Category: Market Action

Market Action

July 31, 2019

The FOMC announcement came today:

Information received since the Federal Open Market Committee met in June indicates that the labor market remains strong and that economic activity has been rising at a moderate rate. Job gains have been solid, on average, in recent months, and the unemployment rate has remained low. Although growth of household spending has picked up from earlier in the year, growth of business fixed investment has been soft. On a 12-month basis, overall inflation and inflation for items other than food and energy are running below 2 percent. Market-based measures of inflation compensation remain low; survey-based measures of longer-term inflation expectations are little changed.
…
In light of the implications of global developments for the economic outlook as well as muted inflation pressures, the Committee decided to lower the target range for the federal funds rate to 2 to 2-1/4 percent. This action supports the Committee’s view that sustained expansion of economic activity, strong labor market conditions, and inflation near the Committee’s symmetric 2 percent objective are the most likely outcomes, but uncertainties about this outlook remain.
…
The Committee will conclude the reduction of its aggregate securities holdings in the System Open Market Account in August, two months earlier than previously indicated.

Voting for the monetary policy action were Jerome H. Powell, Chair; John C. Williams, Vice Chair; Michelle W. Bowman; Lael Brainard; James Bullard; Richard H. Clarida; Charles L. Evans; and Randal K. Quarles. Voting against the action were Esther L. George and Eric S. Rosengren, who preferred at this meeting to maintain the target range for the federal funds rate at 2-1/4 to 2-1/2 percent.

But the tone for the future was relatively hawkish:

The Dow and S&P 500 suffered their biggest daily percentage drops since May 31 on Wednesday after the Federal Reserve cut interest rates for the first time in a decade, but remarks by Fed Chair Jerome Powell dampened expectations for further cuts going forward.

Based on the latest available data, the Dow Jones Industrial Average fell 336.26 points, or 1.24 per cent, to 26,861.76, the S&P 500 lost 33.07 points, or 1.10 per cent, to 2,980.11, and the Nasdaq Composite dropped 98.20 points, or 1.19 per cent, to 8,175.42.

In Toronto, the S&P/TSX composite index also dropped, closing down 0.36 per cent, or 59.49 points, at 16,406.56.

The five-year Canada yield was unchanged at 1.45%.

PerpetualDiscounts now yield 5.59%, equivalent to 7.27% interest at the standard equivalency factor of 1.3x. Long corporates now yield 3.36%, so the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) is now an amazing 390bp, a significant widening from the 375bp reported July 24. We also saw a spread this wide on June 19 … but it’s pretty damn rare!

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 0.3681 % 2,002.1
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.3681 % 3,673.8
Floater 5.97 % 6.09 % 39,332 13.74 4 0.3681 % 2,117.2
OpRet 0.00 % 0.00 % 0 0.00 0 -0.1182 % 3,343.8
SplitShare 4.66 % 4.66 % 75,236 4.11 7 -0.1182 % 3,993.2
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.1182 % 3,115.7
Perpetual-Premium 5.61 % -18.18 % 56,449 0.09 7 0.0168 % 2,990.3
Perpetual-Discount 5.44 % 5.59 % 57,307 14.48 25 0.0160 % 3,130.2
FixedReset Disc 5.41 % 5.25 % 166,992 15.00 69 -0.1360 % 2,129.9
Deemed-Retractible 5.22 % 5.90 % 66,140 7.93 27 0.0932 % 3,121.2
FloatingReset 4.05 % 4.42 % 35,315 2.41 4 0.1986 % 2,349.3
FixedReset Prem 5.13 % 3.72 % 159,888 1.88 17 -0.0610 % 2,601.4
FixedReset Bank Non 1.98 % 4.05 % 86,910 2.42 3 -0.1489 % 2,655.1
FixedReset Ins Non 5.24 % 7.36 % 84,716 8.04 22 0.0287 % 2,175.7
Performance Highlights
Issue Index Change Notes
TD.PF.D FixedReset Disc -2.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-31
Maturity Price : 20.37
Evaluated at bid price : 20.37
Bid-YTW : 5.14 %
HSE.PR.C FixedReset Disc -1.74 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-31
Maturity Price : 18.08
Evaluated at bid price : 18.08
Bid-YTW : 6.35 %
BIP.PR.F FixedReset Disc -1.34 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-31
Maturity Price : 21.40
Evaluated at bid price : 21.40
Bid-YTW : 6.04 %
NA.PR.G FixedReset Disc -1.25 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-31
Maturity Price : 20.49
Evaluated at bid price : 20.49
Bid-YTW : 5.34 %
RY.PR.Z FixedReset Disc -1.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-31
Maturity Price : 18.00
Evaluated at bid price : 18.00
Bid-YTW : 5.06 %
SLF.PR.J FloatingReset 1.06 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 13.41
Bid-YTW : 10.52 %
BAM.PF.B FixedReset Disc 1.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-31
Maturity Price : 17.20
Evaluated at bid price : 17.20
Bid-YTW : 6.12 %
TRP.PR.G FixedReset Disc 1.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-31
Maturity Price : 18.25
Evaluated at bid price : 18.25
Bid-YTW : 6.02 %
BAM.PR.K Floater 1.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-31
Maturity Price : 11.50
Evaluated at bid price : 11.50
Bid-YTW : 6.09 %
MFC.PR.K FixedReset Ins Non 1.20 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.52
Bid-YTW : 7.76 %
IFC.PR.A FixedReset Ins Non 1.35 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 15.00
Bid-YTW : 9.39 %
EMA.PR.H FixedReset Disc 1.38 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-31
Maturity Price : 23.02
Evaluated at bid price : 24.40
Bid-YTW : 4.95 %
HSE.PR.A FixedReset Disc 1.49 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-31
Maturity Price : 12.25
Evaluated at bid price : 12.25
Bid-YTW : 6.29 %
TRP.PR.B FixedReset Disc 2.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-31
Maturity Price : 11.60
Evaluated at bid price : 11.60
Bid-YTW : 5.79 %
Volume Highlights
Issue Index Shares
Traded		 Notes
RY.PR.H FixedReset Disc 87,665 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-31
Maturity Price : 18.12
Evaluated at bid price : 18.12
Bid-YTW : 5.06 %
RY.PR.O Perpetual-Discount 31,723 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-31
Maturity Price : 23.62
Evaluated at bid price : 24.10
Bid-YTW : 5.06 %
TD.PF.K FixedReset Disc 31,720 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-31
Maturity Price : 20.40
Evaluated at bid price : 20.40
Bid-YTW : 5.14 %
MFC.PR.M FixedReset Ins Non 31,239 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 17.35
Bid-YTW : 8.28 %
SLF.PR.J FloatingReset 27,900 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 13.41
Bid-YTW : 10.52 %
RY.PR.M FixedReset Disc 27,506 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-31
Maturity Price : 19.28
Evaluated at bid price : 19.28
Bid-YTW : 5.19 %
There were 24 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
BMO.PR.B FixedReset Prem Quote: 25.60 – 26.00
Spot Rate : 0.4000
Average : 0.2387

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-02-25
Maturity Price : 25.00
Evaluated at bid price : 25.60
Bid-YTW : 3.74 %
TD.PF.D FixedReset Disc Quote: 20.37 – 20.85
Spot Rate : 0.4800
Average : 0.3286

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-31
Maturity Price : 20.37
Evaluated at bid price : 20.37
Bid-YTW : 5.14 %
NA.PR.G FixedReset Disc Quote: 20.49 – 20.85
Spot Rate : 0.3600
Average : 0.2482

