Category: Market Action

Market Action

July 23, 2018

Assiduous Readers will remember that I am following the Fortress receivership with great interest and today there was a new development:

Companies affiliated with Fortress Real Developments Inc. misled syndicated mortgage lenders about the value of land earmarked for real estate development projects, putting investors at risk of losing their money if the loans could not be repaid, the RCMP alleged in a search-warrant application filed in court in April.

In the Collier Centre condominium development in Barrie, Ont., the RCMP allege investors were told in 2012 that the “as is” value of the land was $21.9-million, but the RCMP believe the land was worth only about $7-million, according to the application.

Syndicated mortgage lenders provided $16.9-million in financing for the project, believing the amount was fully secured by the value of the land.

The plot thickens!

DBRS has confirmed Enbridge at Pfd-3(high):

DBRS Limited (DBRS) confirmed the Issuer Rating of Enbridge Inc. (ENB or the Company) at BBB (high) and the ratings on the Company’s Medium-Term Notes & Unsecured Debentures at BBB (high), Fixed-to-Floating Subordinated Notes at BBB (low), Cumulative Redeemable Preferred Shares at Pfd-3 (high) and Commercial Paper (CP) at R-2 (high), all with Stable trends.

The confirmations incorporate DBRS’s assessment of ENB’s strong business risk profile, which should benefit over the medium term from its strategic plan to reposition its asset mix to a pure regulated pipeline and utility business model (demonstrated by $7.5 billion of announced non-core asset sales to date) and completion of its current large portfolio of low-risk capital projects, combined with an improving financial risk profile that should benefit from ENB’s more conservative recent funding plan (including the expected $4.0 billion consolidated debt reduction), corporate simplification and the potential for reduced structural subordination at the ENB level over time. The Stable trends incorporate DBRS’s expectation that any incremental investments in new projects would be consistent with maintaining a strong overall business risk profile and medium-term improvement in key credit metrics with the completion of the current large capital expenditure (capex) program.
…
A positive rating action is unlikely without substantial reduction in structural subordination. DBRS expects ENB to meet its key target metrics of 15% funds from operations-to-debt and five times debt-to-EBITDA, likely in late 2018 or early 2019. A negative rating action is not expected over the medium term.

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 -0.2404 % 3,110.5
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.2404 % 5,707.6
Floater 3.47 % 3.67 % 64,297 18.13 4 -0.2404 % 3,289.3
OpRet 0.00 % 0.00 % 0 0.00 0 0.2216 % 3,200.9
SplitShare 4.59 % 4.42 % 58,174 4.90 5 0.2216 % 3,822.6
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.2216 % 2,982.5
Perpetual-Premium 5.63 % -16.14 % 61,712 0.09 9 0.0567 % 2,911.7
Perpetual-Discount 5.38 % 5.50 % 56,089 14.66 26 -0.0066 % 2,983.8
FixedReset 4.29 % 4.65 % 127,869 4.14 106 0.1833 % 2,563.5
Deemed-Retractible 5.14 % 6.01 % 64,129 5.45 27 -0.1636 % 2,968.2
FloatingReset 3.27 % 3.75 % 34,727 3.36 9 0.1189 % 2,829.5
Performance Highlights
Issue Index Change Notes
SLF.PR.I FixedReset -1.47 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.19
Bid-YTW : 4.90 %
MFC.PR.N FixedReset 1.02 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.75
Bid-YTW : 5.26 %
BAM.PR.X FixedReset 1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-07-23
Maturity Price : 18.75
Evaluated at bid price : 18.75
Bid-YTW : 4.92 %
BMO.PR.Y FixedReset 1.19 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2020-08-25
Maturity Price : 25.00
Evaluated at bid price : 24.70
Bid-YTW : 4.74 %
RY.PR.M FixedReset 1.24 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-07-23
Maturity Price : 23.31
Evaluated at bid price : 24.50
Bid-YTW : 4.67 %
MFC.PR.L FixedReset 1.24 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.82
Bid-YTW : 5.95 %
NA.PR.G FixedReset 1.37 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-07-23
Maturity Price : 23.19
Evaluated at bid price : 25.14
Bid-YTW : 4.82 %
SLF.PR.G FixedReset 1.53 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.85
Bid-YTW : 7.19 %
EMA.PR.H FixedReset 2.80 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2023-08-15
Maturity Price : 25.00
Evaluated at bid price : 25.70
Bid-YTW : 4.46 %
Volume Highlights
Issue Index Shares
Traded		 Notes
TRP.PR.K FixedReset 106,825 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-05-31
Maturity Price : 25.00
Evaluated at bid price : 25.56
Bid-YTW : 4.49 %
RY.PR.Z FixedReset 90,848 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-07-23
Maturity Price : 23.17
Evaluated at bid price : 23.78
Bid-YTW : 4.56 %
TD.PF.C FixedReset 79,653 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-07-23
Maturity Price : 22.92
Evaluated at bid price : 23.34
Bid-YTW : 4.61 %
MFC.PR.B Deemed-Retractible 75,456 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.92
Bid-YTW : 7.17 %
TD.PF.I FixedReset 66,044 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-10-31
Maturity Price : 25.00
Evaluated at bid price : 25.29
Bid-YTW : 4.20 %
MFC.PR.F FixedReset 62,800 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.15
Bid-YTW : 7.55 %
There were 18 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
IFC.PR.C FixedReset Quote: 23.35 – 23.86
Spot Rate : 0.5100
Average : 0.3499

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.35
Bid-YTW : 5.32 %
BAM.PF.E FixedReset Quote: 23.52 – 23.97
Spot Rate : 0.4500
Average : 0.3024

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-07-23
Maturity Price : 23.13
Evaluated at bid price : 23.52
Bid-YTW : 4.95 %
SLF.PR.I FixedReset Quote: 24.19 – 24.50
Spot Rate : 0.3100
Average : 0.1935

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.19
Bid-YTW : 4.90 %
PWF.PR.A Floater Quote: 21.60 – 22.00
Spot Rate : 0.4000
Average : 0.3023

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-07-23
Maturity Price : 21.33
Evaluated at bid price : 21.60
Bid-YTW : 3.00 %
RY.PR.L FixedReset Quote: 25.23 – 25.50
Spot Rate : 0.2700
Average : 0.1829

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2019-02-24
Maturity Price : 25.00
Evaluated at bid price : 25.23
Bid-YTW : 3.87 %
BAM.PR.R FixedReset Quote: 20.77 – 21.01
Spot Rate : 0.2400
Average : 0.1606

