Category: Market Action

Market Action

October 18, 2018

An article by Andrew Allentuck in Investment Executive titled What is safety worth to fixed-income investors? led me to a 2017 paper by Maxime Leboeuf and James Pinnington titled What Explains the Recent Increase in Canadian Corporate Bond Spreads:

The spread between the yield of a corporate bond and the yield of a similar Government of Canada bond reflects compensation for possible default by the issuing firm and compensation for additional risks beyond default. Using the approach proposed by Gilchrist and Zakrajšek (2012), we find that roughly two-thirds of the total 1.2-percentage-point increase in corporate bond spreads from July 2014 to September 2016—a period when oil prices were low—is due to higher compensation for possible default. Default risk explains most of the increase of spreads for energy and high-yield firms but explains almost none of the increase for financial and investment-grade firms. This suggests that liquidity risk and other factors beyond possible default affected spreads of financial and other investment-grade firms.

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 0.2238 % 3,193.0
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.2238 % 5,859.0
Floater 3.40 % 3.59 % 39,663 18.33 4 0.2238 % 3,376.6
OpRet 0.00 % 0.00 % 0 0.00 0 0.1032 % 3,228.1
SplitShare 4.61 % 4.82 % 52,955 4.72 5 0.1032 % 3,855.1
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.1032 % 3,007.9
Perpetual-Premium 5.64 % 0.04 % 61,206 0.20 12 -0.3658 % 2,901.9
Perpetual-Discount 5.55 % 5.71 % 74,763 14.35 21 -0.2965 % 2,952.2
FixedReset Disc 4.20 % 5.04 % 139,106 15.34 45 -0.0849 % 2,588.0
Deemed-Retractible 5.30 % 6.63 % 65,444 5.26 27 -0.3079 % 2,917.6
FloatingReset 3.60 % 3.80 % 42,821 5.55 4 -0.9558 % 2,846.2
FixedReset Prem 4.88 % 4.29 % 231,901 3.07 34 -0.0875 % 2,565.1
FixedReset Bank Non 3.12 % 3.54 % 69,816 0.35 8 0.0306 % 2,575.6
FixedReset Ins Non 4.41 % 5.53 % 107,913 5.37 22 -0.2582 % 2,539.0
Performance Highlights
Issue Index Change Notes
PWF.PR.Q FloatingReset -2.45 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-18
Maturity Price : 21.09
Evaluated at bid price : 21.09
Bid-YTW : 3.80 %
POW.PR.A Perpetual-Premium -1.72 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-18
Maturity Price : 24.22
Evaluated at bid price : 24.51
Bid-YTW : 5.74 %
PWF.PR.P FixedReset Disc -1.58 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-18
Maturity Price : 19.25
Evaluated at bid price : 19.25
Bid-YTW : 4.92 %
HSE.PR.E FixedReset Prem -1.57 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-18
Maturity Price : 24.03
Evaluated at bid price : 24.40
Bid-YTW : 5.99 %
BAM.PR.X FixedReset Disc -1.55 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-18
Maturity Price : 19.00
Evaluated at bid price : 19.00
Bid-YTW : 5.15 %
MFC.PR.Q FixedReset Ins Non -1.38 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.55
Bid-YTW : 5.98 %
SLF.PR.B Deemed-Retractible -1.20 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.49
Bid-YTW : 7.76 %
POW.PR.D Perpetual-Discount -1.18 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-18
Maturity Price : 21.54
Evaluated at bid price : 21.80
Bid-YTW : 5.76 %
IFC.PR.A FixedReset Ins Non -1.17 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.28
Bid-YTW : 7.47 %
SLF.PR.H FixedReset Ins Non -1.12 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.25
Bid-YTW : 6.73 %
IAG.PR.I FixedReset Ins Non -1.09 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.40
Bid-YTW : 5.41 %
PWF.PR.E Perpetual-Premium -1.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-18
Maturity Price : 23.86
Evaluated at bid price : 24.11
Bid-YTW : 5.72 %
SLF.PR.G FixedReset Ins Non -1.05 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.75
Bid-YTW : 7.69 %
IAG.PR.A Deemed-Retractible -1.03 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.15
Bid-YTW : 7.84 %
SLF.PR.C Deemed-Retractible -1.02 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.41
Bid-YTW : 8.35 %
SLF.PR.D Deemed-Retractible -1.02 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.43
Bid-YTW : 8.34 %
HSE.PR.G FixedReset Prem -1.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-18
Maturity Price : 24.17
Evaluated at bid price : 24.48
Bid-YTW : 5.94 %
IFC.PR.E Deemed-Retractible 1.92 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.30
Bid-YTW : 6.63 %
IFC.PR.G FixedReset Ins Non 2.78 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.40
Bid-YTW : 5.45 %
Volume Highlights
Issue Index Shares
Traded		 Notes
BNS.PR.I FixedReset Disc 57,155 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-18
Maturity Price : 23.14
Evaluated at bid price : 25.00
Bid-YTW : 4.75 %
RY.PR.Z FixedReset Disc 55,600 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-18
Maturity Price : 22.78
Evaluated at bid price : 23.48
Bid-YTW : 4.90 %
TD.PF.F Perpetual-Discount 46,400 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-18
Maturity Price : 23.81
Evaluated at bid price : 24.26
Bid-YTW : 5.04 %
CM.PR.S FixedReset Disc 33,790 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-18
Maturity Price : 22.80
Evaluated at bid price : 23.93
Bid-YTW : 4.91 %
MFC.PR.G FixedReset Ins Non 31,750 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.00
Bid-YTW : 5.40 %
IFC.PR.G FixedReset Ins Non 31,646 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.40
Bid-YTW : 5.45 %
There were 27 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
POW.PR.A Perpetual-Premium Quote: 24.51 – 24.93
Spot Rate : 0.4200
Average : 0.2610

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-18
Maturity Price : 24.22
Evaluated at bid price : 24.51
Bid-YTW : 5.74 %
BIP.PR.B FixedReset Prem Quote: 25.75 – 26.15
Spot Rate : 0.4000
Average : 0.2468

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2020-12-31
Maturity Price : 25.00
Evaluated at bid price : 25.75
Bid-YTW : 4.22 %
CM.PR.P FixedReset Disc Quote: 22.87 – 23.31
Spot Rate : 0.4400
Average : 0.2871

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-18
Maturity Price : 22.43
Evaluated at bid price : 22.87
Bid-YTW : 4.97 %
MFC.PR.Q FixedReset Ins Non Quote: 23.55 – 24.00
Spot Rate : 0.4500
Average : 0.3306

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.55
Bid-YTW : 5.98 %
HSE.PR.E FixedReset Prem Quote: 24.40 – 24.84
Spot Rate : 0.4400
Average : 0.3276

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-18
Maturity Price : 24.03
Evaluated at bid price : 24.40
Bid-YTW : 5.99 %
PWF.PR.Q FloatingReset Quote: 21.09 – 21.56
Spot Rate : 0.4700
Average : 0.3929

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-18
Maturity Price : 21.09
Evaluated at bid price : 21.09
Bid-YTW : 3.80 %
Market Action

October 17, 2018

We are most used to thinking of financial repression as being applied by governments through a low-interest-rate policy, but as noted on June 2, 2015, for instance, another way is to require regulated entities to hold government debt. This sometimes has spectacular effects:

A trio of Canadian banks is facing the fallout from a debt restructuring in Barbados that will slash the value of hundreds of millions of dollars worth of government paper they collectively own.

Canadian Imperial Bank of Commerce, Royal Bank of Canada and Bank of Nova Scotia are the largest lenders in the Caribbean, and each has direct exposure to Barbados. The country is home to one of the region’s largest economies, but the government’s finances have deteriorated over time.
…
To help turn the economy around, the International Monetary Fund is working with Barbados to formulate a financial rescue plan. As part of this effort, the government proposed a debt restructuring in September that would amend the terms of its existing domestic debt. On Sunday, Ms. Mottley announced the restructuring plan will proceed.