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-31
Maturity Price : 20.49
Evaluated at bid price : 20.49
Bid-YTW : 5.34 %
PVS.PR.E SplitShare Quote: 25.65 – 25.99
Spot Rate : 0.3400
Average : 0.2329

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-10-31
Maturity Price : 25.00
Evaluated at bid price : 25.65
Bid-YTW : 4.93 %
BMO.PR.Z Perpetual-Discount Quote: 24.99 – 25.34
Spot Rate : 0.3500
Average : 0.2467

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-08-25
Maturity Price : 25.00
Evaluated at bid price : 24.99
Bid-YTW : 4.96 %
PWF.PR.R Perpetual-Premium Quote: 25.02 – 25.31
Spot Rate : 0.2900
Average : 0.1881

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-04-30
Maturity Price : 25.00
Evaluated at bid price : 25.02
Bid-YTW : 5.46 %
Market Action

July 30, 2019

HIMIPref™ Preferred Indices
These values reflect the December 2008 revision of the HIMIPref™ Indices
Values are provisional and are finalized monthly
Index Mean
Current
Yield
(at bid)		 Median
YTW		 Median
Average
Trading
Value		 Median
Mod Dur
(YTW)		 Issues Day’s Perf. Index Value
Ratchet 0.00 % 0.00 % 0 0.00 0 0.0433 % 1,994.8
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.0433 % 3,660.3
Floater 5.99 % 6.06 % 39,640 13.79 4 0.0433 % 2,109.4
OpRet 0.00 % 0.00 % 0 0.00 0 0.1071 % 3,347.8
SplitShare 4.65 % 4.59 % 76,042 4.11 7 0.1071 % 3,998.0
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.1071 % 3,119.4
Perpetual-Premium 5.61 % -18.36 % 58,671 0.09 7 0.0842 % 2,989.8
Perpetual-Discount 5.44 % 5.58 % 57,098 14.52 25 -0.0346 % 3,129.7
FixedReset Disc 5.40 % 5.21 % 162,651 14.99 69 0.0485 % 2,132.8
Deemed-Retractible 5.22 % 5.88 % 68,803 7.94 27 -0.1875 % 3,118.2
FloatingReset 4.06 % 4.41 % 35,768 2.41 4 -0.4483 % 2,344.6
FixedReset Prem 5.13 % 3.61 % 161,839 1.88 17 0.1626 % 2,603.0
FixedReset Bank Non 1.97 % 3.95 % 90,147 2.42 3 -0.0139 % 2,659.0
FixedReset Ins Non 5.24 % 7.39 % 85,605 8.03 22 0.1968 % 2,175.1
Performance Highlights
Issue Index Change Notes
BAM.PF.B FixedReset Disc -1.73 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-30
Maturity Price : 17.02
Evaluated at bid price : 17.02
Bid-YTW : 6.18 %
MFC.PR.K FixedReset Ins Non -1.61 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.30
Bid-YTW : 7.91 %
PWF.PR.F Perpetual-Discount -1.48 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-30
Maturity Price : 23.07
Evaluated at bid price : 23.33
Bid-YTW : 5.65 %
HSE.PR.A FixedReset Disc -1.47 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-30
Maturity Price : 12.07
Evaluated at bid price : 12.07
Bid-YTW : 6.38 %
SLF.PR.J FloatingReset -1.34 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 13.27
Bid-YTW : 10.65 %
BIP.PR.F FixedReset Disc -1.18 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-30
Maturity Price : 21.38
Evaluated at bid price : 21.69
Bid-YTW : 5.94 %
IFC.PR.E Deemed-Retractible -1.13 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.66
Bid-YTW : 5.99 %
BIP.PR.B FixedReset Disc -1.06 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2020-12-31
Maturity Price : 25.00
Evaluated at bid price : 25.11
Bid-YTW : 5.53 %
IFC.PR.C FixedReset Ins Non 1.26 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.55
Bid-YTW : 7.55 %
BAM.PR.C Floater 1.32 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-30
Maturity Price : 11.55
Evaluated at bid price : 11.55
Bid-YTW : 6.06 %
PWF.PR.T FixedReset Disc 1.32 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-30
Maturity Price : 18.45
Evaluated at bid price : 18.45
Bid-YTW : 5.30 %
MFC.PR.N FixedReset Ins Non 1.42 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 17.18
Bid-YTW : 8.33 %
SLF.PR.H FixedReset Ins Non 1.49 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 16.35
Bid-YTW : 8.49 %
NA.PR.W FixedReset Disc 1.63 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-30
Maturity Price : 16.85
Evaluated at bid price : 16.85
Bid-YTW : 5.44 %
BMO.PR.C FixedReset Disc 1.77 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-30
Maturity Price : 22.79
Evaluated at bid price : 23.58
Bid-YTW : 5.01 %
TRP.PR.B FixedReset Disc 1.79 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-30
Maturity Price : 11.37
Evaluated at bid price : 11.37
Bid-YTW : 5.91 %
Volume Highlights
Issue Index Shares
Traded		 Notes
RY.PR.H FixedReset Disc 53,000 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-30
Maturity Price : 18.22
Evaluated at bid price : 18.22
Bid-YTW : 5.03 %
BMO.PR.S FixedReset Disc 43,722 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-30
Maturity Price : 18.40
Evaluated at bid price : 18.40
Bid-YTW : 5.21 %
PWF.PR.R Perpetual-Premium 42,401 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-04-30
Maturity Price : 25.00
Evaluated at bid price : 25.02
Bid-YTW : 5.45 %
NA.PR.W FixedReset Disc 32,310 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-30
Maturity Price : 16.85
Evaluated at bid price : 16.85
Bid-YTW : 5.44 %
SLF.PR.G FixedReset Ins Non 25,100 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 13.65
Bid-YTW : 9.85 %
CM.PR.R FixedReset Disc 24,415 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-30
Maturity Price : 22.08
Evaluated at bid price : 22.45
Bid-YTW : 5.25 %
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.F Perpetual-Discount Quote: 23.33 – 23.76
Spot Rate : 0.4300
Average : 0.2470

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-30
Maturity Price : 23.07
Evaluated at bid price : 23.33
Bid-YTW : 5.65 %
HSE.PR.E FixedReset Disc Quote: 19.38 – 19.88
Spot Rate : 0.5000
Average : 0.3281

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-30
Maturity Price : 19.38
Evaluated at bid price : 19.38
Bid-YTW : 6.47 %
BNS.PR.F FloatingReset Quote: 24.17 – 24.68
Spot Rate : 0.5100
Average : 0.3549

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.17
Bid-YTW : 4.41 %
TRP.PR.A FixedReset Disc Quote: 13.63 – 13.99
Spot Rate : 0.3600
Average : 0.2459

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-30
Maturity Price : 13.63
Evaluated at bid price : 13.63
Bid-YTW : 6.17 %
PWF.PR.Z Perpetual-Discount Quote: 22.85 – 23.30
Spot Rate : 0.4500
Average : 0.3403

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-30
Maturity Price : 22.46
Evaluated at bid price : 22.85
Bid-YTW : 5.65 %
HSE.PR.A FixedReset Disc Quote: 12.07 – 12.39
Spot Rate : 0.3200
Average : 0.2112

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-30
Maturity Price : 12.07
Evaluated at bid price : 12.07
Bid-YTW : 6.38 %
Market Action

