Category: Market Action

Market Action

August 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 -0.0671 % 3,106.4
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.0671 % 5,700.0
Floater 3.48 % 3.70 % 43,780 18.01 4 -0.0671 % 3,285.0
OpRet 0.00 % 0.00 % 0 0.00 0 0.1421 % 3,246.9
SplitShare 4.58 % 3.72 % 49,713 2.90 5 0.1421 % 3,877.5
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.1421 % 3,025.4
Perpetual-Premium 5.61 % -10.19 % 55,998 0.09 10 0.0197 % 2,916.4
Perpetual-Discount 5.39 % 5.53 % 57,270 14.54 25 0.1224 % 3,000.4
FixedReset 4.30 % 4.69 % 122,575 3.83 106 0.1484 % 2,585.5
Deemed-Retractible 5.13 % 5.81 % 61,253 5.35 26 0.0345 % 2,992.0
FloatingReset 3.51 % 3.58 % 39,947 5.72 6 -0.0226 % 2,851.2
Performance Highlights
Issue Index Change Notes
MFC.PR.M FixedReset -1.44 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.32
Bid-YTW : 5.69 %
GWO.PR.T Deemed-Retractible -1.12 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.77
Bid-YTW : 6.29 %
IFC.PR.F Deemed-Retractible 1.04 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 25.17
Bid-YTW : 5.37 %
BAM.PR.K Floater 1.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-08-28
Maturity Price : 17.70
Evaluated at bid price : 17.70
Bid-YTW : 3.70 %
BAM.PR.X FixedReset 1.94 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-08-28
Maturity Price : 19.42
Evaluated at bid price : 19.42
Bid-YTW : 4.89 %
Volume Highlights
Issue Index Shares
Traded		 Notes
IFC.PR.E Deemed-Retractible 271,200 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.45
Bid-YTW : 5.81 %
TD.PF.I FixedReset 117,049 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-10-31
Maturity Price : 25.00
Evaluated at bid price : 25.38
Bid-YTW : 4.21 %
TD.PF.G FixedReset 101,600 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-04-30
Maturity Price : 25.00
Evaluated at bid price : 26.43
Bid-YTW : 3.42 %
BMO.PR.T FixedReset 68,900 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-08-28
Maturity Price : 22.67
Evaluated at bid price : 23.21
Bid-YTW : 4.77 %
NA.PR.E FixedReset 62,883 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-08-28
Maturity Price : 23.01
Evaluated at bid price : 24.52
Bid-YTW : 4.79 %
GWO.PR.N FixedReset 62,001 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.10
Bid-YTW : 7.77 %
There were 25 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
MFC.PR.M FixedReset Quote: 23.32 – 23.87
Spot Rate : 0.5500
Average : 0.3640

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.32
Bid-YTW : 5.69 %
PVS.PR.B SplitShare Quote: 25.06 – 25.35
Spot Rate : 0.2900
Average : 0.1670

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2019-01-10
Maturity Price : 25.00
Evaluated at bid price : 25.06
Bid-YTW : 3.40 %
GWO.PR.T Deemed-Retractible Quote: 23.77 – 24.05
Spot Rate : 0.2800
Average : 0.1626

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.77
Bid-YTW : 6.29 %
TD.PF.J FixedReset Quote: 25.34 – 25.59
Spot Rate : 0.2500
Average : 0.1587

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2023-04-30
Maturity Price : 25.00
Evaluated at bid price : 25.34
Bid-YTW : 4.48 %
PWF.PR.Q FloatingReset Quote: 21.80 – 22.08
Spot Rate : 0.2800
Average : 0.1915

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-08-28
Maturity Price : 21.45
Evaluated at bid price : 21.80
Bid-YTW : 3.58 %
TD.PF.I FixedReset Quote: 25.38 – 25.58
Spot Rate : 0.2000
Average : 0.1206

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-10-31
Maturity Price : 25.00
Evaluated at bid price : 25.38
Bid-YTW : 4.21 %
Market Action

