
Bid-YTW : 3.03 %
TD.PF.E FixedReset -1.69 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2020-10-31
Maturity Price : 25.00
Evaluated at bid price : 24.40
Bid-YTW : 4.87 %
EMA.PR.C FixedReset -1.33 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-08-03
Maturity Price : 22.70
Evaluated at bid price : 23.83
Bid-YTW : 5.04 %
MFC.PR.I FixedReset -1.03 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-09-19
Maturity Price : 25.00
Evaluated at bid price : 24.90
Bid-YTW : 4.63 %
SLF.PR.J FloatingReset 1.01 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.95
Bid-YTW : 6.78 %
MFC.PR.K FixedReset 2.01 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.35
Bid-YTW : 5.77 %
Volume Highlights
Issue Index Shares
Traded		 Notes
RY.PR.L FixedReset 129,743 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2019-02-24
Maturity Price : 25.00
Evaluated at bid price : 25.12
Bid-YTW : 2.95 %
TD.PF.H FixedReset 79,846 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-10-31
Maturity Price : 25.00
Evaluated at bid price : 26.00
Bid-YTW : 3.56 %
MFC.PR.K FixedReset 66,454 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.35
Bid-YTW : 5.77 %
NA.PR.A FixedReset 44,356 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-08-15
Maturity Price : 25.00
Evaluated at bid price : 26.16
Bid-YTW : 3.73 %
NA.PR.G FixedReset 43,900 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-08-03
Maturity Price : 23.21
Evaluated at bid price : 25.22
Bid-YTW : 4.88 %
CM.PR.S FixedReset 13,613 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-08-03
Maturity Price : 22.77
Evaluated at bid price : 23.90
Bid-YTW : 4.78 %
There were 3 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
TRP.PR.E FixedReset Quote: 22.63 – 23.90
Spot Rate : 1.2700
Average : 0.6882

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-08-03
Maturity Price : 22.02
Evaluated at bid price : 22.63
Bid-YTW : 5.00 %
MFC.PR.L FixedReset Quote: 22.30 – 23.30
Spot Rate : 1.0000
Average : 0.5517

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.30
Bid-YTW : 6.49 %
TD.PF.G FixedReset Quote: 26.35 – 26.75
Spot Rate : 0.4000
Average : 0.2343

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-04-30
Maturity Price : 25.00
Evaluated at bid price : 26.35
Bid-YTW : 3.44 %
PWF.PR.O Perpetual-Premium Quote: 25.66 – 26.05
Spot Rate : 0.3900
Average : 0.2320

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2018-09-02
Maturity Price : 25.25
Evaluated at bid price : 25.66
Bid-YTW : -12.88 %
TD.PF.E FixedReset Quote: 24.40 – 24.79
Spot Rate : 0.3900
Average : 0.2549

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2020-10-31
Maturity Price : 25.00
Evaluated at bid price : 24.40
Bid-YTW : 4.87 %
MFC.PR.H FixedReset Quote: 25.30 – 25.70
Spot Rate : 0.4000
Average : 0.2768

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-03-19
Maturity Price : 25.00
Evaluated at bid price : 25.30
Bid-YTW : 5.15 %
Market Action

August 2, 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 0.5875 % 3,143.1
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.5875 % 5,767.4
Floater 3.44 % 3.65 % 53,509 18.17 4 0.5875 % 3,323.8
OpRet 0.00 % 0.00 % 0 0.00 0 0.0946 % 3,209.8
SplitShare 4.58 % 4.39 % 47,477 4.87 5 0.0946 % 3,833.2
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0946 % 2,990.8
Perpetual-Premium 5.61 % -14.57 % 61,381 0.09 10 0.0905 % 2,916.9
Perpetual-Discount 5.40 % 5.52 % 55,274 14.64 25 -0.0414 % 2,986.4
FixedReset 4.29 % 4.65 % 125,308 3.94 107 -0.0453 % 2,574.3
Deemed-Retractible 5.14 % 5.99 % 62,307 5.43 26 0.0113 % 2,978.7
FloatingReset 3.36 % 3.56 % 31,751 5.75 7 -0.2218 % 2,830.4
Performance Highlights
Issue Index Change Notes
HSE.PR.A FixedReset -1.49 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-08-02
Maturity Price : 17.86
Evaluated at bid price : 17.86
Bid-YTW : 5.20 %
SLF.PR.J FloatingReset -1.25 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.75
Bid-YTW : 6.95 %
BAM.PF.F FixedReset -1.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-08-02
Maturity Price : 24.26
Evaluated at bid price : 24.65
Bid-YTW : 5.13 %
MFC.PR.G FixedReset -1.01 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-12-19
Maturity Price : 25.00
Evaluated at bid price : 24.50
Bid-YTW : 4.71 %
PWF.PR.A Floater 2.21 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-08-02
Maturity Price : 21.45
Evaluated at bid price : 21.71
Bid-YTW : 2.95 %
Volume Highlights
Issue Index Shares
Traded		 Notes
BMO.PR.T FixedReset 100,800 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-08-02
Maturity Price : 22.72
Evaluated at bid price : 23.24
Bid-YTW : 4.72 %
NA.PR.E FixedReset 68,091 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-08-02
Maturity Price : 22.70
Evaluated at bid price : 23.80
Bid-YTW : 4.92 %
CM.PR.S FixedReset 64,816 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-08-02
Maturity Price : 22.75
Evaluated at bid price : 23.86
Bid-YTW : 4.79 %
TD.PF.H FixedReset 55,200 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-10-31
Maturity Price : 25.00
Evaluated at bid price : 25.96
Bid-YTW : 3.61 %
POW.PR.G Perpetual-Premium 52,614 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-04-15
Maturity Price : 25.00
Evaluated at bid price : 25.33
Bid-YTW : 5.21 %
BMO.PR.W FixedReset 51,900 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-08-02
Maturity Price : 22.60
Evaluated at bid price : 23.05
Bid-YTW : 4.73 %
There were 19 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
SLF.PR.J FloatingReset Quote: 19.75 – 20.25
Spot Rate : 0.5000
Average : 0.2924

