Category: Market Action

Market Action

September 5, 2017

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 -0.2125 % 2,362.6
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.2125 % 4,335.3
Floater 3.66 % 3.71 % 109,958 17.98 3 -0.2125 % 2,498.4
OpRet 0.00 % 0.00 % 0 0.00 0 -0.0786 % 3,084.7
SplitShare 4.72 % 4.13 % 51,385 1.30 5 -0.0786 % 3,683.8
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.0786 % 2,874.3
Perpetual-Premium 5.41 % 4.82 % 56,150 5.85 16 0.0000 % 2,781.6
Perpetual-Discount 5.30 % 5.33 % 70,307 14.87 19 -0.0698 % 2,919.4
FixedReset 4.37 % 4.44 % 144,827 6.29 98 -0.2285 % 2,390.3
Deemed-Retractible 5.11 % 5.52 % 98,656 6.06 31 -0.0983 % 2,868.5
FloatingReset 2.73 % 3.10 % 41,471 4.15 8 -0.2318 % 2,617.2
Performance Highlights
Issue Index Change Notes
PWF.PR.P FixedReset -1.47 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-09-05
Maturity Price : 16.75
Evaluated at bid price : 16.75
Bid-YTW : 4.55 %
TRP.PR.G FixedReset -1.25 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-09-05
Maturity Price : 22.77
Evaluated at bid price : 23.65
Bid-YTW : 4.63 %
BAM.PF.G FixedReset -1.24 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-09-05
Maturity Price : 22.91
Evaluated at bid price : 23.80
Bid-YTW : 4.67 %
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 : 20.83
Bid-YTW : 6.04 %
TRP.PR.F FloatingReset -1.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-09-05
Maturity Price : 19.15
Evaluated at bid price : 19.15
Bid-YTW : 3.59 %
BAM.PR.X FixedReset -1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-09-05
Maturity Price : 17.46
Evaluated at bid price : 17.46
Bid-YTW : 4.60 %
SLF.PR.G FixedReset 1.76 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 17.30
Bid-YTW : 8.34 %
Volume Highlights
Issue Index Shares
Traded		 Notes
RY.PR.R FixedReset 114,685 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-08-24
Maturity Price : 25.00
Evaluated at bid price : 26.78
Bid-YTW : 3.63 %
NA.PR.S FixedReset 65,625 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-09-05
Maturity Price : 21.75
Evaluated at bid price : 22.23
Bid-YTW : 4.48 %
SLF.PR.B Deemed-Retractible 62,505 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.77
Bid-YTW : 6.31 %
TRP.PR.K FixedReset 59,244 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-05-31
Maturity Price : 25.00
Evaluated at bid price : 25.96
Bid-YTW : 4.04 %
CM.PR.R FixedReset 55,307 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-07-31
Maturity Price : 25.00
Evaluated at bid price : 25.21
Bid-YTW : 4.09 %
TRP.PR.C FixedReset 44,150 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-09-05
Maturity Price : 16.30
Evaluated at bid price : 16.30
Bid-YTW : 4.58 %
There were 15 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
TD.PF.B FixedReset Quote: 21.83 – 22.14
Spot Rate : 0.3100
Average : 0.1936

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-09-05
Maturity Price : 21.48
Evaluated at bid price : 21.83
Bid-YTW : 4.42 %
TRP.PR.G FixedReset Quote: 23.65 – 24.00
Spot Rate : 0.3500
Average : 0.2416

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-09-05
Maturity Price : 22.77
Evaluated at bid price : 23.65
Bid-YTW : 4.63 %
BMO.PR.W FixedReset Quote: 21.65 – 21.89
Spot Rate : 0.2400
Average : 0.1556

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-09-05
Maturity Price : 21.34
Evaluated at bid price : 21.65
Bid-YTW : 4.39 %
HSE.PR.C FixedReset Quote: 22.81 – 23.25
Spot Rate : 0.4400
Average : 0.3561

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-09-05
Maturity Price : 22.40
Evaluated at bid price : 22.81
Bid-YTW : 5.11 %
BAM.PF.G FixedReset Quote: 23.80 – 24.06
Spot Rate : 0.2600
Average : 0.1803

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-09-05
Maturity Price : 22.91
Evaluated at bid price : 23.80
Bid-YTW : 4.67 %
EML.PR.A FixedReset Quote: 26.53 – 26.91
Spot Rate : 0.3800
Average : 0.3005

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-04-17
Maturity Price : 25.00
Evaluated at bid price : 26.53
Bid-YTW : 4.17 %
Market Action

September 1, 2017

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 0.2604 % 2,367.6
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.2604 % 4,344.5
Floater 3.66 % 3.69 % 114,249 18.01 3 0.2604 % 2,503.8
OpRet 0.00 % 0.00 % 0 0.00 0 -0.0472 % 3,087.2
SplitShare 4.72 % 3.85 % 51,607 1.31 5 -0.0472 % 3,686.7
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.0472 % 2,876.5
Perpetual-Premium 5.41 % 4.73 % 55,823 5.86 16 0.0172 % 2,781.6
Perpetual-Discount 5.30 % 5.34 % 73,062 14.87 19 -0.2337 % 2,921.5
FixedReset 4.36 % 4.41 % 146,813 6.33 98 0.1749 % 2,395.8
Deemed-Retractible 5.10 % 5.47 % 98,714 6.08 31 -0.1492 % 2,871.3
FloatingReset 2.57 % 2.91 % 40,974 4.17 8 0.1382 % 2,623.3
Performance Highlights
Issue Index Change Notes
PWF.PR.Z Perpetual-Discount -1.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-09-01
Maturity Price : 24.18
Evaluated at bid price : 24.55
Bid-YTW : 5.35 %
W.PR.H Perpetual-Discount -1.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-09-01
Maturity Price : 24.25
Evaluated at bid price : 24.55
Bid-YTW : 5.68 %
BAM.PF.G FixedReset 1.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-09-01
Maturity Price : 23.05
Evaluated at bid price : 24.10
Bid-YTW : 4.56 %
BAM.PR.T FixedReset 1.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-09-01
Maturity Price : 20.65
Evaluated at bid price : 20.65
Bid-YTW : 4.61 %
RY.PR.J FixedReset 1.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-09-01
Maturity Price : 22.80
Evaluated at bid price : 23.57
Bid-YTW : 4.40 %
PWF.PR.P FixedReset 1.55 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-09-01
Maturity Price : 17.00
Evaluated at bid price : 17.00
Bid-YTW : 4.43 %
BAM.PR.X FixedReset 1.79 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-09-01
Maturity Price : 17.64
Evaluated at bid price : 17.64
Bid-YTW : 4.57 %
Volume Highlights
Issue Index Shares
Traded		 Notes
RY.PR.B Deemed-Retractible 212,307 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2017-10-01
Maturity Price : 25.00
Evaluated at bid price : 25.08
Bid-YTW : 2.06 %
TRP.PR.J FixedReset 152,348 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-05-31
Maturity Price : 25.00
Evaluated at bid price : 26.70
Bid-YTW : 3.57 %
NA.PR.S FixedReset 137,706 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-09-01
Maturity Price : 21.81
Evaluated at bid price : 22.32
Bid-YTW : 4.42 %
RY.PR.L FixedReset 109,100 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2019-02-24
Maturity Price : 25.00
Evaluated at bid price : 25.20
Bid-YTW : 3.78 %
RY.PR.Q FixedReset 104,512 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-05-24
Maturity Price : 25.00
Evaluated at bid price : 26.70
Bid-YTW : 3.59 %
RY.PR.R FixedReset 102,321 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-08-24
Maturity Price : 25.00
Evaluated at bid price : 26.80
Bid-YTW : 3.60 %
There were 24 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
HSE.PR.G FixedReset Quote: 23.90 – 24.34
Spot Rate : 0.4400
Average : 0.3096

