Category: Market Action

Market Action

August 13, 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 0.2959 % 3,111.4
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.2959 % 5,709.2
Floater 3.47 % 3.69 % 50,042 18.05 4 0.2959 % 3,290.2
OpRet 0.00 % 0.00 % 0 0.00 0 0.0315 % 3,213.3
SplitShare 4.57 % 4.66 % 50,974 4.84 5 0.0315 % 3,837.4
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0315 % 2,994.1
Perpetual-Premium 5.62 % -10.64 % 57,689 0.09 10 0.0315 % 2,912.0
Perpetual-Discount 5.41 % 5.53 % 57,260 14.58 25 0.0449 % 2,990.7
FixedReset 4.30 % 4.75 % 128,643 3.91 107 -0.0666 % 2,575.2
Deemed-Retractible 5.13 % 5.96 % 56,045 5.40 26 0.0516 % 2,983.5
FloatingReset 3.43 % 3.65 % 32,247 5.71 7 0.1042 % 2,843.9
Performance Highlights
Issue Index Change Notes
TRP.PR.B FixedReset -1.51 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-08-13
Maturity Price : 16.98
Evaluated at bid price : 16.98
Bid-YTW : 5.10 %
TD.PF.A FixedReset -1.39 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-08-13
Maturity Price : 22.92
Evaluated at bid price : 23.41
Bid-YTW : 4.80 %
MFC.PR.L FixedReset -1.25 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.87
Bid-YTW : 6.14 %
TD.PF.E FixedReset -1.17 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2020-10-31
Maturity Price : 25.00
Evaluated at bid price : 24.56
Bid-YTW : 4.62 %
TRP.PR.H FloatingReset -1.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-08-13
Maturity Price : 17.13
Evaluated at bid price : 17.13
Bid-YTW : 4.10 %
TRP.PR.F FloatingReset 1.56 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-08-13
Maturity Price : 20.80
Evaluated at bid price : 20.80
Bid-YTW : 4.15 %
Volume Highlights
Issue Index Shares
Traded		 Notes
BMO.PR.R FloatingReset 333,878 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2018-09-24
Maturity Price : 25.00
Evaluated at bid price : 24.97
Bid-YTW : 1.05 %
BNS.PR.G FixedReset 106,912 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-07-25
Maturity Price : 25.00
Evaluated at bid price : 26.43
Bid-YTW : 3.55 %
TD.PF.H FixedReset 69,045 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-10-31
Maturity Price : 25.00
Evaluated at bid price : 25.96
Bid-YTW : 3.65 %
BAM.PR.Z FixedReset 53,812 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-12-31
Maturity Price : 25.00
Evaluated at bid price : 24.86
Bid-YTW : 5.00 %
EMA.PR.H FixedReset 45,200 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2023-08-15
Maturity Price : 25.00
Evaluated at bid price : 25.55
Bid-YTW : 4.43 %
BAM.PF.F FixedReset 41,600 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-08-13
Maturity Price : 24.57
Evaluated at bid price : 24.90
Bid-YTW : 5.18 %
There were 15 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 : 0.6235

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2023-03-31
Maturity Price : 25.00
Evaluated at bid price : 25.25
Bid-YTW : 4.73 %
VNR.PR.A FixedReset Quote: 24.80 – 25.35
Spot Rate : 0.5500
Average : 0.4060

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-10-15
Maturity Price : 25.00
Evaluated at bid price : 24.80
Bid-YTW : 4.96 %
HSE.PR.C FixedReset Quote: 24.85 – 25.25
Spot Rate : 0.4000
Average : 0.2734

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-08-13
Maturity Price : 23.71
Evaluated at bid price : 24.85
Bid-YTW : 5.38 %
TD.PF.E FixedReset Quote: 24.56 – 24.89
Spot Rate : 0.3300
Average : 0.2124

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2020-10-31
Maturity Price : 25.00
Evaluated at bid price : 24.56
Bid-YTW : 4.62 %
EIT.PR.B SplitShare Quote: 25.17 – 25.57
Spot Rate : 0.4000
Average : 0.2906

YTW SCENARIO
Maturity Type : Soft Maturity
Maturity Date : 2025-03-14
Maturity Price : 25.00
Evaluated at bid price : 25.17
Bid-YTW : 4.84 %
TD.PF.A FixedReset Quote: 23.41 – 23.70
Spot Rate : 0.2900
Average : 0.1851

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-08-13
Maturity Price : 22.92
Evaluated at bid price : 23.41
Bid-YTW : 4.80 %
Market Action

August 10, 2018

Jobs, jobs, … part-time civil-service jobs!:

The Canadian economy added about 54,000 new jobs last month, causing the jobless rate to fall two-tenths of a percentage point to 5.8 per cent.

Statistics Canada said Friday that the economy added 82,000 part-time jobs, but that figure was offset by a loss of 28,000 full-time positions.

The public sector added 49,600 new jobs, while the private sector added 5,200 positions.

I was amused to see that everybody’s favourite whipping boys, the Credit Rating Agencies, received another touch of the lash today:

The lira has long been falling on worries about Erdogan’s influence over monetary policy and worsening relations with the United States. That turned into a rout on Friday, with the lira diving more than 18 percent at one point, the biggest one-day drop since Turkey’s 2001 financial crisis.