August 27, 2018

HIMIPref™ Preferred Indices
These values reflect the December 2008 revision of the HIMIPref™ Indices
Values are provisional and are finalized monthly
Index Mean
Current
Yield
(at bid)		 Median
YTW		 Median
Average
Trading
Value		 Median
Mod Dur
(YTW)		 Issues Day’s Perf. Index Value
Ratchet 0.00 % 0.00 % 0 0.00 0 0.2557 % 3,108.5
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.2557 % 5,703.9
Floater 3.48 % 3.69 % 43,345 18.04 4 0.2557 % 3,287.2
OpRet 0.00 % 0.00 % 0 0.00 0 0.0237 % 3,242.3
SplitShare 4.59 % 4.16 % 48,982 4.86 5 0.0237 % 3,872.0
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0237 % 3,021.1
Perpetual-Premium 5.61 % -10.37 % 57,993 0.09 10 -0.0039 % 2,915.8
Perpetual-Discount 5.40 % 5.55 % 55,816 14.54 25 0.0621 % 2,996.7
FixedReset 4.31 % 4.72 % 123,282 3.83 106 0.1613 % 2,581.6
Deemed-Retractible 5.12 % 5.88 % 62,191 5.36 26 0.0290 % 2,991.0
FloatingReset 3.50 % 3.58 % 39,673 5.67 6 0.0909 % 2,851.8
Performance Highlights
Issue Index Change Notes
CM.PR.Q FixedReset 1.11 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2020-07-31
Maturity Price : 25.00
Evaluated at bid price : 24.67
Bid-YTW : 4.49 %
PWF.PR.P FixedReset 1.40 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-08-27
Maturity Price : 19.57
Evaluated at bid price : 19.57
Bid-YTW : 4.67 %
TRP.PR.G FixedReset 1.41 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2020-11-30
Maturity Price : 25.00
Evaluated at bid price : 24.39
Bid-YTW : 4.95 %
Volume Highlights
Issue Index Shares
Traded		 Notes
MFC.PR.R FixedReset 205,013 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-03-19
Maturity Price : 25.00
Evaluated at bid price : 25.95
Bid-YTW : 3.63 %
BMO.PR.C FixedReset 67,203 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-05-25
Maturity Price : 25.00
Evaluated at bid price : 25.34
Bid-YTW : 4.13 %
BMO.PR.D FixedReset 30,815 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-08-25
Maturity Price : 25.00
Evaluated at bid price : 25.34
Bid-YTW : 4.06 %
MFC.PR.J FixedReset 28,900 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2023-03-19
Maturity Price : 25.00
Evaluated at bid price : 24.98
Bid-YTW : 4.76 %
NA.PR.X FixedReset 24,932 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-05-15
Maturity Price : 25.00
Evaluated at bid price : 26.20
Bid-YTW : 3.81 %
MFC.PR.G FixedReset 19,269 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-12-19
Maturity Price : 25.00
Evaluated at bid price : 24.48
Bid-YTW : 4.52 %
There were 6 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
HSE.PR.E FixedReset Quote: 25.11 – 26.79
Spot Rate : 1.6800
Average : 0.9664

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2020-03-31
Maturity Price : 25.00
Evaluated at bid price : 25.11
Bid-YTW : 3.97 %
IFC.PR.A FixedReset Quote: 19.88 – 20.25
Spot Rate : 0.3700
Average : 0.2190

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.88
Bid-YTW : 7.79 %
IFC.PR.F Deemed-Retractible Quote: 24.91 – 25.24
Spot Rate : 0.3300
Average : 0.2052

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.91
Bid-YTW : 5.56 %
PVS.PR.F SplitShare Quote: 25.85 – 26.25
Spot Rate : 0.4000
Average : 0.2965

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2024-09-30
Maturity Price : 25.00
Evaluated at bid price : 25.85
Bid-YTW : 4.16 %
W.PR.K FixedReset Quote: 26.00 – 26.35
Spot Rate : 0.3500
Average : 0.2736

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-01-15
Maturity Price : 25.00
Evaluated at bid price : 26.00
Bid-YTW : 3.77 %
PWF.PR.O Perpetual-Premium Quote: 25.70 – 25.90
Spot Rate : 0.2000
Average : 0.1251

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2018-09-26
Maturity Price : 25.25
Evaluated at bid price : 25.70
Bid-YTW : -10.37 %
Market Action

August 24, 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 -0.7480 % 3,100.5
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.7480 % 5,689.3
Floater 3.49 % 3.69 % 43,711 18.02 4 -0.7480 % 3,278.8
OpRet 0.00 % 0.00 % 0 0.00 0 0.0079 % 3,241.5
SplitShare 4.59 % 4.12 % 50,582 4.87 5 0.0079 % 3,871.1
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0079 % 3,020.4
Perpetual-Premium 5.61 % -11.35 % 58,348 0.09 10 0.0315 % 2,915.9
Perpetual-Discount 5.40 % 5.54 % 58,105 14.55 25 0.0345 % 2,994.9
FixedReset 4.30 % 4.69 % 120,167 4.06 107 0.0702 % 2,577.5
Deemed-Retractible 5.12 % 5.80 % 62,852 5.37 26 0.1968 % 2,990.1
FloatingReset 3.42 % 3.56 % 38,896 5.68 7 0.0390 % 2,849.3
Performance Highlights
Issue Index Change Notes
BAM.PR.K Floater -2.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-08-24
Maturity Price : 17.36
Evaluated at bid price : 17.36
Bid-YTW : 3.77 %
PWF.PR.P FixedReset -1.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-08-24
Maturity Price : 19.30
Evaluated at bid price : 19.30
Bid-YTW : 4.69 %
BMO.PR.Q FixedReset 1.04 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.29
Bid-YTW : 4.18 %
TD.PF.A FixedReset 1.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-08-24
Maturity Price : 23.17
Evaluated at bid price : 23.67
Bid-YTW : 4.65 %
Volume Highlights
Issue Index Shares
Traded		 Notes
BMO.PR.T FixedReset 60,097 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-08-24
Maturity Price : 22.63
Evaluated at bid price : 23.16
Bid-YTW : 4.73 %
HSE.PR.A FixedReset 19,017 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-08-24
Maturity Price : 17.69
Evaluated at bid price : 17.69
Bid-YTW : 5.19 %
MFC.PR.J FixedReset 17,900 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2023-03-19
Maturity Price : 25.00
Evaluated at bid price : 25.02
Bid-YTW : 4.68 %
BMO.PR.C FixedReset 17,500 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-05-25
Maturity Price : 25.00
Evaluated at bid price : 25.29
Bid-YTW : 4.18 %
CU.PR.C FixedReset 17,103 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-08-24
Maturity Price : 22.05
Evaluated at bid price : 22.50
Bid-YTW : 4.81 %
SLF.PR.I FixedReset 15,210 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-12-31
Maturity Price : 25.00
Evaluated at bid price : 24.39
Bid-YTW : 4.81 %
There were 8 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 Quote: 24.40 – 25.00
Spot Rate : 0.6000
Average : 0.3552