Through the restructuring, Canadian banks will face losses on their debt holdings because Barbados has forced them to hold a greater percentage of their reserves in government debt, to help fund its deficits. These securities must now be held for much longer, and their coupons will also be cut, so the lenders will receive much lower returns on their money.

The total impact on Canadian lenders is still being calculated, but the three affected banks hold a substantial amount of Barbados debt. As of January, 20 per cent of their Barbadian reserves had to be held in government debt.

PerpetualDiscounts now yield 5.69%, equivalent to 7.40% interest at the standard equivalency factor of 1.3x. Long corporates now yield a little over 4.15%, so the pre-tax interest-equivalent spread is now about 325bp, a significant widening from the 315bp reported October 10.

HIMIPref™ Preferred Indices
These values reflect the December 2008 revision of the HIMIPref™ Indices
Values are provisional and are finalized monthly
Index Mean
Current
Yield
(at bid)		 Median
YTW		 Median
Average
Trading
Value		 Median
Mod Dur
(YTW)		 Issues Day’s Perf. Index Value
Ratchet 0.00 % 0.00 % 0 0.00 0 -0.0526 % 3,185.9
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.0526 % 5,845.9
Floater 3.41 % 3.60 % 41,252 18.31 4 -0.0526 % 3,369.0
OpRet 0.00 % 0.00 % 0 0.00 0 0.0477 % 3,224.8
SplitShare 4.61 % 4.78 % 51,639 4.72 5 0.0477 % 3,851.1
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0477 % 3,004.8
Perpetual-Premium 5.62 % 0.82 % 76,719 0.20 12 -0.0565 % 2,912.6
Perpetual-Discount 5.54 % 5.69 % 74,813 14.38 21 -0.0925 % 2,961.0
FixedReset Disc 4.20 % 5.10 % 140,719 15.38 45 -0.1782 % 2,590.2
Deemed-Retractible 5.29 % 6.59 % 65,040 5.25 27 -0.1105 % 2,926.6
FloatingReset 3.56 % 3.68 % 42,564 5.56 4 0.1615 % 2,873.7
FixedReset Prem 4.88 % 4.21 % 234,576 2.83 34 -0.0115 % 2,567.4
FixedReset Bank Non 3.12 % 3.63 % 72,581 0.35 8 -0.0611 % 2,574.8
FixedReset Ins Non 4.40 % 5.72 % 101,795 5.36 22 -0.3966 % 2,545.5
Performance Highlights
Issue Index Change Notes
IFC.PR.G FixedReset Ins Non -3.89 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.74
Bid-YTW : 5.96 %
IFC.PR.F Deemed-Retractible -1.55 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.48
Bid-YTW : 6.59 %
IFC.PR.E Deemed-Retractible -1.55 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.86
Bid-YTW : 7.00 %
MFC.PR.I FixedReset Ins Non -1.35 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.05
Bid-YTW : 5.49 %
BAM.PR.X FixedReset Disc 1.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-17
Maturity Price : 19.30
Evaluated at bid price : 19.30
Bid-YTW : 5.07 %
Volume Highlights
Issue Index Shares
Traded		 Notes
BMO.PR.E FixedReset Prem 323,470 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2023-11-25
Maturity Price : 25.00
Evaluated at bid price : 25.38
Bid-YTW : 4.63 %
TD.PF.K FixedReset Prem 83,900 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2023-10-31
Maturity Price : 25.00
Evaluated at bid price : 25.16
Bid-YTW : 4.73 %
EMA.PR.F FixedReset Disc 77,712 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-17
Maturity Price : 23.51
Evaluated at bid price : 23.96
Bid-YTW : 5.22 %
BNS.PR.I FixedReset Disc 71,398 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-17
Maturity Price : 23.15
Evaluated at bid price : 25.01
Bid-YTW : 4.75 %
HSE.PR.G FixedReset Prem 54,358 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2020-06-30
Maturity Price : 25.00
Evaluated at bid price : 24.73
Bid-YTW : 5.44 %
BAM.PF.E FixedReset Disc 53,844 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-17
Maturity Price : 23.41
Evaluated at bid price : 23.84
Bid-YTW : 5.14 %
There were 28 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
IFC.PR.G FixedReset Ins Non Quote: 23.74 – 24.74
Spot Rate : 1.0000
Average : 0.5458

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.74
Bid-YTW : 5.96 %
BMO.PR.W FixedReset Disc Quote: 23.10 – 23.49
Spot Rate : 0.3900
Average : 0.2631

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-17
Maturity Price : 22.60
Evaluated at bid price : 23.10
Bid-YTW : 4.97 %
ELF.PR.H Perpetual-Discount Quote: 24.16 – 24.54
Spot Rate : 0.3800
Average : 0.2595

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-17
Maturity Price : 23.83
Evaluated at bid price : 24.16
Bid-YTW : 5.71 %
HSE.PR.G FixedReset Prem Quote: 24.73 – 25.19
Spot Rate : 0.4600
Average : 0.3424

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2020-06-30
Maturity Price : 25.00
Evaluated at bid price : 24.73
Bid-YTW : 5.44 %
BAM.PF.B FixedReset Disc Quote: 23.80 – 24.15
Spot Rate : 0.3500
Average : 0.2359

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-17
Maturity Price : 23.00
Evaluated at bid price : 23.80
Bid-YTW : 5.24 %
MFC.PR.B Deemed-Retractible Quote: 20.53 – 20.95
Spot Rate : 0.4200
Average : 0.3107

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.53
Bid-YTW : 8.50 %
Market Action

October 16, 2018

Trump mouthed off about the Fed again:

U.S. President Donald Trump heaped more criticism on the Federal Reserve in an interview with Fox Business Network on Tuesday, extending his discontent beyond its chairman, Jerome Powell, whom he has frequently critiqued in public.

“My biggest threat is the Fed,” he said, according to excerpts released before the interview with “Trish Regan Primetime” airs. “I put a couple of other people there I’m not so happy with too but for the most part I’m very happy with people.”

I suspect that this is more of an attempt to buy political insurance in the event of an economic downturn than a serious move to undermine Fed independence. But what do I know?