July 29, 2019

HIMIPref™ Preferred Indices
These values reflect the December 2008 revision of the HIMIPref™ Indices
Values are provisional and are finalized monthly
Index Mean
Current
Yield
(at bid)		 Median
YTW		 Median
Average
Trading
Value		 Median
Mod Dur
(YTW)		 Issues Day’s Perf. Index Value
Ratchet 0.00 % 0.00 % 0 0.00 0 1.1394 % 1,993.9
FixedFloater 0.00 % 0.00 % 0 0.00 0 1.1394 % 3,658.7
Floater 5.99 % 6.11 % 40,112 13.71 4 1.1394 % 2,108.5
OpRet 0.00 % 0.00 % 0 0.00 0 0.1694 % 3,344.2
SplitShare 4.66 % 4.63 % 75,790 4.11 7 0.1694 % 3,993.7
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.1694 % 3,116.0
Perpetual-Premium 5.61 % -17.66 % 58,999 0.09 7 0.0281 % 2,987.3
Perpetual-Discount 5.44 % 5.56 % 56,934 14.53 25 -0.0138 % 3,130.8
FixedReset Disc 5.40 % 5.18 % 163,790 14.98 69 -0.1080 % 2,131.8
Deemed-Retractible 5.21 % 5.84 % 67,891 7.94 27 -0.0047 % 3,124.1
FloatingReset 4.04 % 4.27 % 35,999 2.41 4 -0.1711 % 2,355.2
FixedReset Prem 5.13 % 3.82 % 162,734 1.89 17 0.0481 % 2,598.8
FixedReset Bank Non 1.97 % 3.99 % 91,449 2.42 3 0.0556 % 2,659.4
FixedReset Ins Non 5.25 % 7.39 % 85,899 8.03 22 -0.1701 % 2,170.8
Performance Highlights
Issue Index Change Notes
TRP.PR.B FixedReset Disc -3.37 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-29
Maturity Price : 11.17
Evaluated at bid price : 11.17
Bid-YTW : 6.01 %
IFC.PR.A FixedReset Ins Non -2.88 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 14.83
Bid-YTW : 9.53 %
SLF.PR.H FixedReset Ins Non -1.77 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 16.11
Bid-YTW : 8.67 %
NA.PR.W FixedReset Disc -1.60 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-29
Maturity Price : 16.58
Evaluated at bid price : 16.58
Bid-YTW : 5.53 %
TRP.PR.G FixedReset Disc -1.58 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-29
Maturity Price : 18.06
Evaluated at bid price : 18.06
Bid-YTW : 6.08 %
BMO.PR.Y FixedReset Disc -1.48 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-29
Maturity Price : 20.00
Evaluated at bid price : 20.00
Bid-YTW : 5.20 %
BIP.PR.D FixedReset Disc -1.43 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-29
Maturity Price : 21.63
Evaluated at bid price : 22.05
Bid-YTW : 5.89 %
CM.PR.Q FixedReset Disc -1.24 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-29
Maturity Price : 19.10
Evaluated at bid price : 19.10
Bid-YTW : 5.47 %
MFC.PR.L FixedReset Ins Non -1.20 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 17.30
Bid-YTW : 8.21 %
CU.PR.F Perpetual-Discount -1.17 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-29
Maturity Price : 21.20
Evaluated at bid price : 21.20
Bid-YTW : 5.40 %
BAM.PR.T FixedReset Disc -1.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-29
Maturity Price : 15.10
Evaluated at bid price : 15.10
Bid-YTW : 6.15 %
CM.PR.P FixedReset Disc -1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-29
Maturity Price : 17.05
Evaluated at bid price : 17.05
Bid-YTW : 5.38 %
BAM.PF.E FixedReset Disc -1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-29
Maturity Price : 16.18
Evaluated at bid price : 16.18
Bid-YTW : 6.22 %
HSE.PR.E FixedReset Disc -1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-29
Maturity Price : 19.45
Evaluated at bid price : 19.45
Bid-YTW : 6.44 %
BAM.PF.A FixedReset Disc 1.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-29
Maturity Price : 19.10
Evaluated at bid price : 19.10
Bid-YTW : 5.96 %
RY.PR.S FixedReset Disc 1.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-29
Maturity Price : 20.94
Evaluated at bid price : 20.94
Bid-YTW : 4.82 %
CCS.PR.C Deemed-Retractible 1.20 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.55
Bid-YTW : 5.31 %
MFC.PR.K FixedReset Ins Non 1.42 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.60
Bid-YTW : 7.70 %
TD.PF.D FixedReset Disc 1.47 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-29
Maturity Price : 20.76
Evaluated at bid price : 20.76
Bid-YTW : 5.04 %
BAM.PR.K Floater 2.32 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-29
Maturity Price : 11.45
Evaluated at bid price : 11.45
Bid-YTW : 6.11 %
Volume Highlights
Issue Index Shares
Traded		 Notes
TD.PF.C FixedReset Disc 72,900 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-29
Maturity Price : 18.01
Evaluated at bid price : 18.01
Bid-YTW : 5.10 %
NA.PR.S FixedReset Disc 55,091 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-29
Maturity Price : 18.00
Evaluated at bid price : 18.00
Bid-YTW : 5.38 %
BMO.PR.D FixedReset Disc 34,500 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-29
Maturity Price : 21.99
Evaluated at bid price : 22.33
Bid-YTW : 5.15 %
BMO.PR.W FixedReset Disc 28,700 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-29
Maturity Price : 17.80
Evaluated at bid price : 17.80
Bid-YTW : 5.18 %
TD.PF.M FixedReset Disc 28,000 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-29
Maturity Price : 23.18
Evaluated at bid price : 25.05
Bid-YTW : 4.96 %
NA.PR.W FixedReset Disc 27,200 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-29
Maturity Price : 16.58
Evaluated at bid price : 16.58
Bid-YTW : 5.53 %
There were 10 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
IFC.PR.A FixedReset Ins Non Quote: 14.83 – 15.49
Spot Rate : 0.6600
Average : 0.4322

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 14.83
Bid-YTW : 9.53 %
BAM.PR.X FixedReset Disc Quote: 12.90 – 13.35
Spot Rate : 0.4500
Average : 0.2956

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-29
Maturity Price : 12.90
Evaluated at bid price : 12.90
Bid-YTW : 6.11 %
TRP.PR.B FixedReset Disc Quote: 11.17 – 11.63
Spot Rate : 0.4600
Average : 0.3076

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-29
Maturity Price : 11.17
Evaluated at bid price : 11.17
Bid-YTW : 6.01 %
IAF.PR.I FixedReset Ins Non Quote: 21.10 – 21.61
Spot Rate : 0.5100
Average : 0.3608

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.10
Bid-YTW : 6.60 %
TD.PF.K FixedReset Disc Quote: 20.30 – 20.65
Spot Rate : 0.3500
Average : 0.2218

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-29
Maturity Price : 20.30
Evaluated at bid price : 20.30
Bid-YTW : 5.17 %
BAM.PF.H FixedReset Prem Quote: 25.55 – 25.90
Spot Rate : 0.3500
Average : 0.2235

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2020-12-31
Maturity Price : 25.00
Evaluated at bid price : 25.55
Bid-YTW : 3.70 %
Market Action