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-09-01
Maturity Price : 22.95
Evaluated at bid price : 23.90
Bid-YTW : 5.24 %
MFC.PR.M FixedReset Quote: 21.92 – 22.29
Spot Rate : 0.3700
Average : 0.2436

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.92
Bid-YTW : 5.97 %
BMO.PR.Y FixedReset Quote: 23.53 – 23.96
Spot Rate : 0.4300
Average : 0.3146

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-09-01
Maturity Price : 22.74
Evaluated at bid price : 23.53
Bid-YTW : 4.41 %
HSE.PR.E FixedReset Quote: 23.78 – 24.10
Spot Rate : 0.3200
Average : 0.2166

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-09-01
Maturity Price : 22.93
Evaluated at bid price : 23.78
Bid-YTW : 5.30 %
IAG.PR.G FixedReset Quote: 22.65 – 23.04
Spot Rate : 0.3900
Average : 0.2890

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.65
Bid-YTW : 5.51 %
MFC.PR.H FixedReset Quote: 24.36 – 24.67
Spot Rate : 0.3100
Average : 0.2103

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.36
Bid-YTW : 5.07 %
Market Action

August 31, 2017

Natalie Obiko Pearson of Bloomberg comes up with an explanation of housing costs that’s as good as any I’ve seen:

In the spring of 2012, Dustan Woodhouse, then a 40-year-old Vancouver mortgage broker, broke the cardinal rule of saving for retirement: he liquidated his retirement fund, took the tax hit and plowed the rest into the local real estate market.

“People told me I was crazy,” says Woodhouse, 45, whose plan is to buy and have paid off 10 such investments by his late sixties. “But that’s our pension — that’s what that property is.”
…
Woodhouse’s decision to flout traditional investment strategies has so far proved to be a winner. With the roughly C$60,000 ($47,000) he had in hand, he took out a mortgage and bought a wood-shingled townhouse near a coastal inlet east of Vancouver for C$240,000. Five years later, he figures his house has risen about 60 percent in value if sales of nearby properties are anything to go by. In the meantime, he’s accrued a nest egg of roughly C$24,000 from rental income, even after accounting for expenses, mortgage payments and taxes.
…
The price of a typical detached home in Vancouver rose 69 percent in the five years through July, compared with a return of 51 percent for the S&P/TSX Composite Index, the country’s benchmark equity index, and 7.6 percent for Canadian government bonds. Some 41 percent of baby boomers said home equity made up more than 60 percent of their household wealth, according to a survey by Manuflife Bank published in May. For 21 percent, it made up more than 80 percent.

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 1.1976 % 2,361.5
FixedFloater 0.00 % 0.00 % 0 0.00 0 1.1976 % 4,333.2
Floater 3.67 % 3.70 % 115,797 17.99 3 1.1976 % 2,497.3
OpRet 0.00 % 0.00 % 0 0.00 0 0.1574 % 3,088.6
SplitShare 4.72 % 3.89 % 53,690 1.32 5 0.1574 % 3,688.5
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.1574 % 2,877.9
Perpetual-Premium 5.40 % 4.84 % 55,641 6.06 17 -0.0650 % 2,781.1
Perpetual-Discount 5.31 % 5.34 % 60,821 14.87 20 0.0256 % 2,928.3
FixedReset 4.37 % 4.42 % 144,887 6.33 98 0.1589 % 2,391.6
Deemed-Retractible 5.10 % 5.41 % 101,235 6.08 31 0.0807 % 2,875.6
FloatingReset 2.63 % 3.13 % 41,034 4.17 9 0.1534 % 2,619.7
Performance Highlights
Issue Index Change Notes
BAM.PF.D Perpetual-Discount -1.24 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-08-31
Maturity Price : 22.02
Evaluated at bid price : 22.39
Bid-YTW : 5.55 %
BAM.PF.B FixedReset 1.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-08-31
Maturity Price : 22.30
Evaluated at bid price : 22.67
Bid-YTW : 4.64 %
CM.PR.O FixedReset 1.19 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-08-31
Maturity Price : 21.64
Evaluated at bid price : 22.07
Bid-YTW : 4.38 %
PWF.PR.Z Perpetual-Discount 1.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-08-31
Maturity Price : 24.41
Evaluated at bid price : 24.80
Bid-YTW : 5.30 %
MFC.PR.C Deemed-Retractible 1.26 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.72
Bid-YTW : 6.78 %
MFC.PR.M FixedReset 1.34 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.86
Bid-YTW : 6.01 %
BAM.PR.B Floater 1.36 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-08-31
Maturity Price : 14.11
Evaluated at bid price : 14.11
Bid-YTW : 3.70 %
SLF.PR.H FixedReset 1.40 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.99
Bid-YTW : 5.89 %
BAM.PR.C Floater 1.44 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-08-31
Maturity Price : 14.09
Evaluated at bid price : 14.09
Bid-YTW : 3.70 %
SLF.PR.J FloatingReset 1.51 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 16.85
Bid-YTW : 7.99 %
Volume Highlights
Issue Index Shares
Traded		 Notes
IFC.PR.E Deemed-Retractible 181,000 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.78
Bid-YTW : 5.62 %
CM.PR.R FixedReset 145,965 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-07-31
Maturity Price : 25.00
Evaluated at bid price : 25.14
Bid-YTW : 4.55 %
RY.PR.B Deemed-Retractible 110,442 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2017-09-30
Maturity Price : 25.00
Evaluated at bid price : 25.08
Bid-YTW : 1.90 %
RY.PR.R FixedReset 81,190 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-08-24
Maturity Price : 25.00
Evaluated at bid price : 26.80
Bid-YTW : 3.60 %
TD.PF.C FixedReset 52,400 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-08-31
Maturity Price : 21.42
Evaluated at bid price : 21.76
Bid-YTW : 4.36 %
TRP.PR.J FixedReset 42,875 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-05-31
Maturity Price : 25.00
Evaluated at bid price : 26.61
Bid-YTW : 3.67 %
There were 14 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
GWO.PR.S Deemed-Retractible Quote: 24.70 – 25.25
Spot Rate : 0.5500
Average : 0.3933