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.75
Bid-YTW : 6.95 %
BAM.PF.F FixedReset Quote: 24.65 – 25.00
Spot Rate : 0.3500
Average : 0.2103

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-08-02
Maturity Price : 24.26
Evaluated at bid price : 24.65
Bid-YTW : 5.13 %
MFC.PR.K FixedReset Quote: 22.89 – 23.50
Spot Rate : 0.6100
Average : 0.4935

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.89
Bid-YTW : 6.14 %
HSE.PR.C FixedReset Quote: 24.85 – 25.22
Spot Rate : 0.3700
Average : 0.2550

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2019-12-31
Maturity Price : 25.00
Evaluated at bid price : 24.85
Bid-YTW : 5.28 %
TRP.PR.B FixedReset Quote: 17.00 – 17.38
Spot Rate : 0.3800
Average : 0.2701

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-08-02
Maturity Price : 17.00
Evaluated at bid price : 17.00
Bid-YTW : 4.97 %
MFC.PR.N FixedReset Quote: 23.75 – 24.00
Spot Rate : 0.2500
Average : 0.1473

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.75
Bid-YTW : 5.35 %
Market Action

August 1, 2018

PerpetualDiscounts now yield 5.52%, equivalent to 7.18% interest at the standard equivalency factor of 1.3x. Long corporates now yield about 3.98%, so the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) is now about 320bp, unchanged from the July 25 report.

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 0.0401 % 3,124.7
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.0401 % 5,733.7
Floater 3.46 % 3.64 % 55,502 18.19 4 0.0401 % 3,304.4
OpRet 0.00 % 0.00 % 0 0.00 0 0.0158 % 3,206.8
SplitShare 4.58 % 4.40 % 48,072 4.87 5 0.0158 % 3,829.5
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0158 % 2,988.0
Perpetual-Premium 5.62 % -13.67 % 59,188 0.09 10 -0.0354 % 2,914.3
Perpetual-Discount 5.40 % 5.52 % 54,382 14.62 25 0.0447 % 2,987.7
FixedReset 4.29 % 4.65 % 127,183 3.90 107 0.2047 % 2,575.4
Deemed-Retractible 5.14 % 5.98 % 63,270 5.43 26 -0.0194 % 2,978.3
FloatingReset 3.35 % 3.56 % 33,058 5.76 7 0.1292 % 2,836.7
Performance Highlights
Issue Index Change Notes
MFC.PR.K FixedReset -1.38 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.89
Bid-YTW : 6.13 %
PWF.PR.A Floater -1.21 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-08-01
Maturity Price : 21.24
Evaluated at bid price : 21.24
Bid-YTW : 3.04 %
GWO.PR.N FixedReset 1.00 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.13
Bid-YTW : 7.63 %
BAM.PR.C Floater 1.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-08-01
Maturity Price : 17.88
Evaluated at bid price : 17.88
Bid-YTW : 3.65 %
NA.PR.W FixedReset 1.60 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-08-01
Maturity Price : 22.51
Evaluated at bid price : 22.91
Bid-YTW : 4.80 %
TD.PF.A FixedReset 1.67 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-08-01
Maturity Price : 23.31
Evaluated at bid price : 23.79
Bid-YTW : 4.62 %
EMA.PR.C FixedReset 1.82 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-08-01
Maturity Price : 22.82
Evaluated at bid price : 24.11
Bid-YTW : 4.97 %
Volume Highlights
Issue Index Shares
Traded		 Notes
TD.PF.B FixedReset 79,603 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-08-01
Maturity Price : 22.93
Evaluated at bid price : 23.49
Bid-YTW : 4.71 %
TD.PF.H FixedReset 70,075 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-10-31
Maturity Price : 25.00
Evaluated at bid price : 25.94
Bid-YTW : 3.63 %
CM.PR.S FixedReset 60,353 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-08-01
Maturity Price : 22.73
Evaluated at bid price : 23.81
Bid-YTW : 4.80 %
BMO.PR.C FixedReset 57,100 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-05-25
Maturity Price : 25.00
Evaluated at bid price : 25.31
Bid-YTW : 4.08 %
CM.PR.R FixedReset 53,919 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-07-31
Maturity Price : 25.00
Evaluated at bid price : 25.29
Bid-YTW : 4.11 %
MFC.PR.K FixedReset 53,194 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.89
Bid-YTW : 6.13 %
There were 17 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
PWF.PR.A Floater Quote: 21.24 – 22.00
Spot Rate : 0.7600
Average : 0.6079