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-08-24
Maturity Price : 23.36
Evaluated at bid price : 24.40
Bid-YTW : 4.91 %
BAM.PR.K Floater Quote: 17.36 – 17.89
Spot Rate : 0.5300
Average : 0.3636

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-08-24
Maturity Price : 17.36
Evaluated at bid price : 17.36
Bid-YTW : 3.77 %
EMA.PR.F FixedReset Quote: 23.96 – 24.47
Spot Rate : 0.5100
Average : 0.3624

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-08-24
Maturity Price : 23.54
Evaluated at bid price : 23.96
Bid-YTW : 4.98 %
RY.PR.M FixedReset Quote: 24.10 – 24.60
Spot Rate : 0.5000
Average : 0.3535

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-08-24
Maturity Price : 23.15
Evaluated at bid price : 24.10
Bid-YTW : 4.79 %
MFC.PR.N FixedReset Quote: 23.40 – 23.96
Spot Rate : 0.5600
Average : 0.4220

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.40
Bid-YTW : 5.48 %
BAM.PF.I FixedReset Quote: 26.05 – 26.40
Spot Rate : 0.3500
Average : 0.2249

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-03-31
Maturity Price : 25.00
Evaluated at bid price : 26.05
Bid-YTW : 3.78 %
Market Action

August 23, 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 0.2410 % 3,123.9
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.2410 % 5,732.2
Floater 3.46 % 3.68 % 44,152 18.05 4 0.2410 % 3,303.5
OpRet 0.00 % 0.00 % 0 0.00 0 0.0158 % 3,241.3
SplitShare 4.59 % 4.11 % 51,352 4.87 5 0.0158 % 3,870.8
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0158 % 3,020.1
Perpetual-Premium 5.61 % -11.08 % 60,439 0.09 10 0.0590 % 2,915.0
Perpetual-Discount 5.40 % 5.54 % 55,960 14.56 25 0.0673 % 2,993.8
FixedReset 4.31 % 4.71 % 120,615 4.10 107 0.0128 % 2,575.7
Deemed-Retractible 5.13 % 5.87 % 63,533 5.37 26 -0.1353 % 2,984.2
FloatingReset 3.42 % 3.57 % 39,620 5.68 7 0.2410 % 2,848.1
Performance Highlights
Issue Index Change Notes
TRP.PR.B FixedReset -1.34 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-08-23
Maturity Price : 16.96
Evaluated at bid price : 16.96
Bid-YTW : 4.97 %
PWF.PR.Q FloatingReset 1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-08-23
Maturity Price : 21.38
Evaluated at bid price : 21.70
Bid-YTW : 3.57 %
PWF.PR.P FixedReset 1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-08-23
Maturity Price : 19.50
Evaluated at bid price : 19.50
Bid-YTW : 4.64 %
GWO.PR.N FixedReset 3.71 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.01
Bid-YTW : 7.81 %
Volume Highlights
Issue Index Shares
Traded		 Notes
TRP.PR.E FixedReset 283,700 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-08-23
Maturity Price : 22.01
Evaluated at bid price : 22.62
Bid-YTW : 5.00 %
PWF.PR.K Perpetual-Discount 128,300 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-08-23
Maturity Price : 22.14
Evaluated at bid price : 22.42
Bid-YTW : 5.56 %
TRP.PR.A FixedReset 102,328 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-08-23
Maturity Price : 20.40
Evaluated at bid price : 20.40
Bid-YTW : 5.01 %
MFC.PR.J FixedReset 68,175 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2023-03-19
Maturity Price : 25.00
Evaluated at bid price : 24.98
Bid-YTW : 4.71 %
RY.PR.W Perpetual-Discount 60,800 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-08-23
Maturity Price : 24.50
Evaluated at bid price : 24.73
Bid-YTW : 4.97 %
RY.PR.Z FixedReset 60,400 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-08-23
Maturity Price : 22.86
Evaluated at bid price : 23.50
Bid-YTW : 4.64 %
There were 18 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
BAM.PR.X FixedReset Quote: 19.05 – 19.60
Spot Rate : 0.5500
Average : 0.3783

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-08-23
Maturity Price : 19.05
Evaluated at bid price : 19.05
Bid-YTW : 4.94 %
MFC.PR.N FixedReset Quote: 23.37 – 23.79
Spot Rate : 0.4200
Average : 0.2707

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.37
Bid-YTW : 5.50 %
HSE.PR.G FixedReset Quote: 25.18 – 25.63
Spot Rate : 0.4500
Average : 0.3096

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2020-06-30
Maturity Price : 25.00
Evaluated at bid price : 25.18
Bid-YTW : 4.60 %
TD.PF.A FixedReset Quote: 23.41 – 23.78
Spot Rate : 0.3700
Average : 0.2500

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-08-23
Maturity Price : 22.91
Evaluated at bid price : 23.41
Bid-YTW : 4.70 %
HSE.PR.E FixedReset Quote: 25.30 – 25.57
Spot Rate : 0.2700
Average : 0.1554

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2020-03-31
Maturity Price : 25.00
Evaluated at bid price : 25.30
Bid-YTW : 4.18 %
MFC.PR.I FixedReset Quote: 24.80 – 25.05
Spot Rate : 0.2500
Average : 0.1581

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-09-19
Maturity Price : 25.00
Evaluated at bid price : 24.80
Bid-YTW : 4.51 %
Market Action

August 22, 2018

PerpetualDiscounts now yield 5.54%, equivalent to 7.20% interest at the standard equivalency factor of 1.3x. Long corporates now yield about 3.90%, so the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) is now about 330bp, a slight (and perhaps spurious) widening from the 325bp reported August 15.