July 26, 2019

HIMIPref™ Preferred Indices
These values reflect the December 2008 revision of the HIMIPref™ Indices
Values are provisional and are finalized monthly
Index Mean
Current
Yield
(at bid)		 Median
YTW		 Median
Average
Trading
Value		 Median
Mod Dur
(YTW)		 Issues Day’s Perf. Index Value
Ratchet 0.00 % 0.00 % 0 0.00 0 0.1316 % 1,971.4
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.1316 % 3,617.5
Floater 6.06 % 6.18 % 38,211 13.61 4 0.1316 % 2,084.8
OpRet 0.00 % 0.00 % 0 0.00 0 -0.0677 % 3,338.5
SplitShare 4.66 % 4.67 % 76,612 4.12 7 -0.0677 % 3,986.9
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.0677 % 3,110.8
Perpetual-Premium 5.61 % -18.19 % 58,178 0.09 7 0.0393 % 2,986.5
Perpetual-Discount 5.44 % 5.55 % 57,936 14.63 25 0.1821 % 3,131.2
FixedReset Disc 5.39 % 5.18 % 164,444 15.03 69 -0.0826 % 2,134.1
Deemed-Retractible 5.21 % 5.87 % 64,036 7.95 27 0.0946 % 3,124.3
FloatingReset 4.04 % 4.25 % 37,481 2.42 4 0.0659 % 2,359.2
FixedReset Prem 5.14 % 3.81 % 162,505 1.89 17 -0.0389 % 2,597.5
FixedReset Bank Non 1.98 % 3.92 % 91,479 2.43 3 0.0139 % 2,657.9
FixedReset Ins Non 5.25 % 7.34 % 85,464 8.03 22 -0.3200 % 2,174.5
Performance Highlights
Issue Index Change Notes
IAF.PR.G FixedReset Ins Non -1.52 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.80
Bid-YTW : 6.37 %
BIP.PR.E FixedReset Disc -1.50 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-26
Maturity Price : 21.38
Evaluated at bid price : 21.70
Bid-YTW : 5.81 %
IFC.PR.G FixedReset Ins Non -1.41 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.21
Bid-YTW : 7.06 %
TRP.PR.C FixedReset Disc -1.24 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-26
Maturity Price : 11.95
Evaluated at bid price : 11.95
Bid-YTW : 6.04 %
RY.PR.S FixedReset Disc -1.19 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-26
Maturity Price : 20.71
Evaluated at bid price : 20.71
Bid-YTW : 4.86 %
MFC.PR.K FixedReset Ins Non -1.03 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.34
Bid-YTW : 7.86 %
BIP.PR.D FixedReset Disc 1.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-26
Maturity Price : 22.05
Evaluated at bid price : 22.37
Bid-YTW : 5.80 %
NA.PR.E FixedReset Disc 1.34 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-26
Maturity Price : 19.60
Evaluated at bid price : 19.60
Bid-YTW : 5.25 %
CU.PR.F Perpetual-Discount 1.47 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-26
Maturity Price : 21.45
Evaluated at bid price : 21.45
Bid-YTW : 5.33 %
HSE.PR.A FixedReset Disc 2.25 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-26
Maturity Price : 12.27
Evaluated at bid price : 12.27
Bid-YTW : 6.26 %
Volume Highlights
Issue Index Shares
Traded		 Notes
SLF.PR.B Deemed-Retractible 102,804 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.53
Bid-YTW : 6.17 %
CU.PR.D Perpetual-Discount 76,859 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-26
Maturity Price : 22.50
Evaluated at bid price : 22.79
Bid-YTW : 5.45 %
CM.PR.P FixedReset Disc 41,200 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-26
Maturity Price : 17.23
Evaluated at bid price : 17.23
Bid-YTW : 5.30 %
TRP.PR.D FixedReset Disc 34,355 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-26
Maturity Price : 16.40
Evaluated at bid price : 16.40
Bid-YTW : 5.84 %
CM.PR.O FixedReset Disc 32,500 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-26
Maturity Price : 17.71
Evaluated at bid price : 17.71
Bid-YTW : 5.27 %
RY.PR.H FixedReset Disc 26,535 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-26
Maturity Price : 18.10
Evaluated at bid price : 18.10
Bid-YTW : 5.05 %
There were 10 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 Ins Non Quote: 18.27 – 18.59
Spot Rate : 0.3200
Average : 0.2173

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.27
Bid-YTW : 7.72 %
BAM.PR.K Floater Quote: 11.19 – 11.61
Spot Rate : 0.4200
Average : 0.3277

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-26
Maturity Price : 11.19
Evaluated at bid price : 11.19
Bid-YTW : 6.25 %
GWO.PR.R Deemed-Retractible Quote: 22.41 – 22.80
Spot Rate : 0.3900
Average : 0.2996

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.41
Bid-YTW : 6.24 %
BNS.PR.D FloatingReset Quote: 24.42 – 24.68
Spot Rate : 0.2600
Average : 0.1773

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.42
Bid-YTW : 3.61 %
CU.PR.F Perpetual-Discount Quote: 21.45 – 21.80
Spot Rate : 0.3500
Average : 0.2687

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-26
Maturity Price : 21.45
Evaluated at bid price : 21.45
Bid-YTW : 5.33 %
PWF.PR.Z Perpetual-Discount Quote: 22.92 – 23.29
Spot Rate : 0.3700
Average : 0.2968

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-26
Maturity Price : 22.52
Evaluated at bid price : 22.92
Bid-YTW : 5.63 %
Market Action