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-07-23
Maturity Price : 20.77
Evaluated at bid price : 20.77
Bid-YTW : 5.08 %
Market Action

July 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 -0.0134 % 3,118.0
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.0134 % 5,721.3
Floater 3.46 % 3.68 % 64,879 18.13 4 -0.0134 % 3,297.2
OpRet 0.00 % 0.00 % 0 0.00 0 0.0158 % 3,193.9
SplitShare 4.60 % 4.61 % 57,756 4.90 5 0.0158 % 3,814.2
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0158 % 2,976.0
Perpetual-Premium 5.63 % -14.48 % 62,333 0.09 9 0.0917 % 2,910.0
Perpetual-Discount 5.38 % 5.48 % 55,998 14.68 26 -0.0033 % 2,984.0
FixedReset 4.30 % 4.60 % 128,994 5.52 106 -0.0624 % 2,558.8
Deemed-Retractible 5.14 % 5.96 % 66,016 5.46 27 -0.0965 % 2,973.1
FloatingReset 3.30 % 3.86 % 35,215 3.36 9 -0.1929 % 2,826.2
Performance Highlights
Issue Index Change Notes
SLF.PR.G FixedReset -2.49 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.55
Bid-YTW : 7.40 %
EMA.PR.H FixedReset -2.38 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-07-20
Maturity Price : 23.16
Evaluated at bid price : 25.00
Bid-YTW : 4.86 %
TRP.PR.F FloatingReset -2.27 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-07-20
Maturity Price : 20.20
Evaluated at bid price : 20.20
Bid-YTW : 4.21 %
NA.PR.G FixedReset -1.78 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-07-20
Maturity Price : 23.07
Evaluated at bid price : 24.80
Bid-YTW : 4.85 %
GWO.PR.R Deemed-Retractible -1.60 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.07
Bid-YTW : 7.17 %
GWO.PR.T Deemed-Retractible -1.57 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.77
Bid-YTW : 6.17 %
RY.PR.M FixedReset -1.43 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-07-20
Maturity Price : 23.18
Evaluated at bid price : 24.20
Bid-YTW : 4.68 %
BAM.PR.T FixedReset -1.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-07-20
Maturity Price : 20.80
Evaluated at bid price : 20.80
Bid-YTW : 5.05 %
IAG.PR.I FixedReset 1.00 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2023-03-31
Maturity Price : 25.00
Evaluated at bid price : 25.20
Bid-YTW : 4.70 %
Volume Highlights
Issue Index Shares
Traded		 Notes
EMA.PR.H FixedReset 389,626 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-07-20
Maturity Price : 23.16
Evaluated at bid price : 25.00
Bid-YTW : 4.86 %
TRP.PR.F FloatingReset 351,978 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-07-20
Maturity Price : 20.20
Evaluated at bid price : 20.20
Bid-YTW : 4.21 %
IFC.PR.G FixedReset 319,545 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 25.00
Bid-YTW : 5.00 %
BMO.PR.Y FixedReset 298,056 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-07-20
Maturity Price : 23.32
Evaluated at bid price : 24.41
Bid-YTW : 4.76 %
GWO.PR.R Deemed-Retractible 240,406 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.07
Bid-YTW : 7.17 %
RY.PR.F Deemed-Retractible 218,239 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2018-08-19
Maturity Price : 25.00
Evaluated at bid price : 25.23
Bid-YTW : 1.69 %
W.PR.J Perpetual-Discount 157,952 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-07-20
Maturity Price : 24.50
Evaluated at bid price : 24.75
Bid-YTW : 5.69 %
NA.PR.G FixedReset 154,603 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-07-20
Maturity Price : 23.07
Evaluated at bid price : 24.80
Bid-YTW : 4.85 %
SLF.PR.G FixedReset 139,311 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.55
Bid-YTW : 7.40 %
RY.PR.J FixedReset 132,112 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-07-20
Maturity Price : 23.47
Evaluated at bid price : 24.61
Bid-YTW : 4.74 %
BAM.PR.T FixedReset 100,471 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-07-20
Maturity Price : 20.80
Evaluated at bid price : 20.80
Bid-YTW : 5.05 %
There were 26 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
EMA.PR.H FixedReset Quote: 25.00 – 25.90
Spot Rate : 0.9000
Average : 0.5684

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-07-20
Maturity Price : 23.16
Evaluated at bid price : 25.00
Bid-YTW : 4.86 %
GWO.PR.M Deemed-Retractible Quote: 26.26 – 26.90
Spot Rate : 0.6400
Average : 0.3771

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2018-08-19
Maturity Price : 25.25
Evaluated at bid price : 26.26
Bid-YTW : -34.79 %
BMO.PR.Y FixedReset Quote: 24.41 – 24.97
Spot Rate : 0.5600
Average : 0.3246

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-07-20
Maturity Price : 23.32
Evaluated at bid price : 24.41
Bid-YTW : 4.76 %
GWO.PR.R Deemed-Retractible Quote: 22.07 – 22.60
Spot Rate : 0.5300
Average : 0.3122

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.07
Bid-YTW : 7.17 %
NA.PR.G FixedReset Quote: 24.80 – 25.29
Spot Rate : 0.4900
Average : 0.2724

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-07-20
Maturity Price : 23.07
Evaluated at bid price : 24.80
Bid-YTW : 4.85 %
SLF.PR.G FixedReset Quote: 19.55 – 20.16
Spot Rate : 0.6100
Average : 0.3973

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.55
Bid-YTW : 7.40 %
Market Action