It has also lost more than 40 percent this year, hitting a new record low after Trump took steps to punish Turkey in a wide-ranging dispute.
…
Erdogan’s characteristic defiance in the face of the crisis has further unnerved investors. The president, who says a shadowy “interest rate lobby” and Western credit ratings agencies are attempting to bring down Turkey’s economy, appealed to Turks’ patriotism.

Perhaps Mr. Erdogan and his boys will pay them a friendly visit.

… and now it’s time for me to get to work on PrefLetter!

HIMIPref™ Preferred Indices
These values reflect the December 2008 revision of the HIMIPref™ Indices
Values are provisional and are finalized monthly
Index Mean
Current
Yield
(at bid)		 Median
YTW		 Median
Average
Trading
Value		 Median
Mod Dur
(YTW)		 Issues Day’s Perf. Index Value
Ratchet 0.00 % 0.00 % 0 0.00 0 -0.0538 % 3,102.2
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.0538 % 5,692.4
Floater 3.48 % 3.69 % 51,821 18.05 4 -0.0538 % 3,280.5
OpRet 0.00 % 0.00 % 0 0.00 0 0.0079 % 3,212.3
SplitShare 4.57 % 4.38 % 47,201 4.85 5 0.0079 % 3,836.2
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0079 % 2,993.1
Perpetual-Premium 5.62 % -10.73 % 58,245 0.09 10 -0.0551 % 2,911.1
Perpetual-Discount 5.41 % 5.52 % 57,858 14.59 25 -0.1174 % 2,989.3
FixedReset 4.29 % 4.75 % 130,201 3.87 107 -0.2178 % 2,576.9
Deemed-Retractible 5.13 % 5.88 % 56,452 5.41 26 -0.0129 % 2,982.0
FloatingReset 3.43 % 3.63 % 29,850 5.72 7 0.1500 % 2,840.9
Performance Highlights
Issue Index Change Notes
BIP.PR.E FixedReset -1.38 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2023-03-31
Maturity Price : 25.00
Evaluated at bid price : 25.03
Bid-YTW : 5.14 %
MFC.PR.O FixedReset -1.27 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-06-19
Maturity Price : 25.00
Evaluated at bid price : 26.35
Bid-YTW : 3.91 %
HSE.PR.A FixedReset -1.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-08-10
Maturity Price : 17.71
Evaluated at bid price : 17.71
Bid-YTW : 5.36 %
MFC.PR.N FixedReset -1.17 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.75
Bid-YTW : 5.44 %
GWO.PR.N FixedReset -1.05 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.85
Bid-YTW : 7.98 %
TRP.PR.B FixedReset 1.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-08-10
Maturity Price : 17.24
Evaluated at bid price : 17.24
Bid-YTW : 5.02 %
TRP.PR.H FloatingReset 1.35 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-08-10
Maturity Price : 17.32
Evaluated at bid price : 17.32
Bid-YTW : 4.05 %
Volume Highlights
Issue Index Shares
Traded		 Notes
TD.PF.C FixedReset 152,846 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-08-10
Maturity Price : 23.06
Evaluated at bid price : 23.50
Bid-YTW : 4.77 %
CM.PR.R FixedReset 109,963 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-07-31
Maturity Price : 25.00
Evaluated at bid price : 25.30
Bid-YTW : 4.13 %
NA.PR.S FixedReset 72,200 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-08-10
Maturity Price : 22.82
Evaluated at bid price : 23.45
Bid-YTW : 4.96 %
BNS.PR.R FixedReset 43,200 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2019-01-26
Maturity Price : 25.00
Evaluated at bid price : 25.13
Bid-YTW : 3.01 %
CM.PR.P FixedReset 38,270 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-08-10
Maturity Price : 22.68
Evaluated at bid price : 23.10
Bid-YTW : 4.84 %
TD.PF.I FixedReset 38,211 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-10-31
Maturity Price : 25.00
Evaluated at bid price : 25.40
Bid-YTW : 4.14 %
There were 17 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: 24.29 – 24.58
Spot Rate : 0.2900
Average : 0.1926

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.29
Bid-YTW : 5.88 %
MFC.PR.O FixedReset Quote: 26.35 – 26.58
Spot Rate : 0.2300
Average : 0.1379

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-06-19
Maturity Price : 25.00
Evaluated at bid price : 26.35
Bid-YTW : 3.91 %
TRP.PR.G FixedReset Quote: 24.30 – 24.50
Spot Rate : 0.2000
Average : 0.1303

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-08-10
Maturity Price : 23.23
Evaluated at bid price : 24.30
Bid-YTW : 5.23 %
BAM.PR.N Perpetual-Discount Quote: 20.80 – 20.98
Spot Rate : 0.1800
Average : 0.1140

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-08-10
Maturity Price : 20.80
Evaluated at bid price : 20.80
Bid-YTW : 5.79 %
GWO.PR.R Deemed-Retractible Quote: 22.38 – 22.55
Spot Rate : 0.1700
Average : 0.1057

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.38
Bid-YTW : 6.98 %
TD.PF.J FixedReset Quote: 25.50 – 25.70
Spot Rate : 0.2000
Average : 0.1364

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2023-04-30
Maturity Price : 25.00
Evaluated at bid price : 25.50
Bid-YTW : 4.28 %
Market Action

August 9, 2018

FinTech, eh?