July 25, 2019

HIMIPref™ Preferred Indices
These values reflect the December 2008 revision of the HIMIPref™ Indices
Values are provisional and are finalized monthly
Index Mean
Current
Yield
(at bid)		 Median
YTW		 Median
Average
Trading
Value		 Median
Mod Dur
(YTW)		 Issues Day’s Perf. Index Value
Ratchet 0.00 % 0.00 % 0 0.00 0 0.6625 % 1,968.8
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.6625 % 3,612.7
Floater 6.07 % 6.19 % 37,911 13.61 4 0.6625 % 2,082.0
OpRet 0.00 % 0.00 % 0 0.00 0 -0.0338 % 3,340.8
SplitShare 4.66 % 4.63 % 77,130 4.12 7 -0.0338 % 3,989.6
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.0338 % 3,112.9
Perpetual-Premium 5.62 % -18.36 % 56,828 0.09 7 -0.0168 % 2,985.3
Perpetual-Discount 5.45 % 5.55 % 59,426 14.58 25 0.0382 % 3,125.5
FixedReset Disc 5.39 % 5.20 % 164,120 15.04 69 0.4034 % 2,135.8
Deemed-Retractible 5.22 % 5.85 % 63,900 7.95 27 0.0758 % 3,121.3
FloatingReset 4.04 % 4.25 % 37,398 2.43 4 0.1583 % 2,357.7
FixedReset Prem 5.14 % 3.62 % 164,169 1.90 17 -0.0732 % 2,598.5
FixedReset Bank Non 1.98 % 3.92 % 90,795 2.44 3 0.0139 % 2,657.6
FixedReset Ins Non 5.23 % 7.37 % 84,808 8.05 22 0.4197 % 2,181.5
Performance Highlights
Issue Index Change Notes
GWO.PR.T Deemed-Retractible -1.43 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.44
Bid-YTW : 6.04 %
POW.PR.B Perpetual-Discount -1.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-25
Maturity Price : 23.49
Evaluated at bid price : 23.76
Bid-YTW : 5.66 %
CM.PR.R FixedReset Disc 1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-25
Maturity Price : 22.05
Evaluated at bid price : 22.41
Bid-YTW : 5.25 %
PWF.PR.S Perpetual-Discount 1.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-25
Maturity Price : 21.74
Evaluated at bid price : 21.74
Bid-YTW : 5.55 %
MFC.PR.L FixedReset Ins Non 1.10 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 17.50
Bid-YTW : 8.05 %
BMO.PR.S FixedReset Disc 1.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-25
Maturity Price : 18.36
Evaluated at bid price : 18.36
Bid-YTW : 5.20 %
GWO.PR.N FixedReset Ins Non 1.14 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 14.20
Bid-YTW : 9.10 %
CM.PR.Q FixedReset Disc 1.25 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-25
Maturity Price : 19.39
Evaluated at bid price : 19.39
Bid-YTW : 5.37 %
BAM.PR.B Floater 1.25 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-25
Maturity Price : 11.30
Evaluated at bid price : 11.30
Bid-YTW : 6.19 %
TRP.PR.C FixedReset Disc 1.26 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-25
Maturity Price : 12.10
Evaluated at bid price : 12.10
Bid-YTW : 5.97 %
BIP.PR.E FixedReset Disc 1.29 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-25
Maturity Price : 21.73
Evaluated at bid price : 22.03
Bid-YTW : 5.72 %
IAF.PR.G FixedReset Ins Non 1.29 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.12
Bid-YTW : 6.18 %
BMO.PR.D FixedReset Disc 1.31 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-25
Maturity Price : 22.10
Evaluated at bid price : 22.49
Bid-YTW : 5.10 %
BIP.PR.F FixedReset Disc 1.34 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-25
Maturity Price : 21.63
Evaluated at bid price : 21.95
Bid-YTW : 5.86 %
GWO.PR.R Deemed-Retractible 1.39 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.61
Bid-YTW : 6.12 %
BAM.PR.C Floater 1.44 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-25
Maturity Price : 11.26
Evaluated at bid price : 11.26
Bid-YTW : 6.21 %
RY.PR.M FixedReset Disc 1.47 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-25
Maturity Price : 19.35
Evaluated at bid price : 19.35
Bid-YTW : 5.15 %
TD.PF.D FixedReset Disc 1.68 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-25
Maturity Price : 20.61
Evaluated at bid price : 20.61
Bid-YTW : 5.06 %
TD.PF.E FixedReset Disc 1.75 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-25
Maturity Price : 20.91
Evaluated at bid price : 20.91
Bid-YTW : 5.07 %
MFC.PR.K FixedReset Ins Non 1.76 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.53
Bid-YTW : 7.73 %
Volume Highlights
Issue Index Shares
Traded		 Notes
TD.PF.M FixedReset Disc 168,600 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-25
Maturity Price : 23.18
Evaluated at bid price : 25.06
Bid-YTW : 4.94 %
SLF.PR.B Deemed-Retractible 143,400 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.50
Bid-YTW : 6.19 %
MFC.PR.O FixedReset Ins Non 100,130 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-06-19
Maturity Price : 25.00
Evaluated at bid price : 25.85
Bid-YTW : 4.06 %
BMO.PR.T FixedReset Disc 87,760 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-25
Maturity Price : 18.00
Evaluated at bid price : 18.00
Bid-YTW : 5.13 %
W.PR.M FixedReset Prem 61,000 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-10-15
Maturity Price : 25.00
Evaluated at bid price : 25.60
Bid-YTW : 4.15 %
TRP.PR.J FixedReset Prem 43,820 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-05-31
Maturity Price : 25.00
Evaluated at bid price : 25.75
Bid-YTW : 4.29 %
There were 29 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
MFC.PR.G FixedReset Ins Non Quote: 19.29 – 19.67
Spot Rate : 0.3800
Average : 0.2497

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

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

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

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

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

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

July 24, 2019

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

HIMIPref™ Preferred Indices
These values reflect the December 2008 revision of the HIMIPref™ Indices
Values are provisional and are finalized monthly
Index Mean
Current
Yield
(at bid)		 Median
YTW		 Median
Average
Trading
Value		 Median
Mod Dur
(YTW)		 Issues Day’s Perf. Index Value
Ratchet 0.00 % 0.00 % 0 0.00 0 1.0037 % 1,955.9
FixedFloater 0.00 % 0.00 % 0 0.00 0 1.0037 % 3,588.9
Floater 6.11 % 6.26 % 37,051 13.51 4 1.0037 % 2,068.3
OpRet 0.00 % 0.00 % 0 0.00 0 -0.0113 % 3,341.9
SplitShare 4.66 % 4.63 % 78,093 4.12 7 -0.0113 % 3,991.0
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.0113 % 3,113.9
Perpetual-Premium 5.61 % -18.11 % 56,843 0.09 7 0.1224 % 2,985.8
Perpetual-Discount 5.45 % 5.54 % 56,685 14.55 25 0.1246 % 3,124.3
FixedReset Disc 5.41 % 5.25 % 164,740 14.97 69 0.0489 % 2,127.3
Deemed-Retractible 5.22 % 5.86 % 64,511 7.96 27 0.1019 % 3,118.9
FloatingReset 4.05 % 4.24 % 38,737 2.43 4 -0.0264 % 2,353.9
FixedReset Prem 5.13 % 3.80 % 164,271 1.90 17 0.0703 % 2,600.4
FixedReset Bank Non 1.98 % 3.92 % 91,868 2.44 3 0.0695 % 2,657.2
FixedReset Ins Non 5.25 % 7.33 % 85,027 8.04 22 -0.2225 % 2,172.4
Performance Highlights
Issue Index Change Notes
HSE.PR.A FixedReset Disc -3.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-24
Maturity Price : 12.01
Evaluated at bid price : 12.01
Bid-YTW : 6.39 %
MFC.PR.H FixedReset Ins Non -2.31 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.71
Bid-YTW : 6.87 %
TRP.PR.B FixedReset Disc -2.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-24
Maturity Price : 11.55
Evaluated at bid price : 11.55
Bid-YTW : 5.79 %
TRP.PR.D FixedReset Disc -2.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-24
Maturity Price : 16.29
Evaluated at bid price : 16.29
Bid-YTW : 5.88 %
HSE.PR.E FixedReset Disc -1.37 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-24
Maturity Price : 19.48
Evaluated at bid price : 19.48
Bid-YTW : 6.41 %
TD.PF.D FixedReset Disc -1.27 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-24
Maturity Price : 20.27
Evaluated at bid price : 20.27
Bid-YTW : 5.14 %
HSE.PR.C FixedReset Disc -1.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-24
Maturity Price : 18.40
Evaluated at bid price : 18.40
Bid-YTW : 6.22 %
BIP.PR.A FixedReset Disc -1.21 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-24
Maturity Price : 18.77
Evaluated at bid price : 18.77
Bid-YTW : 6.65 %
BIK.PR.A FixedReset Prem -1.20 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-03-31
Maturity Price : 25.00
Evaluated at bid price : 25.55
Bid-YTW : 5.44 %
EMA.PR.F FixedReset Disc -1.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-24
Maturity Price : 17.20
Evaluated at bid price : 17.20
Bid-YTW : 5.97 %
TRP.PR.C FixedReset Disc -1.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-24
Maturity Price : 11.95
Evaluated at bid price : 11.95
Bid-YTW : 6.04 %
MFC.PR.N FixedReset Ins Non -1.05 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 16.97
Bid-YTW : 8.46 %
IAF.PR.G FixedReset Ins Non 1.07 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.85
Bid-YTW : 6.34 %
RY.PR.S FixedReset Disc 1.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-24
Maturity Price : 20.94
Evaluated at bid price : 20.94
Bid-YTW : 4.80 %
RY.PR.H FixedReset Disc 1.29 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-24
Maturity Price : 18.10
Evaluated at bid price : 18.10
Bid-YTW : 5.05 %
TD.PF.E FixedReset Disc 1.33 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-24
Maturity Price : 20.55
Evaluated at bid price : 20.55
Bid-YTW : 5.16 %
PWF.PR.A Floater 1.36 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-24
Maturity Price : 11.85
Evaluated at bid price : 11.85
Bid-YTW : 5.84 %
BMO.PR.Y FixedReset Disc 1.46 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-24
Maturity Price : 20.10
Evaluated at bid price : 20.10
Bid-YTW : 5.16 %
PWF.PR.T FixedReset Disc 1.61 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-24
Maturity Price : 18.35
Evaluated at bid price : 18.35
Bid-YTW : 5.31 %
NA.PR.G FixedReset Disc 1.86 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-24
Maturity Price : 20.76
Evaluated at bid price : 20.76
Bid-YTW : 5.25 %
CM.PR.S FixedReset Disc 2.44 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-24
Maturity Price : 19.28
Evaluated at bid price : 19.28
Bid-YTW : 5.19 %
Volume Highlights
Issue Index Shares
Traded		 Notes
SLF.PR.B Deemed-Retractible 151,443 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.40
Bid-YTW : 6.24 %
RY.PR.R FixedReset Prem 145,595 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-08-24
Maturity Price : 25.00
Evaluated at bid price : 26.01
Bid-YTW : 3.27 %
BNS.PR.Z FixedReset Bank Non 142,500 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.05
Bid-YTW : 3.92 %
NA.PR.A FixedReset Prem 133,100 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-08-15
Maturity Price : 25.00
Evaluated at bid price : 25.72
Bid-YTW : 3.80 %
BMO.PR.W FixedReset Disc 59,600 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-24
Maturity Price : 17.69
Evaluated at bid price : 17.69
Bid-YTW : 5.19 %
BMO.PR.S FixedReset Disc 56,939 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-24
Maturity Price : 18.16
Evaluated at bid price : 18.16
Bid-YTW : 5.26 %
There were 40 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
CM.PR.Q FixedReset Disc Quote: 19.15 – 19.78
Spot Rate : 0.6300
Average : 0.4167