July 19, 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 0.5236 % 3,118.4
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.5236 % 5,722.1
Floater 3.46 % 3.66 % 65,875 18.17 4 0.5236 % 3,297.7
OpRet 0.00 % 0.00 % 0 0.00 0 -0.2448 % 3,193.4
SplitShare 4.60 % 4.49 % 57,658 4.91 5 -0.2448 % 3,813.6
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.2448 % 2,975.5
Perpetual-Premium 5.63 % -13.78 % 61,947 0.09 9 0.0350 % 2,907.3
Perpetual-Discount 5.38 % 5.50 % 55,939 14.65 26 -0.0049 % 2,984.1
FixedReset 4.30 % 4.58 % 128,667 4.45 106 0.0279 % 2,560.4
Deemed-Retractible 5.13 % 5.87 % 67,046 5.47 27 -0.0529 % 2,975.9
FloatingReset 3.29 % 3.82 % 34,513 3.36 9 -0.0099 % 2,831.6
Performance Highlights
Issue Index Change Notes
IAG.PR.I FixedReset -1.19 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.95
Bid-YTW : 4.91 %
SLF.PR.I FixedReset 1.20 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-12-31
Maturity Price : 25.00
Evaluated at bid price : 24.50
Bid-YTW : 4.52 %
Volume Highlights
Issue Index Shares
Traded		 Notes
TD.PR.T FloatingReset 239,000 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2018-08-30
Maturity Price : 25.00
Evaluated at bid price : 24.97
Bid-YTW : 1.05 %
GWO.PR.S Deemed-Retractible 177,200 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.50
Bid-YTW : 5.71 %
BMO.PR.R FloatingReset 143,000 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2018-08-25
Maturity Price : 25.00
Evaluated at bid price : 25.11
Bid-YTW : -4.29 %
TRP.PR.E FixedReset 104,084 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-07-19
Maturity Price : 21.89
Evaluated at bid price : 22.43
Bid-YTW : 4.88 %
PWF.PR.G Perpetual-Premium 85,400 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2018-08-18
Maturity Price : 25.00
Evaluated at bid price : 25.45
Bid-YTW : -17.39 %
CM.PR.R FixedReset 60,639 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-07-31
Maturity Price : 25.00
Evaluated at bid price : 25.10
Bid-YTW : 4.28 %
There were 12 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
IAG.PR.I FixedReset Quote: 24.95 – 25.32
Spot Rate : 0.3700
Average : 0.2369

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.95
Bid-YTW : 4.91 %
MFC.PR.J FixedReset Quote: 25.05 – 25.29
Spot Rate : 0.2400
Average : 0.1463

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2023-03-19
Maturity Price : 25.00
Evaluated at bid price : 25.05
Bid-YTW : 4.70 %
TRP.PR.E FixedReset Quote: 22.43 – 22.69
Spot Rate : 0.2600
Average : 0.1699

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-07-19
Maturity Price : 21.89
Evaluated at bid price : 22.43
Bid-YTW : 4.88 %
TD.PF.G FixedReset Quote: 26.27 – 26.48
Spot Rate : 0.2100
Average : 0.1347

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-04-30
Maturity Price : 25.00
Evaluated at bid price : 26.27
Bid-YTW : 3.51 %
TRP.PR.A FixedReset Quote: 20.23 – 20.72
Spot Rate : 0.4900
Average : 0.4317

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-07-19
Maturity Price : 20.23
Evaluated at bid price : 20.23
Bid-YTW : 4.87 %
BAM.PR.X FixedReset Quote: 18.56 – 18.78
Spot Rate : 0.2200
Average : 0.1645

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-07-19
Maturity Price : 18.56
Evaluated at bid price : 18.56
Bid-YTW : 4.90 %
Market Action

July 18, 2018

PerpetualDiscounts now yield 5.51%, equivalent to 7.16% interest at the standard equivalency factor of 1.3x. Long corporates now yield about 3.82%, so the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) is now about 335bp, a significant widening from the 325bp reported July 11.

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 -1.2202 % 3,102.1
FixedFloater 0.00 % 0.00 % 0 0.00 0 -1.2202 % 5,692.3
Floater 3.48 % 3.69 % 68,463 18.11 4 -1.2202 % 3,280.5
OpRet 0.00 % 0.00 % 0 0.00 0 0.0079 % 3,201.2
SplitShare 4.59 % 4.55 % 58,582 4.91 5 0.0079 % 3,822.9
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0079 % 2,982.8
Perpetual-Premium 5.64 % -13.95 % 61,600 0.09 9 0.0087 % 2,906.3
Perpetual-Discount 5.38 % 5.51 % 56,848 14.66 26 -0.0886 % 2,984.2
FixedReset 4.30 % 4.60 % 129,253 4.27 106 0.0601 % 2,559.7
Deemed-Retractible 5.13 % 5.87 % 64,734 5.47 27 -0.1817 % 2,977.5
FloatingReset 3.29 % 3.87 % 33,868 3.37 9 -0.2122 % 2,831.9
Performance Highlights
Issue Index Change Notes
BAM.PR.B Floater -1.62 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-07-18
Maturity Price : 17.66
Evaluated at bid price : 17.66
Bid-YTW : 3.69 %
BAM.PR.K Floater -1.62 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-07-18
Maturity Price : 17.66
Evaluated at bid price : 17.66
Bid-YTW : 3.69 %
BAM.PR.C Floater -1.50 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-07-18
Maturity Price : 17.68
Evaluated at bid price : 17.68
Bid-YTW : 3.69 %
PWF.PR.Q FloatingReset -1.50 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-07-18
Maturity Price : 21.34
Evaluated at bid price : 21.65
Bid-YTW : 3.50 %
SLF.PR.E Deemed-Retractible -1.14 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.74
Bid-YTW : 7.11 %
SLF.PR.B Deemed-Retractible -1.09 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.75
Bid-YTW : 6.60 %
MFC.PR.B Deemed-Retractible -1.08 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.01
Bid-YTW : 7.08 %
HSE.PR.G FixedReset 4.38 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2020-06-30
Maturity Price : 25.00
Evaluated at bid price : 25.05
Bid-YTW : 4.64 %
Volume Highlights
Issue Index Shares
Traded		 Notes
BNS.PR.F FloatingReset 277,700 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.80
Bid-YTW : 4.26 %
TRP.PR.E FixedReset 201,700 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-07-18
Maturity Price : 22.01
Evaluated at bid price : 22.63
Bid-YTW : 4.83 %
PWF.PR.I Perpetual-Premium 120,401 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2018-08-17
Maturity Price : 25.00
Evaluated at bid price : 25.58
Bid-YTW : -23.09 %
PWF.PR.L Perpetual-Discount 112,433 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-07-18
Maturity Price : 22.86
Evaluated at bid price : 23.13
Bid-YTW : 5.52 %
PWF.PR.T FixedReset 100,436 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-07-18
Maturity Price : 23.47
Evaluated at bid price : 24.20
Bid-YTW : 4.53 %
POW.PR.G Perpetual-Premium 99,739 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-04-15
Maturity Price : 25.00
Evaluated at bid price : 25.20
Bid-YTW : 5.33 %
There were 26 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
CM.PR.R FixedReset Quote: 25.04 – 25.38
Spot Rate : 0.3400
Average : 0.2006

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-07-31
Maturity Price : 25.00
Evaluated at bid price : 25.04
Bid-YTW : 4.34 %
HSE.PR.A FixedReset Quote: 17.65 – 18.05
Spot Rate : 0.4000
Average : 0.2996