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.70
Bid-YTW : 5.41 %
BAM.PF.D Perpetual-Discount Quote: 22.39 – 22.78
Spot Rate : 0.3900
Average : 0.2682

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-08-31
Maturity Price : 22.02
Evaluated at bid price : 22.39
Bid-YTW : 5.55 %
BMO.PR.B FixedReset Quote: 26.13 – 26.40
Spot Rate : 0.2700
Average : 0.1559

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-02-25
Maturity Price : 25.00
Evaluated at bid price : 26.13
Bid-YTW : 3.79 %
BNS.PR.D FloatingReset Quote: 22.24 – 22.49
Spot Rate : 0.2500
Average : 0.1378

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.24
Bid-YTW : 4.53 %
TRP.PR.A FixedReset Quote: 19.26 – 19.56
Spot Rate : 0.3000
Average : 0.1962

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-08-31
Maturity Price : 19.26
Evaluated at bid price : 19.26
Bid-YTW : 4.45 %
RY.PR.O Perpetual-Premium Quote: 25.20 – 25.47
Spot Rate : 0.2700
Average : 0.1729

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-11-24
Maturity Price : 25.00
Evaluated at bid price : 25.20
Bid-YTW : 4.81 %
Market Action

August 30, 2017

PerpetualDiscounts now yield 5.35%, equivalent to 6.96% interest at the standard equivalency factor of 1.3x. Long corporates now yield a little over 3.85%, so the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) is now about 310bp, a slight (and perhaps spurious) widening from the 305bp reported August 23.

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 0.0240 % 2,333.5
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.0240 % 4,281.9
Floater 3.71 % 3.75 % 119,603 17.89 3 0.0240 % 2,467.7
OpRet 0.00 % 0.00 % 0 0.00 0 0.1340 % 3,083.8
SplitShare 4.72 % 4.10 % 49,704 1.32 5 0.1340 % 3,682.7
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.1340 % 2,873.4
Perpetual-Premium 5.40 % 4.81 % 54,898 5.87 17 0.0000 % 2,782.9
Perpetual-Discount 5.31 % 5.35 % 61,042 14.87 20 0.0341 % 2,927.6
FixedReset 4.37 % 4.43 % 147,177 6.32 98 0.1921 % 2,387.8
Deemed-Retractible 5.10 % 5.46 % 102,638 6.08 31 0.0388 % 2,873.3
FloatingReset 2.63 % 3.09 % 39,474 4.18 9 0.0205 % 2,615.6
Performance Highlights
Issue Index Change Notes
PWF.PR.Z Perpetual-Discount -1.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-08-30
Maturity Price : 24.13
Evaluated at bid price : 24.50
Bid-YTW : 5.36 %
IFC.PR.A FixedReset 1.07 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.90
Bid-YTW : 7.04 %
CU.PR.C FixedReset 1.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-08-30
Maturity Price : 21.55
Evaluated at bid price : 21.55
Bid-YTW : 4.58 %
IAG.PR.A Deemed-Retractible 1.16 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.66
Bid-YTW : 6.16 %
VNR.PR.A FixedReset 1.44 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-08-30
Maturity Price : 21.50
Evaluated at bid price : 21.81
Bid-YTW : 5.03 %
TRP.PR.D FixedReset 1.60 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-08-30
Maturity Price : 21.72
Evaluated at bid price : 22.18
Bid-YTW : 4.43 %
Volume Highlights
Issue Index Shares
Traded		 Notes
RY.PR.B Deemed-Retractible 200,200 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2017-09-29
Maturity Price : 25.00
Evaluated at bid price : 25.07
Bid-YTW : 2.24 %
GWO.PR.I Deemed-Retractible 102,400 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.56
Bid-YTW : 6.87 %
TD.PF.A FixedReset 86,700 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-08-30
Maturity Price : 21.41
Evaluated at bid price : 21.74
Bid-YTW : 4.37 %
NA.PR.A FixedReset 41,900 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-08-15
Maturity Price : 25.00
Evaluated at bid price : 26.22
Bid-YTW : 4.14 %
CM.PR.R FixedReset 35,833 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-07-31
Maturity Price : 25.00
Evaluated at bid price : 25.12
Bid-YTW : 4.57 %
CU.PR.I FixedReset 31,450 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2020-12-01
Maturity Price : 25.00
Evaluated at bid price : 25.75
Bid-YTW : 3.53 %
There were 8 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
TRP.PR.G FixedReset Quote: 23.67 – 24.17
Spot Rate : 0.5000
Average : 0.3956

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-08-30
Maturity Price : 22.78
Evaluated at bid price : 23.67
Bid-YTW : 4.58 %
MFC.PR.M FixedReset Quote: 21.57 – 21.85
Spot Rate : 0.2800
Average : 0.1764

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.57
Bid-YTW : 6.22 %
BAM.PF.B FixedReset Quote: 22.42 – 22.70
Spot Rate : 0.2800
Average : 0.1906

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-08-30
Maturity Price : 21.88
Evaluated at bid price : 22.42
Bid-YTW : 4.68 %
MFC.PR.L FixedReset Quote: 20.63 – 20.94
Spot Rate : 0.3100
Average : 0.2356

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.63
Bid-YTW : 6.78 %
CU.PR.H Perpetual-Premium Quote: 24.90 – 25.25
Spot Rate : 0.3500
Average : 0.2776

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-08-30
Maturity Price : 24.48
Evaluated at bid price : 24.90
Bid-YTW : 5.28 %
TD.PF.E FixedReset Quote: 24.00 – 24.23
Spot Rate : 0.2300
Average : 0.1608

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-08-30
Maturity Price : 22.95
Evaluated at bid price : 24.00
Bid-YTW : 4.43 %
Market Action

August 29, 2017

Conversion to T+2 settlement is now underway:

The implementation of T+2 settlement formally takes place next week, on Tues. Sept. 5, but the transition effectively begins on Mon. Aug. 28.

The Canadian Capital Markets Association (CCMA) has published a support plan stressing that the move to shorter settlement cycles “is more than a one-day event.” The transition starts with the last few days of T+3 trading, it notes, and ends Sept. 8, “assuming everything goes as planned.”

The shift to T+2 involves all segments of the investment industry, including brokerage firms, investors, exchanges and other components of trading infrastructure.

It’s a good move, reducing counterparty exposure during the pre-settlement period, but doesn’t go far enough. Why isn’t T+1 standard?

The newest crypto-currency is WhopperCoins:

Fast-food chain Burger King has launched its own crypto-currency, called WhopperCoin, in Russia.