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-08-01
Maturity Price : 21.24
Evaluated at bid price : 21.24
Bid-YTW : 3.04 %
MFC.PR.K FixedReset Quote: 22.89 – 23.40
Spot Rate : 0.5100
Average : 0.3658

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.89
Bid-YTW : 6.13 %
VNR.PR.A FixedReset Quote: 24.99 – 25.35
Spot Rate : 0.3600
Average : 0.2715

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-10-15
Maturity Price : 25.00
Evaluated at bid price : 24.99
Bid-YTW : 4.71 %
IAG.PR.G FixedReset Quote: 23.79 – 24.12
Spot Rate : 0.3300
Average : 0.2478

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.79
Bid-YTW : 5.24 %
BAM.PF.E FixedReset Quote: 23.72 – 24.02
Spot Rate : 0.3000
Average : 0.2208

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-08-01
Maturity Price : 23.33
Evaluated at bid price : 23.72
Bid-YTW : 5.00 %
RY.PR.H FixedReset Quote: 23.69 – 23.89
Spot Rate : 0.2000
Average : 0.1327

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-08-01
Maturity Price : 23.15
Evaluated at bid price : 23.69
Bid-YTW : 4.65 %
Market Action

July 31, 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 1.1212 % 3,123.5
FixedFloater 0.00 % 0.00 % 0 0.00 0 1.1212 % 5,731.4
Floater 3.46 % 3.64 % 57,608 18.18 4 1.1212 % 3,303.0
OpRet 0.00 % 0.00 % 0 0.00 0 0.1026 % 3,206.3
SplitShare 4.58 % 4.65 % 50,043 4.87 5 0.1026 % 3,828.9
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.1026 % 2,987.5
Perpetual-Premium 5.63 % -15.36 % 60,028 0.09 9 0.0393 % 2,915.3
Perpetual-Discount 5.39 % 5.49 % 54,893 14.63 26 0.0218 % 2,986.3
FixedReset 4.29 % 4.66 % 127,370 3.90 106 -0.1278 % 2,570.2
Deemed-Retractible 5.14 % 6.00 % 59,538 5.43 27 0.0874 % 2,978.9
FloatingReset 3.26 % 3.55 % 32,117 3.34 9 -0.2026 % 2,833.0
Performance Highlights
Issue Index Change Notes
TRP.PR.H FloatingReset -1.68 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-07-31
Maturity Price : 17.00
Evaluated at bid price : 17.00
Bid-YTW : 4.02 %
TD.PF.A FixedReset -1.39 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-07-31
Maturity Price : 22.92
Evaluated at bid price : 23.40
Bid-YTW : 4.70 %
NA.PR.W FixedReset -1.36 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-07-31
Maturity Price : 22.19
Evaluated at bid price : 22.55
Bid-YTW : 4.88 %
BMO.PR.Q FixedReset -1.29 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.70
Bid-YTW : 4.87 %
BAM.PR.C Floater 1.26 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-07-31
Maturity Price : 17.69
Evaluated at bid price : 17.69
Bid-YTW : 3.69 %
BAM.PR.B Floater 1.37 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-07-31
Maturity Price : 17.77
Evaluated at bid price : 17.77
Bid-YTW : 3.67 %
BAM.PR.K Floater 1.99 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-07-31
Maturity Price : 17.90
Evaluated at bid price : 17.90
Bid-YTW : 3.64 %
Volume Highlights
Issue Index Shares
Traded		 Notes
TD.PF.D FixedReset 122,847 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2020-07-31
Maturity Price : 25.00
Evaluated at bid price : 24.62
Bid-YTW : 4.42 %
BMO.PR.R FloatingReset 99,800 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2018-09-24
Maturity Price : 25.00
Evaluated at bid price : 24.96
Bid-YTW : 1.07 %
NA.PR.C FixedReset 78,675 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-11-15
Maturity Price : 25.00
Evaluated at bid price : 25.12
Bid-YTW : 4.30 %
BAM.PR.T FixedReset 77,914 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-07-31
Maturity Price : 21.17
Evaluated at bid price : 21.17
Bid-YTW : 5.11 %
BMO.PR.C FixedReset 76,200 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-05-25
Maturity Price : 25.00
Evaluated at bid price : 25.30
Bid-YTW : 4.09 %
RY.PR.H FixedReset 60,939 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-07-31
Maturity Price : 23.06
Evaluated at bid price : 23.60
Bid-YTW : 4.67 %
There were 21 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
BMO.PR.Q FixedReset Quote: 22.70 – 23.04
Spot Rate : 0.3400
Average : 0.2041