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 0.4303 % 3,116.4
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.4303 % 5,718.4
Floater 3.47 % 3.68 % 45,954 18.07 4 0.4303 % 3,295.5
OpRet 0.00 % 0.00 % 0 0.00 0 0.2216 % 3,240.8
SplitShare 4.59 % 4.11 % 50,305 4.87 5 0.2216 % 3,870.2
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.2216 % 3,019.6
Perpetual-Premium 5.62 % -9.47 % 60,793 0.08 10 0.0433 % 2,913.3
Perpetual-Discount 5.41 % 5.54 % 56,118 14.56 25 -0.0259 % 2,991.8
FixedReset 4.31 % 4.70 % 117,678 4.08 107 0.0454 % 2,575.3
Deemed-Retractible 5.13 % 5.94 % 63,927 5.37 26 0.1404 % 2,988.3
FloatingReset 3.43 % 3.68 % 37,978 5.68 7 -0.0130 % 2,841.3
Performance Highlights
Issue Index Change Notes
GWO.PR.N FixedReset -3.27 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.33
Bid-YTW : 8.46 %
BAM.PF.G FixedReset -1.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-08-22
Maturity Price : 23.43
Evaluated at bid price : 24.51
Bid-YTW : 5.08 %
NA.PR.E FixedReset 1.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-08-22
Maturity Price : 22.87
Evaluated at bid price : 24.17
Bid-YTW : 4.83 %
RY.PR.M FixedReset 1.50 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-08-22
Maturity Price : 23.25
Evaluated at bid price : 24.33
Bid-YTW : 4.74 %
Volume Highlights
Issue Index Shares
Traded		 Notes
TRP.PR.E FixedReset 127,724 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-08-22
Maturity Price : 21.99
Evaluated at bid price : 22.59
Bid-YTW : 5.00 %
MFC.PR.J FixedReset 59,700 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2023-03-19
Maturity Price : 25.00
Evaluated at bid price : 24.98
Bid-YTW : 4.71 %
RY.PR.W Perpetual-Discount 59,300 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-08-22
Maturity Price : 24.49
Evaluated at bid price : 24.72
Bid-YTW : 4.97 %
MFC.PR.O FixedReset 53,050 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-06-19
Maturity Price : 25.00
Evaluated at bid price : 26.25
Bid-YTW : 3.59 %
GWO.PR.N FixedReset 40,559 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.33
Bid-YTW : 8.46 %
NA.PR.E FixedReset 37,425 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-08-22
Maturity Price : 22.87
Evaluated at bid price : 24.17
Bid-YTW : 4.83 %
There were 20 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
GWO.PR.N FixedReset Quote: 18.33 – 19.15
Spot Rate : 0.8200
Average : 0.4825

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.33
Bid-YTW : 8.46 %
VNR.PR.A FixedReset Quote: 24.81 – 25.32
Spot Rate : 0.5100
Average : 0.3278

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-08-22
Maturity Price : 23.17
Evaluated at bid price : 24.81
Bid-YTW : 4.91 %
BAM.PF.G FixedReset Quote: 24.51 – 24.90
Spot Rate : 0.3900
Average : 0.2367

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-08-22
Maturity Price : 23.43
Evaluated at bid price : 24.51
Bid-YTW : 5.08 %
BAM.PF.F FixedReset Quote: 24.80 – 25.10
Spot Rate : 0.3000
Average : 0.1727

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-08-22
Maturity Price : 24.43
Evaluated at bid price : 24.80
Bid-YTW : 5.10 %
MFC.PR.L FixedReset Quote: 22.80 – 23.11
Spot Rate : 0.3100
Average : 0.2398

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.80
Bid-YTW : 5.93 %
PWF.PR.P FixedReset Quote: 19.30 – 19.80
Spot Rate : 0.5000
Average : 0.4325

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-08-22
Maturity Price : 19.30
Evaluated at bid price : 19.30
Bid-YTW : 4.69 %
Market Action