Customers will be able to claim one coin for every rouble (1.3p) they spend on the Whopper sandwich.

Russians will be able to buy a Whopper with the virtual cash, once they have amassed 1,700 whoppercoins.

The company said it would release Apple and Android apps next month so people could save, share and trade their wallet full of whoppercoins.

It’s a great idea – I don’t know what, if anything, Aimia’s doing to exploit this new technology.

The OSC Superannuation Company, which has the official name of Canadian Foundation for Advancement of Investor Rights, “FAIR Canada” for short, has appointed a new Executive Director:

Fair Canada Chair, Ermanno Pascutto, announced that Frank Allen, a seasoned securities lawyer and executive leader, has been appointed its Executive Director. Frank begins his role effective immediately.
…
Frank also acted as the General Counsel at the Ontario Securities Commission and played a leading role in the development and drafting of the OSC’s rule protecting minority security holders in related party transactions.

Mr. Allen’s tenure at the OSC was from January 1988 to January 1990, thus overlapping with FAIR’s founder and Chair Ermanno Pascutto’s tenure as OSC Executive Director from 1984-89.

Long term readers will remember that FAIR and the OSC have been in bed together for a long time – I regard FAIR as nothing more than a stalking horse for the OSC. However, there is a chance – just a chance, but it’s there! – that we will soon have seen the last of FAIR, as indicated by their Annual Report to June 30, 2016:

fairfunding
Click for Big

We’ll see what happens!

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 -1.2071 % 2,333.0
FixedFloater 0.00 % 0.00 % 0 0.00 0 -1.2071 % 4,280.9
Floater 3.71 % 3.76 % 124,463 17.87 3 -1.2071 % 2,467.1
OpRet 0.00 % 0.00 % 0 0.00 0 -0.0709 % 3,079.6
SplitShare 4.73 % 4.17 % 51,743 1.32 5 -0.0709 % 3,677.8
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.0709 % 2,869.5
Perpetual-Premium 5.40 % 4.81 % 53,980 5.87 17 0.0255 % 2,782.9
Perpetual-Discount 5.31 % 5.34 % 62,043 14.87 20 0.0234 % 2,926.6
FixedReset 4.38 % 4.43 % 148,656 6.32 98 -0.5103 % 2,383.3
Deemed-Retractible 5.07 % 5.51 % 103,167 6.03 31 0.0653 % 2,872.2
FloatingReset 2.63 % 3.08 % 40,062 4.18 9 -0.2752 % 2,615.1
Performance Highlights
Issue Index Change Notes
BAM.PR.C Floater -1.77 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-08-29
Maturity Price : 13.87
Evaluated at bid price : 13.87
Bid-YTW : 3.76 %
BMO.PR.Y FixedReset -1.64 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-08-29
Maturity Price : 22.65
Evaluated at bid price : 23.36
Bid-YTW : 4.44 %
IFC.PR.C FixedReset -1.56 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.05
Bid-YTW : 5.79 %
CM.PR.O FixedReset -1.53 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-08-29
Maturity Price : 21.46
Evaluated at bid price : 21.81
Bid-YTW : 4.44 %
TRP.PR.H FloatingReset -1.50 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-08-29
Maturity Price : 14.90
Evaluated at bid price : 14.90
Bid-YTW : 3.31 %
PWF.PR.P FixedReset -1.48 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-08-29
Maturity Price : 16.60
Evaluated at bid price : 16.60
Bid-YTW : 4.53 %
RY.PR.J FixedReset -1.44 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-08-29
Maturity Price : 22.63
Evaluated at bid price : 23.26
Bid-YTW : 4.47 %
MFC.PR.G FixedReset -1.43 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.41
Bid-YTW : 5.13 %
MFC.PR.K FixedReset -1.35 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.12
Bid-YTW : 6.41 %
BAM.PF.B FixedReset -1.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-08-29
Maturity Price : 21.92
Evaluated at bid price : 22.49
Bid-YTW : 4.66 %
TRP.PR.D FixedReset -1.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-08-29
Maturity Price : 21.48
Evaluated at bid price : 21.83
Bid-YTW : 4.51 %
TRP.PR.C FixedReset -1.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-08-29
Maturity Price : 16.24
Evaluated at bid price : 16.24
Bid-YTW : 4.54 %
MFC.PR.L FixedReset -1.20 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.65
Bid-YTW : 6.76 %
MFC.PR.F FixedReset -1.18 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 16.80
Bid-YTW : 8.57 %
BAM.PF.E FixedReset -1.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-08-29
Maturity Price : 21.97
Evaluated at bid price : 22.24
Bid-YTW : 4.70 %
BMO.PR.T FixedReset -1.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-08-29
Maturity Price : 21.34
Evaluated at bid price : 21.65
Bid-YTW : 4.37 %
BAM.PR.K Floater -1.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-08-29
Maturity Price : 13.87
Evaluated at bid price : 13.87
Bid-YTW : 3.76 %
TRP.PR.B FixedReset -1.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-08-29
Maturity Price : 15.10
Evaluated at bid price : 15.10
Bid-YTW : 4.50 %
TD.PF.D FixedReset -1.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-08-29
Maturity Price : 22.79
Evaluated at bid price : 23.61
Bid-YTW : 4.44 %
EML.PR.A FixedReset -1.12 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-04-17
Maturity Price : 25.00
Evaluated at bid price : 26.50
Bid-YTW : 4.18 %
TD.PF.A FixedReset -1.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-08-29
Maturity Price : 21.36
Evaluated at bid price : 21.68
Bid-YTW : 4.38 %
BAM.PR.X FixedReset -1.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-08-29
Maturity Price : 17.35
Evaluated at bid price : 17.35
Bid-YTW : 4.64 %
CU.PR.C FixedReset -1.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-08-29
Maturity Price : 21.31
Evaluated at bid price : 21.31
Bid-YTW : 4.64 %
IFC.PR.A FixedReset -1.06 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.69
Bid-YTW : 7.21 %
RY.PR.Z FixedReset -1.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-08-29
Maturity Price : 21.34
Evaluated at bid price : 21.64
Bid-YTW : 4.35 %
RY.PR.M FixedReset -1.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-08-29
Maturity Price : 22.39
Evaluated at bid price : 22.96
Bid-YTW : 4.40 %
ELF.PR.G Perpetual-Discount -1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-08-29
Maturity Price : 22.09
Evaluated at bid price : 22.37
Bid-YTW : 5.37 %
BMO.PR.W FixedReset -1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-08-29
Maturity Price : 21.42
Evaluated at bid price : 21.42
Bid-YTW : 4.41 %
MFC.PR.N FixedReset -1.01 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.64
Bid-YTW : 6.09 %
RY.PR.H FixedReset -1.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-08-29
Maturity Price : 21.38
Evaluated at bid price : 21.70
Bid-YTW : 4.38 %
POW.PR.D Perpetual-Discount 1.88 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-08-29
Maturity Price : 24.09
Evaluated at bid price : 24.35
Bid-YTW : 5.19 %
Volume Highlights
Issue Index Shares
Traded		 Notes
TRP.PR.K FixedReset 129,575 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-05-31
Maturity Price : 25.00
Evaluated at bid price : 25.99
Bid-YTW : 4.00 %
RY.PR.B Deemed-Retractible 100,200 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2017-09-28
Maturity Price : 25.00
Evaluated at bid price : 25.07
Bid-YTW : 2.08 %
GWO.PR.H Deemed-Retractible 80,191 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.38
Bid-YTW : 6.12 %
IFC.PR.F Deemed-Retractible 53,392 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.79
Bid-YTW : 5.51 %
PWF.PR.T FixedReset 33,788 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-08-29
Maturity Price : 22.62
Evaluated at bid price : 23.05
Bid-YTW : 4.26 %
BAM.PR.K Floater 32,048 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-08-29
Maturity Price : 13.87
Evaluated at bid price : 13.87
Bid-YTW : 3.76 %
There were 13 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
BAM.PF.E FixedReset Quote: 22.24 – 22.72
Spot Rate : 0.4800
Average : 0.3061