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 1.8769 % 3,187.5
FixedFloater 0.00 % 0.00 % 0 0.00 0 1.8769 % 5,849.0
Floater 3.41 % 3.60 % 38,760 18.32 4 1.8769 % 3,370.8
OpRet 0.00 % 0.00 % 0 0.00 0 -0.0873 % 3,223.3
SplitShare 4.62 % 4.69 % 53,772 4.72 5 -0.0873 % 3,849.3
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.0873 % 3,003.4
Perpetual-Premium 5.62 % -1.85 % 60,411 0.21 12 -0.0565 % 2,914.2
Perpetual-Discount 5.53 % 5.67 % 71,199 14.42 21 0.0294 % 2,963.7
FixedReset Disc 4.19 % 5.04 % 141,118 15.43 45 0.3189 % 2,594.8
Deemed-Retractible 5.28 % 6.68 % 63,683 5.26 27 -0.2365 % 2,929.8
FloatingReset 3.57 % 3.73 % 40,694 5.57 4 0.5101 % 2,869.1
FixedReset Prem 4.88 % 4.26 % 230,906 2.83 34 0.2921 % 2,567.7
FixedReset Bank Non 3.12 % 3.40 % 73,118 0.35 8 0.0815 % 2,576.4
FixedReset Ins Non 4.38 % 5.42 % 101,292 5.36 22 0.4714 % 2,555.7
Performance Highlights
Issue Index Change Notes
IFC.PR.F Deemed-Retractible -1.77 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.85
Bid-YTW : 6.28 %
SLF.PR.B Deemed-Retractible -1.05 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.65
Bid-YTW : 7.61 %
BAM.PR.X FixedReset Disc -1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-16
Maturity Price : 19.10
Evaluated at bid price : 19.10
Bid-YTW : 5.12 %
MFC.PR.M FixedReset Ins Non 1.13 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.30
Bid-YTW : 5.99 %
MFC.PR.Q FixedReset Ins Non 1.14 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.87
Bid-YTW : 5.72 %
TD.PF.B FixedReset Disc 1.17 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-16
Maturity Price : 22.82
Evaluated at bid price : 23.44
Bid-YTW : 4.91 %
SLF.PR.H FixedReset Ins Non 1.17 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.55
Bid-YTW : 6.47 %
BAM.PR.M Perpetual-Discount 1.49 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-16
Maturity Price : 20.46
Evaluated at bid price : 20.46
Bid-YTW : 5.86 %
IFC.PR.A FixedReset Ins Non 1.53 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.57
Bid-YTW : 7.20 %
PWF.PR.Q FloatingReset 1.56 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-16
Maturity Price : 21.46
Evaluated at bid price : 21.46
Bid-YTW : 3.73 %
BAM.PR.C Floater 1.75 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-16
Maturity Price : 18.07
Evaluated at bid price : 18.07
Bid-YTW : 3.61 %
BAM.PR.K Floater 2.32 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-16
Maturity Price : 18.11
Evaluated at bid price : 18.11
Bid-YTW : 3.60 %
BAM.PR.B Floater 3.19 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-16
Maturity Price : 18.12
Evaluated at bid price : 18.12
Bid-YTW : 3.60 %
TD.PF.J FixedReset Prem 3.94 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2023-04-30
Maturity Price : 25.00
Evaluated at bid price : 25.05
Bid-YTW : 4.63 %
Volume Highlights
Issue Index Shares
Traded		 Notes
BNS.PR.I FixedReset Disc 182,126 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-16
Maturity Price : 23.14
Evaluated at bid price : 24.98
Bid-YTW : 4.75 %
BAM.PR.N Perpetual-Discount 100,707 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-16
Maturity Price : 20.40
Evaluated at bid price : 20.40
Bid-YTW : 5.88 %
PWF.PR.K Perpetual-Discount 84,200 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-16
Maturity Price : 21.49
Evaluated at bid price : 21.75
Bid-YTW : 5.70 %
CM.PR.R FixedReset Prem 72,487 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-07-31
Maturity Price : 25.00
Evaluated at bid price : 25.14
Bid-YTW : 4.21 %
TRP.PR.D FixedReset Disc 72,228 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-16
Maturity Price : 22.02
Evaluated at bid price : 22.61
Bid-YTW : 5.23 %
TD.PF.J FixedReset Prem 69,616 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2023-04-30
Maturity Price : 25.00
Evaluated at bid price : 25.05
Bid-YTW : 4.63 %
There were 44 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
IFC.PR.F Deemed-Retractible Quote: 23.85 – 24.32
Spot Rate : 0.4700
Average : 0.3445

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.85
Bid-YTW : 6.28 %
W.PR.J Perpetual-Discount Quote: 24.78 – 25.10
Spot Rate : 0.3200
Average : 0.2016

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-16
Maturity Price : 24.53
Evaluated at bid price : 24.78
Bid-YTW : 5.68 %
EIT.PR.B SplitShare Quote: 25.00 – 25.32
Spot Rate : 0.3200
Average : 0.2100

YTW SCENARIO
Maturity Type : Soft Maturity
Maturity Date : 2025-03-14
Maturity Price : 25.00
Evaluated at bid price : 25.00
Bid-YTW : 4.90 %
SLF.PR.J FloatingReset Quote: 20.00 – 20.31
Spot Rate : 0.3100
Average : 0.2124

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.00
Bid-YTW : 7.02 %
POW.PR.A Perpetual-Premium Quote: 24.83 – 25.06
Spot Rate : 0.2300
Average : 0.1489

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-16
Maturity Price : 24.57
Evaluated at bid price : 24.83
Bid-YTW : 5.66 %
CU.PR.C FixedReset Disc Quote: 21.80 – 22.20
Spot Rate : 0.4000
Average : 0.3192

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-16
Maturity Price : 21.45
Evaluated at bid price : 21.80
Bid-YTW : 5.20 %
Market Action

October 15, 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 0.7564 % 3,128.8
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.7564 % 5,741.2
Floater 3.47 % 3.67 % 39,129 18.15 4 0.7564 % 3,308.7
OpRet 0.00 % 0.00 % 0 0.00 0 0.1271 % 3,226.1
SplitShare 4.61 % 4.61 % 54,617 4.72 5 0.1271 % 3,852.6
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.1271 % 3,006.0
Perpetual-Premium 5.61 % -1.82 % 58,963 0.21 12 0.0465 % 2,915.9
Perpetual-Discount 5.53 % 5.66 % 69,864 14.45 21 0.1157 % 2,962.8
FixedReset Disc 4.20 % 5.13 % 142,082 15.43 45 -0.0309 % 2,586.6
Deemed-Retractible 5.27 % 6.59 % 64,177 5.27 27 0.0384 % 2,936.8
FloatingReset 3.59 % 3.79 % 40,850 5.56 4 0.3023 % 2,854.5
FixedReset Prem 4.89 % 4.30 % 225,539 2.83 34 -0.0139 % 2,560.2
FixedReset Bank Non 3.12 % 3.60 % 73,363 0.36 8 -0.0153 % 2,574.3
FixedReset Ins Non 4.40 % 5.57 % 102,198 5.38 22 -0.0966 % 2,543.7
Performance Highlights
Issue Index Change Notes
TD.PF.J FixedReset Prem -2.63 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-15
Maturity Price : 22.85
Evaluated at bid price : 24.10
Bid-YTW : 5.11 %
BAM.PR.M Perpetual-Discount -1.56 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-15
Maturity Price : 20.16
Evaluated at bid price : 20.16
Bid-YTW : 5.95 %
IAG.PR.I FixedReset Ins Non -1.01 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.60
Bid-YTW : 5.25 %
IAG.PR.G FixedReset Ins Non -1.00 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.66
Bid-YTW : 5.43 %
TRP.PR.F FloatingReset 1.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-15
Maturity Price : 21.01
Evaluated at bid price : 21.01
Bid-YTW : 4.23 %
BAM.PR.K Floater 1.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-15
Maturity Price : 17.70
Evaluated at bid price : 17.70
Bid-YTW : 3.68 %
TRP.PR.C FixedReset Disc 1.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-15
Maturity Price : 17.96
Evaluated at bid price : 17.96
Bid-YTW : 5.18 %
BAM.PR.C Floater 1.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-15
Maturity Price : 17.76
Evaluated at bid price : 17.76
Bid-YTW : 3.67 %
MFC.PR.L FixedReset Ins Non 1.23 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.15
Bid-YTW : 6.83 %
Volume Highlights
Issue Index Shares
Traded		 Notes
BNS.PR.I FixedReset Disc 207,032 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-15
Maturity Price : 23.14
Evaluated at bid price : 24.99
Bid-YTW : 4.75 %
TD.PF.K FixedReset Prem 98,600 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2023-10-31
Maturity Price : 25.00
Evaluated at bid price : 25.03
Bid-YTW : 4.85 %
PWF.PR.G Perpetual-Premium 69,900 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2018-11-14
Maturity Price : 25.00
Evaluated at bid price : 25.35
Bid-YTW : -13.69 %
BAM.PF.G FixedReset Disc 61,560 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-15
Maturity Price : 23.55
Evaluated at bid price : 24.71
Bid-YTW : 5.19 %
NA.PR.G FixedReset Prem 44,600 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2023-11-15
Maturity Price : 25.00
Evaluated at bid price : 25.02
Bid-YTW : 4.87 %
TD.PR.Y FixedReset Bank Non 43,900 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2018-11-30
Maturity Price : 25.00
Evaluated at bid price : 24.97
Bid-YTW : 3.30 %
There were 25 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
TD.PF.J FixedReset Prem Quote: 24.10 – 25.10
Spot Rate : 1.0000
Average : 0.6140