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-07-18
Maturity Price : 17.65
Evaluated at bid price : 17.65
Bid-YTW : 5.08 %
TRP.PR.H FloatingReset Quote: 17.20 – 17.55
Spot Rate : 0.3500
Average : 0.2596

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-07-18
Maturity Price : 17.20
Evaluated at bid price : 17.20
Bid-YTW : 4.01 %
PWF.PR.A Floater Quote: 21.48 – 21.91
Spot Rate : 0.4300
Average : 0.3432

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-07-18
Maturity Price : 21.48
Evaluated at bid price : 21.48
Bid-YTW : 3.04 %
TRP.PR.G FixedReset Quote: 24.24 – 24.54
Spot Rate : 0.3000
Average : 0.2205

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-07-18
Maturity Price : 23.19
Evaluated at bid price : 24.24
Bid-YTW : 5.00 %
CU.PR.C FixedReset Quote: 22.80 – 23.15
Spot Rate : 0.3500
Average : 0.2711

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-07-18
Maturity Price : 22.23
Evaluated at bid price : 22.80
Bid-YTW : 4.66 %
Market Action

July 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 -0.8677 % 3,140.5
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.8677 % 5,762.6
Floater 3.44 % 3.63 % 69,230 18.24 4 -0.8677 % 3,321.0
OpRet 0.00 % 0.00 % 0 0.00 0 0.0711 % 3,200.9
SplitShare 4.59 % 4.53 % 60,688 4.91 5 0.0711 % 3,822.6
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0711 % 2,982.5
Perpetual-Premium 5.64 % -15.45 % 60,633 0.09 9 -0.0480 % 2,906.1
Perpetual-Discount 5.37 % 5.49 % 53,852 14.69 26 -0.0836 % 2,986.9
FixedReset 4.30 % 4.60 % 130,877 5.57 106 -0.1231 % 2,558.1
Deemed-Retractible 5.12 % 5.88 % 65,660 5.47 27 0.0466 % 2,982.9
FloatingReset 3.29 % 3.77 % 31,356 3.37 9 -0.1577 % 2,837.9
Performance Highlights
Issue Index Change Notes
HSE.PR.G FixedReset -4.84 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-07-17
Maturity Price : 23.67
Evaluated at bid price : 24.00
Bid-YTW : 5.73 %
PWF.PR.A Floater -2.27 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-07-17
Maturity Price : 21.28
Evaluated at bid price : 21.55
Bid-YTW : 3.00 %
HSE.PR.A FixedReset -1.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-07-17
Maturity Price : 17.69
Evaluated at bid price : 17.69
Bid-YTW : 5.07 %
TRP.PR.K FixedReset -1.09 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-05-31
Maturity Price : 25.00
Evaluated at bid price : 25.38
Bid-YTW : 4.67 %
MFC.PR.F FixedReset -1.04 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.12
Bid-YTW : 7.52 %
BAM.PR.X FixedReset -1.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-07-17
Maturity Price : 18.62
Evaluated at bid price : 18.62
Bid-YTW : 4.89 %
Volume Highlights
Issue Index Shares
Traded		 Notes
PWF.PR.I Perpetual-Premium 106,316 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2018-08-16
Maturity Price : 25.00
Evaluated at bid price : 25.60
Bid-YTW : -24.10 %
PWF.PR.K Perpetual-Discount 102,782 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-07-17
Maturity Price : 22.17
Evaluated at bid price : 22.45
Bid-YTW : 5.52 %
BMO.PR.C FixedReset 68,433 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-05-25
Maturity Price : 25.00
Evaluated at bid price : 25.29
Bid-YTW : 4.37 %
TRP.PR.F FloatingReset 62,500 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-07-17
Maturity Price : 20.70
Evaluated at bid price : 20.70
Bid-YTW : 4.11 %
TRP.PR.E FixedReset 46,070 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-07-17
Maturity Price : 22.01
Evaluated at bid price : 22.63
Bid-YTW : 4.83 %
IFC.PR.G FixedReset 35,924 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.95
Bid-YTW : 5.03 %
There were 12 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
HSE.PR.G FixedReset Quote: 24.00 – 25.25
Spot Rate : 1.2500
Average : 0.6780

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-07-17
Maturity Price : 23.67
Evaluated at bid price : 24.00
Bid-YTW : 5.73 %
TRP.PR.K FixedReset Quote: 25.38 – 25.77
Spot Rate : 0.3900
Average : 0.2398

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-05-31
Maturity Price : 25.00
Evaluated at bid price : 25.38
Bid-YTW : 4.67 %
PWF.PR.A Floater Quote: 21.55 – 21.91
Spot Rate : 0.3600
Average : 0.2480

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-07-17
Maturity Price : 21.28
Evaluated at bid price : 21.55
Bid-YTW : 3.00 %
TRP.PR.J FixedReset Quote: 26.21 – 26.49
Spot Rate : 0.2800
Average : 0.1700

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-05-31
Maturity Price : 25.00
Evaluated at bid price : 26.21
Bid-YTW : 3.99 %
TRP.PR.C FixedReset Quote: 17.68 – 18.00
Spot Rate : 0.3200
Average : 0.2200

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-07-17
Maturity Price : 17.68
Evaluated at bid price : 17.68
Bid-YTW : 4.84 %
CU.PR.C FixedReset Quote: 22.88 – 23.15
Spot Rate : 0.2700
Average : 0.1846

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-07-17
Maturity Price : 22.28
Evaluated at bid price : 22.88
Bid-YTW : 4.64 %
Market Action

July 16, 2018

There was a good article in the New York Times regarding lagging paycheques in the US:

Yet many are far from making up all the lost ground. Hourly earnings have moved forward at a crawl, with higher prices giving workers less buying power than they had last summer. Last-minute scheduling, no-poaching and noncompete clauses, and the use of independent contractors are popular tactics that put workers at a disadvantage. Threats to move operations overseas, where labor is cheaper, continue to loom.
…
Economists have offered various explanations for why workers are not doing better: the steady weakening of labor unions, the ability of American companies to find cheaper labor abroad or automate further, piddling productivity growth and the rise of superstar companies that are extremely efficient with a relatively small labor force.

gdpshares
Click for Big

It’s difficult to look through this list of trend-drivers and find a suitable place for the imposition of public policy constraints – most potential measure will do more harm than good, to everybody.

However, I will suggest that it is appropriate for labour legislation to make ‘last minute scheduling’ less attractive – it’s an extremely exploitive management strategy that needs to be reined in. For instance, my contact in the nursing business works as ‘permanent casual’ (I think that’s the label!) with a major hospital complex. She has no set hours; every week she has to tell them her availability and they call her when they need her … and by ‘call’, I mean at 5am to start a 7am shift.