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

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

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

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

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

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

July 23, 2019

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

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

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

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

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

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

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

July 22, 2019

HIMIPref™ Preferred Indices
These values reflect the December 2008 revision of the HIMIPref™ Indices
Values are provisional and are finalized monthly
Index Mean
Current
Yield
(at bid)		 Median
YTW		 Median
Average
Trading
Value		 Median
Mod Dur
(YTW)		 Issues Day’s Perf. Index Value
Ratchet 0.00 % 0.00 % 0 0.00 0 0.0667 % 1,939.9
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.0667 % 3,559.6
Floater 6.14 % 6.35 % 39,274 13.40 4 0.0667 % 2,051.4
OpRet 0.00 % 0.00 % 0 0.00 0 -0.0338 % 3,348.3
SplitShare 4.65 % 4.62 % 77,925 4.13 7 -0.0338 % 3,998.6
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.0338 % 3,119.9
Perpetual-Premium 5.62 % -16.72 % 53,536 0.09 7 0.0449 % 2,979.8
Perpetual-Discount 5.46 % 5.58 % 57,990 14.56 25 0.1495 % 3,116.4
FixedReset Disc 5.45 % 5.30 % 162,665 14.91 69 0.1310 % 2,111.0
Deemed-Retractible 5.23 % 5.85 % 63,344 7.96 27 0.1518 % 3,110.9
FloatingReset 4.06 % 4.39 % 37,074 2.43 4 -0.1454 % 2,344.9
FixedReset Prem 5.14 % 3.92 % 164,432 1.90 17 0.1079 % 2,591.6
FixedReset Bank Non 1.99 % 4.23 % 92,918 2.44 3 -0.1255 % 2,644.3
FixedReset Ins Non 5.26 % 7.33 % 84,079 8.04 22 0.2918 % 2,166.9
Performance Highlights
Issue Index Change Notes
BIP.PR.D FixedReset Disc -2.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-22
Maturity Price : 21.53
Evaluated at bid price : 21.91
Bid-YTW : 5.91 %
BAM.PF.G FixedReset Disc -2.17 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-22
Maturity Price : 17.17
Evaluated at bid price : 17.17
Bid-YTW : 6.25 %
GWO.PR.N FixedReset Ins Non -1.72 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 14.25
Bid-YTW : 9.05 %
TRP.PR.C FixedReset Disc -1.72 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-22
Maturity Price : 12.01
Evaluated at bid price : 12.01
Bid-YTW : 6.01 %
TRP.PR.F FloatingReset -1.66 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-22
Maturity Price : 13.65
Evaluated at bid price : 13.65
Bid-YTW : 6.62 %
BIP.PR.A FixedReset Disc -1.26 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-22
Maturity Price : 18.76
Evaluated at bid price : 18.76
Bid-YTW : 6.65 %
IFC.PR.F Deemed-Retractible -1.26 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.30
Bid-YTW : 5.73 %
TD.PF.C FixedReset Disc -1.18 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-22
Maturity Price : 17.60
Evaluated at bid price : 17.60
Bid-YTW : 5.20 %
GWO.PR.R Deemed-Retractible -1.11 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.30
Bid-YTW : 6.29 %
TRP.PR.B FixedReset Disc -1.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-22
Maturity Price : 11.50
Evaluated at bid price : 11.50
Bid-YTW : 5.81 %
TD.PF.A FixedReset Disc -1.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-22
Maturity Price : 17.56
Evaluated at bid price : 17.56
Bid-YTW : 5.19 %
MFC.PR.K FixedReset Ins Non 1.00 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.18
Bid-YTW : 7.96 %
CCS.PR.C Deemed-Retractible 1.11 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.50
Bid-YTW : 5.32 %
TD.PF.E FixedReset Disc 1.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-22
Maturity Price : 20.00
Evaluated at bid price : 20.00
Bid-YTW : 5.30 %
RY.PR.M FixedReset Disc 1.17 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-22
Maturity Price : 19.10
Evaluated at bid price : 19.10
Bid-YTW : 5.29 %
SLF.PR.H FixedReset Ins Non 1.24 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 16.35
Bid-YTW : 8.46 %
PWF.PR.Z Perpetual-Discount 1.24 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-22
Maturity Price : 22.40
Evaluated at bid price : 22.78
Bid-YTW : 5.66 %
NA.PR.C FixedReset Disc 1.27 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-22
Maturity Price : 21.28
Evaluated at bid price : 21.57
Bid-YTW : 5.50 %
GWO.PR.Q Deemed-Retractible 1.33 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.56
Bid-YTW : 5.97 %
EMA.PR.F FixedReset Disc 1.35 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-22
Maturity Price : 17.29
Evaluated at bid price : 17.29
Bid-YTW : 5.94 %
GWO.PR.P Deemed-Retractible 1.43 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.75
Bid-YTW : 5.60 %
TD.PF.J FixedReset Disc 1.44 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-22
Maturity Price : 20.42
Evaluated at bid price : 20.42
Bid-YTW : 5.19 %
BIP.PR.E FixedReset Disc 1.49 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-22
Maturity Price : 21.40
Evaluated at bid price : 21.73
Bid-YTW : 5.80 %
SLF.PR.D Deemed-Retractible 1.80 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.95
Bid-YTW : 6.69 %
SLF.PR.J FloatingReset 1.83 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 13.36
Bid-YTW : 10.54 %
MFC.PR.N FixedReset Ins Non 1.98 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 16.99
Bid-YTW : 8.44 %
TD.PF.D FixedReset Disc 2.31 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-22
Maturity Price : 19.95
Evaluated at bid price : 19.95
Bid-YTW : 5.23 %
Volume Highlights
Issue Index Shares
Traded		 Notes
TD.PF.G FixedReset Prem 142,675 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-04-30
Maturity Price : 25.00
Evaluated at bid price : 25.91
Bid-YTW : 3.29 %
MFC.PR.F FixedReset Ins Non 108,900 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 13.35
Bid-YTW : 9.96 %
CM.PR.Q FixedReset Disc 50,800 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-22
Maturity Price : 18.86
Evaluated at bid price : 18.86
Bid-YTW : 5.52 %
NA.PR.A FixedReset Prem 37,800 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-08-15
Maturity Price : 25.00
Evaluated at bid price : 25.60
Bid-YTW : 4.03 %
BAM.PF.B FixedReset Disc 33,186 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-22
Maturity Price : 17.35
Evaluated at bid price : 17.35
Bid-YTW : 6.04 %
BMO.PR.Y FixedReset Disc 29,967 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-22
Maturity Price : 19.51
Evaluated at bid price : 19.51
Bid-YTW : 5.32 %
There were 15 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
BIP.PR.D FixedReset Disc Quote: 21.91 – 22.50
Spot Rate : 0.5900
Average : 0.4479