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-15
Maturity Price : 22.85
Evaluated at bid price : 24.10
Bid-YTW : 5.11 %
BAM.PR.M Perpetual-Discount Quote: 20.16 – 20.64
Spot Rate : 0.4800
Average : 0.2999

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-15
Maturity Price : 20.16
Evaluated at bid price : 20.16
Bid-YTW : 5.95 %
TD.PF.E FixedReset Disc Quote: 24.53 – 24.85
Spot Rate : 0.3200
Average : 0.1988

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2020-10-31
Maturity Price : 25.00
Evaluated at bid price : 24.53
Bid-YTW : 4.61 %
PWF.PR.E Perpetual-Premium Quote: 24.40 – 24.73
Spot Rate : 0.3300
Average : 0.2256

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-15
Maturity Price : 24.15
Evaluated at bid price : 24.40
Bid-YTW : 5.64 %
TD.PF.B FixedReset Disc Quote: 23.17 – 23.48
Spot Rate : 0.3100
Average : 0.2109

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-15
Maturity Price : 22.58
Evaluated at bid price : 23.17
Bid-YTW : 4.96 %
MFC.PR.J FixedReset Ins Non Quote: 24.35 – 24.72
Spot Rate : 0.3700
Average : 0.2744

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.35
Bid-YTW : 5.57 %
Market Action

October 5, 2018

The American jobs report yielded signs that the labour market has reached an inflection point:

The jobs report came in below expectations, but wasn’t a major headline grabber, even as unemployment dropped to its lowest rate since 1969, as the strong labor market is well known at this point.

The most notable aspect of the report was the strong sequential wage trends “that put wage growth on track to cross 3% in October, supported by broadening wage pressures across sectors,” writes Morgan Stanley ’s Robert Rosener.

… which had an effect on Treasuries:

Treasury yields hit fresh multiyear peaks on Friday, extending their weeklong ascent, after a key jobs report showed tightening labor markets were leading to wage gains—a bearish development for bond bulls.

The Bureau of Labor Statistics reported the U.S. had added 134,000 jobs in September, below the 168,000 jobs expected from economists polled by MarketWatch. July’s and August’s numbers were increased. The unemployment rate fell to 3.7%, its lowest level since 1969. While, the average hourly earnings rose 0.3%, after a stellar 0.4% gain the previous month.

The 10-year Treasury note yield … rose 3 basis points to a seven-year high of 3.227%, contributing to a weeklong climb of 17.1 basis points, its largest such rise since February. The 30-year bond yield … rose 4.2 basis points to 3.396%, extending its weeklong rise to 20 basis points, its biggest such climb since the week of President Donald Trump’s election.

The shorter-end of the bond market showed a more modest rise. The 2-year note yield … rose 0.8 basis point to 2.888%, its highest since 2008. The short-dated maturity posted a weeklong yield gain of 7 basis points. Bond prices move in the opposite direction of yields.

In Canada we’re still grinding away at unemployment:

Canada’s job market gained 63,000 positions in September, edging the unemployment rate lower to 5.9 per cent, and offsetting job losses in August, Statistics Canada reported Friday.

September’s increase in employment was largely driven by gains in part-time work, with part-time jobs up by around 80,000, the agency said in its monthly labour force survey.

And Five-year Canadas popped up to 2.49% to close the week.

The increase in yields must have been good for FixedResets, eh? Well … um … profit-taking! FixedResets were hit by profit-taking! Unless it was something else. Manulife issues got whacked … perhaps by those pesky short-sellers. No wonder Elon Musk hates them so much!

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 0.4188 % 3,218.2
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.4188 % 5,905.2
Floater 3.38 % 3.55 % 38,853 18.44 4 0.4188 % 3,403.2
OpRet 0.00 % 0.00 % 0 0.00 0 0.0793 % 3,229.9
SplitShare 4.61 % 4.70 % 55,232 4.75 5 0.0793 % 3,857.2
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0793 % 3,009.6
Perpetual-Premium 5.56 % -3.24 % 53,999 0.09 12 -0.0427 % 2,925.0
Perpetual-Discount 5.47 % 5.61 % 64,321 14.48 21 -0.3500 % 2,984.8
FixedReset Disc 4.16 % 4.95 % 129,773 15.48 43 -0.2507 % 2,607.9
Deemed-Retractible 5.21 % 6.19 % 62,162 5.31 27 -0.5656 % 2,970.1
FloatingReset 3.43 % 3.57 % 41,538 5.62 4 0.2991 % 2,881.3
FixedReset Prem 4.86 % 3.94 % 219,806 2.83 34 -0.1892 % 2,573.4
FixedReset Bank Non 3.19 % 3.91 % 67,893 0.38 9 0.0994 % 2,580.1
FixedReset Ins Non 4.37 % 5.37 % 94,885 5.40 22 -1.5035 % 2,560.3
Performance Highlights
Issue Index Change Notes
TD.PF.J FixedReset Prem -4.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-05
Maturity Price : 22.97
Evaluated at bid price : 24.40
Bid-YTW : 5.07 %
MFC.PR.K FixedReset Ins Non -4.17 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.04
Bid-YTW : 6.96 %
MFC.PR.B Deemed-Retractible -3.23 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.00
Bid-YTW : 8.01 %
MFC.PR.L FixedReset Ins Non -3.16 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.40
Bid-YTW : 6.53 %
MFC.PR.C Deemed-Retractible -3.07 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.21
Bid-YTW : 8.58 %
MFC.PR.H FixedReset Ins Non -2.89 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.57
Bid-YTW : 5.86 %
MFC.PR.I FixedReset Ins Non -2.65 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-09-19
Maturity Price : 25.00
Evaluated at bid price : 24.28
Bid-YTW : 5.25 %
MFC.PR.R FixedReset Ins Non -2.63 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-03-19
Maturity Price : 25.00
Evaluated at bid price : 25.21
Bid-YTW : 4.68 %
MFC.PR.O FixedReset Ins Non -2.55 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-06-19
Maturity Price : 25.00
Evaluated at bid price : 25.63
Bid-YTW : 4.73 %
MFC.PR.G FixedReset Ins Non -2.47 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-12-19
Maturity Price : 25.00
Evaluated at bid price : 24.07
Bid-YTW : 5.25 %
IAG.PR.G FixedReset Ins Non -2.40 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.56
Bid-YTW : 5.46 %
MFC.PR.M FixedReset Ins Non -2.39 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.30
Bid-YTW : 5.91 %
MFC.PR.Q FixedReset Ins Non -2.37 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.26
Bid-YTW : 5.37 %
MFC.PR.F FixedReset Ins Non -2.13 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.35
Bid-YTW : 8.60 %
NA.PR.G FixedReset Prem -2.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-05
Maturity Price : 23.16
Evaluated at bid price : 25.01
Bid-YTW : 5.08 %
MFC.PR.J FixedReset Ins Non -1.92 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.55
Bid-YTW : 5.34 %
BAM.PR.M Perpetual-Discount -1.67 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-05
Maturity Price : 20.57
Evaluated at bid price : 20.57
Bid-YTW : 5.82 %
BAM.PF.B FixedReset Disc -1.57 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-05
Maturity Price : 23.02
Evaluated at bid price : 23.80
Bid-YTW : 5.18 %
GWO.PR.T Deemed-Retractible -1.43 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.41
Bid-YTW : 6.45 %
HSE.PR.C FixedReset Disc -1.41 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-05
Maturity Price : 24.10
Evaluated at bid price : 24.50
Bid-YTW : 5.51 %
MFC.PR.N FixedReset Ins Non -1.40 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.27
Bid-YTW : 5.82 %
BAM.PR.N Perpetual-Discount -1.39 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-05
Maturity Price : 20.56
Evaluated at bid price : 20.56
Bid-YTW : 5.82 %
BAM.PF.G FixedReset Disc -1.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-05
Maturity Price : 23.52
Evaluated at bid price : 24.65
Bid-YTW : 5.15 %
PWF.PR.T FixedReset Disc -1.17 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-05
Maturity Price : 23.55
Evaluated at bid price : 24.41
Bid-YTW : 4.83 %
GWO.PR.I Deemed-Retractible -1.09 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.87
Bid-YTW : 7.93 %
GWO.PR.N FixedReset Ins Non -1.01 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.55
Bid-YTW : 8.39 %
SLF.PR.H FixedReset Ins Non -1.01 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.62
Bid-YTW : 6.35 %
CU.PR.F Perpetual-Discount 1.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-05
Maturity Price : 20.99
Evaluated at bid price : 20.99
Bid-YTW : 5.43 %
BAM.PR.B Floater 1.72 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-05
Maturity Price : 18.34
Evaluated at bid price : 18.34
Bid-YTW : 3.55 %
IFC.PR.A FixedReset Ins Non 1.72 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.65
Bid-YTW : 7.07 %
TRP.PR.F FloatingReset 1.73 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-05
Maturity Price : 21.16
Evaluated at bid price : 21.16
Bid-YTW : 4.08 %
Volume Highlights
Issue Index Shares
Traded		 Notes
BAM.PF.D Perpetual-Discount 136,289 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-05
Maturity Price : 21.10
Evaluated at bid price : 21.10
Bid-YTW : 5.85 %
MFC.PR.M FixedReset Ins Non 94,121 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.30
Bid-YTW : 5.91 %
MFC.PR.R FixedReset Ins Non 86,172 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-03-19
Maturity Price : 25.00
Evaluated at bid price : 25.21
Bid-YTW : 4.68 %
GWO.PR.T Deemed-Retractible 71,750 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.41
Bid-YTW : 6.45 %
PWF.PR.H Perpetual-Premium 68,936 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2018-11-04
Maturity Price : 25.00
Evaluated at bid price : 25.56
Bid-YTW : -8.67 %
RY.PR.J FixedReset Disc 53,222 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2020-05-24
Maturity Price : 25.00
Evaluated at bid price : 24.82
Bid-YTW : 4.34 %
There were 27 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
TD.PF.J FixedReset Prem Quote: 24.40 – 25.40
Spot Rate : 1.0000
Average : 0.6129