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-08-29
Maturity Price : 21.97
Evaluated at bid price : 22.24
Bid-YTW : 4.70 %
EML.PR.A FixedReset Quote: 26.50 – 26.90
Spot Rate : 0.4000
Average : 0.2517

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-04-17
Maturity Price : 25.00
Evaluated at bid price : 26.50
Bid-YTW : 4.18 %
TRP.PR.G FixedReset Quote: 23.79 – 24.20
Spot Rate : 0.4100
Average : 0.2811

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-08-29
Maturity Price : 22.84
Evaluated at bid price : 23.79
Bid-YTW : 4.55 %
TRP.PR.D FixedReset Quote: 21.83 – 22.17
Spot Rate : 0.3400
Average : 0.2118

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-08-29
Maturity Price : 21.48
Evaluated at bid price : 21.83
Bid-YTW : 4.51 %
BMO.PR.Y FixedReset Quote: 23.36 – 23.81
Spot Rate : 0.4500
Average : 0.3231

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-08-29
Maturity Price : 22.65
Evaluated at bid price : 23.36
Bid-YTW : 4.44 %
BAM.PR.R FixedReset Quote: 19.86 – 20.25
Spot Rate : 0.3900
Average : 0.2674

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-08-29
Maturity Price : 19.86
Evaluated at bid price : 19.86
Bid-YTW : 4.67 %
Market Action

August 28, 2017

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 0.6192 % 2,361.5
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.6192 % 4,333.2
Floater 3.67 % 3.70 % 118,063 18.01 3 0.6192 % 2,497.3
OpRet 0.00 % 0.00 % 0 0.00 0 0.0158 % 3,081.8
SplitShare 4.73 % 4.13 % 50,580 1.32 5 0.0158 % 3,680.4
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0158 % 2,871.6
Perpetual-Premium 5.40 % 4.77 % 55,698 5.87 17 0.0070 % 2,782.2
Perpetual-Discount 5.31 % 5.34 % 64,628 14.89 20 -0.0192 % 2,925.9
FixedReset 4.36 % 4.40 % 147,923 6.33 98 -0.1165 % 2,395.5
Deemed-Retractible 5.07 % 5.50 % 103,742 6.03 31 0.0808 % 2,870.3
FloatingReset 2.62 % 3.00 % 39,833 4.18 9 0.2182 % 2,622.3
Performance Highlights
Issue Index Change Notes
HSE.PR.G FixedReset -1.71 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-08-28
Maturity Price : 22.80
Evaluated at bid price : 23.61
Bid-YTW : 5.31 %
HSE.PR.C FixedReset -1.35 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-08-28
Maturity Price : 22.32
Evaluated at bid price : 22.69
Bid-YTW : 5.17 %
TRP.PR.F FloatingReset 1.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-08-28
Maturity Price : 19.54
Evaluated at bid price : 19.54
Bid-YTW : 3.38 %
IAG.PR.A Deemed-Retractible 1.11 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.75
Bid-YTW : 6.30 %
TRP.PR.H FloatingReset 1.53 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-08-28
Maturity Price : 15.25
Evaluated at bid price : 15.25
Bid-YTW : 3.28 %
Volume Highlights
Issue Index Shares
Traded		 Notes
RY.PR.R FixedReset 125,400 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-08-24
Maturity Price : 25.00
Evaluated at bid price : 26.80
Bid-YTW : 3.59 %
RY.PR.Q FixedReset 94,200 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-05-24
Maturity Price : 25.00
Evaluated at bid price : 26.78
Bid-YTW : 3.49 %
RY.PR.I FixedReset 78,000 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.73
Bid-YTW : 3.77 %
CM.PR.R FixedReset 76,532 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-07-31
Maturity Price : 25.00
Evaluated at bid price : 25.13
Bid-YTW : 4.55 %
IFC.PR.F Deemed-Retractible 54,250 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.72
Bid-YTW : 5.55 %
TD.PF.A FixedReset 37,460 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-08-28
Maturity Price : 21.54
Evaluated at bid price : 21.92
Bid-YTW : 4.33 %
There were 19 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
POW.PR.D Perpetual-Discount Quote: 23.90 – 24.40
Spot Rate : 0.5000
Average : 0.3454

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-08-28
Maturity Price : 23.63
Evaluated at bid price : 23.90
Bid-YTW : 5.29 %
W.PR.H Perpetual-Discount Quote: 24.56 – 24.94
Spot Rate : 0.3800
Average : 0.2315

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-08-28
Maturity Price : 24.26
Evaluated at bid price : 24.56
Bid-YTW : 5.67 %
RY.PR.L FixedReset Quote: 25.25 – 25.59
Spot Rate : 0.3400
Average : 0.1945

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2019-02-24
Maturity Price : 25.00
Evaluated at bid price : 25.25
Bid-YTW : 3.61 %
SLF.PR.I FixedReset Quote: 23.18 – 23.53
Spot Rate : 0.3500
Average : 0.2066

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.18
Bid-YTW : 5.13 %
MFC.PR.C Deemed-Retractible Quote: 21.46 – 21.89
Spot Rate : 0.4300
Average : 0.2903

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.46
Bid-YTW : 6.97 %
GWO.PR.L Deemed-Retractible Quote: 25.72 – 26.18
Spot Rate : 0.4600
Average : 0.3304

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2017-12-31
Maturity Price : 25.25
Evaluated at bid price : 25.72
Bid-YTW : 2.76 %
Market Action

August 25, 2017

Sorry it’s late!