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.70
Bid-YTW : 4.87 %
NA.PR.W FixedReset Quote: 22.55 – 22.90
Spot Rate : 0.3500
Average : 0.2169

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-07-31
Maturity Price : 22.19
Evaluated at bid price : 22.55
Bid-YTW : 4.88 %
TRP.PR.H FloatingReset Quote: 17.00 – 17.45
Spot Rate : 0.4500
Average : 0.3295

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-07-31
Maturity Price : 17.00
Evaluated at bid price : 17.00
Bid-YTW : 4.02 %
TD.PF.A FixedReset Quote: 23.40 – 23.75
Spot Rate : 0.3500
Average : 0.2462

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-07-31
Maturity Price : 22.92
Evaluated at bid price : 23.40
Bid-YTW : 4.70 %
BAM.PF.B FixedReset Quote: 23.80 – 24.08
Spot Rate : 0.2800
Average : 0.1980

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-07-31
Maturity Price : 23.12
Evaluated at bid price : 23.80
Bid-YTW : 5.06 %
BMO.PR.Z Perpetual-Discount Quote: 24.96 – 25.17
Spot Rate : 0.2100
Average : 0.1368

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-07-31
Maturity Price : 24.48
Evaluated at bid price : 24.96
Bid-YTW : 4.99 %
Market Action

July 30, 2018

Who remembers Jesse Litvak? I last discussed his case on December 23, 2015; basically, he was charged with fraud for acting like a bond salesman. It was one of the more ridiculous persecutions to emerge from the hysterical witch hunt that followed the credit crunch … and now it’s over:

Federal prosecutors moved to dismiss criminal charges against former Jefferies Group LLC managing director Jesse Litvak, whose two convictions for fraud were both overturned by a federal appeals court.

Litvak’s arrest five years ago put traders on notice that they could face criminal prosecution for making misrepresentations to customers while negotiating trades, sending shock waves through Wall Street and leading to the resignations and suspensions of dozens of traders.

The traders argued that they were dealing with sophisticated investors who knew not to accept their every sales pitch as gospel.

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 0.6800 % 3,088.8
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.6800 % 5,667.9
Floater 3.50 % 3.72 % 59,957 18.02 4 0.6800 % 3,266.4
OpRet 0.00 % 0.00 % 0 0.00 0 -0.0237 % 3,203.0
SplitShare 4.59 % 4.62 % 52,094 4.88 5 -0.0237 % 3,825.0
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.0237 % 2,984.4
Perpetual-Premium 5.63 % -14.03 % 62,079 0.09 9 0.0349 % 2,914.2
Perpetual-Discount 5.38 % 5.51 % 55,731 14.63 26 0.0608 % 2,985.7
FixedReset 4.28 % 4.60 % 128,271 3.80 106 0.0833 % 2,573.4
Deemed-Retractible 5.14 % 5.96 % 60,426 5.43 27 0.0656 % 2,976.3
FloatingReset 3.25 % 3.51 % 33,332 3.34 9 0.2523 % 2,838.8
Performance Highlights
Issue Index Change Notes
MFC.PR.Q FixedReset -1.47 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.80
Bid-YTW : 4.98 %
MFC.PR.K FixedReset 1.09 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.24
Bid-YTW : 5.85 %
TD.PF.A FixedReset 1.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-07-30
Maturity Price : 23.25
Evaluated at bid price : 23.73
Bid-YTW : 4.63 %
IFC.PR.G FixedReset 1.17 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 25.04
Bid-YTW : 5.03 %
TD.PF.B FixedReset 1.24 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-07-30
Maturity Price : 23.14
Evaluated at bid price : 23.70
Bid-YTW : 4.67 %
TRP.PR.C FixedReset 1.25 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-07-30
Maturity Price : 17.76
Evaluated at bid price : 17.76
Bid-YTW : 5.00 %
PWF.PR.A Floater 1.56 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-07-30
Maturity Price : 21.48
Evaluated at bid price : 21.48
Bid-YTW : 3.01 %
TRP.PR.H FloatingReset 1.65 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-07-30
Maturity Price : 17.29
Evaluated at bid price : 17.29
Bid-YTW : 3.95 %
Volume Highlights
Issue Index Shares
Traded		 Notes
BMO.PR.T FixedReset 48,987 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-07-30
Maturity Price : 22.88
Evaluated at bid price : 23.41
Bid-YTW : 4.75 %
PWF.PR.F Perpetual-Discount 43,050 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-07-30
Maturity Price : 23.54
Evaluated at bid price : 23.81
Bid-YTW : 5.53 %
CM.PR.P FixedReset 23,300 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-07-30
Maturity Price : 22.77
Evaluated at bid price : 23.19
Bid-YTW : 4.72 %
BNS.PR.G FixedReset 21,851 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-07-25
Maturity Price : 25.00
Evaluated at bid price : 26.33
Bid-YTW : 3.64 %
TD.PF.C FixedReset 20,111 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-07-30
Maturity Price : 23.23
Evaluated at bid price : 23.66
Bid-YTW : 4.64 %
TRP.PR.K FixedReset 18,979 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-05-31
Maturity Price : 25.00
Evaluated at bid price : 25.81
Bid-YTW : 4.23 %
There were 5 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
HSE.PR.A FixedReset Quote: 18.03 – 18.67
Spot Rate : 0.6400
Average : 0.3583