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-05
Maturity Price : 22.97
Evaluated at bid price : 24.40
Bid-YTW : 5.07 %
MFC.PR.H FixedReset Ins Non Quote: 24.57 – 25.23
Spot Rate : 0.6600
Average : 0.4088

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.57
Bid-YTW : 5.86 %
TRP.PR.E FixedReset Disc Quote: 22.85 – 23.80
Spot Rate : 0.9500
Average : 0.7541

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-05
Maturity Price : 22.37
Evaluated at bid price : 22.85
Bid-YTW : 5.07 %
MFC.PR.F FixedReset Ins Non Quote: 18.35 – 18.85
Spot Rate : 0.5000
Average : 0.3205

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.35
Bid-YTW : 8.60 %
MFC.PR.O FixedReset Ins Non Quote: 25.63 – 26.09
Spot Rate : 0.4600
Average : 0.2919

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-06-19
Maturity Price : 25.00
Evaluated at bid price : 25.63
Bid-YTW : 4.73 %
HSE.PR.C FixedReset Disc Quote: 24.50 – 24.99
Spot Rate : 0.4900
Average : 0.3232

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-05
Maturity Price : 24.10
Evaluated at bid price : 24.50
Bid-YTW : 5.51 %
Market Action

October 4, 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 -0.4431 % 3,204.7
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.4431 % 5,880.5
Floater 3.39 % 3.57 % 40,193 18.41 4 -0.4431 % 3,389.0
OpRet 0.00 % 0.00 % 0 0.00 0 -0.0238 % 3,227.4
SplitShare 4.61 % 4.74 % 53,996 4.75 5 -0.0238 % 3,854.2
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.0238 % 3,007.2
Perpetual-Premium 5.55 % -3.90 % 50,002 0.09 12 0.0033 % 2,926.3
Perpetual-Discount 5.45 % 5.59 % 61,453 14.50 21 -0.3323 % 2,995.3
FixedReset Disc 4.14 % 4.93 % 130,516 15.42 43 0.3274 % 2,614.4
Deemed-Retractible 5.18 % 6.14 % 60,316 5.32 27 -0.1004 % 2,987.0
FloatingReset 3.44 % 3.59 % 41,973 5.62 4 -0.4808 % 2,872.7
FixedReset Prem 4.84 % 4.10 % 219,220 2.83 34 -0.0971 % 2,578.2
FixedReset Bank Non 3.19 % 3.82 % 68,727 0.39 9 -0.0226 % 2,577.6
FixedReset Ins Non 4.30 % 5.05 % 88,905 5.40 22 -0.1696 % 2,599.4
Performance Highlights
Issue Index Change Notes
BAM.PR.K Floater -1.83 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-04
Maturity Price : 18.20
Evaluated at bid price : 18.20
Bid-YTW : 3.57 %
IFC.PR.A FixedReset Ins Non -1.74 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.30
Bid-YTW : 7.39 %
TRP.PR.F FloatingReset -1.70 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-04
Maturity Price : 20.80
Evaluated at bid price : 20.80
Bid-YTW : 4.15 %
MFC.PR.K FixedReset Ins Non -1.63 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.00
Bid-YTW : 6.15 %
CU.PR.F Perpetual-Discount -1.61 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-04
Maturity Price : 20.76
Evaluated at bid price : 20.76
Bid-YTW : 5.49 %
TD.PF.C FixedReset Disc -1.56 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-04
Maturity Price : 22.86
Evaluated at bid price : 23.32
Bid-YTW : 4.89 %
BAM.PF.I FixedReset Prem -1.51 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-03-31
Maturity Price : 25.00
Evaluated at bid price : 25.51
Bid-YTW : 4.21 %
BAM.PF.C Perpetual-Discount -1.21 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-04
Maturity Price : 21.14
Evaluated at bid price : 21.14
Bid-YTW : 5.78 %
TD.PF.B FixedReset Disc -1.17 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-04
Maturity Price : 23.04
Evaluated at bid price : 23.66
Bid-YTW : 4.86 %
BAM.PR.C Floater -1.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-04
Maturity Price : 18.25
Evaluated at bid price : 18.25
Bid-YTW : 3.57 %
PWF.PR.Q FloatingReset -1.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-04
Maturity Price : 21.39
Evaluated at bid price : 21.72
Bid-YTW : 3.59 %
BAM.PF.G FixedReset Disc 1.22 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2020-06-30
Maturity Price : 25.00
Evaluated at bid price : 24.95
Bid-YTW : 4.68 %
BAM.PR.B Floater 1.29 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-04
Maturity Price : 18.03
Evaluated at bid price : 18.03
Bid-YTW : 3.61 %
BMO.PR.T FixedReset Disc 1.59 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-04
Maturity Price : 23.04
Evaluated at bid price : 23.63
Bid-YTW : 4.82 %
TRP.PR.G FixedReset Disc 1.72 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2020-11-30
Maturity Price : 25.00
Evaluated at bid price : 24.82
Bid-YTW : 4.34 %
BAM.PF.F FixedReset Disc 1.88 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2019-09-30
Maturity Price : 25.00
Evaluated at bid price : 24.92
Bid-YTW : 4.93 %
BMO.PR.W FixedReset Disc 2.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-04
Maturity Price : 22.98
Evaluated at bid price : 23.49
Bid-YTW : 4.82 %
BAM.PR.T FixedReset Disc 2.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-04
Maturity Price : 21.50
Evaluated at bid price : 21.50
Bid-YTW : 5.15 %
Volume Highlights
Issue Index Shares
Traded		 Notes
TD.PF.K FixedReset Prem 224,195 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2023-10-31
Maturity Price : 25.00
Evaluated at bid price : 25.10
Bid-YTW : 4.75 %
MFC.PR.O FixedReset Ins Non 104,500 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-06-19
Maturity Price : 25.00
Evaluated at bid price : 26.30
Bid-YTW : 3.69 %
TD.PF.B FixedReset Disc 94,522 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-04
Maturity Price : 23.04
Evaluated at bid price : 23.66
Bid-YTW : 4.86 %
MFC.PR.Q FixedReset Ins Non 71,500 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.85
Bid-YTW : 4.92 %
TD.PF.D FixedReset Disc 69,400 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2020-07-31
Maturity Price : 25.00
Evaluated at bid price : 24.87
Bid-YTW : 4.28 %
RY.PR.H FixedReset Disc 58,800 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-04
Maturity Price : 23.24
Evaluated at bid price : 23.83
Bid-YTW : 4.80 %
There were 35 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
TRP.PR.E FixedReset Disc Quote: 22.82 – 23.80
Spot Rate : 0.9800
Average : 0.5393