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 0.0477 % 2,347.0
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.0477 % 4,306.6
Floater 3.69 % 3.73 % 116,588 17.95 3 0.0477 % 2,481.9
OpRet 0.00 % 0.00 % 0 0.00 0 0.1183 % 3,081.3
SplitShare 4.73 % 4.02 % 52,658 1.33 5 0.1183 % 3,679.8
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.1183 % 2,871.1
Perpetual-Premium 5.40 % 4.80 % 56,233 2.43 17 0.0767 % 2,782.0
Perpetual-Discount 5.31 % 5.34 % 63,052 14.89 20 -0.1022 % 2,926.4
FixedReset 4.35 % 4.36 % 144,332 6.34 98 0.3518 % 2,398.3
Deemed-Retractible 5.07 % 5.50 % 104,971 6.04 31 0.0308 % 2,868.0
FloatingReset 2.63 % 3.05 % 40,398 4.19 9 -0.0765 % 2,616.6
Performance Highlights
Issue Index Change Notes
TRP.PR.H FloatingReset -1.57 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-08-25
Maturity Price : 15.02
Evaluated at bid price : 15.02
Bid-YTW : 3.33 %
RY.PR.W Perpetual-Discount -1.21 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-08-25
Maturity Price : 24.23
Evaluated at bid price : 24.52
Bid-YTW : 5.01 %
PWF.PR.Z Perpetual-Discount -1.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-08-25
Maturity Price : 24.15
Evaluated at bid price : 24.52
Bid-YTW : 5.35 %
POW.PR.D Perpetual-Discount -1.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-08-25
Maturity Price : 23.85
Evaluated at bid price : 24.10
Bid-YTW : 5.24 %
TRP.PR.D FixedReset 1.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-08-25
Maturity Price : 21.60
Evaluated at bid price : 22.00
Bid-YTW : 4.43 %
BMO.PR.T FixedReset 1.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-08-25
Maturity Price : 21.53
Evaluated at bid price : 21.91
Bid-YTW : 4.28 %
TD.PF.D FixedReset 1.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-08-25
Maturity Price : 22.92
Evaluated at bid price : 23.86
Bid-YTW : 4.36 %
CM.PR.P FixedReset 1.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-08-25
Maturity Price : 21.46
Evaluated at bid price : 21.81
Bid-YTW : 4.30 %
BMO.PR.W FixedReset 1.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-08-25
Maturity Price : 21.38
Evaluated at bid price : 21.70
Bid-YTW : 4.29 %
RY.PR.J FixedReset 1.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-08-25
Maturity Price : 22.79
Evaluated at bid price : 23.56
Bid-YTW : 4.37 %
SLF.PR.D Deemed-Retractible 1.12 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.60
Bid-YTW : 6.98 %
HSE.PR.A FixedReset 1.21 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-08-25
Maturity Price : 16.75
Evaluated at bid price : 16.75
Bid-YTW : 4.63 %
TD.PF.C FixedReset 1.25 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-08-25
Maturity Price : 21.51
Evaluated at bid price : 21.88
Bid-YTW : 4.30 %
TD.PF.E FixedReset 1.25 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-08-25
Maturity Price : 23.06
Evaluated at bid price : 24.26
Bid-YTW : 4.35 %
PWF.PR.P FixedReset 1.32 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-08-25
Maturity Price : 16.94
Evaluated at bid price : 16.94
Bid-YTW : 4.40 %
TD.PF.B FixedReset 1.34 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-08-25
Maturity Price : 21.53
Evaluated at bid price : 21.91
Bid-YTW : 4.32 %
TRP.PR.E FixedReset 1.37 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-08-25
Maturity Price : 22.03
Evaluated at bid price : 22.26
Bid-YTW : 4.40 %
BMO.PR.Y FixedReset 1.41 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-08-25
Maturity Price : 22.86
Evaluated at bid price : 23.77
Bid-YTW : 4.32 %
HSE.PR.G FixedReset 1.48 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-08-25
Maturity Price : 23.01
Evaluated at bid price : 24.02
Bid-YTW : 5.18 %
Volume Highlights
Issue Index Shares
Traded		 Notes
CM.PR.R FixedReset 317,045 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-07-31
Maturity Price : 25.00
Evaluated at bid price : 25.11
Bid-YTW : 4.56 %
RY.PR.R FixedReset 258,875 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-08-24
Maturity Price : 25.00
Evaluated at bid price : 26.79
Bid-YTW : 3.59 %
MFC.PR.I FixedReset 164,421 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.77
Bid-YTW : 5.15 %
BMO.PR.S FixedReset 131,767 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-08-25
Maturity Price : 21.81
Evaluated at bid price : 22.31
Bid-YTW : 4.29 %
BMO.PR.R FloatingReset 99,900 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.27
Bid-YTW : 2.97 %
RY.PR.Q FixedReset 91,621 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-05-24
Maturity Price : 25.00
Evaluated at bid price : 26.79
Bid-YTW : 3.47 %
There were 36 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
RY.PR.W Perpetual-Discount Quote: 24.52 – 24.95
Spot Rate : 0.4300
Average : 0.2751

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-08-25
Maturity Price : 24.23
Evaluated at bid price : 24.52
Bid-YTW : 5.01 %
TRP.PR.H FloatingReset Quote: 15.02 – 15.68
Spot Rate : 0.6600
Average : 0.5172

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-08-25
Maturity Price : 15.02
Evaluated at bid price : 15.02
Bid-YTW : 3.33 %
MFC.PR.H FixedReset Quote: 24.36 – 24.76
Spot Rate : 0.4000
Average : 0.2611

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.36
Bid-YTW : 5.02 %
BMO.PR.C FixedReset Quote: 25.40 – 25.70
Spot Rate : 0.3000
Average : 0.1740

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-05-25
Maturity Price : 25.00
Evaluated at bid price : 25.40
Bid-YTW : 4.14 %
GWO.PR.P Deemed-Retractible Quote: 25.18 – 25.55
Spot Rate : 0.3700
Average : 0.2460

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 25.18
Bid-YTW : 5.45 %
W.PR.M FixedReset Quote: 26.18 – 26.50
Spot Rate : 0.3200
Average : 0.2159

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-10-15
Maturity Price : 25.00
Evaluated at bid price : 26.18
Bid-YTW : 4.13 %
Market Action

August 24, 2017

Some hilarity about account statements:

Whether it’s out of dread or complacency, a lot of investors aren’t reading their account statements.

That’s the conclusion to be drawn from a J.D. Power survey in which investors were asked if they noticed any change during the past year in how fees and performance information was communicated by their advisory firm. Just 23 per cent noticed a change, a strikingly low number in light of the fact that new regulatory transparency rules have added some key data to client statements. Over all, the number of investors reporting a complete understanding of fees was 24 per cent, down from 27 per cent in 2016.