She has to give them so many potential shifts every week, including some on weekends, some graveyard shifts and some afternoons. If they call her for an ‘available’ shift and she turns it down, that’s a black mark. Three black marks in a year and she’s fired.

The problem with this – besides illustrating the complete mismanagement of the Ontario health care system – is that she gets nothing for making herself available other than the chance she might get called. It’s ridiculous. She could make herself available for 168 hours a week, not get a single call and they wouldn’t have to pay her a dime. That’s what I call exploitive. And, mind you, she works for a hospital – a civil servant in all but name. One would think that employment standards there would be pretty good.

If the ‘last-minute scheduling’ system is to be allowed to endure – and there are good reasons why it should be around to some degree – then workers should be either guaranteed that some proportion (two thirds?) of their availability will be taken up, or paid some hourly rate ($5/hour minimum) for availability that isn’t taken up.

Scheduling has attracted some notice from the Ontario Ministry of Labour and revised legislation is scheduled to come into force:

On-call pay — Three-hour minimum pay: Employees who are “on-call” and not called into work, or who are called into work but work less than three hours, must be paid three hours pay. Only one three-hour minimum applies to all on-call scenarios which may occur during a 24-hour period. On-call pay is not required if the on-call is for purposes of ensuring the continued delivery of essential public services and the employee was not required to work.

I think that addresses my concern – at least partially – but notice that ‘essential public services’, such as nursing in hospitals, has been specifically exempted! We will have to see whether the legislation survives the new Ontario Mindless Kneejerk Party government, and just how everything works out in practice.

Another possibility to be explored is a Guaranteed Annual Income. There was a long opinion piece in the weekend Globe about the idea, but the experiment that’s currently running is very poorly conceived:

In its new pilot, Ontario is providing single recipients up to $16,989 a year and families up to $24,027, minus 50 percent for any earnings

Fifty percent. And then there’s traditional taxes on top of that. So what’s the effective marginal tax rate on that? Maybe sixty, seventy percent for a low income earner? Boy, that leaves a lot of incentive to pick up an extra shift and go for that minor promotion, doesn’t it?

No, the way to implement a Guaranteed Annual Income is to make it universal and include it in taxable income. We don’t need to implement the whole thing all at once. Start off with a $1,000 refundable tax credit, included in income, and increase it whenever possible. Bear in mind that effective marginal tax rates are important … especially the particularly moronic ones, with a sharp cut-off of benefits.

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 0.5154 % 3,167.9
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.5154 % 5,813.0
Floater 3.41 % 3.62 % 70,015 18.27 4 0.5154 % 3,350.1
OpRet 0.00 % 0.00 % 0 0.00 0 0.3807 % 3,198.7
SplitShare 4.59 % 4.50 % 60,800 4.92 5 0.3807 % 3,819.9
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.3807 % 2,980.4
Perpetual-Premium 5.63 % -14.47 % 60,725 0.09 9 0.0481 % 2,907.5
Perpetual-Discount 5.37 % 5.48 % 53,187 14.70 26 0.1198 % 2,989.4
FixedReset 4.29 % 4.58 % 131,403 4.18 106 0.0326 % 2,561.3
Deemed-Retractible 5.12 % 5.87 % 64,769 5.47 27 0.3665 % 2,981.5
FloatingReset 3.28 % 3.78 % 32,647 3.37 9 0.0740 % 2,842.4
Performance Highlights
Issue Index Change Notes
IFC.PR.F Deemed-Retractible -1.00 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.65
Bid-YTW : 5.64 %
SLF.PR.C Deemed-Retractible 1.03 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.63
Bid-YTW : 7.14 %
TRP.PR.E FixedReset 1.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-07-16
Maturity Price : 21.99
Evaluated at bid price : 22.59
Bid-YTW : 4.83 %
SLF.PR.B Deemed-Retractible 1.11 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.85
Bid-YTW : 6.51 %
SLF.PR.A Deemed-Retractible 1.16 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.71
Bid-YTW : 6.57 %
IFC.PR.C FixedReset 1.31 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.20
Bid-YTW : 5.38 %
MFC.PR.B Deemed-Retractible 1.41 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.25
Bid-YTW : 6.87 %
MFC.PR.C Deemed-Retractible 1.75 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.55
Bid-YTW : 7.29 %
Volume Highlights
Issue Index Shares
Traded		 Notes
RY.PR.W Perpetual-Discount 204,575 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-07-16
Maturity Price : 24.55
Evaluated at bid price : 24.80
Bid-YTW : 5.00 %
TRP.PR.F FloatingReset 147,100 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-07-16
Maturity Price : 20.73
Evaluated at bid price : 20.73
Bid-YTW : 4.10 %
BMO.PR.C FixedReset 56,600 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-05-25
Maturity Price : 25.00
Evaluated at bid price : 25.27
Bid-YTW : 4.39 %
RY.PR.J FixedReset 54,821 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-07-16
Maturity Price : 23.45
Evaluated at bid price : 24.57
Bid-YTW : 4.75 %
TRP.PR.J FixedReset 51,153 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-05-31
Maturity Price : 25.00
Evaluated at bid price : 26.25
Bid-YTW : 3.92 %
TRP.PR.D FixedReset 50,960 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-07-16
Maturity Price : 22.19
Evaluated at bid price : 22.90
Bid-YTW : 4.79 %
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.N FixedReset Quote: 23.72 – 23.96
Spot Rate : 0.2400
Average : 0.1628

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.72
Bid-YTW : 5.22 %
HSE.PR.A FixedReset Quote: 17.91 – 18.22
Spot Rate : 0.3100
Average : 0.2329

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-07-16
Maturity Price : 17.91
Evaluated at bid price : 17.91
Bid-YTW : 5.00 %
PWF.PR.R Perpetual-Discount Quote: 24.96 – 25.20
Spot Rate : 0.2400
Average : 0.1665

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-04-30
Maturity Price : 25.00
Evaluated at bid price : 24.96
Bid-YTW : 5.50 %
IAG.PR.I FixedReset Quote: 25.10 – 25.30
Spot Rate : 0.2000
Average : 0.1290

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2023-03-31
Maturity Price : 25.00
Evaluated at bid price : 25.10
Bid-YTW : 4.78 %
MFC.PR.L FixedReset Quote: 22.67 – 22.89
Spot Rate : 0.2200
Average : 0.1503

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.67
Bid-YTW : 5.99 %
PWF.PR.P FixedReset Quote: 19.66 – 19.93
Spot Rate : 0.2700
Average : 0.2024

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-07-16
Maturity Price : 19.66
Evaluated at bid price : 19.66
Bid-YTW : 4.43 %
Market Action

July 13, 2018

… and now it’s time for PrefLetter!