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-04
Maturity Price : 22.13
Evaluated at bid price : 22.82
Bid-YTW : 5.07 %
IFC.PR.E Deemed-Retractible Quote: 23.85 – 24.80
Spot Rate : 0.9500
Average : 0.5486

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.85
Bid-YTW : 6.14 %
TD.PF.C FixedReset Disc Quote: 23.32 – 23.95
Spot Rate : 0.6300
Average : 0.3418

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-04
Maturity Price : 22.86
Evaluated at bid price : 23.32
Bid-YTW : 4.89 %
TD.PF.B FixedReset Disc Quote: 23.66 – 24.09
Spot Rate : 0.4300
Average : 0.2372

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-04
Maturity Price : 23.04
Evaluated at bid price : 23.66
Bid-YTW : 4.86 %
EIT.PR.A SplitShare Quote: 25.06 – 25.56
Spot Rate : 0.5000
Average : 0.3135

YTW SCENARIO
Maturity Type : Soft Maturity
Maturity Date : 2024-03-14
Maturity Price : 25.00
Evaluated at bid price : 25.06
Bid-YTW : 4.83 %
BAM.PF.I FixedReset Prem Quote: 25.51 – 25.88
Spot Rate : 0.3700
Average : 0.2229

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-03-31
Maturity Price : 25.00
Evaluated at bid price : 25.51
Bid-YTW : 4.21 %
Market Action

October 3, 2018

PerpetualDiscounts now yield 5.58%, equivalent to 7.25% interest at the standard equivalency factor of 1.3x. Long corporates now yield about 4.15%, so the pre-tax interest-equivalent spread (in this context, the “Seniority Spread” is now about 310bp, a slight (and perhaps spurious) narrowing from the 315bp reported September 26.

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 2.8135 % 3,219.0
FixedFloater 0.00 % 0.00 % 0 0.00 0 2.8135 % 5,906.7
Floater 3.38 % 3.51 % 38,001 18.54 4 2.8135 % 3,404.1
OpRet 0.00 % 0.00 % 0 0.00 0 -0.0159 % 3,228.1
SplitShare 4.61 % 4.70 % 54,230 4.76 5 -0.0159 % 3,855.1
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.0159 % 3,007.9
Perpetual-Premium 5.55 % -4.09 % 48,852 0.09 12 -0.0164 % 2,926.2
Perpetual-Discount 5.43 % 5.58 % 61,410 14.47 21 0.1509 % 3,005.3
FixedReset Disc 4.15 % 4.98 % 130,568 15.47 43 0.2326 % 2,605.9
Deemed-Retractible 5.17 % 6.08 % 58,368 5.33 27 -0.0298 % 2,990.0
FloatingReset 3.43 % 3.55 % 41,009 5.63 4 0.3215 % 2,886.5
FixedReset Prem 4.84 % 3.81 % 219,218 2.83 34 0.0743 % 2,580.7
FixedReset Bank Non 3.19 % 3.69 % 67,579 0.39 9 0.0769 % 2,578.1
FixedReset Ins Non 4.30 % 5.05 % 87,467 5.40 22 0.0366 % 2,603.8
Performance Highlights
Issue Index Change Notes
MFC.PR.N FixedReset Ins Non -1.42 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.68
Bid-YTW : 5.49 %
BAM.PF.F FixedReset Disc -1.17 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-03
Maturity Price : 23.98
Evaluated at bid price : 24.46
Bid-YTW : 5.28 %
BAM.PF.B FixedReset Disc 1.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-03
Maturity Price : 23.34
Evaluated at bid price : 24.11
Bid-YTW : 5.11 %
TD.PF.E FixedReset Disc 1.01 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2020-10-31
Maturity Price : 25.00
Evaluated at bid price : 24.95
Bid-YTW : 4.14 %
MFC.PR.K FixedReset Ins Non 1.08 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.38
Bid-YTW : 5.84 %
PWF.PR.A Floater 1.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-03
Maturity Price : 21.70
Evaluated at bid price : 21.95
Bid-YTW : 2.95 %
TD.PF.B FixedReset Disc 1.18 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-03
Maturity Price : 23.33
Evaluated at bid price : 23.94
Bid-YTW : 4.80 %
RY.PR.H FixedReset Disc 1.50 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-03
Maturity Price : 23.16
Evaluated at bid price : 23.75
Bid-YTW : 4.82 %
BAM.PR.B Floater 1.71 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-03
Maturity Price : 17.80
Evaluated at bid price : 17.80
Bid-YTW : 3.66 %
IFC.PR.A FixedReset Ins Non 2.58 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.66
Bid-YTW : 7.06 %
BAM.PR.C Floater 3.89 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-03
Maturity Price : 18.45
Evaluated at bid price : 18.45
Bid-YTW : 3.53 %
BAM.PR.K Floater 4.86 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-03
Maturity Price : 18.54
Evaluated at bid price : 18.54
Bid-YTW : 3.51 %
Volume Highlights
Issue Index Shares
Traded		 Notes
BMO.PR.T FixedReset Disc 142,250 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-03
Maturity Price : 22.69
Evaluated at bid price : 23.26
Bid-YTW : 4.90 %
BMO.PR.E FixedReset Prem 137,620 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2023-11-25
Maturity Price : 25.00
Evaluated at bid price : 25.20
Bid-YTW : 4.75 %
TD.PF.H FixedReset Prem 130,393 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-10-31
Maturity Price : 25.00
Evaluated at bid price : 26.04
Bid-YTW : 3.72 %
BAM.PF.I FixedReset Prem 91,158 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-03-31
Maturity Price : 25.00
Evaluated at bid price : 25.90
Bid-YTW : 3.73 %
RY.PR.M FixedReset Disc 76,350 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-03
Maturity Price : 23.31
Evaluated at bid price : 24.41
Bid-YTW : 4.90 %
TD.PF.K FixedReset Prem 73,298 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2023-10-31
Maturity Price : 25.00
Evaluated at bid price : 25.13
Bid-YTW : 4.72 %
There were 33 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
BAM.PR.B Floater Quote: 17.80 – 18.80
Spot Rate : 1.0000
Average : 0.6279

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-03
Maturity Price : 17.80
Evaluated at bid price : 17.80
Bid-YTW : 3.66 %
BAM.PR.C Floater Quote: 18.45 – 19.45
Spot Rate : 1.0000
Average : 0.6506

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-03
Maturity Price : 18.45
Evaluated at bid price : 18.45
Bid-YTW : 3.53 %
BAM.PF.B FixedReset Disc Quote: 24.11 – 24.75
Spot Rate : 0.6400
Average : 0.4047

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-03
Maturity Price : 23.34
Evaluated at bid price : 24.11
Bid-YTW : 5.11 %
MFC.PR.J FixedReset Ins Non Quote: 25.03 – 25.54
Spot Rate : 0.5100
Average : 0.2861

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2023-03-19
Maturity Price : 25.00
Evaluated at bid price : 25.03
Bid-YTW : 4.94 %
MFC.PR.N FixedReset Ins Non Quote: 23.68 – 24.50
Spot Rate : 0.8200
Average : 0.6375