Mobile trading apps and web platforms are much less secure than banking apps, according to a report from U.S. cybersecurity firm IOActive Inc., which found a variety of vulnerabilities in a series of recent tests.

Overall, the firm reports, its tests of the security on a variety of brokerage firms’ trading apps, which were carried out from mid-2017 to mid-2018, found brokers’ security measures to be much weaker than comparable banking apps. Among other things, it found weaknesses with encryption, denial of service and authentication measures.

In particular, it found desktop apps and mobile apps that transmitted some data unencrypted, including passwords and certain personal information. It also found passwords that are stored unencrypted, which could be vulnerable to hackers.

The company’s blog post about this, which includes a link to the full report, is titled Are You Trading Stocks Securely? Exposing Security Flaws in Trading Technologies.

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 -0.6544 % 3,103.9
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.6544 % 5,695.4
Floater 3.48 % 3.69 % 51,688 18.06 4 -0.6544 % 3,282.3
OpRet 0.00 % 0.00 % 0 0.00 0 0.0236 % 3,212.1
SplitShare 4.57 % 4.38 % 47,959 4.85 5 0.0236 % 3,835.9
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0236 % 2,992.9
Perpetual-Premium 5.62 % -11.36 % 59,130 0.09 10 0.0197 % 2,912.7
Perpetual-Discount 5.40 % 5.51 % 60,051 14.62 25 0.2024 % 2,992.8
FixedReset 4.28 % 4.71 % 129,777 3.77 107 0.2440 % 2,582.5
Deemed-Retractible 5.13 % 5.88 % 55,289 5.41 26 0.2037 % 2,982.4
FloatingReset 3.35 % 3.53 % 29,650 5.74 7 -0.0391 % 2,836.7
Performance Highlights
Issue Index Change Notes
BAM.PR.B Floater -1.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-08-09
Maturity Price : 17.69
Evaluated at bid price : 17.69
Bid-YTW : 3.69 %
NA.PR.E FixedReset 1.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-08-09
Maturity Price : 22.84
Evaluated at bid price : 24.12
Bid-YTW : 4.91 %
TRP.PR.D FixedReset 1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-08-09
Maturity Price : 22.16
Evaluated at bid price : 22.85
Bid-YTW : 5.06 %
HSE.PR.A FixedReset 1.30 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-08-09
Maturity Price : 17.93
Evaluated at bid price : 17.93
Bid-YTW : 5.27 %
Volume Highlights
Issue Index Shares
Traded		 Notes
GWO.PR.Q Deemed-Retractible 154,400 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.85
Bid-YTW : 6.17 %
NA.PR.E FixedReset 142,319 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-08-09
Maturity Price : 22.84
Evaluated at bid price : 24.12
Bid-YTW : 4.91 %
CM.PR.S FixedReset 122,470 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-08-09
Maturity Price : 22.82
Evaluated at bid price : 24.01
Bid-YTW : 4.82 %
TRP.PR.C FixedReset 75,715 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-08-09
Maturity Price : 17.79
Evaluated at bid price : 17.79
Bid-YTW : 5.10 %
MFC.PR.Q FixedReset 66,210 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2023-06-19
Maturity Price : 25.00
Evaluated at bid price : 25.10
Bid-YTW : 4.79 %
CM.PR.R FixedReset 61,656 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-07-31
Maturity Price : 25.00
Evaluated at bid price : 25.35
Bid-YTW : 4.07 %
There were 29 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
MFC.PR.N FixedReset Quote: 24.03 – 24.50
Spot Rate : 0.4700
Average : 0.2737

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.03
Bid-YTW : 5.21 %
MFC.PR.R FixedReset Quote: 26.17 – 26.45
Spot Rate : 0.2800
Average : 0.1731

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-03-19
Maturity Price : 25.00
Evaluated at bid price : 26.17
Bid-YTW : 3.67 %
VNR.PR.A FixedReset Quote: 24.80 – 25.14
Spot Rate : 0.3400
Average : 0.2568

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-10-15
Maturity Price : 25.00
Evaluated at bid price : 24.80
Bid-YTW : 4.95 %
CM.PR.S FixedReset Quote: 24.01 – 24.24
Spot Rate : 0.2300
Average : 0.1511

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-08-09
Maturity Price : 22.82
Evaluated at bid price : 24.01
Bid-YTW : 4.82 %
BAM.PR.T FixedReset Quote: 21.25 – 21.48
Spot Rate : 0.2300
Average : 0.1547

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-08-09
Maturity Price : 21.25
Evaluated at bid price : 21.25
Bid-YTW : 5.17 %
TRP.PR.H FloatingReset Quote: 17.09 – 17.42
Spot Rate : 0.3300
Average : 0.2605

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-08-09
Maturity Price : 17.09
Evaluated at bid price : 17.09
Bid-YTW : 4.00 %
Market Action

August 8, 2018

PerpetualDiscounts now yield 5.53%, equivalent to 7.19% interest at the standard equivalency factor of 1.3x. Long corporates now yield a little over 4.00%, so the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) is now about 320bp, unchanged from August 1.