Let us all congratulate the Canadian Securities Administrators on their fine work in performing user acceptance testing prior to enacting a vast load of idiocy!

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 -0.1665 % 2,345.8
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.1665 % 4,304.5
Floater 3.69 % 3.73 % 116,545 17.94 3 -0.1665 % 2,480.7
OpRet 0.00 % 0.00 % 0 0.00 0 -0.1103 % 3,077.7
SplitShare 4.73 % 3.98 % 54,382 1.34 5 -0.1103 % 3,675.4
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.1103 % 2,867.7
Perpetual-Premium 5.40 % 4.80 % 57,680 5.88 17 0.0093 % 2,779.9
Perpetual-Discount 5.31 % 5.32 % 64,078 14.89 20 -0.0021 % 2,929.4
FixedReset 4.36 % 4.41 % 139,871 6.35 98 0.2956 % 2,389.9
Deemed-Retractible 5.07 % 5.49 % 105,819 6.04 31 -0.0815 % 2,867.1
FloatingReset 2.62 % 3.04 % 39,708 4.19 9 -0.0204 % 2,618.6
Performance Highlights
Issue Index Change Notes
HSE.PR.G FixedReset -1.58 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-08-24
Maturity Price : 22.83
Evaluated at bid price : 23.67
Bid-YTW : 5.26 %
HSE.PR.A FixedReset -1.19 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-08-24
Maturity Price : 16.55
Evaluated at bid price : 16.55
Bid-YTW : 4.68 %
BAM.PR.X FixedReset 1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-08-24
Maturity Price : 17.56
Evaluated at bid price : 17.56
Bid-YTW : 4.55 %
RY.PR.Z FixedReset 1.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-08-24
Maturity Price : 21.40
Evaluated at bid price : 21.72
Bid-YTW : 4.30 %
TD.PF.C FixedReset 1.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-08-24
Maturity Price : 21.31
Evaluated at bid price : 21.61
Bid-YTW : 4.36 %
NA.PR.W FixedReset 1.17 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-08-24
Maturity Price : 21.27
Evaluated at bid price : 21.55
Bid-YTW : 4.38 %
IFC.PR.A FixedReset 1.52 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.02
Bid-YTW : 6.89 %
MFC.PR.J FixedReset 1.69 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.46
Bid-YTW : 5.09 %
Volume Highlights
Issue Index Shares
Traded		 Notes
RY.PR.B Deemed-Retractible 319,647 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2017-09-23
Maturity Price : 25.00
Evaluated at bid price : 25.07
Bid-YTW : 1.29 %
TD.PR.Z FloatingReset 211,800 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.46
Bid-YTW : 2.82 %
RY.PR.R FixedReset 160,498 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-08-24
Maturity Price : 25.00
Evaluated at bid price : 26.84
Bid-YTW : 3.54 %
RY.PR.L FixedReset 104,117 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2019-02-24
Maturity Price : 25.00
Evaluated at bid price : 25.22
Bid-YTW : 3.67 %
TRP.PR.J FixedReset 72,600 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-05-31
Maturity Price : 25.00
Evaluated at bid price : 26.59
Bid-YTW : 3.67 %
HSE.PR.A FixedReset 67,680 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-08-24
Maturity Price : 16.55
Evaluated at bid price : 16.55
Bid-YTW : 4.68 %
There were 16 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
TRP.PR.H FloatingReset Quote: 15.26 – 15.80
Spot Rate : 0.5400
Average : 0.3607

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-08-24
Maturity Price : 15.26
Evaluated at bid price : 15.26
Bid-YTW : 3.27 %
VNR.PR.A FixedReset Quote: 21.40 – 21.90
Spot Rate : 0.5000
Average : 0.3628

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-08-24
Maturity Price : 21.40
Evaluated at bid price : 21.40
Bid-YTW : 5.10 %
GWO.PR.I Deemed-Retractible Quote: 21.91 – 22.25
Spot Rate : 0.3400
Average : 0.2031

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.91
Bid-YTW : 6.80 %
HSE.PR.E FixedReset Quote: 23.71 – 24.14
Spot Rate : 0.4300
Average : 0.2997

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-08-24
Maturity Price : 22.89
Evaluated at bid price : 23.71
Bid-YTW : 5.28 %
PVS.PR.E SplitShare Quote: 26.11 – 26.50
Spot Rate : 0.3900
Average : 0.2653

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2017-09-23
Maturity Price : 26.00
Evaluated at bid price : 26.11
Bid-YTW : -2.31 %
TRP.PR.A FixedReset Quote: 19.30 – 19.71
Spot Rate : 0.4100
Average : 0.2910

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-08-24
Maturity Price : 19.30
Evaluated at bid price : 19.30
Bid-YTW : 4.47 %
Market Action

August 23, 2017

PerpetualDiscounts now yield 5.33%, equivalent to 6.93% 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 305bp, the same as reported August 16.

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 -0.7554 % 2,349.8
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.7554 % 4,311.7
Floater 3.68 % 3.72 % 118,272 17.96 3 -0.7554 % 2,484.8
OpRet 0.00 % 0.00 % 0 0.00 0 0.0552 % 3,081.1
SplitShare 4.73 % 3.94 % 54,484 1.34 5 0.0552 % 3,679.5
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0552 % 2,870.9
Perpetual-Premium 5.40 % 4.80 % 58,904 5.89 17 0.0814 % 2,779.6
Perpetual-Discount 5.31 % 5.33 % 64,666 14.89 20 -0.0319 % 2,929.5
FixedReset 4.38 % 4.45 % 142,074 6.34 98 0.0388 % 2,382.8
Deemed-Retractible 5.07 % 5.54 % 107,258 6.04 31 -0.0080 % 2,869.5
FloatingReset 2.62 % 3.04 % 40,781 4.20 9 0.1276 % 2,619.2
Performance Highlights
Issue Index Change Notes
HSE.PR.C FixedReset -1.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-08-23
Maturity Price : 22.52
Evaluated at bid price : 23.00
Bid-YTW : 5.06 %
TRP.PR.C FixedReset -1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-08-23
Maturity Price : 16.16
Evaluated at bid price : 16.16
Bid-YTW : 4.52 %
Volume Highlights
Issue Index Shares
Traded		 Notes
RY.PR.B Deemed-Retractible 382,008 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2017-09-22
Maturity Price : 25.00
Evaluated at bid price : 25.07
Bid-YTW : 1.13 %
TD.PR.Z FloatingReset 273,800 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.44
Bid-YTW : 2.84 %
CM.PR.R FixedReset 185,199 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-07-31
Maturity Price : 25.00
Evaluated at bid price : 25.07
Bid-YTW : 4.60 %
TRP.PR.K FixedReset 130,399 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-05-31
Maturity Price : 25.00
Evaluated at bid price : 25.95
Bid-YTW : 4.02 %
BMO.PR.S FixedReset 104,330 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-08-23
Maturity Price : 21.65
Evaluated at bid price : 22.07
Bid-YTW : 4.35 %
BMO.PR.T FixedReset 100,600 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-08-23
Maturity Price : 21.28
Evaluated at bid price : 21.56
Bid-YTW : 4.36 %
There were 27 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
MFC.PR.J FixedReset Quote: 23.07 – 23.53
Spot Rate : 0.4600
Average : 0.3379

