Category: Market Action

Market Action

May 25, 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 0.4335 % 2,975.2
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.4335 % 5,459.4
Floater 3.36 % 3.59 % 79,497 18.26 4 0.4335 % 3,146.3
OpRet 0.00 % 0.00 % 0 0.00 0 -0.0953 % 3,178.4
SplitShare 4.62 % 4.54 % 80,519 5.06 5 -0.0953 % 3,795.7
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.0953 % 2,961.6
Perpetual-Premium 5.62 % -6.18 % 65,201 0.08 10 0.0000 % 2,873.7
Perpetual-Discount 5.42 % 5.51 % 65,460 14.62 24 0.0790 % 2,945.0
FixedReset 4.28 % 4.77 % 156,744 3.92 103 -0.2180 % 2,545.4
Deemed-Retractible 5.14 % 5.72 % 73,925 5.55 27 0.0000 % 2,940.7
FloatingReset 3.17 % 3.51 % 34,592 3.51 8 -0.2832 % 2,804.0
Performance Highlights
Issue Index Change Notes
TRP.PR.B FixedReset -1.52 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-05-25
Maturity Price : 16.86
Evaluated at bid price : 16.86
Bid-YTW : 5.13 %
BAM.PR.X FixedReset -1.45 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-05-25
Maturity Price : 18.35
Evaluated at bid price : 18.35
Bid-YTW : 5.22 %
PWF.PR.P FixedReset -1.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-05-25
Maturity Price : 19.28
Evaluated at bid price : 19.28
Bid-YTW : 4.77 %
TRP.PR.A FixedReset -1.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-05-25
Maturity Price : 20.35
Evaluated at bid price : 20.35
Bid-YTW : 5.14 %
MFC.PR.I FixedReset -1.09 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-09-19
Maturity Price : 25.00
Evaluated at bid price : 24.61
Bid-YTW : 4.70 %
Volume Highlights
Issue Index Shares
Traded		 Notes
TRP.PR.D FixedReset 102,825 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-05-25
Maturity Price : 21.97
Evaluated at bid price : 22.55
Bid-YTW : 5.17 %
BAM.PR.R FixedReset 101,730 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-05-25
Maturity Price : 20.74
Evaluated at bid price : 20.74
Bid-YTW : 5.28 %
BAM.PF.A FixedReset 77,808 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-05-25
Maturity Price : 24.27
Evaluated at bid price : 24.92
Bid-YTW : 5.25 %
BNS.PR.B FloatingReset 64,800 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.85
Bid-YTW : 3.24 %
GWO.PR.Q Deemed-Retractible 52,915 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.05
Bid-YTW : 6.03 %
TRP.PR.J FixedReset 47,150 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-05-31
Maturity Price : 25.00
Evaluated at bid price : 25.90
Bid-YTW : 4.21 %
There were 25 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
BMO.PR.S FixedReset Quote: 23.60 – 24.00
Spot Rate : 0.4000
Average : 0.2643

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-05-25
Maturity Price : 23.04
Evaluated at bid price : 23.60
Bid-YTW : 4.86 %
MFC.PR.N FixedReset Quote: 23.16 – 23.52
Spot Rate : 0.3600
Average : 0.2367

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.16
Bid-YTW : 5.69 %
BAM.PR.X FixedReset Quote: 18.35 – 18.83
Spot Rate : 0.4800
Average : 0.3652

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-05-25
Maturity Price : 18.35
Evaluated at bid price : 18.35
Bid-YTW : 5.22 %
TRP.PR.H FloatingReset Quote: 17.15 – 17.59
Spot Rate : 0.4400
Average : 0.3365

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-05-25
Maturity Price : 17.15
Evaluated at bid price : 17.15
Bid-YTW : 3.80 %
SLF.PR.G FixedReset Quote: 19.58 – 19.88
Spot Rate : 0.3000
Average : 0.2010

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.58
Bid-YTW : 7.50 %
BMO.PR.T FixedReset Quote: 23.20 – 23.48
Spot Rate : 0.2800
Average : 0.1842