August 21, 2018

HIMIPref™ Preferred Indices
These values reflect the December 2008 revision of the HIMIPref™ Indices
Values are provisional and are finalized monthly
Index Mean
Current
Yield
(at bid)		 Median
YTW		 Median
Average
Trading
Value		 Median
Mod Dur
(YTW)		 Issues Day’s Perf. Index Value
Ratchet 0.00 % 0.00 % 0 0.00 0 -0.1209 % 3,103.0
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.1209 % 5,693.9
Floater 3.48 % 3.68 % 46,045 18.06 4 -0.1209 % 3,281.4
OpRet 0.00 % 0.00 % 0 0.00 0 0.3794 % 3,233.6
SplitShare 4.60 % 4.22 % 50,733 4.88 5 0.3794 % 3,861.6
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.3794 % 3,013.0
Perpetual-Premium 5.62 % -9.65 % 61,725 0.08 10 0.0039 % 2,912.0
Perpetual-Discount 5.40 % 5.53 % 55,431 14.56 25 0.0691 % 2,992.6
FixedReset 4.31 % 4.69 % 118,699 4.08 107 0.0023 % 2,574.2
Deemed-Retractible 5.13 % 5.92 % 64,568 5.38 26 0.0775 % 2,984.1
FloatingReset 3.43 % 3.78 % 37,283 5.69 7 0.0978 % 2,841.7
Performance Highlights
Issue Index Change Notes
RY.PR.M FixedReset -1.48 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-08-21
Maturity Price : 23.09
Evaluated at bid price : 23.97
Bid-YTW : 4.82 %
PWF.PR.P FixedReset -1.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-08-21
Maturity Price : 19.31
Evaluated at bid price : 19.31
Bid-YTW : 4.68 %
IAG.PR.I FixedReset 1.00 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2023-03-31
Maturity Price : 25.00
Evaluated at bid price : 25.20
Bid-YTW : 4.80 %
GWO.PR.R Deemed-Retractible 1.03 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.49
Bid-YTW : 6.93 %
SLF.PR.H FixedReset 1.10 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.00
Bid-YTW : 5.96 %
Volume Highlights
Issue Index Shares
Traded		 Notes
BMO.PR.W FixedReset 86,400 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-08-21
Maturity Price : 22.56
Evaluated at bid price : 23.02
Bid-YTW : 4.73 %
RY.PR.H FixedReset 81,182 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-08-21
Maturity Price : 22.90
Evaluated at bid price : 23.45
Bid-YTW : 4.69 %
BMO.PR.C FixedReset 48,200 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-05-25
Maturity Price : 25.00
Evaluated at bid price : 25.34
Bid-YTW : 4.11 %
RY.PR.P Perpetual-Premium 39,650 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-08-21
Maturity Price : 24.56
Evaluated at bid price : 25.00
Bid-YTW : 5.26 %
NA.PR.S FixedReset 37,869 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-08-21
Maturity Price : 22.69
Evaluated at bid price : 23.32
Bid-YTW : 4.89 %
CM.PR.Q FixedReset 37,500 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2020-07-31
Maturity Price : 25.00
Evaluated at bid price : 24.59
Bid-YTW : 4.63 %
There were 18 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
IAG.PR.I FixedReset Quote: 25.20 – 26.20
Spot Rate : 1.0000
Average : 0.7827

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2023-03-31
Maturity Price : 25.00
Evaluated at bid price : 25.20
Bid-YTW : 4.80 %
RY.PR.M FixedReset Quote: 23.97 – 24.59
Spot Rate : 0.6200
Average : 0.4260

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-08-21
Maturity Price : 23.09
Evaluated at bid price : 23.97
Bid-YTW : 4.82 %
PWF.PR.P FixedReset Quote: 19.31 – 19.77
Spot Rate : 0.4600
Average : 0.3585

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-08-21
Maturity Price : 19.31
Evaluated at bid price : 19.31
Bid-YTW : 4.68 %
SLF.PR.I FixedReset Quote: 24.06 – 24.28
Spot Rate : 0.2200
Average : 0.1522

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.06
Bid-YTW : 5.09 %
MFC.PR.F FixedReset Quote: 18.64 – 18.96
Spot Rate : 0.3200
Average : 0.2579

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.64
Bid-YTW : 8.05 %
TD.PF.B FixedReset Quote: 23.50 – 23.70
Spot Rate : 0.2000
Average : 0.1397

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-08-21
Maturity Price : 22.93
Evaluated at bid price : 23.50
Bid-YTW : 4.71 %
Market Action

August 20, 2018

HIMIPref™ Preferred Indices
These values reflect the December 2008 revision of the HIMIPref™ Indices
Values are provisional and are finalized monthly
Index Mean
Current
Yield
(at bid)		 Median
YTW		 Median
Average
Trading
Value		 Median
Mod Dur
(YTW)		 Issues Day’s Perf. Index Value
Ratchet 0.00 % 0.00 % 0 0.00 0 0.1479 % 3,106.8
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.1479 % 5,700.8
Floater 3.48 % 3.70 % 47,725 18.03 4 0.1479 % 3,285.4
OpRet 0.00 % 0.00 % 0 0.00 0 0.2346 % 3,221.4
SplitShare 4.56 % 4.47 % 49,482 4.82 5 0.2346 % 3,847.0
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.2346 % 3,001.6
Perpetual-Premium 5.62 % -9.83 % 59,100 0.09 10 -0.0354 % 2,911.9
Perpetual-Discount 5.41 % 5.53 % 54,750 14.56 25 -0.1449 % 2,990.5
FixedReset 4.31 % 4.71 % 120,036 4.10 107 -0.1027 % 2,574.1
Deemed-Retractible 5.14 % 5.90 % 65,339 5.38 26 -0.0626 % 2,981.8
FloatingReset 3.43 % 3.79 % 34,518 5.69 7 -0.0586 % 2,838.9
Performance Highlights
Issue Index Change Notes
GWO.PR.R Deemed-Retractible -1.20 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.26
Bid-YTW : 7.12 %
IAG.PR.I FixedReset -1.19 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.95
Bid-YTW : 5.02 %
MFC.PR.G FixedReset 1.24 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-12-19
Maturity Price : 25.00
Evaluated at bid price : 24.49
Bid-YTW : 4.47 %
TRP.PR.G FixedReset 1.55 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-08-20
Maturity Price : 23.18
Evaluated at bid price : 24.18
Bid-YTW : 5.10 %
Volume Highlights
Issue Index Shares
Traded		 Notes
GWO.PR.F Deemed-Retractible 38,134 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2018-09-19
Maturity Price : 25.00
Evaluated at bid price : 25.82
Bid-YTW : -22.14 %
TD.PF.C FixedReset 21,143 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-08-20
Maturity Price : 22.98
Evaluated at bid price : 23.42
Bid-YTW : 4.69 %
MFC.PR.H FixedReset 20,300 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-03-19
Maturity Price : 25.00
Evaluated at bid price : 25.15
Bid-YTW : 4.98 %
CM.PR.P FixedReset 18,676 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-08-20
Maturity Price : 22.70
Evaluated at bid price : 23.13
Bid-YTW : 4.73 %
BMO.PR.M FixedReset 18,100 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2018-09-24
Maturity Price : 25.00
Evaluated at bid price : 24.99
Bid-YTW : 3.35 %
IFC.PR.G FixedReset 15,160 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 25.03
Bid-YTW : 4.78 %
There were 8 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
PVS.PR.F SplitShare Quote: 25.90 – 26.45
Spot Rate : 0.5500
Average : 0.3584