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-07-30
Maturity Price : 18.03
Evaluated at bid price : 18.03
Bid-YTW : 5.15 %
VNR.PR.A FixedReset Quote: 24.85 – 25.35
Spot Rate : 0.5000
Average : 0.2998

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-10-15
Maturity Price : 25.00
Evaluated at bid price : 24.85
Bid-YTW : 4.86 %
IFC.PR.E Deemed-Retractible Quote: 24.14 – 24.53
Spot Rate : 0.3900
Average : 0.2246

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.14
Bid-YTW : 5.96 %
PWF.PR.A Floater Quote: 21.48 – 22.00
Spot Rate : 0.5200
Average : 0.3766

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-07-30
Maturity Price : 21.48
Evaluated at bid price : 21.48
Bid-YTW : 3.01 %
MFC.PR.Q FixedReset Quote: 24.80 – 25.13
Spot Rate : 0.3300
Average : 0.2340

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.80
Bid-YTW : 4.98 %
CU.PR.C FixedReset Quote: 22.78 – 23.09
Spot Rate : 0.3100
Average : 0.2200

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-07-30
Maturity Price : 22.22
Evaluated at bid price : 22.78
Bid-YTW : 4.80 %
Market Action

July 27, 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 -1.1029 % 3,068.0
FixedFloater 0.00 % 0.00 % 0 0.00 0 -1.1029 % 5,629.6
Floater 3.52 % 3.72 % 60,420 18.03 4 -1.1029 % 3,244.4
OpRet 0.00 % 0.00 % 0 0.00 0 0.0000 % 3,203.7
SplitShare 4.59 % 4.53 % 54,230 4.89 5 0.0000 % 3,825.9
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0000 % 2,985.1
Perpetual-Premium 5.63 % -14.56 % 63,285 0.09 9 0.0218 % 2,913.2
Perpetual-Discount 5.39 % 5.52 % 57,608 14.64 26 0.0329 % 2,983.9
FixedReset 4.28 % 4.55 % 128,986 3.91 106 0.1025 % 2,571.3
Deemed-Retractible 5.15 % 6.02 % 60,189 5.44 27 0.0422 % 2,974.4
FloatingReset 3.27 % 3.59 % 33,728 3.35 9 -0.1038 % 2,831.6
Performance Highlights
Issue Index Change Notes
PWF.PR.A Floater -1.86 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-07-27
Maturity Price : 21.15
Evaluated at bid price : 21.15
Bid-YTW : 3.05 %
BAM.PR.C Floater -1.53 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-07-27
Maturity Price : 17.33
Evaluated at bid price : 17.33
Bid-YTW : 3.76 %
IFC.PR.G FixedReset -1.04 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.75
Bid-YTW : 5.21 %
Volume Highlights
Issue Index Shares
Traded		 Notes
TRP.PR.E FixedReset 298,488 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-07-27
Maturity Price : 21.93
Evaluated at bid price : 22.50
Bid-YTW : 4.93 %
RY.PR.J FixedReset 212,680 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2020-05-24
Maturity Price : 25.00
Evaluated at bid price : 24.59
Bid-YTW : 4.40 %
TRP.PR.J FixedReset 161,408 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-05-31
Maturity Price : 25.00
Evaluated at bid price : 26.21
Bid-YTW : 4.03 %
BMO.PR.C FixedReset 104,708 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-05-25
Maturity Price : 25.00
Evaluated at bid price : 25.52
Bid-YTW : 4.14 %
TRP.PR.K FixedReset 86,732 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-05-31
Maturity Price : 25.00
Evaluated at bid price : 25.81
Bid-YTW : 4.22 %
CM.PR.S FixedReset 62,784 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-07-27
Maturity Price : 22.75
Evaluated at bid price : 23.86
Bid-YTW : 4.71 %
There were 17 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
EIT.PR.B SplitShare Quote: 25.05 – 26.05
Spot Rate : 1.0000
Average : 0.5799

YTW SCENARIO
Maturity Type : Soft Maturity
Maturity Date : 2025-03-14
Maturity Price : 25.00
Evaluated at bid price : 25.05
Bid-YTW : 4.89 %
BAM.PR.C Floater Quote: 17.33 – 17.79
Spot Rate : 0.4600
Average : 0.3198