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-05-25
Maturity Price : 22.73
Evaluated at bid price : 23.20
Bid-YTW : 4.84 %
Market Action

May 24, 2018

HIMIPref™ Preferred Indices
These values reflect the December 2008 revision of the HIMIPref™ Indices
Values are provisional and are finalized monthly
Index Mean
Current
Yield
(at bid)		 Median
YTW		 Median
Average
Trading
Value		 Median
Mod Dur
(YTW)		 Issues Day’s Perf. Index Value
Ratchet 0.00 % 0.00 % 0 0.00 0 -0.3067 % 2,962.4
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.3067 % 5,435.9
Floater 3.38 % 3.61 % 80,292 18.21 4 -0.3067 % 3,132.7
OpRet 0.00 % 0.00 % 0 0.00 0 0.0000 % 3,181.5
SplitShare 4.62 % 4.56 % 80,167 5.06 5 0.0000 % 3,799.4
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0000 % 2,964.4
Perpetual-Premium 5.62 % -5.90 % 65,700 0.08 10 0.0985 % 2,873.7
Perpetual-Discount 5.42 % 5.53 % 64,309 14.57 24 0.0413 % 2,942.6
FixedReset 4.27 % 4.74 % 155,056 3.93 103 -0.1433 % 2,551.0
Deemed-Retractible 5.14 % 5.72 % 76,813 5.55 27 -0.0858 % 2,940.7
FloatingReset 3.16 % 3.44 % 33,511 3.51 8 0.6785 % 2,812.0
Performance Highlights
Issue Index Change Notes
TRP.PR.D FixedReset -1.52 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-05-24
Maturity Price : 22.06
Evaluated at bid price : 22.69
Bid-YTW : 5.13 %
CU.PR.C FixedReset -1.41 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-05-24
Maturity Price : 21.99
Evaluated at bid price : 22.44
Bid-YTW : 4.91 %
PWF.PR.P FixedReset 1.30 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-05-24
Maturity Price : 19.50
Evaluated at bid price : 19.50
Bid-YTW : 4.72 %
TRP.PR.A FixedReset 2.39 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-05-24
Maturity Price : 20.58
Evaluated at bid price : 20.58
Bid-YTW : 5.08 %
TRP.PR.B FixedReset 2.51 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-05-24
Maturity Price : 17.12
Evaluated at bid price : 17.12
Bid-YTW : 5.05 %
MFC.PR.M FixedReset 3.16 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.47
Bid-YTW : 5.56 %
PWF.PR.Q FloatingReset 6.75 % A reversal of yesterday‘s nonsense.

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-05-24
Maturity Price : 21.20
Evaluated at bid price : 21.20
Bid-YTW : 3.44 %
Volume Highlights
Issue Index Shares
Traded		 Notes
TRP.PR.E FixedReset 150,791 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-05-24
Maturity Price : 22.25
Evaluated at bid price : 22.64
Bid-YTW : 5.13 %
BNS.PR.B FloatingReset 105,235 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2018-10-25
Maturity Price : 25.00
Evaluated at bid price : 24.87
Bid-YTW : 3.04 %
TD.PF.B FixedReset 104,100 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-05-24
Maturity Price : 23.07
Evaluated at bid price : 23.57
Bid-YTW : 4.80 %
MFC.PR.B Deemed-Retractible 97,077 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.60
Bid-YTW : 7.23 %
TD.PF.C FixedReset 95,450 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-05-24
Maturity Price : 23.11
Evaluated at bid price : 23.50
Bid-YTW : 4.77 %
TD.PR.S FixedReset 92,500 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 25.00
Bid-YTW : 3.95 %
There were 28 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: 20.93 – 21.23
Spot Rate : 0.3000
Average : 0.1963

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-05-24
Maturity Price : 20.93
Evaluated at bid price : 20.93
Bid-YTW : 2.90 %
W.PR.J Perpetual-Discount Quote: 24.75 – 25.10
Spot Rate : 0.3500
Average : 0.2598