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 0.3350 % 3,124.3
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.3350 % 5,733.0
Floater 3.46 % 3.65 % 53,614 18.15 4 0.3350 % 3,303.9
OpRet 0.00 % 0.00 % 0 0.00 0 -0.0551 % 3,211.3
SplitShare 4.57 % 4.38 % 47,761 4.85 5 -0.0551 % 3,835.0
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.0551 % 2,992.2
Perpetual-Premium 5.62 % -11.09 % 59,610 0.09 10 -0.0157 % 2,912.1
Perpetual-Discount 5.40 % 5.53 % 56,651 14.60 25 0.0138 % 2,986.8
FixedReset 4.29 % 4.74 % 128,026 3.84 107 0.1093 % 2,576.2
Deemed-Retractible 5.14 % 5.98 % 55,704 5.41 26 0.0793 % 2,976.3
FloatingReset 3.35 % 3.55 % 30,735 5.74 7 -0.0521 % 2,837.8
Performance Highlights
Issue Index Change Notes
HSE.PR.A FixedReset -1.28 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-08-08
Maturity Price : 17.70
Evaluated at bid price : 17.70
Bid-YTW : 5.34 %
BAM.PF.B FixedReset 1.27 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-08-08
Maturity Price : 23.26
Evaluated at bid price : 23.95
Bid-YTW : 5.10 %
CU.PR.G Perpetual-Discount 1.33 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-08-08
Maturity Price : 21.34
Evaluated at bid price : 21.34
Bid-YTW : 5.37 %
MFC.PR.L FixedReset 8.87 % Mostly reversing yesterday‘s reported loss of 4.93% – but still basically flat on the month-to-date.
YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.08
Bid-YTW : 5.94 %
Volume Highlights
Issue Index Shares
Traded		 Notes
BNS.PR.G FixedReset 103,721 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-07-25
Maturity Price : 25.00
Evaluated at bid price : 26.39
Bid-YTW : 3.59 %
TD.PF.C FixedReset 103,642 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-08-08
Maturity Price : 23.08
Evaluated at bid price : 23.51
Bid-YTW : 4.75 %
CM.PR.O FixedReset 103,312 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-08-08
Maturity Price : 22.89
Evaluated at bid price : 23.45
Bid-YTW : 4.85 %
PWF.PR.L Perpetual-Discount 101,375 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-08-08
Maturity Price : 22.81
Evaluated at bid price : 23.09
Bid-YTW : 5.55 %
PWF.PR.F Perpetual-Discount 99,086 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-08-08
Maturity Price : 23.48
Evaluated at bid price : 23.75
Bid-YTW : 5.56 %
BIP.PR.B FixedReset 90,822 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2020-12-31
Maturity Price : 25.00
Evaluated at bid price : 25.62
Bid-YTW : 4.68 %
There were 31 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
CM.PR.P FixedReset Quote: 23.06 – 23.35
Spot Rate : 0.2900
Average : 0.1904

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-08-08
Maturity Price : 22.64
Evaluated at bid price : 23.06
Bid-YTW : 4.82 %
EIT.PR.A SplitShare Quote: 25.24 – 25.59
Spot Rate : 0.3500
Average : 0.2639

YTW SCENARIO
Maturity Type : Soft Maturity
Maturity Date : 2024-03-14
Maturity Price : 25.00
Evaluated at bid price : 25.24
Bid-YTW : 4.78 %
MFC.PR.J FixedReset Quote: 25.11 – 25.40
Spot Rate : 0.2900
Average : 0.2072

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2023-03-19
Maturity Price : 25.00
Evaluated at bid price : 25.11
Bid-YTW : 4.92 %
EMA.PR.H FixedReset Quote: 25.55 – 25.85
Spot Rate : 0.3000
Average : 0.2202

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2023-08-15
Maturity Price : 25.00
Evaluated at bid price : 25.55
Bid-YTW : 4.41 %
RY.PR.H FixedReset Quote: 23.60 – 23.89
Spot Rate : 0.2900
Average : 0.2109

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-08-08
Maturity Price : 23.06
Evaluated at bid price : 23.60
Bid-YTW : 4.75 %
TRP.PR.H FloatingReset Quote: 17.17 – 17.43
Spot Rate : 0.2600
Average : 0.1843

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-08-08
Maturity Price : 17.17
Evaluated at bid price : 17.17
Bid-YTW : 3.98 %
Market Action