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-07-27
Maturity Price : 17.33
Evaluated at bid price : 17.33
Bid-YTW : 3.76 %
MFC.PR.I FixedReset Quote: 24.90 – 25.30
Spot Rate : 0.4000
Average : 0.2841

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-09-19
Maturity Price : 25.00
Evaluated at bid price : 24.90
Bid-YTW : 4.60 %
SLF.PR.D Deemed-Retractible Quote: 21.45 – 21.73
Spot Rate : 0.2800
Average : 0.1738

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.45
Bid-YTW : 7.33 %
IFC.PR.G FixedReset Quote: 24.75 – 25.00
Spot Rate : 0.2500
Average : 0.1557

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.75
Bid-YTW : 5.21 %
MFC.PR.L FixedReset Quote: 22.95 – 23.25
Spot Rate : 0.3000
Average : 0.2063

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.95
Bid-YTW : 5.86 %
Market Action

July 26, 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 -0.3885 % 3,102.2
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.3885 % 5,692.4
Floater 3.48 % 3.69 % 60,890 18.08 4 -0.3885 % 3,280.5
OpRet 0.00 % 0.00 % 0 0.00 0 0.1027 % 3,203.7
SplitShare 4.59 % 4.51 % 55,049 4.89 5 0.1027 % 3,825.9
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.1027 % 2,985.1
Perpetual-Premium 5.63 % -14.03 % 63,768 0.09 9 0.0481 % 2,912.5
Perpetual-Discount 5.39 % 5.52 % 58,197 14.64 26 0.1021 % 2,982.9
FixedReset 4.29 % 4.59 % 130,321 4.16 106 0.2035 % 2,568.7
Deemed-Retractible 5.15 % 6.00 % 60,631 5.45 27 0.1847 % 2,973.1
FloatingReset 3.27 % 3.61 % 32,190 3.35 9 0.0940 % 2,834.6
Performance Highlights
Issue Index Change Notes
PWF.PR.L Perpetual-Discount -1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-07-26
Maturity Price : 22.66
Evaluated at bid price : 22.90
Bid-YTW : 5.59 %
MFC.PR.G FixedReset 1.03 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-12-19
Maturity Price : 25.00
Evaluated at bid price : 24.53
Bid-YTW : 4.64 %
RY.PR.N Perpetual-Discount 1.65 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-07-26
Maturity Price : 24.22
Evaluated at bid price : 24.68
Bid-YTW : 4.94 %
Volume Highlights
Issue Index Shares
Traded		 Notes
MFC.PR.R FixedReset 110,879 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-03-19
Maturity Price : 25.00
Evaluated at bid price : 25.96
Bid-YTW : 3.88 %
TRP.PR.C FixedReset 101,438 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-07-26
Maturity Price : 17.60
Evaluated at bid price : 17.60
Bid-YTW : 4.94 %
CU.PR.C FixedReset 74,400 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-07-26
Maturity Price : 22.23
Evaluated at bid price : 22.80
Bid-YTW : 4.72 %
TRP.PR.K FixedReset 73,790 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-05-31
Maturity Price : 25.00
Evaluated at bid price : 25.60
Bid-YTW : 4.45 %
CU.PR.I FixedReset 61,138 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2020-12-01
Maturity Price : 25.00
Evaluated at bid price : 25.90
Bid-YTW : 3.21 %
GWO.PR.F Deemed-Retractible 41,003 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2018-08-25
Maturity Price : 25.00
Evaluated at bid price : 25.95
Bid-YTW : -31.64 %
There were 14 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
PWF.PR.L Perpetual-Discount Quote: 22.90 – 23.32
Spot Rate : 0.4200
Average : 0.2775

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-07-26
Maturity Price : 22.66
Evaluated at bid price : 22.90
Bid-YTW : 5.59 %
MFC.PR.J FixedReset Quote: 24.94 – 25.30
Spot Rate : 0.3600
Average : 0.2621

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.94
Bid-YTW : 4.87 %
MFC.PR.K FixedReset Quote: 22.88 – 23.25
Spot Rate : 0.3700
Average : 0.2846

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.88
Bid-YTW : 6.03 %
TRP.PR.B FixedReset Quote: 16.96 – 17.21
Spot Rate : 0.2500
Average : 0.1707

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-07-26
Maturity Price : 16.96
Evaluated at bid price : 16.96
Bid-YTW : 4.85 %
IAG.PR.G FixedReset Quote: 23.87 – 24.16
Spot Rate : 0.2900
Average : 0.2122

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.87
Bid-YTW : 5.13 %
PWF.PR.Q FloatingReset Quote: 21.85 – 22.04
Spot Rate : 0.1900
Average : 0.1231

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-07-26
Maturity Price : 21.49
Evaluated at bid price : 21.85
Bid-YTW : 3.44 %
Market Action

July 25, 2018

A nice win for Toronto in the tech job sweepstakes:

Toronto has added the most technology jobs in the past five years and has the fourth-best tech talent market in Canada and the U.S., according to a new report released Tuesday.