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 0.8530 % 3,151.7
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.8530 % 5,783.2
Floater 3.42 % 3.64 % 68,786 18.23 4 0.8530 % 3,332.9
OpRet 0.00 % 0.00 % 0 0.00 0 -0.2768 % 3,186.5
SplitShare 4.61 % 4.54 % 61,528 4.92 5 -0.2768 % 3,805.4
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.2768 % 2,969.1
Perpetual-Premium 5.64 % -15.44 % 60,963 0.09 9 -0.0044 % 2,906.1
Perpetual-Discount 5.38 % 5.48 % 54,569 14.69 26 0.1035 % 2,985.8
FixedReset 4.30 % 4.58 % 132,763 4.17 106 0.0813 % 2,560.5
Deemed-Retractible 5.14 % 5.93 % 64,706 5.48 27 0.1828 % 2,970.6
FloatingReset 3.28 % 3.73 % 32,884 3.38 9 0.0691 % 2,840.3
Performance Highlights
Issue Index Change Notes
MFC.PR.M FixedReset -1.09 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.50
Bid-YTW : 5.47 %
BAM.PF.E FixedReset 1.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-07-13
Maturity Price : 23.30
Evaluated at bid price : 23.68
Bid-YTW : 4.85 %
BAM.PR.B Floater 1.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-07-13
Maturity Price : 17.89
Evaluated at bid price : 17.89
Bid-YTW : 3.64 %
BAM.PR.C Floater 1.30 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-07-13
Maturity Price : 17.90
Evaluated at bid price : 17.90
Bid-YTW : 3.64 %
IFC.PR.A FixedReset 1.79 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.85
Bid-YTW : 7.60 %
Volume Highlights
Issue Index Shares
Traded		 Notes
RY.PR.W Perpetual-Discount 222,825 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-07-13
Maturity Price : 24.49
Evaluated at bid price : 24.72
Bid-YTW : 5.02 %
BMO.PR.W FixedReset 50,591 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-07-13
Maturity Price : 22.68
Evaluated at bid price : 23.12
Bid-YTW : 4.61 %
BAM.PF.F FixedReset 28,494 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-07-13
Maturity Price : 24.54
Evaluated at bid price : 24.86
Bid-YTW : 4.93 %
RY.PR.H FixedReset 27,568 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-07-13
Maturity Price : 23.23
Evaluated at bid price : 23.75
Bid-YTW : 4.54 %
NA.PR.G FixedReset 21,207 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-07-13
Maturity Price : 23.21
Evaluated at bid price : 25.20
Bid-YTW : 4.75 %
EMA.PR.H FixedReset 19,036 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2023-08-15
Maturity Price : 25.00
Evaluated at bid price : 25.65
Bid-YTW : 4.48 %
There were 14 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
BAM.PF.I FixedReset Quote: 26.00 – 27.00
Spot Rate : 1.0000
Average : 0.5836

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-03-31
Maturity Price : 25.00
Evaluated at bid price : 26.00
Bid-YTW : 3.71 %
MFC.PR.F FixedReset Quote: 19.30 – 19.97
Spot Rate : 0.6700
Average : 0.4196

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.30
Bid-YTW : 7.34 %
RY.PR.N Perpetual-Discount Quote: 24.99 – 25.52
Spot Rate : 0.5300
Average : 0.3249

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-07-13
Maturity Price : 24.52
Evaluated at bid price : 24.99
Bid-YTW : 4.95 %
BAM.PF.H FixedReset Quote: 25.89 – 26.33
Spot Rate : 0.4400
Average : 0.2641

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2020-12-31
Maturity Price : 25.00
Evaluated at bid price : 25.89
Bid-YTW : 3.57 %
TRP.PR.F FloatingReset Quote: 20.65 – 21.00
Spot Rate : 0.3500
Average : 0.2178

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-07-13
Maturity Price : 20.65
Evaluated at bid price : 20.65
Bid-YTW : 4.12 %
PVS.PR.F SplitShare Quote: 25.50 – 26.00
Spot Rate : 0.5000
Average : 0.4037

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2024-09-30
Maturity Price : 25.00
Evaluated at bid price : 25.50
Bid-YTW : 4.54 %
Market Action

July 12, 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 0.5899 % 3,125.0
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.5899 % 5,734.3
Floater 3.22 % 3.43 % 69,721 18.71 4 0.5899 % 3,304.7
OpRet 0.00 % 0.00 % 0 0.00 0 0.3492 % 3,195.4
SplitShare 4.60 % 4.48 % 62,123 4.93 5 0.3492 % 3,816.0
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.3492 % 2,977.4
Perpetual-Premium 5.64 % -14.13 % 61,412 0.09 9 0.0000 % 2,906.2
Perpetual-Discount 5.38 % 5.48 % 53,917 14.70 26 -0.1115 % 2,982.7
FixedReset 4.30 % 4.63 % 136,522 4.19 106 0.0118 % 2,558.4
Deemed-Retractible 5.15 % 5.97 % 65,697 5.48 27 -0.1014 % 2,965.2
FloatingReset 3.24 % 3.72 % 34,234 3.39 9 0.2077 % 2,838.3
Performance Highlights
Issue Index Change Notes
TRP.PR.E FixedReset -1.37 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-07-12
Maturity Price : 21.81
Evaluated at bid price : 22.30
Bid-YTW : 4.92 %
BAM.PR.K Floater 1.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-07-12
Maturity Price : 17.72
Evaluated at bid price : 17.72
Bid-YTW : 3.43 %
PWF.PR.Q FloatingReset 2.66 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-07-12
Maturity Price : 21.56
Evaluated at bid price : 21.96
Bid-YTW : 3.39 %
Volume Highlights
Issue Index Shares
Traded		 Notes
BNS.PR.G FixedReset 1,036,959 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-07-25
Maturity Price : 25.00
Evaluated at bid price : 26.25
Bid-YTW : 3.69 %
NA.PR.G FixedReset 132,207 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-07-12
Maturity Price : 23.21
Evaluated at bid price : 25.21
Bid-YTW : 4.76 %
RY.PR.W Perpetual-Discount 81,000 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-07-12
Maturity Price : 24.47
Evaluated at bid price : 24.71
Bid-YTW : 5.02 %
IFC.PR.G FixedReset 73,756 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.86
Bid-YTW : 5.09 %
BMO.PR.W FixedReset 58,900 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-07-12
Maturity Price : 22.67
Evaluated at bid price : 23.11
Bid-YTW : 4.63 %
SLF.PR.G FixedReset 56,587 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.10
Bid-YTW : 6.90 %
There were 23 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
TD.PF.D FixedReset Quote: 24.40 – 24.95
Spot Rate : 0.5500
Average : 0.3605