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

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

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

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

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

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

July 19, 2019

Caldwell Investment Management Ltd. has been naughty:

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

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

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

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

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

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

HIMIPref™ Preferred Indices
These values reflect the December 2008 revision of the HIMIPref™ Indices
Values are provisional and are finalized monthly
Index Mean
Current
Yield
(at bid)		 Median
YTW		 Median
Average
Trading
Value		 Median
Mod Dur
(YTW)		 Issues Day’s Perf. Index Value
Ratchet 0.00 % 0.00 % 0 0.00 0 -1.0334 % 1,938.6
FixedFloater 0.00 % 0.00 % 0 0.00 0 -1.0334 % 3,557.2
Floater 6.14 % 6.32 % 37,162 13.43 4 -1.0334 % 2,050.1
OpRet 0.00 % 0.00 % 0 0.00 0 0.0225 % 3,349.5
SplitShare 4.65 % 4.63 % 78,481 4.14 7 0.0225 % 4,000.0
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0225 % 3,121.0
Perpetual-Premium 5.62 % -17.88 % 54,310 0.09 7 -0.2801 % 2,978.5
Perpetual-Discount 5.46 % 5.58 % 60,377 14.55 25 -0.2619 % 3,111.7
FixedReset Disc 5.45 % 5.53 % 163,346 14.60 69 -0.5795 % 2,108.3
Deemed-Retractible 5.23 % 5.88 % 65,954 7.97 27 -0.1532 % 3,106.2
FloatingReset 4.07 % 4.18 % 38,302 2.44 4 -0.5523 % 2,348.4
FixedReset Prem 5.15 % 4.01 % 166,861 1.91 17 -0.3089 % 2,588.8
FixedReset Bank Non 1.98 % 4.30 % 93,979 2.45 3 -0.1393 % 2,647.6
FixedReset Ins Non 5.28 % 7.48 % 87,570 8.00 22 -0.5659 % 2,160.6
Performance Highlights
Issue Index Change Notes
BAM.PR.X FixedReset Disc -3.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-19
Maturity Price : 12.61
Evaluated at bid price : 12.61
Bid-YTW : 6.50 %
SLF.PR.J FloatingReset -2.96 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 13.12
Bid-YTW : 10.77 %
MFC.PR.N FixedReset Ins Non -2.74 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 16.66
Bid-YTW : 8.88 %
TD.PF.D FixedReset Disc -2.74 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-19
Maturity Price : 19.50
Evaluated at bid price : 19.50
Bid-YTW : 5.55 %
BAM.PF.A FixedReset Disc -2.44 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-19
Maturity Price : 18.78
Evaluated at bid price : 18.78
Bid-YTW : 6.21 %
TD.PF.E FixedReset Disc -2.37 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-19
Maturity Price : 19.77
Evaluated at bid price : 19.77
Bid-YTW : 5.56 %
TD.PF.J FixedReset Disc -2.19 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-19
Maturity Price : 20.13
Evaluated at bid price : 20.13
Bid-YTW : 5.43 %
RY.PR.M FixedReset Disc -2.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-19
Maturity Price : 18.88
Evaluated at bid price : 18.88
Bid-YTW : 5.57 %
SLF.PR.D Deemed-Retractible -2.09 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.58
Bid-YTW : 6.91 %
PWF.PR.Z Perpetual-Discount -2.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-19
Maturity Price : 22.17
Evaluated at bid price : 22.50
Bid-YTW : 5.73 %
MFC.PR.M FixedReset Ins Non -2.02 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 16.99
Bid-YTW : 8.72 %
GWO.PR.Q Deemed-Retractible -1.98 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.25
Bid-YTW : 6.13 %
TRP.PR.A FixedReset Disc -1.80 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-19
Maturity Price : 13.65
Evaluated at bid price : 13.65
Bid-YTW : 6.43 %
BAM.PR.B Floater -1.79 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-19
Maturity Price : 10.95
Evaluated at bid price : 10.95
Bid-YTW : 6.38 %
EMA.PR.F FixedReset Disc -1.78 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-19
Maturity Price : 17.06
Evaluated at bid price : 17.06
Bid-YTW : 6.27 %
CM.PR.Q FixedReset Disc -1.62 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-19
Maturity Price : 18.79
Evaluated at bid price : 18.79
Bid-YTW : 5.75 %
MFC.PR.K FixedReset Ins Non -1.59 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.00
Bid-YTW : 8.19 %
TRP.PR.E FixedReset Disc -1.57 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-19
Maturity Price : 15.70
Evaluated at bid price : 15.70
Bid-YTW : 6.26 %
NA.PR.G FixedReset Disc -1.52 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-19
Maturity Price : 20.15
Evaluated at bid price : 20.15
Bid-YTW : 5.57 %
TRP.PR.C FixedReset Disc -1.45 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-19
Maturity Price : 12.22
Evaluated at bid price : 12.22
Bid-YTW : 6.22 %
BAM.PR.K Floater -1.44 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-19
Maturity Price : 10.96
Evaluated at bid price : 10.96
Bid-YTW : 6.38 %
W.PR.K FixedReset Prem -1.42 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-01-15
Maturity Price : 25.00
Evaluated at bid price : 25.06
Bid-YTW : 5.14 %
BAM.PF.G FixedReset Disc -1.40 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-19
Maturity Price : 17.55
Evaluated at bid price : 17.55
Bid-YTW : 6.35 %
PWF.PR.S Perpetual-Discount -1.39 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-19
Maturity Price : 21.35
Evaluated at bid price : 21.35
Bid-YTW : 5.65 %
CU.PR.D Perpetual-Discount -1.36 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-19
Maturity Price : 22.26
Evaluated at bid price : 22.56
Bid-YTW : 5.50 %
SLF.PR.I FixedReset Ins Non -1.29 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.10
Bid-YTW : 7.48 %
BIP.PR.D FixedReset Disc -1.28 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-19
Maturity Price : 22.08
Evaluated at bid price : 22.41
Bid-YTW : 5.94 %
IAF.PR.I FixedReset Ins Non -1.24 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.65
Bid-YTW : 6.95 %
BMO.PR.S FixedReset Disc -1.21 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-19
Maturity Price : 17.98
Evaluated at bid price : 17.98
Bid-YTW : 5.49 %
BAM.PR.R FixedReset Disc -1.18 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-19
Maturity Price : 15.02
Evaluated at bid price : 15.02
Bid-YTW : 6.32 %
TD.PF.B FixedReset Disc -1.17 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-19
Maturity Price : 17.72
Evaluated at bid price : 17.72
Bid-YTW : 5.43 %
SLF.PR.A Deemed-Retractible -1.12 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.00
Bid-YTW : 6.40 %
BMO.PR.T FixedReset Disc -1.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-19
Maturity Price : 17.52
Evaluated at bid price : 17.52
Bid-YTW : 5.51 %
BAM.PF.F FixedReset Disc -1.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-19
Maturity Price : 17.85
Evaluated at bid price : 17.85
Bid-YTW : 6.26 %
BMO.PR.W FixedReset Disc 1.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-19
Maturity Price : 17.46
Evaluated at bid price : 17.46
Bid-YTW : 5.50 %
GWO.PR.R Deemed-Retractible 1.49 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.55
Bid-YTW : 6.14 %
Volume Highlights
Issue Index Shares
Traded		 Notes
TD.PF.M FixedReset Disc 290,998 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-19
Maturity Price : 23.16
Evaluated at bid price : 25.00
Bid-YTW : 5.08 %
CM.PR.Y FixedReset Disc 261,072 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-19
Maturity Price : 23.15
Evaluated at bid price : 24.96
Bid-YTW : 5.15 %
BMO.PR.F FixedReset Disc 190,524 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-19
Maturity Price : 23.22
Evaluated at bid price : 25.15
Bid-YTW : 5.05 %
RY.PR.F Deemed-Retractible 179,628 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2019-08-18
Maturity Price : 25.00
Evaluated at bid price : 25.33
Bid-YTW : -3.25 %
CU.PR.D Perpetual-Discount 176,710 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-19
Maturity Price : 22.26
Evaluated at bid price : 22.56
Bid-YTW : 5.50 %
MFC.PR.F FixedReset Ins Non 165,722 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 13.37
Bid-YTW : 10.12 %
SLF.PR.G FixedReset Ins Non 141,863 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 13.62
Bid-YTW : 10.05 %
There were 54 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
GWO.PR.Q Deemed-Retractible Quote: 23.25 – 23.90
Spot Rate : 0.6500
Average : 0.4403