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.68
Bid-YTW : 5.49 %
PWF.PR.A Floater Quote: 21.95 – 22.49
Spot Rate : 0.5400
Average : 0.3595

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-03
Maturity Price : 21.70
Evaluated at bid price : 21.95
Bid-YTW : 2.95 %
Market Action

October 2, 2018

HIMIPref™ Preferred Indices
These values reflect the December 2008 revision of the HIMIPref™ Indices
Values are provisional and are finalized monthly
Index Mean
Current
Yield
(at bid)		 Median
YTW		 Median
Average
Trading
Value		 Median
Mod Dur
(YTW)		 Issues Day’s Perf. Index Value
Ratchet 0.00 % 0.00 % 0 0.00 0 -0.5860 % 3,130.9
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.5860 % 5,745.1
Floater 3.47 % 3.66 % 36,322 18.19 4 -0.5860 % 3,310.9
OpRet 0.00 % 0.00 % 0 0.00 0 0.0873 % 3,228.7
SplitShare 4.61 % 4.69 % 56,054 4.76 5 0.0873 % 3,855.7
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0873 % 3,008.4
Perpetual-Premium 5.55 % -3.81 % 49,334 0.09 12 -0.0558 % 2,926.7
Perpetual-Discount 5.44 % 5.59 % 61,958 14.46 21 -0.1321 % 3,000.7
FixedReset Disc 4.16 % 5.00 % 130,826 15.42 43 0.0050 % 2,599.8
Deemed-Retractible 5.17 % 6.09 % 58,213 5.33 27 -0.0204 % 2,990.9
FloatingReset 3.44 % 3.56 % 40,334 5.63 4 0.6822 % 2,877.3
FixedReset Prem 4.84 % 4.07 % 221,623 2.83 34 0.1879 % 2,578.8
FixedReset Bank Non 3.20 % 3.76 % 67,773 0.39 9 -0.0181 % 2,576.2
FixedReset Ins Non 4.30 % 5.02 % 83,370 4.19 22 0.0174 % 2,602.9
Performance Highlights
Issue Index Change Notes
BAM.PR.B Floater -1.74 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-02
Maturity Price : 17.50
Evaluated at bid price : 17.50
Bid-YTW : 3.72 %
PWF.PR.Q FloatingReset 1.39 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-02
Maturity Price : 21.49
Evaluated at bid price : 21.86
Bid-YTW : 3.56 %
TD.PF.J FixedReset Prem 9.74 % Just a reversal of yesterday‘s nonsense.

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2023-04-30
Maturity Price : 25.00
Evaluated at bid price : 25.35
Bid-YTW : 4.58 %
Volume Highlights
Issue Index Shares
Traded		 Notes
BMO.PR.T FixedReset Disc 209,700 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-02
Maturity Price : 22.66
Evaluated at bid price : 23.23
Bid-YTW : 4.91 %
TD.PF.K FixedReset Prem 143,182 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-02
Maturity Price : 23.16
Evaluated at bid price : 25.00
Bid-YTW : 4.81 %
RY.PR.J FixedReset Disc 142,605 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2020-05-24
Maturity Price : 25.00
Evaluated at bid price : 24.65
Bid-YTW : 4.76 %
RY.PR.Q FixedReset Prem 73,481 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-05-24
Maturity Price : 25.00
Evaluated at bid price : 26.40
Bid-YTW : 3.51 %
CM.PR.S FixedReset Disc 70,550 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-02
Maturity Price : 22.80
Evaluated at bid price : 23.95
Bid-YTW : 4.85 %
BAM.PF.A FixedReset Disc 60,245 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-02
Maturity Price : 23.13
Evaluated at bid price : 24.90
Bid-YTW : 5.14 %
There were 32 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: 20.14 – 20.67
Spot Rate : 0.5300
Average : 0.3294

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.14
Bid-YTW : 7.52 %
W.PR.K FixedReset Prem Quote: 25.60 – 26.20
Spot Rate : 0.6000
Average : 0.4288

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-01-15
Maturity Price : 25.00
Evaluated at bid price : 25.60
Bid-YTW : 4.08 %
SLF.PR.B Deemed-Retractible Quote: 22.60 – 22.98
Spot Rate : 0.3800
Average : 0.2507

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.60
Bid-YTW : 6.73 %
BAM.PF.C Perpetual-Discount Quote: 21.25 – 21.53
Spot Rate : 0.2800
Average : 0.1812

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-02
Maturity Price : 21.25
Evaluated at bid price : 21.25
Bid-YTW : 5.75 %
PWF.PR.P FixedReset Disc Quote: 19.77 – 20.12
Spot Rate : 0.3500
Average : 0.2554

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-02
Maturity Price : 19.77
Evaluated at bid price : 19.77
Bid-YTW : 4.77 %
BMO.PR.T FixedReset Disc Quote: 23.23 – 23.48
Spot Rate : 0.2500
Average : 0.1555

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-02
Maturity Price : 22.66
Evaluated at bid price : 23.23
Bid-YTW : 4.91 %
Market Action

October 1, 2018

Well, that was quick:

The Securities and Exchange Commission announced today that Elon Musk, CEO and Chairman of Silicon Valley-based Tesla, Inc., has agreed to settle the securities fraud charge brought by the SEC against him last week. The SEC also today charged Tesla with failing to have required disclosure controls and procedures relating to Musk’s tweets, a charge that Tesla has agreed to settle. The settlements, which are subject to court approval, will result in comprehensive corporate governance and other reforms at Tesla—including Musk’s removal as Chairman of the Tesla board—and the payment by Musk and Tesla of financial penalties.
…
Musk and Tesla have agreed to settle the charges against them without admitting or denying the SEC’s allegations. Among other relief, the settlements require that:
•Musk will step down as Tesla’s Chairman and be replaced by an independent Chairman. Musk will be ineligible to be re-elected Chairman for three years;
•Tesla will appoint a total of two new independent directors to its board;
•Tesla will establish a new committee of independent directors and put in place additional controls and procedures to oversee Musk’s communications;
•Musk and Tesla will each pay a separate $20 million penalty. The $40 million in penalties will be distributed to harmed investors under a court-approved process.

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 0.6030 % 3,149.4
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.6030 % 5,778.9
Floater 3.45 % 3.65 % 33,620 18.21 4 0.6030 % 3,330.4
OpRet 0.00 % 0.00 % 0 0.00 0 -0.1347 % 3,225.8
SplitShare 4.61 % 4.69 % 54,555 4.76 5 -0.1347 % 3,852.3
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.1347 % 3,005.7
Perpetual-Premium 5.55 % -5.88 % 49,823 0.09 12 0.1019 % 2,928.3
Perpetual-Discount 5.43 % 5.57 % 61,970 14.50 21 0.0599 % 3,004.7
FixedReset Disc 4.17 % 5.01 % 129,204 15.44 43 0.4004 % 2,599.7
Deemed-Retractible 5.17 % 5.99 % 57,727 5.33 27 -0.1410 % 2,991.5
FloatingReset 3.46 % 3.62 % 37,463 5.63 4 0.0737 % 2,857.8
FixedReset Prem 4.85 % 4.04 % 222,034 2.84 34 -0.1314 % 2,574.0
FixedReset Bank Non 3.20 % 3.74 % 67,530 0.39 9 0.1298 % 2,576.6
FixedReset Ins Non 4.30 % 5.08 % 86,097 5.41 22 0.2978 % 2,602.4
Performance Highlights
Issue Index Change Notes
TD.PF.J FixedReset Prem -9.02 % A nonsensical quote from Nonsense Central, as this issue traded 1200 shares today, all at 25.54 before being quoted at 23.10-25.54 by the Exchange.