August 7, 2018

HIMIPref™ Preferred Indices
These values reflect the December 2008 revision of the HIMIPref™ Indices
Values are provisional and are finalized monthly
Index Mean
Current
Yield
(at bid)		 Median
YTW		 Median
Average
Trading
Value		 Median
Mod Dur
(YTW)		 Issues Day’s Perf. Index Value
Ratchet 0.00 % 0.00 % 0 0.00 0 -0.2006 % 3,113.9
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.2006 % 5,713.8
Floater 3.47 % 3.67 % 54,235 18.10 4 -0.2006 % 3,292.9
OpRet 0.00 % 0.00 % 0 0.00 0 -0.0079 % 3,213.1
SplitShare 4.57 % 4.37 % 47,357 4.86 5 -0.0079 % 3,837.1
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.0079 % 2,993.9
Perpetual-Premium 5.62 % -11.72 % 59,838 0.09 10 -0.0433 % 2,912.6
Perpetual-Discount 5.40 % 5.53 % 53,872 14.61 25 0.0224 % 2,986.4
FixedReset 4.30 % 4.73 % 128,385 3.84 107 0.0702 % 2,573.4
Deemed-Retractible 5.15 % 6.07 % 57,898 5.41 26 -0.0226 % 2,974.0
FloatingReset 3.35 % 3.55 % 31,110 5.75 7 0.2221 % 2,839.3
Performance Highlights
Issue Index Change Notes
MFC.PR.L FixedReset -4.93 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.20
Bid-YTW : 7.51 %
CU.PR.G Perpetual-Discount -1.40 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-08-07
Maturity Price : 21.06
Evaluated at bid price : 21.06
Bid-YTW : 5.44 %
BIP.PR.A FixedReset -1.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-08-07
Maturity Price : 23.67
Evaluated at bid price : 24.00
Bid-YTW : 5.98 %
EMA.PR.C FixedReset 1.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-08-07
Maturity Price : 22.83
Evaluated at bid price : 24.12
Bid-YTW : 5.04 %
BAM.PF.F FixedReset 1.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-08-07
Maturity Price : 23.84
Evaluated at bid price : 24.95
Bid-YTW : 5.10 %
TD.PF.E FixedReset 1.60 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2020-10-31
Maturity Price : 25.00
Evaluated at bid price : 24.79
Bid-YTW : 4.14 %
Volume Highlights
Issue Index Shares
Traded		 Notes
BMO.PR.Q FixedReset 225,550 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.12
Bid-YTW : 4.35 %
TD.PF.D FixedReset 71,816 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2020-07-31
Maturity Price : 25.00
Evaluated at bid price : 24.57
Bid-YTW : 4.57 %
MFC.PR.R FixedReset 57,400 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-03-19
Maturity Price : 25.00
Evaluated at bid price : 26.01
Bid-YTW : 3.86 %
SLF.PR.H FixedReset 56,909 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.11
Bid-YTW : 5.88 %
W.PR.K FixedReset 49,500 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-01-15
Maturity Price : 25.00
Evaluated at bid price : 26.15
Bid-YTW : 3.43 %
BNS.PR.G FixedReset 46,818 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-07-25
Maturity Price : 25.00
Evaluated at bid price : 26.38
Bid-YTW : 3.60 %
There were 11 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
MFC.PR.L FixedReset Quote: 21.20 – 23.19
Spot Rate : 1.9900
Average : 1.3039

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

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

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

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

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

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

August 3, 2018

HIMIPref™ Preferred Indices
These values reflect the December 2008 revision of the HIMIPref™ Indices
Values are provisional and are finalized monthly
Index Mean
Current
Yield
(at bid)		 Median
YTW		 Median
Average
Trading
Value		 Median
Mod Dur
(YTW)		 Issues Day’s Perf. Index Value
Ratchet 0.00 % 0.00 % 0 0.00 0 -0.7301 % 3,120.1
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.7301 % 5,725.3
Floater 3.46 % 3.66 % 54,654 18.14 4 -0.7301 % 3,299.5
OpRet 0.00 % 0.00 % 0 0.00 0 0.1102 % 3,213.3
SplitShare 4.57 % 4.37 % 47,685 4.87 5 0.1102 % 3,837.4
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.1102 % 2,994.1
Perpetual-Premium 5.62 % -12.88 % 60,475 0.09 10 -0.1061 % 2,913.8
Perpetual-Discount 5.40 % 5.53 % 54,708 14.61 25 -0.0242 % 2,985.7
FixedReset 4.30 % 4.70 % 124,499 3.95 107 -0.1030 % 2,571.6
Deemed-Retractible 5.14 % 6.05 % 60,191 5.42 26 -0.1357 % 2,974.6
FloatingReset 3.36 % 3.55 % 32,321 5.75 7 0.0915 % 2,833.0
Performance Highlights
Issue Index Change Notes
MFC.PR.L FixedReset -4.21 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.30
Bid-YTW : 6.49 %
PWF.PR.A Floater -1.70 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-08-03
Maturity Price : 21.34
Evaluated at bid price : 21.34
Bid-YTW : 3.03 %
TD.PF.E FixedReset -1.69 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2020-10-31
Maturity Price : 25.00
Evaluated at bid price : 24.40
Bid-YTW : 4.87 %
EMA.PR.C FixedReset -1.33 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-08-03
Maturity Price : 22.70
Evaluated at bid price : 23.83
Bid-YTW : 5.04 %
MFC.PR.I FixedReset -1.03 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-09-19
Maturity Price : 25.00
Evaluated at bid price : 24.90
Bid-YTW : 4.63 %
SLF.PR.J FloatingReset 1.01 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.95
Bid-YTW : 6.78 %
MFC.PR.K FixedReset 2.01 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.35
Bid-YTW : 5.77 %
Volume Highlights
Issue Index Shares
Traded		 Notes
RY.PR.L FixedReset 129,743 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2019-02-24
Maturity Price : 25.00
Evaluated at bid price : 25.12
Bid-YTW : 2.95 %
TD.PF.H FixedReset 79,846 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-10-31
Maturity Price : 25.00
Evaluated at bid price : 26.00
Bid-YTW : 3.56 %
MFC.PR.K FixedReset 66,454 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.35
Bid-YTW : 5.77 %
NA.PR.A FixedReset 44,356 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-08-15
Maturity Price : 25.00
Evaluated at bid price : 26.16
Bid-YTW : 3.73 %
NA.PR.G FixedReset 43,900 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-08-03
Maturity Price : 23.21
Evaluated at bid price : 25.22
Bid-YTW : 4.88 %
CM.PR.S FixedReset 13,613 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-08-03
Maturity Price : 22.77
Evaluated at bid price : 23.90
Bid-YTW : 4.78 %
There were 3 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
TRP.PR.E FixedReset Quote: 22.63 – 23.90
Spot Rate : 1.2700
Average : 0.6882