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-05-24
Maturity Price : 24.50
Evaluated at bid price : 24.75
Bid-YTW : 5.73 %
BIP.PR.B FixedReset Quote: 25.60 – 25.91
Spot Rate : 0.3100
Average : 0.2203

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2020-12-31
Maturity Price : 25.00
Evaluated at bid price : 25.60
Bid-YTW : 4.87 %
IFC.PR.A FixedReset Quote: 19.64 – 19.87
Spot Rate : 0.2300
Average : 0.1434

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.64
Bid-YTW : 7.89 %
W.PR.K FixedReset Quote: 25.78 – 26.20
Spot Rate : 0.4200
Average : 0.3389

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-01-15
Maturity Price : 25.00
Evaluated at bid price : 25.78
Bid-YTW : 4.24 %
TD.PF.J FixedReset Quote: 25.15 – 25.38
Spot Rate : 0.2300
Average : 0.1587

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2023-04-30
Maturity Price : 25.00
Evaluated at bid price : 25.15
Bid-YTW : 4.79 %
Market Action

May 23, 2018

PerpetualDiscounts now yield 5.52%, equivalent to 7.18% interest at the standard equivalency factor of 1.3x. Long corporates now yield a little over 4.05%, so the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) is now about 310bp, a significant widening from the 300bp reported May 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 0.1117 % 2,971.5
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.1117 % 5,452.6
Floater 3.37 % 3.60 % 81,233 18.23 4 0.1117 % 3,142.3
OpRet 0.00 % 0.00 % 0 0.00 0 0.2229 % 3,181.5
SplitShare 4.62 % 4.61 % 82,848 5.07 5 0.2229 % 3,799.4
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.2229 % 2,964.4
Perpetual-Premium 5.62 % -4.70 % 68,416 0.09 10 -0.0354 % 2,870.9
Perpetual-Discount 5.42 % 5.52 % 66,662 14.60 24 0.0971 % 2,941.4
FixedReset 4.26 % 4.70 % 158,279 3.87 103 -0.2148 % 2,554.6
Deemed-Retractible 5.14 % 5.67 % 79,363 5.56 27 -0.0436 % 2,943.3
FloatingReset 3.18 % 3.68 % 33,111 3.51 8 -0.6233 % 2,793.0
Performance Highlights
Issue Index Change Notes
PWF.PR.Q FloatingReset -6.72 % A nonsensical quote of 19.86-21.47 was reported by Nonsense Central, despite the facts that the security traded in a range of 21.46-47. Perhaps it was the overwhelming volume of 200 shares that fouled up the systems! Or that the last trade was at 2:27pm, giving the market maker barely one and a half hours to restore indications of an orderly market!

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

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-05-23
Maturity Price : 19.86
Evaluated at bid price : 19.86
Bid-YTW : 3.68 %
MFC.PR.M FixedReset -4.41 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.75
Bid-YTW : 6.11 %
TRP.PR.A FixedReset -2.71 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-05-23
Maturity Price : 20.10
Evaluated at bid price : 20.10
Bid-YTW : 5.20 %
TRP.PR.B FixedReset -2.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-05-23
Maturity Price : 16.70
Evaluated at bid price : 16.70
Bid-YTW : 5.17 %
CU.PR.C FixedReset -1.26 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-05-23
Maturity Price : 22.20
Evaluated at bid price : 22.76
Bid-YTW : 4.83 %
TRP.PR.D FixedReset -1.24 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-05-23
Maturity Price : 22.51
Evaluated at bid price : 23.04
Bid-YTW : 5.06 %
PWF.PR.P FixedReset -1.18 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-05-23
Maturity Price : 19.25
Evaluated at bid price : 19.25
Bid-YTW : 4.78 %
TRP.PR.C FixedReset -1.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-05-23
Maturity Price : 17.78
Evaluated at bid price : 17.78
Bid-YTW : 5.11 %
BAM.PR.X FixedReset 1.36 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-05-23
Maturity Price : 18.68
Evaluated at bid price : 18.68
Bid-YTW : 5.13 %
Volume Highlights
Issue Index Shares
Traded		 Notes
BMO.PR.D FixedReset 78,100 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-08-25
Maturity Price : 25.00
Evaluated at bid price : 25.12
Bid-YTW : 4.29 %
BAM.PF.J FixedReset 66,057 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-12-31
Maturity Price : 25.00
Evaluated at bid price : 25.55
Bid-YTW : 4.41 %
CM.PR.P FixedReset 60,960 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-05-23
Maturity Price : 23.07
Evaluated at bid price : 23.46
Bid-YTW : 4.77 %
TRP.PR.D FixedReset 35,600 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-05-23
Maturity Price : 22.51
Evaluated at bid price : 23.04
Bid-YTW : 5.06 %
NA.PR.W FixedReset 30,002 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-05-23
Maturity Price : 22.97
Evaluated at bid price : 23.35
Bid-YTW : 4.82 %
RY.PR.Z FixedReset 26,335 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-05-23
Maturity Price : 23.25
Evaluated at bid price : 23.80
Bid-YTW : 4.70 %
There were 11 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
PWF.PR.Q FloatingReset Quote: 19.86 – 21.47
Spot Rate : 1.6100
Average : 1.0075