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

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

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

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

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

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

July 18, 2019

HIMIPref™ Preferred Indices
These values reflect the December 2008 revision of the HIMIPref™ Indices
Values are provisional and are finalized monthly
Index Mean
Current
Yield
(at bid)		 Median
YTW		 Median
Average
Trading
Value		 Median
Mod Dur
(YTW)		 Issues Day’s Perf. Index Value
Ratchet 0.00 % 0.00 % 0 0.00 0 -0.2632 % 1,958.8
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.2632 % 3,594.4
Floater 6.08 % 6.26 % 37,141 13.52 4 -0.2632 % 2,071.5
OpRet 0.00 % 0.00 % 0 0.00 0 -0.0563 % 3,348.7
SplitShare 4.65 % 4.64 % 78,242 4.14 7 -0.0563 % 3,999.1
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.0563 % 3,120.3
Perpetual-Premium 5.60 % -18.72 % 53,918 0.09 7 0.2696 % 2,986.8
Perpetual-Discount 5.45 % 5.57 % 58,872 14.58 25 0.0625 % 3,119.9
FixedReset Disc 5.42 % 5.48 % 164,797 14.62 69 -0.3848 % 2,120.6
Deemed-Retractible 5.22 % 5.78 % 65,053 7.98 27 -0.0158 % 3,111.0
FloatingReset 4.05 % 4.17 % 38,085 2.44 4 -0.2099 % 2,361.4
FixedReset Prem 5.13 % 3.98 % 164,228 1.91 17 0.1421 % 2,596.8
FixedReset Bank Non 1.98 % 4.04 % 94,357 2.45 3 -0.1669 % 2,651.3
FixedReset Ins Non 5.25 % 7.38 % 88,172 8.01 22 -0.2678 % 2,172.8
Performance Highlights
Issue Index Change Notes
BMO.PR.W FixedReset Disc -3.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-18
Maturity Price : 17.27
Evaluated at bid price : 17.27
Bid-YTW : 5.57 %
HSE.PR.G FixedReset Disc -1.85 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-18
Maturity Price : 19.07
Evaluated at bid price : 19.07
Bid-YTW : 6.70 %
GWO.PR.N FixedReset Ins Non -1.84 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 14.38
Bid-YTW : 9.13 %
MFC.PR.F FixedReset Ins Non -1.84 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 13.32
Bid-YTW : 10.16 %
PWF.PR.T FixedReset Disc -1.63 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-18
Maturity Price : 18.06
Evaluated at bid price : 18.06
Bid-YTW : 5.57 %
TRP.PR.E FixedReset Disc -1.54 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-18
Maturity Price : 15.95
Evaluated at bid price : 15.95
Bid-YTW : 6.16 %
TRP.PR.D FixedReset Disc -1.50 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-18
Maturity Price : 16.41
Evaluated at bid price : 16.41
Bid-YTW : 6.02 %
HSE.PR.A FixedReset Disc -1.44 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-18
Maturity Price : 12.35
Evaluated at bid price : 12.35
Bid-YTW : 6.51 %
TRP.PR.B FixedReset Disc -1.43 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-18
Maturity Price : 11.73
Evaluated at bid price : 11.73
Bid-YTW : 6.04 %
BIP.PR.A FixedReset Disc -1.40 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-18
Maturity Price : 19.00
Evaluated at bid price : 19.00
Bid-YTW : 6.77 %
MFC.PR.Q FixedReset Ins Non -1.27 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.45
Bid-YTW : 7.56 %
MFC.PR.N FixedReset Ins Non -1.27 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 17.13
Bid-YTW : 8.53 %
RY.PR.J FixedReset Disc -1.24 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-18
Maturity Price : 19.94
Evaluated at bid price : 19.94
Bid-YTW : 5.44 %
BAM.PR.Z FixedReset Disc -1.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-18
Maturity Price : 18.67
Evaluated at bid price : 18.67
Bid-YTW : 6.17 %
NA.PR.S FixedReset Disc -1.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-18
Maturity Price : 17.81
Evaluated at bid price : 17.81
Bid-YTW : 5.59 %
PWF.PR.S Perpetual-Discount -1.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-18
Maturity Price : 21.65
Evaluated at bid price : 21.65
Bid-YTW : 5.57 %
TD.PF.D FixedReset Disc -1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-18
Maturity Price : 20.05
Evaluated at bid price : 20.05
Bid-YTW : 5.40 %
BIP.PR.E FixedReset Disc 1.41 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-18
Maturity Price : 21.31
Evaluated at bid price : 21.60
Bid-YTW : 5.83 %
BAM.PF.F FixedReset Disc 1.81 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-18
Maturity Price : 18.04
Evaluated at bid price : 18.04
Bid-YTW : 6.19 %
Volume Highlights
Issue Index Shares
Traded		 Notes
RY.PR.H FixedReset Disc 205,562 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-18
Maturity Price : 18.18
Evaluated at bid price : 18.18
Bid-YTW : 5.34 %
TD.PF.K FixedReset Disc 169,503 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-18
Maturity Price : 20.39
Evaluated at bid price : 20.39
Bid-YTW : 5.29 %
TD.PF.I FixedReset Disc 71,919 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-18
Maturity Price : 21.45
Evaluated at bid price : 21.80
Bid-YTW : 5.22 %
CM.PR.S FixedReset Disc 69,697 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-18
Maturity Price : 18.65
Evaluated at bid price : 18.65
Bid-YTW : 5.54 %
BMO.PR.T FixedReset Disc 60,900 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-18
Maturity Price : 17.71
Evaluated at bid price : 17.71
Bid-YTW : 5.45 %
IAF.PR.G FixedReset Ins Non 52,298 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.57
Bid-YTW : 6.62 %
There were 20 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
HSE.PR.G FixedReset Disc Quote: 19.07 – 20.00
Spot Rate : 0.9300
Average : 0.6744

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

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

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

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

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

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