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2020-07-31
Maturity Price : 25.00
Evaluated at bid price : 24.40
Bid-YTW : 4.76 %
HSE.PR.A FixedReset Quote: 17.87 – 18.22
Spot Rate : 0.3500
Average : 0.2235

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-07-12
Maturity Price : 17.87
Evaluated at bid price : 17.87
Bid-YTW : 5.03 %
TRP.PR.H FloatingReset Quote: 17.20 – 17.50
Spot Rate : 0.3000
Average : 0.1899

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-07-12
Maturity Price : 17.20
Evaluated at bid price : 17.20
Bid-YTW : 3.95 %
TRP.PR.A FixedReset Quote: 20.53 – 21.47
Spot Rate : 0.9400
Average : 0.8363

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-07-12
Maturity Price : 20.53
Evaluated at bid price : 20.53
Bid-YTW : 4.82 %
MFC.PR.J FixedReset Quote: 25.00 – 25.30
Spot Rate : 0.3000
Average : 0.2003

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2023-03-19
Maturity Price : 25.00
Evaluated at bid price : 25.00
Bid-YTW : 4.74 %
MFC.PR.B Deemed-Retractible Quote: 21.92 – 22.30
Spot Rate : 0.3800
Average : 0.2809

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.92
Bid-YTW : 7.13 %
Market Action

July 11, 2018

A good day for FixedResets, presumably due to the Bank of Canada policy hike and anticipation of increasing five-year Canada yields.

PerpetualDiscounts now yield 5.47%, equivalent to 7.11% interest at the standard equivalency factor of 1.3x. Long corporates now yield about 3.85%, so the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) is now about 325bp, unchanged from July 4

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 1.3727 % 3,106.7
FixedFloater 0.00 % 0.00 % 0 0.00 0 1.3727 % 5,700.7
Floater 3.24 % 3.44 % 70,208 18.68 4 1.3727 % 3,285.3
OpRet 0.00 % 0.00 % 0 0.00 0 -0.0793 % 3,184.3
SplitShare 4.61 % 4.70 % 61,802 4.93 5 -0.0793 % 3,802.7
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.0793 % 2,967.0
Perpetual-Premium 5.64 % -15.63 % 61,148 0.09 9 0.0306 % 2,906.2
Perpetual-Discount 5.38 % 5.47 % 56,026 14.70 26 -0.0279 % 2,986.0
FixedReset 4.30 % 4.60 % 134,249 4.29 106 0.4840 % 2,558.1
Deemed-Retractible 5.14 % 5.92 % 63,454 5.49 27 -0.0920 % 2,968.2
FloatingReset 3.25 % 3.72 % 34,409 3.39 9 0.2727 % 2,832.5
Performance Highlights
Issue Index Change Notes
MFC.PR.F FixedReset 1.01 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.09
Bid-YTW : 7.54 %
MFC.PR.J FixedReset 1.01 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2023-03-19
Maturity Price : 25.00
Evaluated at bid price : 25.00
Bid-YTW : 4.74 %
MFC.PR.L FixedReset 1.03 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.64
Bid-YTW : 6.02 %
BAM.PR.B Floater 1.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-07-11
Maturity Price : 17.63
Evaluated at bid price : 17.63
Bid-YTW : 3.44 %
IFC.PR.C FixedReset 1.05 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.19
Bid-YTW : 5.39 %
GWO.PR.T Deemed-Retractible 1.05 % 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 %
SLF.PR.J FloatingReset 1.10 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.27
Bid-YTW : 6.42 %
MFC.PR.G FixedReset 1.15 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-12-19
Maturity Price : 25.00
Evaluated at bid price : 24.53
Bid-YTW : 4.58 %
BAM.PR.K Floater 1.21 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-07-11
Maturity Price : 17.53
Evaluated at bid price : 17.53
Bid-YTW : 3.46 %
PWF.PR.P FixedReset 1.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-07-11
Maturity Price : 19.84
Evaluated at bid price : 19.84
Bid-YTW : 4.41 %
GWO.PR.N FixedReset 1.23 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.98
Bid-YTW : 7.61 %
TRP.PR.A FixedReset 1.24 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-07-11
Maturity Price : 20.49
Evaluated at bid price : 20.49
Bid-YTW : 4.83 %
BAM.PF.G FixedReset 1.33 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-07-11
Maturity Price : 23.34
Evaluated at bid price : 24.37
Bid-YTW : 4.97 %
CU.PR.G Perpetual-Discount 1.37 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-07-11
Maturity Price : 21.44
Evaluated at bid price : 21.44
Bid-YTW : 5.32 %
CU.PR.C FixedReset 1.46 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-07-11
Maturity Price : 22.31
Evaluated at bid price : 22.94
Bid-YTW : 4.64 %
BAM.PR.R FixedReset 1.52 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-07-11
Maturity Price : 20.66
Evaluated at bid price : 20.66
Bid-YTW : 5.06 %
BAM.PF.F FixedReset 1.64 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-07-11
Maturity Price : 24.37
Evaluated at bid price : 24.73
Bid-YTW : 4.97 %
TRP.PR.C FixedReset 1.72 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-07-11
Maturity Price : 17.77
Evaluated at bid price : 17.77
Bid-YTW : 4.83 %
SLF.PR.H FixedReset 1.93 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.15
Bid-YTW : 5.67 %
MFC.PR.N FixedReset 2.15 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.75
Bid-YTW : 5.20 %
BAM.PR.C Floater 2.62 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-07-11
Maturity Price : 17.60
Evaluated at bid price : 17.60
Bid-YTW : 3.45 %
SLF.PR.G FixedReset 3.06 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.21
Bid-YTW : 6.81 %
MFC.PR.M FixedReset 3.31 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.71
Bid-YTW : 5.32 %
Volume Highlights
Issue Index Shares
Traded		 Notes
POW.PR.G Perpetual-Premium 408,060 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-04-15
Maturity Price : 25.00
Evaluated at bid price : 25.22
Bid-YTW : 5.26 %
TRP.PR.B FixedReset 150,700 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-07-11
Maturity Price : 17.05
Evaluated at bid price : 17.05
Bid-YTW : 4.76 %
PWF.PR.L Perpetual-Discount 104,234 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-07-11
Maturity Price : 22.86
Evaluated at bid price : 23.13
Bid-YTW : 5.51 %
PWF.PR.H Perpetual-Premium 94,500 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2018-08-10
Maturity Price : 25.00
Evaluated at bid price : 25.38
Bid-YTW : -15.79 %
IFC.PR.G FixedReset 75,456 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.95
Bid-YTW : 5.02 %
PWF.PR.T FixedReset 75,000 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-07-11
Maturity Price : 23.60
Evaluated at bid price : 24.30
Bid-YTW : 4.53 %
There were 43 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
EIT.PR.A SplitShare Quote: 25.11 – 26.11
Spot Rate : 1.0000
Average : 0.6790