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-05-23
Maturity Price : 19.86
Evaluated at bid price : 19.86
Bid-YTW : 3.68 %
MFC.PR.M FixedReset Quote: 22.75 – 23.79
Spot Rate : 1.0400
Average : 0.6092

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.75
Bid-YTW : 6.11 %
TRP.PR.A FixedReset Quote: 20.10 – 20.92
Spot Rate : 0.8200
Average : 0.5202

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-05-23
Maturity Price : 20.10
Evaluated at bid price : 20.10
Bid-YTW : 5.20 %
MFC.PR.C Deemed-Retractible Quote: 20.90 – 21.50
Spot Rate : 0.6000
Average : 0.3838

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.90
Bid-YTW : 7.65 %
GWO.PR.Q Deemed-Retractible Quote: 24.24 – 24.75
Spot Rate : 0.5100
Average : 0.3126

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.24
Bid-YTW : 5.88 %
TRP.PR.B FixedReset Quote: 16.70 – 17.25
Spot Rate : 0.5500
Average : 0.3656

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-05-23
Maturity Price : 16.70
Evaluated at bid price : 16.70
Bid-YTW : 5.17 %
Market Action

May 22, 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 -0.4585 % 2,968.2
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.4585 % 5,446.5
Floater 3.37 % 3.60 % 82,267 18.23 4 -0.4585 % 3,138.8
OpRet 0.00 % 0.00 % 0 0.00 0 0.0746 % 3,174.4
SplitShare 4.63 % 4.69 % 82,321 5.07 5 0.0746 % 3,790.9
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0746 % 2,957.8
Perpetual-Premium 5.62 % -4.88 % 69,444 0.08 10 -0.0905 % 2,871.9
Perpetual-Discount 5.43 % 5.51 % 67,268 14.61 24 -0.1813 % 2,938.6
FixedReset 4.26 % 4.65 % 160,054 3.87 103 -0.1708 % 2,560.1
Deemed-Retractible 5.14 % 5.72 % 80,650 5.56 27 -0.2518 % 2,944.5
FloatingReset 3.16 % 3.45 % 30,961 3.51 8 -0.0510 % 2,810.5
Performance Highlights
Issue Index Change Notes
BAM.PR.X FixedReset -2.28 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-05-22
Maturity Price : 18.43
Evaluated at bid price : 18.43
Bid-YTW : 5.20 %
MFC.PR.F FixedReset -2.16 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.00
Bid-YTW : 7.58 %
PWF.PR.P FixedReset -1.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-05-22
Maturity Price : 19.48
Evaluated at bid price : 19.48
Bid-YTW : 4.72 %
SLF.PR.C Deemed-Retractible -1.07 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.26
Bid-YTW : 7.49 %
Volume Highlights
Issue Index Shares
Traded		 Notes
BNS.PR.R FixedReset 103,900 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2019-01-26
Maturity Price : 25.00
Evaluated at bid price : 25.10
Bid-YTW : 3.63 %
BNS.PR.E FixedReset 91,631 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-04-25
Maturity Price : 25.00
Evaluated at bid price : 26.66
Bid-YTW : 3.25 %
MFC.PR.F FixedReset 67,210 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.00
Bid-YTW : 7.58 %
BIP.PR.C FixedReset 49,982 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-09-30
Maturity Price : 25.00
Evaluated at bid price : 25.86
Bid-YTW : 4.51 %
PWF.PR.F Perpetual-Discount 34,600 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-05-22
Maturity Price : 23.48
Evaluated at bid price : 23.75
Bid-YTW : 5.57 %
TD.PF.I FixedReset 34,434 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-10-31
Maturity Price : 25.00
Evaluated at bid price : 25.25
Bid-YTW : 4.34 %
There were 15 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
BAM.PR.X FixedReset Quote: 18.43 – 18.90
Spot Rate : 0.4700
Average : 0.2653