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

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

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

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

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

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

August 2, 2018

HIMIPref™ Preferred Indices
These values reflect the December 2008 revision of the HIMIPref™ Indices
Values are provisional and are finalized monthly
Index Mean
Current
Yield
(at bid)		 Median
YTW		 Median
Average
Trading
Value		 Median
Mod Dur
(YTW)		 Issues Day’s Perf. Index Value
Ratchet 0.00 % 0.00 % 0 0.00 0 0.5875 % 3,143.1
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.5875 % 5,767.4
Floater 3.44 % 3.65 % 53,509 18.17 4 0.5875 % 3,323.8
OpRet 0.00 % 0.00 % 0 0.00 0 0.0946 % 3,209.8
SplitShare 4.58 % 4.39 % 47,477 4.87 5 0.0946 % 3,833.2
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0946 % 2,990.8
Perpetual-Premium 5.61 % -14.57 % 61,381 0.09 10 0.0905 % 2,916.9
Perpetual-Discount 5.40 % 5.52 % 55,274 14.64 25 -0.0414 % 2,986.4
FixedReset 4.29 % 4.65 % 125,308 3.94 107 -0.0453 % 2,574.3
Deemed-Retractible 5.14 % 5.99 % 62,307 5.43 26 0.0113 % 2,978.7
FloatingReset 3.36 % 3.56 % 31,751 5.75 7 -0.2218 % 2,830.4
Performance Highlights
Issue Index Change Notes
HSE.PR.A FixedReset -1.49 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-08-02
Maturity Price : 17.86
Evaluated at bid price : 17.86
Bid-YTW : 5.20 %
SLF.PR.J FloatingReset -1.25 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.75
Bid-YTW : 6.95 %
BAM.PF.F FixedReset -1.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-08-02
Maturity Price : 24.26
Evaluated at bid price : 24.65
Bid-YTW : 5.13 %
MFC.PR.G FixedReset -1.01 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-12-19
Maturity Price : 25.00
Evaluated at bid price : 24.50
Bid-YTW : 4.71 %
PWF.PR.A Floater 2.21 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-08-02
Maturity Price : 21.45
Evaluated at bid price : 21.71
Bid-YTW : 2.95 %
Volume Highlights
Issue Index Shares
Traded		 Notes
BMO.PR.T FixedReset 100,800 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-08-02
Maturity Price : 22.72
Evaluated at bid price : 23.24
Bid-YTW : 4.72 %
NA.PR.E FixedReset 68,091 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-08-02
Maturity Price : 22.70
Evaluated at bid price : 23.80
Bid-YTW : 4.92 %
CM.PR.S FixedReset 64,816 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-08-02
Maturity Price : 22.75
Evaluated at bid price : 23.86
Bid-YTW : 4.79 %
TD.PF.H FixedReset 55,200 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-10-31
Maturity Price : 25.00
Evaluated at bid price : 25.96
Bid-YTW : 3.61 %
POW.PR.G Perpetual-Premium 52,614 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-04-15
Maturity Price : 25.00
Evaluated at bid price : 25.33
Bid-YTW : 5.21 %
BMO.PR.W FixedReset 51,900 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-08-02
Maturity Price : 22.60
Evaluated at bid price : 23.05
Bid-YTW : 4.73 %
There were 19 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
SLF.PR.J FloatingReset Quote: 19.75 – 20.25
Spot Rate : 0.5000
Average : 0.2924