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

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-01
Maturity Price : 22.36
Evaluated at bid price : 23.10
Bid-YTW : 5.40 %
CU.PR.I FixedReset Prem -1.33 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2020-12-01
Maturity Price : 25.00
Evaluated at bid price : 25.95
Bid-YTW : 2.87 %
SLF.PR.A Deemed-Retractible -1.30 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.01
Bid-YTW : 7.18 %
MFC.PR.B Deemed-Retractible -1.05 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.70
Bid-YTW : 7.37 %
IFC.PR.A FixedReset Ins Non 1.04 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.33
Bid-YTW : 7.35 %
MFC.PR.F FixedReset Ins Non 1.08 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.80
Bid-YTW : 8.15 %
SLF.PR.G FixedReset Ins Non 1.22 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.94
Bid-YTW : 7.41 %
BAM.PR.C Floater 1.43 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-01
Maturity Price : 17.75
Evaluated at bid price : 17.75
Bid-YTW : 3.66 %
BAM.PR.R FixedReset Disc 1.58 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-01
Maturity Price : 21.18
Evaluated at bid price : 21.18
Bid-YTW : 5.21 %
TRP.PR.C FixedReset Disc 2.55 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-01
Maturity Price : 18.10
Evaluated at bid price : 18.10
Bid-YTW : 5.07 %
Volume Highlights
Issue Index Shares
Traded		 Notes
TRP.PR.J FixedReset Prem 107,950 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-05-31
Maturity Price : 25.00
Evaluated at bid price : 26.50
Bid-YTW : 3.33 %
BMO.PR.D FixedReset Prem 80,400 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-08-25
Maturity Price : 25.00
Evaluated at bid price : 25.30
Bid-YTW : 4.21 %
TRP.PR.A FixedReset Disc 77,090 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-01
Maturity Price : 20.65
Evaluated at bid price : 20.65
Bid-YTW : 5.09 %
BNS.PR.H FixedReset Prem 76,900 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-01-26
Maturity Price : 25.00
Evaluated at bid price : 26.01
Bid-YTW : 3.46 %
BMO.PR.E FixedReset Prem 73,708 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2023-11-25
Maturity Price : 25.00
Evaluated at bid price : 25.18
Bid-YTW : 4.76 %
TRP.PR.E FixedReset Disc 52,600 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-01
Maturity Price : 22.07
Evaluated at bid price : 22.72
Bid-YTW : 5.09 %
There were 34 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
TD.PF.J FixedReset Prem Quote: 23.10 – 25.54
Spot Rate : 2.4400
Average : 1.3610

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-01
Maturity Price : 22.36
Evaluated at bid price : 23.10
Bid-YTW : 5.40 %
RY.PR.H FixedReset Disc Quote: 23.62 – 24.00
Spot Rate : 0.3800
Average : 0.2408

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-01
Maturity Price : 23.03
Evaluated at bid price : 23.62
Bid-YTW : 4.85 %
SLF.PR.E Deemed-Retractible Quote: 21.38 – 21.74
Spot Rate : 0.3600
Average : 0.2211

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.38
Bid-YTW : 7.45 %
SLF.PR.A Deemed-Retractible Quote: 22.01 – 22.37
Spot Rate : 0.3600
Average : 0.2601

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.01
Bid-YTW : 7.18 %
BAM.PR.M Perpetual-Discount Quote: 20.75 – 21.07
Spot Rate : 0.3200
Average : 0.2204

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-10-01
Maturity Price : 20.75
Evaluated at bid price : 20.75
Bid-YTW : 5.77 %
EIT.PR.A SplitShare Quote: 25.00 – 25.30
Spot Rate : 0.3000
Average : 0.2067

YTW SCENARIO
Maturity Type : Soft Maturity
Maturity Date : 2024-03-14
Maturity Price : 25.00
Evaluated at bid price : 25.00
Bid-YTW : 4.87 %
Market Action

September 28, 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 -0.2273 % 3,130.5
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.2273 % 5,744.3
Floater 3.47 % 3.66 % 34,106 18.15 4 -0.2273 % 3,310.5
OpRet 0.00 % 0.00 % 0 0.00 0 -0.1029 % 3,230.2
SplitShare 4.61 % 4.69 % 54,960 4.77 5 -0.1029 % 3,857.5
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.1029 % 3,009.8
Perpetual-Premium 5.56 % -2.69 % 49,444 0.09 12 0.0460 % 2,925.3
Perpetual-Discount 5.43 % 5.57 % 56,210 14.58 22 0.2812 % 3,002.9
FixedReset Disc 4.17 % 5.01 % 145,867 15.50 42 0.1345 % 2,589.3
Deemed-Retractible 5.16 % 6.02 % 58,660 5.34 27 0.2371 % 2,995.7
FloatingReset 3.39 % 4.14 % 37,485 5.63 5 0.0090 % 2,855.7
FixedReset Prem 4.82 % 4.13 % 162,968 2.85 35 0.1072 % 2,577.4
FixedReset Bank Non 3.19 % 3.76 % 68,216 0.40 9 0.0181 % 2,573.3
FixedReset Ins Non 4.31 % 5.01 % 85,580 5.41 22 0.0832 % 2,594.7
Performance Highlights
Issue Index Change Notes
SLF.PR.A Deemed-Retractible 1.09 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.30
Bid-YTW : 6.92 %
CU.PR.I FixedReset Prem 1.15 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2020-12-01
Maturity Price : 25.00
Evaluated at bid price : 26.30
Bid-YTW : 2.21 %
W.PR.J Perpetual-Discount 1.29 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-09-28
Maturity Price : 24.57
Evaluated at bid price : 24.83
Bid-YTW : 5.65 %
W.PR.H Perpetual-Discount 1.38 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-09-28
Maturity Price : 24.60
Evaluated at bid price : 24.85
Bid-YTW : 5.54 %
Volume Highlights
Issue Index Shares
Traded		 Notes
TD.PF.H FixedReset Prem 155,699 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-10-31
Maturity Price : 25.00
Evaluated at bid price : 26.05
Bid-YTW : 3.69 %
BMO.PR.S FixedReset Disc 74,012 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-09-28
Maturity Price : 22.83
Evaluated at bid price : 23.51
Bid-YTW : 4.95 %
TD.PF.C FixedReset Disc 54,300 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-09-28
Maturity Price : 22.82
Evaluated at bid price : 23.28
Bid-YTW : 4.90 %
RY.PR.Q FixedReset Prem 52,870 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-05-24
Maturity Price : 25.00
Evaluated at bid price : 26.36
Bid-YTW : 3.56 %
RY.PR.M FixedReset Disc 50,900 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-09-28
Maturity Price : 23.26
Evaluated at bid price : 24.30
Bid-YTW : 4.92 %
BMO.PR.E FixedReset Disc 47,900 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2023-11-25
Maturity Price : 25.00
Evaluated at bid price : 25.10
Bid-YTW : 4.83 %
There were 13 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
IFC.PR.E Deemed-Retractible Quote: 23.98 – 24.53
Spot Rate : 0.5500
Average : 0.3529

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.98
Bid-YTW : 6.02 %
IFC.PR.C FixedReset Ins Non Quote: 23.59 – 24.03
Spot Rate : 0.4400
Average : 0.2984

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.59
Bid-YTW : 5.26 %
W.PR.K FixedReset Prem Quote: 25.45 – 25.84
Spot Rate : 0.3900
Average : 0.2533

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-01-15
Maturity Price : 25.00
Evaluated at bid price : 25.45
Bid-YTW : 4.33 %
MFC.PR.R FixedReset Ins Non Quote: 25.99 – 26.25
Spot Rate : 0.2600
Average : 0.1816

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-03-19
Maturity Price : 25.00
Evaluated at bid price : 25.99
Bid-YTW : 3.68 %
BAM.PR.R FixedReset Disc Quote: 20.85 – 21.28
Spot Rate : 0.4300
Average : 0.3563

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-09-28
Maturity Price : 20.85
Evaluated at bid price : 20.85
Bid-YTW : 5.28 %
IAG.PR.I FixedReset Ins Non Quote: 25.15 – 25.50
Spot Rate : 0.3500
Average : 0.2805

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2023-03-31
Maturity Price : 25.00
Evaluated at bid price : 25.15
Bid-YTW : 4.68 %