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-05-22
Maturity Price : 18.43
Evaluated at bid price : 18.43
Bid-YTW : 5.20 %
BAM.PR.N Perpetual-Discount Quote: 20.71 – 21.03
Spot Rate : 0.3200
Average : 0.2013

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-05-22
Maturity Price : 20.71
Evaluated at bid price : 20.71
Bid-YTW : 5.83 %
MFC.PR.F FixedReset Quote: 19.00 – 19.34
Spot Rate : 0.3400
Average : 0.2242

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.00
Bid-YTW : 7.58 %
SLF.PR.A Deemed-Retractible Quote: 22.40 – 22.73
Spot Rate : 0.3300
Average : 0.2268

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.40
Bid-YTW : 6.88 %
BAM.PF.C Perpetual-Discount Quote: 21.20 – 21.50
Spot Rate : 0.3000
Average : 0.2060

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-05-22
Maturity Price : 21.20
Evaluated at bid price : 21.20
Bid-YTW : 5.82 %
GWO.PR.N FixedReset Quote: 19.38 – 19.76
Spot Rate : 0.3800
Average : 0.2895

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.38
Bid-YTW : 7.34 %
Market Action

May 18, 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 0.0973 % 2,981.9
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.0973 % 5,471.6
Floater 3.36 % 3.60 % 83,102 18.26 4 0.0973 % 3,153.3
OpRet 0.00 % 0.00 % 0 0.00 0 0.2237 % 3,172.0
SplitShare 4.61 % 4.59 % 81,587 5.01 5 0.2237 % 3,788.1
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.2237 % 2,955.6
Perpetual-Premium 5.62 % -7.01 % 66,877 0.09 10 0.0590 % 2,874.5
Perpetual-Discount 5.42 % 5.49 % 67,337 14.64 24 0.0126 % 2,943.9
FixedReset 4.25 % 4.55 % 165,366 3.67 103 0.0822 % 2,564.5
Deemed-Retractible 5.12 % 5.62 % 78,934 5.57 27 0.0404 % 2,952.0
FloatingReset 3.07 % 3.36 % 31,438 3.53 8 -0.0566 % 2,812.0
Performance Highlights
Issue Index Change Notes
HSE.PR.A FixedReset 1.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-05-18
Maturity Price : 18.00
Evaluated at bid price : 18.00
Bid-YTW : 5.19 %
TRP.PR.A FixedReset 1.19 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-05-18
Maturity Price : 20.49
Evaluated at bid price : 20.49
Bid-YTW : 5.01 %
SLF.PR.C Deemed-Retractible 1.22 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.49
Bid-YTW : 7.28 %
Volume Highlights
Issue Index Shares
Traded		 Notes
IFC.PR.A FixedReset 86,481 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.82
Bid-YTW : 7.67 %
MFC.PR.B Deemed-Retractible 57,510 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.56
Bid-YTW : 7.24 %
BMO.PR.R FloatingReset 54,300 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2018-08-25
Maturity Price : 25.00
Evaluated at bid price : 24.86
Bid-YTW : 2.08 %
CM.PR.R FixedReset 29,366 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-07-31
Maturity Price : 25.00
Evaluated at bid price : 25.36
Bid-YTW : 4.10 %
BNS.PR.G FixedReset 27,300 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-07-25
Maturity Price : 25.00
Evaluated at bid price : 26.81
Bid-YTW : 3.22 %
BNS.PR.R FixedReset 27,300 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2019-01-26
Maturity Price : 25.00
Evaluated at bid price : 25.10
Bid-YTW : 3.58 %
There were 19 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
RY.PR.M FixedReset Quote: 24.50 – 24.95
Spot Rate : 0.4500
Average : 0.3265