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

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

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

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

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

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

August 1, 2018

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

HIMIPref™ Preferred Indices
These values reflect the December 2008 revision of the HIMIPref™ Indices
Values are provisional and are finalized monthly
Index Mean
Current
Yield
(at bid)		 Median
YTW		 Median
Average
Trading
Value		 Median
Mod Dur
(YTW)		 Issues Day’s Perf. Index Value
Ratchet 0.00 % 0.00 % 0 0.00 0 0.0401 % 3,124.7
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.0401 % 5,733.7
Floater 3.46 % 3.64 % 55,502 18.19 4 0.0401 % 3,304.4
OpRet 0.00 % 0.00 % 0 0.00 0 0.0158 % 3,206.8
SplitShare 4.58 % 4.40 % 48,072 4.87 5 0.0158 % 3,829.5
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0158 % 2,988.0
Perpetual-Premium 5.62 % -13.67 % 59,188 0.09 10 -0.0354 % 2,914.3
Perpetual-Discount 5.40 % 5.52 % 54,382 14.62 25 0.0447 % 2,987.7
FixedReset 4.29 % 4.65 % 127,183 3.90 107 0.2047 % 2,575.4
Deemed-Retractible 5.14 % 5.98 % 63,270 5.43 26 -0.0194 % 2,978.3
FloatingReset 3.35 % 3.56 % 33,058 5.76 7 0.1292 % 2,836.7
Performance Highlights
Issue Index Change Notes
MFC.PR.K FixedReset -1.38 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.89
Bid-YTW : 6.13 %
PWF.PR.A Floater -1.21 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-08-01
Maturity Price : 21.24
Evaluated at bid price : 21.24
Bid-YTW : 3.04 %
GWO.PR.N FixedReset 1.00 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.13
Bid-YTW : 7.63 %
BAM.PR.C Floater 1.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-08-01
Maturity Price : 17.88
Evaluated at bid price : 17.88
Bid-YTW : 3.65 %
NA.PR.W FixedReset 1.60 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-08-01
Maturity Price : 22.51
Evaluated at bid price : 22.91
Bid-YTW : 4.80 %
TD.PF.A FixedReset 1.67 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-08-01
Maturity Price : 23.31
Evaluated at bid price : 23.79
Bid-YTW : 4.62 %
EMA.PR.C FixedReset 1.82 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-08-01
Maturity Price : 22.82
Evaluated at bid price : 24.11
Bid-YTW : 4.97 %
Volume Highlights
Issue Index Shares
Traded		 Notes
TD.PF.B FixedReset 79,603 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-08-01
Maturity Price : 22.93
Evaluated at bid price : 23.49
Bid-YTW : 4.71 %
TD.PF.H FixedReset 70,075 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-10-31
Maturity Price : 25.00
Evaluated at bid price : 25.94
Bid-YTW : 3.63 %
CM.PR.S FixedReset 60,353 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-08-01
Maturity Price : 22.73
Evaluated at bid price : 23.81
Bid-YTW : 4.80 %
BMO.PR.C FixedReset 57,100 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-05-25
Maturity Price : 25.00
Evaluated at bid price : 25.31
Bid-YTW : 4.08 %
CM.PR.R FixedReset 53,919 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-07-31
Maturity Price : 25.00
Evaluated at bid price : 25.29
Bid-YTW : 4.11 %
MFC.PR.K FixedReset 53,194 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.89
Bid-YTW : 6.13 %
There were 17 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
PWF.PR.A Floater Quote: 21.24 – 22.00
Spot Rate : 0.7600
Average : 0.6079

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

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

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

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

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

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

July 31, 2018

HIMIPref™ Preferred Indices
These values reflect the December 2008 revision of the HIMIPref™ Indices
Values are provisional and are finalized monthly
Index Mean
Current
Yield
(at bid)		 Median
YTW		 Median
Average
Trading
Value		 Median
Mod Dur
(YTW)		 Issues Day’s Perf. Index Value
Ratchet 0.00 % 0.00 % 0 0.00 0 1.1212 % 3,123.5
FixedFloater 0.00 % 0.00 % 0 0.00 0 1.1212 % 5,731.4
Floater 3.46 % 3.64 % 57,608 18.18 4 1.1212 % 3,303.0
OpRet 0.00 % 0.00 % 0 0.00 0 0.1026 % 3,206.3
SplitShare 4.58 % 4.65 % 50,043 4.87 5 0.1026 % 3,828.9
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.1026 % 2,987.5
Perpetual-Premium 5.63 % -15.36 % 60,028 0.09 9 0.0393 % 2,915.3
Perpetual-Discount 5.39 % 5.49 % 54,893 14.63 26 0.0218 % 2,986.3
FixedReset 4.29 % 4.66 % 127,370 3.90 106 -0.1278 % 2,570.2
Deemed-Retractible 5.14 % 6.00 % 59,538 5.43 27 0.0874 % 2,978.9
FloatingReset 3.26 % 3.55 % 32,117 3.34 9 -0.2026 % 2,833.0
Performance Highlights
Issue Index Change Notes
TRP.PR.H FloatingReset -1.68 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-07-31
Maturity Price : 17.00
Evaluated at bid price : 17.00
Bid-YTW : 4.02 %
TD.PF.A FixedReset -1.39 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-07-31
Maturity Price : 22.92
Evaluated at bid price : 23.40
Bid-YTW : 4.70 %
NA.PR.W FixedReset -1.36 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-07-31
Maturity Price : 22.19
Evaluated at bid price : 22.55
Bid-YTW : 4.88 %
BMO.PR.Q FixedReset -1.29 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.70
Bid-YTW : 4.87 %
BAM.PR.C Floater 1.26 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-07-31
Maturity Price : 17.69
Evaluated at bid price : 17.69
Bid-YTW : 3.69 %
BAM.PR.B Floater 1.37 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-07-31
Maturity Price : 17.77
Evaluated at bid price : 17.77
Bid-YTW : 3.67 %
BAM.PR.K Floater 1.99 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-07-31
Maturity Price : 17.90
Evaluated at bid price : 17.90
Bid-YTW : 3.64 %
Volume Highlights
Issue Index Shares
Traded		 Notes
TD.PF.D FixedReset 122,847 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2020-07-31
Maturity Price : 25.00
Evaluated at bid price : 24.62
Bid-YTW : 4.42 %
BMO.PR.R FloatingReset 99,800 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2018-09-24
Maturity Price : 25.00
Evaluated at bid price : 24.96
Bid-YTW : 1.07 %
NA.PR.C FixedReset 78,675 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-11-15
Maturity Price : 25.00
Evaluated at bid price : 25.12
Bid-YTW : 4.30 %
BAM.PR.T FixedReset 77,914 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-07-31
Maturity Price : 21.17
Evaluated at bid price : 21.17
Bid-YTW : 5.11 %
BMO.PR.C FixedReset 76,200 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-05-25
Maturity Price : 25.00
Evaluated at bid price : 25.30
Bid-YTW : 4.09 %
RY.PR.H FixedReset 60,939 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-07-31
Maturity Price : 23.06
Evaluated at bid price : 23.60
Bid-YTW : 4.67 %
There were 21 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
BMO.PR.Q FixedReset Quote: 22.70 – 23.04
Spot Rate : 0.3400
Average : 0.2041