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.07
Bid-YTW : 5.35 %
BAM.PF.G FixedReset Quote: 23.78 – 24.14
Spot Rate : 0.3600
Average : 0.2534

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-08-23
Maturity Price : 22.89
Evaluated at bid price : 23.78
Bid-YTW : 4.60 %
MFC.PR.H FixedReset Quote: 24.45 – 24.76
Spot Rate : 0.3100
Average : 0.2062

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.45
Bid-YTW : 4.96 %
IAG.PR.A Deemed-Retractible Quote: 22.77 – 23.14
Spot Rate : 0.3700
Average : 0.2813

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.77
Bid-YTW : 6.27 %
PWF.PR.Z Perpetual-Discount Quote: 24.63 – 24.92
Spot Rate : 0.2900
Average : 0.2052

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-08-23
Maturity Price : 24.25
Evaluated at bid price : 24.63
Bid-YTW : 5.33 %
TRP.PR.C FixedReset Quote: 16.16 – 16.40
Spot Rate : 0.2400
Average : 0.1622

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-08-23
Maturity Price : 16.16
Evaluated at bid price : 16.16
Bid-YTW : 4.52 %
Market Action

August 22, 2017

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 0.0236 % 2,367.6
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.0236 % 4,344.5
Floater 3.66 % 3.69 % 115,262 18.03 3 0.0236 % 2,503.8
OpRet 0.00 % 0.00 % 0 0.00 0 0.1421 % 3,079.4
SplitShare 4.73 % 3.91 % 55,177 1.34 5 0.1421 % 3,677.5
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.1421 % 2,869.3
Perpetual-Premium 5.41 % 4.83 % 61,088 5.89 17 -0.0116 % 2,777.4
Perpetual-Discount 5.30 % 5.32 % 61,259 14.89 20 0.3096 % 2,930.4
FixedReset 4.38 % 4.43 % 143,211 6.35 98 0.3667 % 2,381.9
Deemed-Retractible 5.07 % 5.57 % 108,476 6.04 31 0.1915 % 2,869.7
FloatingReset 2.63 % 3.07 % 40,611 4.20 9 0.1329 % 2,615.8
Performance Highlights
Issue Index Change Notes
CM.PR.O FixedReset 1.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-08-22
Maturity Price : 21.60
Evaluated at bid price : 22.00
Bid-YTW : 4.36 %
CM.PR.P FixedReset 1.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-08-22
Maturity Price : 21.27
Evaluated at bid price : 21.56
Bid-YTW : 4.36 %
HSE.PR.C FixedReset 1.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-08-22
Maturity Price : 22.68
Evaluated at bid price : 23.25
Bid-YTW : 5.00 %
TD.PF.D FixedReset 1.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-08-22
Maturity Price : 22.74
Evaluated at bid price : 23.51
Bid-YTW : 4.43 %
TRP.PR.E FixedReset 1.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-08-22
Maturity Price : 21.53
Evaluated at bid price : 21.91
Bid-YTW : 4.46 %
TRP.PR.B FixedReset 1.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-08-22
Maturity Price : 15.20
Evaluated at bid price : 15.20
Bid-YTW : 4.47 %
TRP.PR.A FixedReset 1.25 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-08-22
Maturity Price : 19.44
Evaluated at bid price : 19.44
Bid-YTW : 4.43 %
MFC.PR.G FixedReset 1.33 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.70
Bid-YTW : 4.91 %
BMO.PR.Y FixedReset 1.38 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-08-22
Maturity Price : 22.74
Evaluated at bid price : 23.54
Bid-YTW : 4.37 %
PWF.PR.L Perpetual-Discount 1.46 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-08-22
Maturity Price : 24.05
Evaluated at bid price : 24.30
Bid-YTW : 5.29 %
TRP.PR.G FixedReset 1.59 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-08-22
Maturity Price : 22.74
Evaluated at bid price : 23.59
Bid-YTW : 4.57 %
TD.PF.H FixedReset 2.27 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-10-31
Maturity Price : 25.00
Evaluated at bid price : 26.08
Bid-YTW : 3.82 %
Volume Highlights
Issue Index Shares
Traded		 Notes
CM.PR.R FixedReset 131,530 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-07-31
Maturity Price : 25.00
Evaluated at bid price : 25.06
Bid-YTW : 4.60 %
IFC.PR.F Deemed-Retractible 74,250 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.66
Bid-YTW : 5.58 %
BMO.PR.C FixedReset 57,800 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-05-25
Maturity Price : 25.00
Evaluated at bid price : 25.20
Bid-YTW : 4.32 %
NA.PR.W FixedReset 55,667 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-08-22
Maturity Price : 21.18
Evaluated at bid price : 21.18
Bid-YTW : 4.48 %
BMO.PR.S FixedReset 51,241 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-08-22
Maturity Price : 21.65
Evaluated at bid price : 22.07
Bid-YTW : 4.35 %
TRP.PR.D FixedReset 45,440 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-08-22
Maturity Price : 21.34
Evaluated at bid price : 21.64
Bid-YTW : 4.51 %
There were 24 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
BAM.PF.E FixedReset Quote: 22.31 – 22.80
Spot Rate : 0.4900
Average : 0.3333

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-08-22
Maturity Price : 22.02
Evaluated at bid price : 22.31
Bid-YTW : 4.65 %
BAM.PR.K Floater Quote: 14.10 – 14.57
Spot Rate : 0.4700
Average : 0.3249

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-08-22
Maturity Price : 14.10
Evaluated at bid price : 14.10
Bid-YTW : 3.70 %
TRP.PR.J FixedReset Quote: 26.55 – 26.78
Spot Rate : 0.2300
Average : 0.1462

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-05-31
Maturity Price : 25.00
Evaluated at bid price : 26.55
Bid-YTW : 3.71 %
HSE.PR.G FixedReset Quote: 24.04 – 24.35
Spot Rate : 0.3100
Average : 0.2283

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-08-22
Maturity Price : 23.01
Evaluated at bid price : 24.04
Bid-YTW : 5.17 %
MFC.PR.C Deemed-Retractible Quote: 21.62 – 21.89
Spot Rate : 0.2700
Average : 0.1933

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.62
Bid-YTW : 6.83 %
SLF.PR.D Deemed-Retractible Quote: 21.36 – 21.60
Spot Rate : 0.2400
Average : 0.1872

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.36
Bid-YTW : 7.16 %