YTW SCENARIO
Maturity Type : Soft Maturity
Maturity Date : 2024-03-14
Maturity Price : 25.00
Evaluated at bid price : 25.11
Bid-YTW : 4.81 %
TRP.PR.A FixedReset Quote: 20.49 – 21.40
Spot Rate : 0.9100
Average : 0.7225

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-07-11
Maturity Price : 20.49
Evaluated at bid price : 20.49
Bid-YTW : 4.83 %
TRP.PR.E FixedReset Quote: 22.61 – 22.98
Spot Rate : 0.3700
Average : 0.2307

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-07-11
Maturity Price : 22.00
Evaluated at bid price : 22.61
Bid-YTW : 4.85 %
PWF.PR.F Perpetual-Discount Quote: 23.79 – 24.17
Spot Rate : 0.3800
Average : 0.2696

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-07-11
Maturity Price : 23.52
Evaluated at bid price : 23.79
Bid-YTW : 5.52 %
W.PR.M FixedReset Quote: 25.60 – 25.85
Spot Rate : 0.2500
Average : 0.1671

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-10-15
Maturity Price : 25.00
Evaluated at bid price : 25.60
Bid-YTW : 4.41 %
TRP.PR.G FixedReset Quote: 24.21 – 24.55
Spot Rate : 0.3400
Average : 0.2600

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-07-11
Maturity Price : 23.17
Evaluated at bid price : 24.21
Bid-YTW : 5.02 %
Market Action

July 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 1.6158 % 3,064.6
FixedFloater 0.00 % 0.00 % 0 0.00 0 1.6158 % 5,623.5
Floater 3.28 % 3.48 % 71,189 18.60 4 1.6158 % 3,240.8
OpRet 0.00 % 0.00 % 0 0.00 0 -0.0951 % 3,186.8
SplitShare 4.61 % 4.68 % 62,762 4.93 5 -0.0951 % 3,805.7
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.0951 % 2,969.4
Perpetual-Premium 5.64 % -13.30 % 56,613 0.09 9 0.0787 % 2,905.3
Perpetual-Discount 5.37 % 5.47 % 56,212 14.73 26 0.0886 % 2,986.9
FixedReset 4.32 % 4.66 % 134,334 4.47 106 -0.0383 % 2,545.8
Deemed-Retractible 5.14 % 5.93 % 64,333 5.49 27 -0.0639 % 2,971.0
FloatingReset 3.26 % 3.69 % 35,179 3.39 9 0.0149 % 2,824.8
Performance Highlights
Issue Index Change Notes
SLF.PR.G FixedReset -1.95 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.61
Bid-YTW : 7.33 %
SLF.PR.H FixedReset -1.23 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.73
Bid-YTW : 6.00 %
MFC.PR.M FixedReset -1.21 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.95
Bid-YTW : 5.91 %
TRP.PR.C FixedReset -1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-07-10
Maturity Price : 17.47
Evaluated at bid price : 17.47
Bid-YTW : 4.91 %
BAM.PR.C Floater 1.18 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-07-10
Maturity Price : 17.15
Evaluated at bid price : 17.15
Bid-YTW : 3.54 %
BAM.PR.X FixedReset 1.37 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-07-10
Maturity Price : 18.45
Evaluated at bid price : 18.45
Bid-YTW : 4.94 %
BAM.PR.K Floater 2.18 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-07-10
Maturity Price : 17.32
Evaluated at bid price : 17.32
Bid-YTW : 3.50 %
BAM.PR.B Floater 2.47 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-07-10
Maturity Price : 17.45
Evaluated at bid price : 17.45
Bid-YTW : 3.48 %
Volume Highlights
Issue Index Shares
Traded		 Notes
IFC.PR.E Deemed-Retractible 62,431 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.10
Bid-YTW : 5.93 %
NA.PR.G FixedReset 60,565 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-07-10
Maturity Price : 23.19
Evaluated at bid price : 25.16
Bid-YTW : 4.77 %
BIP.PR.D FixedReset 51,260 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-03-31
Maturity Price : 25.00
Evaluated at bid price : 25.10
Bid-YTW : 4.95 %
BAM.PR.K Floater 43,426 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-07-10
Maturity Price : 17.32
Evaluated at bid price : 17.32
Bid-YTW : 3.50 %
MFC.PR.J FixedReset 37,000 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.75
Bid-YTW : 4.92 %
IFC.PR.G FixedReset 36,911 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.75
Bid-YTW : 5.16 %
There were 27 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: 21.46 – 22.41
Spot Rate : 0.9500
Average : 0.7598

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-07-10
Maturity Price : 21.46
Evaluated at bid price : 21.46
Bid-YTW : 3.51 %
SLF.PR.G FixedReset Quote: 19.61 – 20.10
Spot Rate : 0.4900
Average : 0.3127

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.61
Bid-YTW : 7.33 %
PVS.PR.D SplitShare Quote: 25.36 – 25.71
Spot Rate : 0.3500
Average : 0.2187

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2021-10-08
Maturity Price : 25.00
Evaluated at bid price : 25.36
Bid-YTW : 4.18 %
PWF.PR.A Floater Quote: 21.66 – 22.03
Spot Rate : 0.3700
Average : 0.2696

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-07-10
Maturity Price : 21.39
Evaluated at bid price : 21.66
Bid-YTW : 2.78 %
BMO.PR.Y FixedReset Quote: 24.41 – 24.65
Spot Rate : 0.2400
Average : 0.1488

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-07-10
Maturity Price : 23.32
Evaluated at bid price : 24.41
Bid-YTW : 4.77 %
BAM.PR.C Floater Quote: 17.15 – 17.52
Spot Rate : 0.3700
Average : 0.2795

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-07-10
Maturity Price : 17.15
Evaluated at bid price : 17.15
Bid-YTW : 3.54 %