The report by CBRE Group said Toronto added 82,100 technology-related jobs between 2012 and 2017 to beat out the San Francisco Bay Area for the spot by about 4,270 jobs.
…
In terms of tech jobs added over the five year period to 2017, Montreal added 22,300, while Vancouver added 16,100 and Ottawa added 9,700.
…
Ottawa had the highest concentration of tech talent of any of the 50 markets at 11.2% of all jobs, compared to 9.8% for San Francisco and 8.9% for Toronto.
…
Ottawa also ranked highest in momentum of talent pools because of a 15.2% tech employment growth for a two-year stretch to the end of 2017, compared with a 10% drop for the two prior years.
…
San Francisco ranked highest on average wages at more than US$125,000 a year, while Ottawa ranked as the highest Canadian city for wages at US$67,871.

PerpetualDiscounts now yield 5.50%, equivalent to 7.15% interest at the standard equivalency factor of 1.3x. Long corporates now yield about 3.95%, so the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) is now about 320bp, a sharp narrowing from the 335bp reported July 18.

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 0.5253 % 3,114.3
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.5253 % 5,714.6
Floater 3.47 % 3.69 % 61,537 18.08 4 0.5253 % 3,293.3
OpRet 0.00 % 0.00 % 0 0.00 0 -0.0158 % 3,200.4
SplitShare 4.59 % 4.66 % 55,863 4.89 5 -0.0158 % 3,822.0
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.0158 % 2,982.1
Perpetual-Premium 5.64 % -12.26 % 61,803 0.09 9 -0.0183 % 2,911.1
Perpetual-Discount 5.40 % 5.50 % 56,633 14.64 26 -0.1676 % 2,979.8
FixedReset 4.30 % 4.62 % 131,041 4.13 106 -0.0494 % 2,563.5
Deemed-Retractible 5.16 % 6.06 % 61,127 5.44 27 -0.1220 % 2,967.6
FloatingReset 3.27 % 3.65 % 32,693 3.35 9 -0.0049 % 2,831.9
Performance Highlights
Issue Index Change Notes
CU.PR.C FixedReset -1.56 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-07-25
Maturity Price : 22.14
Evaluated at bid price : 22.65
Bid-YTW : 4.75 %
RY.PR.N Perpetual-Discount -1.34 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-07-25
Maturity Price : 23.87
Evaluated at bid price : 24.28
Bid-YTW : 5.02 %
TRP.PR.H FloatingReset -1.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-07-25
Maturity Price : 17.00
Evaluated at bid price : 17.00
Bid-YTW : 4.03 %
TRP.PR.C FixedReset -1.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-07-25
Maturity Price : 17.52
Evaluated at bid price : 17.52
Bid-YTW : 4.96 %
TRP.PR.E FixedReset -1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-07-25
Maturity Price : 21.84
Evaluated at bid price : 22.35
Bid-YTW : 4.96 %
BAM.PR.K Floater 1.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-07-25
Maturity Price : 17.65
Evaluated at bid price : 17.65
Bid-YTW : 3.69 %
Volume Highlights
Issue Index Shares
Traded		 Notes
TD.PF.D FixedReset 158,269 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2020-07-31
Maturity Price : 25.00
Evaluated at bid price : 24.50
Bid-YTW : 4.64 %
TRP.PR.C FixedReset 76,743 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-07-25
Maturity Price : 17.52
Evaluated at bid price : 17.52
Bid-YTW : 4.96 %
TD.PF.C FixedReset 55,743 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-07-25
Maturity Price : 22.90
Evaluated at bid price : 23.32
Bid-YTW : 4.62 %
BAM.PR.T FixedReset 50,932 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-07-25
Maturity Price : 21.02
Evaluated at bid price : 21.02
Bid-YTW : 5.06 %
IFC.PR.A FixedReset 40,853 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.80
Bid-YTW : 7.70 %
TD.PF.B FixedReset 35,701 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-07-25
Maturity Price : 22.90
Evaluated at bid price : 23.45
Bid-YTW : 4.62 %
There were 17 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 Quote: 24.28 – 24.92
Spot Rate : 0.6400
Average : 0.3884

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-12-19
Maturity Price : 25.00
Evaluated at bid price : 24.28
Bid-YTW : 4.97 %
MFC.PR.H FixedReset Quote: 25.33 – 25.86
Spot Rate : 0.5300
Average : 0.3221

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-03-19
Maturity Price : 25.00
Evaluated at bid price : 25.33
Bid-YTW : 4.99 %
RY.PR.N Perpetual-Discount Quote: 24.28 – 24.80
Spot Rate : 0.5200
Average : 0.3572

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-07-25
Maturity Price : 23.87
Evaluated at bid price : 24.28
Bid-YTW : 5.02 %
TRP.PR.H FloatingReset Quote: 17.00 – 17.50
Spot Rate : 0.5000
Average : 0.3488