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2020-11-24
Maturity Price : 25.00
Evaluated at bid price : 24.50
Bid-YTW : 4.44 %
BMO.PR.Q FixedReset Quote: 22.90 – 23.25
Spot Rate : 0.3500
Average : 0.2268

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.90
Bid-YTW : 4.49 %
SLF.PR.G FixedReset Quote: 19.66 – 20.05
Spot Rate : 0.3900
Average : 0.2727

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.66
Bid-YTW : 7.34 %
MFC.PR.K FixedReset Quote: 23.60 – 23.96
Spot Rate : 0.3600
Average : 0.2493

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.60
Bid-YTW : 5.39 %
GWO.PR.N FixedReset Quote: 19.31 – 19.61
Spot Rate : 0.3000
Average : 0.1902

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.31
Bid-YTW : 7.39 %
IFC.PR.E Deemed-Retractible Quote: 24.61 – 24.89
Spot Rate : 0.2800
Average : 0.1828

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.61
Bid-YTW : 5.64 %
Market Action

May 17, 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 0.0696 % 2,979.0
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.0696 % 5,466.3
Floater 3.36 % 3.60 % 86,372 18.25 4 0.0696 % 3,150.2
OpRet 0.00 % 0.00 % 0 0.00 0 0.0632 % 3,165.0
SplitShare 4.59 % 4.63 % 82,498 5.02 5 0.0632 % 3,779.6
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0632 % 2,949.0
Perpetual-Premium 5.62 % -5.34 % 69,532 0.09 10 -0.0472 % 2,872.8
Perpetual-Discount 5.42 % 5.49 % 65,573 14.65 24 -0.0754 % 2,943.5
FixedReset 4.25 % 4.54 % 165,575 3.88 103 -0.1834 % 2,562.4
Deemed-Retractible 5.13 % 5.61 % 77,895 5.58 27 -0.0342 % 2,950.8
FloatingReset 3.06 % 3.34 % 29,683 3.54 8 -0.1752 % 2,813.5
Performance Highlights
Issue Index Change Notes
HSE.PR.A FixedReset -1.87 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-05-17
Maturity Price : 17.82
Evaluated at bid price : 17.82
Bid-YTW : 5.24 %
TRP.PR.G FixedReset -1.63 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-05-17
Maturity Price : 23.14
Evaluated at bid price : 24.20
Bid-YTW : 5.10 %
RY.PR.Z FixedReset -1.25 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-05-17
Maturity Price : 23.15
Evaluated at bid price : 23.70
Bid-YTW : 4.62 %
SLF.PR.H FixedReset -1.18 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.74
Bid-YTW : 6.06 %
PWF.PR.Q FloatingReset -1.17 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-05-17
Maturity Price : 21.20
Evaluated at bid price : 21.20
Bid-YTW : 3.34 %
BAM.PF.J FixedReset -1.13 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-12-31
Maturity Price : 25.00
Evaluated at bid price : 25.41
Bid-YTW : 4.52 %
CU.PR.C FixedReset 1.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-05-17
Maturity Price : 22.36
Evaluated at bid price : 23.04
Bid-YTW : 4.69 %
Volume Highlights
Issue Index Shares
Traded		 Notes
IFC.PR.E Deemed-Retractible 206,600 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.65
Bid-YTW : 5.61 %
IFC.PR.A FixedReset 119,900 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.00
Bid-YTW : 7.51 %
TD.PF.D FixedReset 77,500 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2020-07-31
Maturity Price : 25.00
Evaluated at bid price : 24.70
Bid-YTW : 4.27 %
RY.PR.M FixedReset 53,400 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2020-11-24
Maturity Price : 25.00
Evaluated at bid price : 24.50
Bid-YTW : 4.43 %
MFC.PR.J FixedReset 51,600 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2023-03-19
Maturity Price : 25.00
Evaluated at bid price : 25.15
Bid-YTW : 4.57 %
BNS.PR.B FloatingReset 44,900 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2018-10-25
Maturity Price : 25.00
Evaluated at bid price : 24.96
Bid-YTW : 2.03 %
There were 18 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: 17.01 – 17.69
Spot Rate : 0.6800
Average : 0.4173