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

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

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

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

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

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

July 30, 2018

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

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

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

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

HIMIPref™ Preferred Indices
These values reflect the December 2008 revision of the HIMIPref™ Indices
Values are provisional and are finalized monthly
Index Mean
Current
Yield
(at bid)		 Median
YTW		 Median
Average
Trading
Value		 Median
Mod Dur
(YTW)		 Issues Day’s Perf. Index Value
Ratchet 0.00 % 0.00 % 0 0.00 0 0.6800 % 3,088.8
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.6800 % 5,667.9
Floater 3.50 % 3.72 % 59,957 18.02 4 0.6800 % 3,266.4
OpRet 0.00 % 0.00 % 0 0.00 0 -0.0237 % 3,203.0
SplitShare 4.59 % 4.62 % 52,094 4.88 5 -0.0237 % 3,825.0
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.0237 % 2,984.4
Perpetual-Premium 5.63 % -14.03 % 62,079 0.09 9 0.0349 % 2,914.2
Perpetual-Discount 5.38 % 5.51 % 55,731 14.63 26 0.0608 % 2,985.7
FixedReset 4.28 % 4.60 % 128,271 3.80 106 0.0833 % 2,573.4
Deemed-Retractible 5.14 % 5.96 % 60,426 5.43 27 0.0656 % 2,976.3
FloatingReset 3.25 % 3.51 % 33,332 3.34 9 0.2523 % 2,838.8
Performance Highlights
Issue Index Change Notes
MFC.PR.Q FixedReset -1.47 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.80
Bid-YTW : 4.98 %
MFC.PR.K FixedReset 1.09 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.24
Bid-YTW : 5.85 %
TD.PF.A FixedReset 1.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-07-30
Maturity Price : 23.25
Evaluated at bid price : 23.73
Bid-YTW : 4.63 %
IFC.PR.G FixedReset 1.17 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 25.04
Bid-YTW : 5.03 %
TD.PF.B FixedReset 1.24 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-07-30
Maturity Price : 23.14
Evaluated at bid price : 23.70
Bid-YTW : 4.67 %
TRP.PR.C FixedReset 1.25 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-07-30
Maturity Price : 17.76
Evaluated at bid price : 17.76
Bid-YTW : 5.00 %
PWF.PR.A Floater 1.56 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-07-30
Maturity Price : 21.48
Evaluated at bid price : 21.48
Bid-YTW : 3.01 %
TRP.PR.H FloatingReset 1.65 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-07-30
Maturity Price : 17.29
Evaluated at bid price : 17.29
Bid-YTW : 3.95 %
Volume Highlights
Issue Index Shares
Traded		 Notes
BMO.PR.T FixedReset 48,987 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-07-30
Maturity Price : 22.88
Evaluated at bid price : 23.41
Bid-YTW : 4.75 %
PWF.PR.F Perpetual-Discount 43,050 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-07-30
Maturity Price : 23.54
Evaluated at bid price : 23.81
Bid-YTW : 5.53 %
CM.PR.P FixedReset 23,300 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-07-30
Maturity Price : 22.77
Evaluated at bid price : 23.19
Bid-YTW : 4.72 %
BNS.PR.G FixedReset 21,851 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-07-25
Maturity Price : 25.00
Evaluated at bid price : 26.33
Bid-YTW : 3.64 %
TD.PF.C FixedReset 20,111 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-07-30
Maturity Price : 23.23
Evaluated at bid price : 23.66
Bid-YTW : 4.64 %
TRP.PR.K FixedReset 18,979 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-05-31
Maturity Price : 25.00
Evaluated at bid price : 25.81
Bid-YTW : 4.23 %
There were 5 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
HSE.PR.A FixedReset Quote: 18.03 – 18.67
Spot Rate : 0.6400
Average : 0.3583

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

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

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

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

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

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