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2024-09-30
Maturity Price : 25.00
Evaluated at bid price : 25.90
Bid-YTW : 4.33 %
BAM.PR.X FixedReset Quote: 19.07 – 19.60
Spot Rate : 0.5300
Average : 0.3918

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-08-20
Maturity Price : 19.07
Evaluated at bid price : 19.07
Bid-YTW : 4.93 %
HSE.PR.G FixedReset Quote: 25.23 – 25.50
Spot Rate : 0.2700
Average : 0.1991

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2020-06-30
Maturity Price : 25.00
Evaluated at bid price : 25.23
Bid-YTW : 4.47 %
CU.PR.C FixedReset Quote: 22.39 – 22.75
Spot Rate : 0.3600
Average : 0.2912

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-08-20
Maturity Price : 21.97
Evaluated at bid price : 22.39
Bid-YTW : 4.83 %
SLF.PR.H FixedReset Quote: 21.76 – 22.08
Spot Rate : 0.3200
Average : 0.2544

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.76
Bid-YTW : 6.16 %
TRP.PR.C FixedReset Quote: 17.54 – 17.75
Spot Rate : 0.2100
Average : 0.1455

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-08-20
Maturity Price : 17.54
Evaluated at bid price : 17.54
Bid-YTW : 5.07 %
Market Action

August 16, 2018

Apparently there’s another “mini-tender” offer being made by TRC Capital:

TransCanada Corporation (TSX, NYSE: TRP) (TransCanada) has been notified of an unsolicited mini-tender offer by TRC Capital Corporation (TRC Capital) to purchase up to 2,500,000 common shares of TransCanada, representing approximately 0.28 per cent of TransCanada’s outstanding common shares at a price of CDN $55.35 per common share. TransCanada does not endorse this unsolicited mini-tender offer.

Shareholders are cautioned that the mini-tender offer has been made at a 4.32 per cent discount to the closing price of TransCanada’s common shares on the Toronto Stock Exchange on August 14, 2018, the last trading day before the mini-tender offer was announced.

Any person considering tendering to the offer should consult his or her financial advisor.

TransCanada does not endorse TRC Capital’s unsolicited mini-tender offer and is not associated with TRC Capital, the mini-tender offer, or the offer documentation. TRC Capital has made similar unsolicited mini-tender offers for shares of other companies.

The Financial Post did a piece on a similar offer a few years back for Enbridge stock (emphasis added):

Shareholders sometimes accept a below-market mini tender to avoid paying brokerage commissions for trading their shares and are therefore willing to accept a discount. However, a CSA advisory notes this is a very limited circumstance.

“These are bad news, I would say,” University of Calgary finance professor Ari Pandes said, calling mini-tender offers an “unscrupulous and unethical tactic.”

He said mini tenders often catch investors “off-guard” and cause them to “push the panic button so that some investors decide to sell.”

“The important thing is for the companies to get on top of it quickly,” Pandes said. He said companies should warn their shareholders not to accept the mini-tenders before retail investors, who might not do their homework, accept the offer.
…
Lorne Albaum, a Toronto securities lawyer who heads TRC Capital, did not respond to a request for comment.

The practice is discussed in CSA Staff Notice 61-301, issued in 1999.

Well, I won’t be doing any business with Lorne Albaum, I can tell you that much! Nor, I hope, with any entity that has done business with him!