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-05-17
Maturity Price : 17.01
Evaluated at bid price : 17.01
Bid-YTW : 3.71 %
HSE.PR.A FixedReset Quote: 17.82 – 18.15
Spot Rate : 0.3300
Average : 0.2071

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-05-17
Maturity Price : 17.82
Evaluated at bid price : 17.82
Bid-YTW : 5.24 %
IAG.PR.I FixedReset Quote: 25.17 – 25.50
Spot Rate : 0.3300
Average : 0.2348

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2023-03-31
Maturity Price : 25.00
Evaluated at bid price : 25.17
Bid-YTW : 4.91 %
SLF.PR.C Deemed-Retractible Quote: 21.23 – 21.46
Spot Rate : 0.2300
Average : 0.1515

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.23
Bid-YTW : 7.50 %
TRP.PR.A FixedReset Quote: 20.25 – 20.55
Spot Rate : 0.3000
Average : 0.2230

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-05-17
Maturity Price : 20.25
Evaluated at bid price : 20.25
Bid-YTW : 5.07 %
BAM.PF.J FixedReset Quote: 25.41 – 25.73
Spot Rate : 0.3200
Average : 0.2464

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-12-31
Maturity Price : 25.00
Evaluated at bid price : 25.41
Bid-YTW : 4.52 %
Market Action

May 16, 2018

Another strong day for the Canadian preferred share market on excellent volume, powered by an increase in the GOC-5 yield to 2.32%.

PerpetualDiscounts now yield 5.46%, equivalent to 7.10% interest at the standard equivalency factor of 1.3x. Long corporates now yield a little over 4.10%, so the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) is now about 300bp, a significant narrowing from the 310bp reported May 9.