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-07-25
Maturity Price : 17.00
Evaluated at bid price : 17.00
Bid-YTW : 4.03 %
SLF.PR.H FixedReset Quote: 22.00 – 22.40
Spot Rate : 0.4000
Average : 0.2705

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.00
Bid-YTW : 5.85 %
RY.PR.O Perpetual-Discount Quote: 24.68 – 25.00
Spot Rate : 0.3200
Average : 0.1940

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-07-25
Maturity Price : 24.22
Evaluated at bid price : 24.68
Bid-YTW : 4.94 %
Market Action

July 24, 2018

I last mentioned this on 2016-11-30, so here’s an update on increased efficiency at McDonalds:

As minimum wage levels approach or surpass $15 nationwide, restaurant customers expecting to be greeted by a smiling face will instead be welcomed by a glowing LED screen.

As of 2020, self-service ordering kiosks will be implemented at all U.S. McDonald’s locations. Other chains, including fast-casual brands like Panera and casual-dining brands like Chili’s, have already embraced this trend. Some restaurant concepts have even automated the food-preparation process; earlier this year, NBC News profiled “Flippy,” a robot hamburger flipper. Other upcoming concepts include virtual restaurants which eliminate the need for full-service restaurants (and staff) by only offering home delivery.

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 -0.4000 % 3,098.0
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.4000 % 5,684.7
Floater 3.49 % 3.71 % 62,305 18.04 4 -0.4000 % 3,276.1
OpRet 0.00 % 0.00 % 0 0.00 0 0.0000 % 3,200.9
SplitShare 4.59 % 4.45 % 58,166 4.89 5 0.0000 % 3,822.6
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0000 % 2,982.5
Perpetual-Premium 5.63 % -14.65 % 62,543 0.09 9 0.0000 % 2,911.7
Perpetual-Discount 5.38 % 5.50 % 57,139 14.65 26 0.0361 % 2,984.8
FixedReset 4.29 % 4.62 % 131,676 4.16 106 0.0482 % 2,564.7
Deemed-Retractible 5.14 % 6.01 % 61,912 5.45 27 0.1030 % 2,971.2
FloatingReset 3.27 % 3.72 % 34,039 3.35 9 0.0891 % 2,832.0
Performance Highlights
Issue Index Change Notes
BAM.PR.K Floater -1.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-07-24
Maturity Price : 17.46
Evaluated at bid price : 17.46
Bid-YTW : 3.73 %
BAM.PR.B Floater -1.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-07-24
Maturity Price : 17.54
Evaluated at bid price : 17.54
Bid-YTW : 3.72 %
Volume Highlights
Issue Index Shares
Traded		 Notes
BNS.PR.G FixedReset 99,912 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-07-25
Maturity Price : 25.00
Evaluated at bid price : 26.34
Bid-YTW : 3.61 %
TRP.PR.K FixedReset 99,157 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-05-31
Maturity Price : 25.00
Evaluated at bid price : 25.66
Bid-YTW : 4.38 %
BNS.PR.H FixedReset 73,758 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-01-26
Maturity Price : 25.00
Evaluated at bid price : 26.15
Bid-YTW : 3.45 %
CM.PR.R FixedReset 54,672 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-07-31
Maturity Price : 25.00
Evaluated at bid price : 25.22
Bid-YTW : 4.16 %
PWF.PR.Q FloatingReset 53,300 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-07-24
Maturity Price : 21.50
Evaluated at bid price : 21.87
Bid-YTW : 3.44 %
PWF.PR.T FixedReset 52,813 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-07-24
Maturity Price : 23.47
Evaluated at bid price : 24.21
Bid-YTW : 4.59 %
There were 17 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
MFC.PR.Q FixedReset Quote: 24.80 – 25.10
Spot Rate : 0.3000
Average : 0.2255

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.80
Bid-YTW : 4.94 %
IFC.PR.A FixedReset Quote: 19.70 – 20.00
Spot Rate : 0.3000
Average : 0.2433

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.70
Bid-YTW : 7.79 %
CU.PR.I FixedReset Quote: 25.85 – 26.10
Spot Rate : 0.2500
Average : 0.2034

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2020-12-01
Maturity Price : 25.00
Evaluated at bid price : 25.85
Bid-YTW : 3.29 %
TRP.PR.J FixedReset Quote: 26.09 – 26.29
Spot Rate : 0.2000
Average : 0.1537

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-05-31
Maturity Price : 25.00
Evaluated at bid price : 26.09
Bid-YTW : 4.19 %
GWO.PR.Q Deemed-Retractible Quote: 23.79 – 23.95
Spot Rate : 0.1600
Average : 0.1206

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.79
Bid-YTW : 6.16 %
TRP.PR.A FixedReset Quote: 20.21 – 20.50
Spot Rate : 0.2900
Average : 0.2527

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-07-24
Maturity Price : 20.21
Evaluated at bid price : 20.21
Bid-YTW : 4.95 %