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 0.1757 % 3,092.2
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.1757 % 5,674.0
Floater 3.49 % 3.72 % 50,197 17.99 4 0.1757 % 3,270.0
OpRet 0.00 % 0.00 % 0 0.00 0 0.0866 % 3,214.8
SplitShare 4.57 % 4.75 % 48,396 4.83 5 0.0866 % 3,839.2
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0866 % 2,995.5
Perpetual-Premium 5.62 % -10.55 % 56,809 0.09 10 -0.0157 % 2,913.7
Perpetual-Discount 5.40 % 5.52 % 55,889 14.59 25 0.0881 % 2,994.0
FixedReset 4.30 % 4.78 % 118,165 3.91 107 0.0656 % 2,574.1
Deemed-Retractible 5.13 % 5.93 % 61,351 5.39 26 -0.0951 % 2,980.5
FloatingReset 3.43 % 3.77 % 34,789 5.70 7 0.0456 % 2,841.5
Performance Highlights
Issue Index Change Notes
GWO.PR.R Deemed-Retractible -1.37 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.27
Bid-YTW : 7.10 %
TRP.PR.J FixedReset -1.18 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-05-31
Maturity Price : 25.00
Evaluated at bid price : 26.00
Bid-YTW : 3.91 %
BAM.PR.K Floater -1.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-08-16
Maturity Price : 17.40
Evaluated at bid price : 17.40
Bid-YTW : 3.76 %
EMA.PR.H FixedReset 1.11 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2023-08-15
Maturity Price : 25.00
Evaluated at bid price : 25.43
Bid-YTW : 4.54 %
PWF.PR.A Floater 1.60 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-08-16
Maturity Price : 21.28
Evaluated at bid price : 21.55
Bid-YTW : 2.99 %
Volume Highlights
Issue Index Shares
Traded		 Notes
NA.PR.E FixedReset 179,600 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-08-16
Maturity Price : 22.82
Evaluated at bid price : 24.06
Bid-YTW : 4.94 %
BMO.PR.W FixedReset 93,600 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-08-16
Maturity Price : 22.58
Evaluated at bid price : 23.04
Bid-YTW : 4.83 %
PWF.PR.K Perpetual-Discount 70,800 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-08-16
Maturity Price : 22.12
Evaluated at bid price : 22.40
Bid-YTW : 5.56 %
NA.PR.S FixedReset 67,530 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-08-16
Maturity Price : 22.86
Evaluated at bid price : 23.50
Bid-YTW : 4.96 %
TD.PF.H FixedReset 66,152 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-10-31
Maturity Price : 25.00
Evaluated at bid price : 26.02
Bid-YTW : 3.58 %
POW.PR.G Perpetual-Premium 56,128 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-04-15
Maturity Price : 25.00
Evaluated at bid price : 25.29
Bid-YTW : 5.35 %
There were 19 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
BAM.PR.X FixedReset Quote: 19.05 – 19.60
Spot Rate : 0.5500
Average : 0.3504

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-08-16
Maturity Price : 19.05
Evaluated at bid price : 19.05
Bid-YTW : 5.04 %
TRP.PR.J FixedReset Quote: 26.00 – 26.39
Spot Rate : 0.3900
Average : 0.2416

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-05-31
Maturity Price : 25.00
Evaluated at bid price : 26.00
Bid-YTW : 3.91 %
W.PR.M FixedReset Quote: 25.90 – 26.35
Spot Rate : 0.4500
Average : 0.3142

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-10-15
Maturity Price : 25.00
Evaluated at bid price : 25.90
Bid-YTW : 4.15 %
GWO.PR.R Deemed-Retractible Quote: 22.27 – 22.65
Spot Rate : 0.3800
Average : 0.2548

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.27
Bid-YTW : 7.10 %
BAM.PR.K Floater Quote: 17.40 – 17.78
Spot Rate : 0.3800
Average : 0.2588

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-08-16
Maturity Price : 17.40
Evaluated at bid price : 17.40
Bid-YTW : 3.76 %
IAG.PR.I FixedReset Quote: 25.25 – 26.25
Spot Rate : 1.0000
Average : 0.8806

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2023-03-31
Maturity Price : 25.00
Evaluated at bid price : 25.25
Bid-YTW : 4.74 %
Market Action

August 15, 2018

PerpetualDiscounts now yield 5.53%, equivalent to 7.19% interest at the standard equivalency factor of 1.3x. Long corporates now yield about 3.95%, so the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) is now about 325bp, a slight (and perhaps spurious) widening from the 320bp reported August 8.

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 -0.2965 % 3,086.8
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.2965 % 5,664.0
Floater 3.50 % 3.71 % 50,096 18.00 4 -0.2965 % 3,264.2
OpRet 0.00 % 0.00 % 0 0.00 0 0.0157 % 3,212.1
SplitShare 4.57 % 4.72 % 49,063 4.83 5 0.0157 % 3,835.9
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0157 % 2,992.9
Perpetual-Premium 5.62 % -11.35 % 55,271 0.09 10 0.0590 % 2,914.2
Perpetual-Discount 5.41 % 5.53 % 56,587 14.58 25 0.0778 % 2,991.4
FixedReset 4.31 % 4.78 % 117,599 3.92 107 -0.0795 % 2,572.4
Deemed-Retractible 5.13 % 6.04 % 56,919 5.39 26 0.0952 % 2,983.3
FloatingReset 3.43 % 3.77 % 34,813 5.70 7 -0.1496 % 2,840.2
Performance Highlights
Issue Index Change Notes
EMA.PR.H FixedReset -1.37 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-08-15
Maturity Price : 23.21
Evaluated at bid price : 25.15
Bid-YTW : 4.78 %
SLF.PR.H FixedReset -1.05 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.77
Bid-YTW : 6.19 %
Volume Highlights
Issue Index Shares
Traded		 Notes
BMO.PR.C FixedReset 106,600 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-05-25
Maturity Price : 25.00
Evaluated at bid price : 25.28
Bid-YTW : 4.16 %
TD.PF.B FixedReset 85,800 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-08-15
Maturity Price : 22.93
Evaluated at bid price : 23.50
Bid-YTW : 4.82 %
TRP.PR.E FixedReset 79,037 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-08-15
Maturity Price : 21.85
Evaluated at bid price : 22.36
Bid-YTW : 5.17 %
RY.PR.P Perpetual-Premium 64,880 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-02-24
Maturity Price : 25.00
Evaluated at bid price : 25.10
Bid-YTW : 5.18 %
CU.PR.H Perpetual-Discount 47,700 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-08-15
Maturity Price : 23.85
Evaluated at bid price : 24.30
Bid-YTW : 5.40 %
MFC.PR.C Deemed-Retractible 45,575 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.23
Bid-YTW : 7.68 %
There were 19 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
IAG.PR.I FixedReset Quote: 25.25 – 26.25
Spot Rate : 1.0000
Average : 0.7497

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2023-03-31
Maturity Price : 25.00
Evaluated at bid price : 25.25
Bid-YTW : 4.73 %
MFC.PR.L FixedReset Quote: 22.88 – 23.68
Spot Rate : 0.8000
Average : 0.5684

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.88
Bid-YTW : 6.14 %
MFC.PR.R FixedReset Quote: 26.07 – 26.42
Spot Rate : 0.3500
Average : 0.2057

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-03-19
Maturity Price : 25.00
Evaluated at bid price : 26.07
Bid-YTW : 3.81 %
MFC.PR.K FixedReset Quote: 23.00 – 23.50
Spot Rate : 0.5000
Average : 0.3586

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.00
Bid-YTW : 6.19 %
BAM.PR.T FixedReset Quote: 21.11 – 21.48
Spot Rate : 0.3700
Average : 0.2669

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-08-15
Maturity Price : 21.11
Evaluated at bid price : 21.11
Bid-YTW : 5.22 %
PWF.PR.A Floater Quote: 21.21 – 21.55
Spot Rate : 0.3400
Average : 0.2412

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-08-15
Maturity Price : 21.21
Evaluated at bid price : 21.21
Bid-YTW : 3.05 %
Market Action

August 14, 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 -0.4962 % 3,095.9
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.4962 % 5,680.9
Floater 3.49 % 3.71 % 50,904 18.01 4 -0.4962 % 3,273.9
OpRet 0.00 % 0.00 % 0 0.00 0 -0.0551 % 3,211.6
SplitShare 4.57 % 4.69 % 49,250 4.84 5 -0.0551 % 3,835.3
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.0551 % 2,992.4
Perpetual-Premium 5.62 % -10.91 % 57,447 0.09 10 0.0157 % 2,912.5
Perpetual-Discount 5.41 % 5.53 % 58,450 14.58 25 -0.0536 % 2,989.1
FixedReset 4.30 % 4.78 % 127,361 3.91 107 -0.0288 % 2,574.4
Deemed-Retractible 5.13 % 5.96 % 58,739 5.39 26 -0.1016 % 2,980.5
FloatingReset 3.43 % 3.65 % 32,230 5.71 7 0.0195 % 2,844.4
Performance Highlights
Issue Index Change Notes
No individual gains or losses exceeding 1%!
Volume Highlights
Issue Index Shares
Traded		 Notes
TRP.PR.K FixedReset 112,400 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-05-31
Maturity Price : 25.00
Evaluated at bid price : 25.90
Bid-YTW : 3.83 %
TD.PF.B FixedReset 104,990 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-08-14
Maturity Price : 23.08
Evaluated at bid price : 23.65
Bid-YTW : 4.79 %
GWO.PR.G Deemed-Retractible 104,100 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.04
Bid-YTW : 6.09 %
GWO.PR.Q Deemed-Retractible 53,400 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.92
Bid-YTW : 6.13 %
MFC.PR.R FixedReset 52,632 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-03-19
Maturity Price : 25.00
Evaluated at bid price : 26.07
Bid-YTW : 3.81 %
RY.PR.R FixedReset 52,620 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-08-24
Maturity Price : 25.00
Evaluated at bid price : 26.45
Bid-YTW : 3.44 %
There were 15 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
EMA.PR.F FixedReset Quote: 24.15 – 25.00
Spot Rate : 0.8500
Average : 0.5210

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-08-14
Maturity Price : 23.76
Evaluated at bid price : 24.15
Bid-YTW : 5.04 %
MFC.PR.N FixedReset Quote: 23.75 – 24.37
Spot Rate : 0.6200
Average : 0.4599

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.75
Bid-YTW : 5.45 %
CM.PR.O FixedReset Quote: 23.44 – 23.88
Spot Rate : 0.4400
Average : 0.2921

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-08-14
Maturity Price : 22.88
Evaluated at bid price : 23.44
Bid-YTW : 4.88 %
CM.PR.Q FixedReset Quote: 24.45 – 24.75
Spot Rate : 0.3000
Average : 0.1869

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2020-07-31
Maturity Price : 25.00
Evaluated at bid price : 24.45
Bid-YTW : 4.89 %
MFC.PR.G FixedReset Quote: 24.50 – 24.95
Spot Rate : 0.4500
Average : 0.3462

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-12-19
Maturity Price : 25.00
Evaluated at bid price : 24.50
Bid-YTW : 4.76 %
RY.PR.H FixedReset Quote: 23.57 – 23.88
Spot Rate : 0.3100
Average : 0.2064

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-08-14
Maturity Price : 23.02
Evaluated at bid price : 23.57
Bid-YTW : 4.78 %