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 -0.1251 % 2,976.9
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.1251 % 5,462.5
Floater 3.36 % 3.59 % 87,396 18.27 4 -0.1251 % 3,148.0
OpRet 0.00 % 0.00 % 0 0.00 0 -0.0237 % 3,163.0
SplitShare 4.60 % 4.70 % 80,906 5.02 5 -0.0237 % 3,777.2
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.0237 % 2,947.2
Perpetual-Premium 5.62 % -7.83 % 68,938 0.09 10 0.0079 % 2,874.1
Perpetual-Discount 5.41 % 5.46 % 63,828 14.69 24 -0.1362 % 2,945.8
FixedReset 4.24 % 4.45 % 164,234 3.68 103 0.3871 % 2,567.1
Deemed-Retractible 5.12 % 5.60 % 80,719 5.58 27 -0.1196 % 2,951.8
FloatingReset 3.06 % 3.30 % 29,412 3.54 8 0.2606 % 2,818.5
Performance Highlights
Issue Index Change Notes
SLF.PR.G FixedReset -1.36 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.58
Bid-YTW : 7.40 %
BAM.PR.T FixedReset 1.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-05-16
Maturity Price : 21.16
Evaluated at bid price : 21.16
Bid-YTW : 5.14 %
BMO.PR.Y FixedReset 1.02 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2020-08-25
Maturity Price : 25.00
Evaluated at bid price : 24.86
Bid-YTW : 4.03 %
CM.PR.P FixedReset 1.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-05-16
Maturity Price : 23.12
Evaluated at bid price : 23.51
Bid-YTW : 4.67 %
TD.PF.B FixedReset 1.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-05-16
Maturity Price : 23.20
Evaluated at bid price : 23.70
Bid-YTW : 4.68 %
CM.PR.O FixedReset 1.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-05-16
Maturity Price : 23.36
Evaluated at bid price : 23.85
Bid-YTW : 4.71 %
TRP.PR.C FixedReset 1.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-05-16
Maturity Price : 17.82
Evaluated at bid price : 17.82
Bid-YTW : 4.99 %
HSE.PR.A FixedReset 1.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-05-16
Maturity Price : 18.16
Evaluated at bid price : 18.16
Bid-YTW : 5.14 %
RY.PR.Z FixedReset 1.27 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-05-16
Maturity Price : 23.46
Evaluated at bid price : 24.00
Bid-YTW : 4.57 %
TRP.PR.A FixedReset 1.34 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-05-16
Maturity Price : 20.43
Evaluated at bid price : 20.43
Bid-YTW : 5.02 %
BAM.PR.X FixedReset 1.40 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-05-16
Maturity Price : 18.86
Evaluated at bid price : 18.86
Bid-YTW : 4.99 %
MFC.PR.G FixedReset 1.48 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-12-19
Maturity Price : 25.00
Evaluated at bid price : 24.61
Bid-YTW : 4.27 %
TRP.PR.G FixedReset 1.65 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2020-11-30
Maturity Price : 25.00
Evaluated at bid price : 24.60
Bid-YTW : 4.42 %
CU.PR.C FixedReset 2.52 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-05-16
Maturity Price : 22.22
Evaluated at bid price : 22.80
Bid-YTW : 4.74 %
Volume Highlights
Issue Index Shares
Traded		 Notes
BMO.PR.R FloatingReset 300,300 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2018-08-25
Maturity Price : 25.00
Evaluated at bid price : 24.85
Bid-YTW : 2.19 %
TD.PF.G FixedReset 154,300 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-04-30
Maturity Price : 25.00
Evaluated at bid price : 26.56
Bid-YTW : 3.37 %
BNS.PR.G FixedReset 95,100 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-07-25
Maturity Price : 25.00
Evaluated at bid price : 26.80
Bid-YTW : 3.22 %
TD.PF.D FixedReset 91,000 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2020-07-31
Maturity Price : 25.00
Evaluated at bid price : 24.81
Bid-YTW : 4.06 %
BNS.PR.R FixedReset 90,800 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2019-01-26
Maturity Price : 25.00
Evaluated at bid price : 25.13
Bid-YTW : 3.37 %
NA.PR.W FixedReset 85,400 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-05-16
Maturity Price : 23.09
Evaluated at bid price : 23.47
Bid-YTW : 4.70 %
There were 42 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
BAM.PF.D Perpetual-Discount Quote: 21.40 – 21.74
Spot Rate : 0.3400
Average : 0.2186

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-05-16
Maturity Price : 21.40
Evaluated at bid price : 21.40
Bid-YTW : 5.82 %
BAM.PF.A FixedReset Quote: 25.17 – 25.50
Spot Rate : 0.3300
Average : 0.2122

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2018-09-30
Maturity Price : 25.00
Evaluated at bid price : 25.17
Bid-YTW : 4.19 %
HSE.PR.E FixedReset Quote: 25.19 – 25.54
Spot Rate : 0.3500
Average : 0.2497

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2020-03-31
Maturity Price : 25.00
Evaluated at bid price : 25.19
Bid-YTW : 4.40 %
IFC.PR.C FixedReset Quote: 23.18 – 23.50
Spot Rate : 0.3200
Average : 0.2231

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.18
Bid-YTW : 5.48 %
MFC.PR.M FixedReset Quote: 23.98 – 24.46
Spot Rate : 0.4800
Average : 0.3970

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.98
Bid-YTW : 5.09 %
SLF.PR.G FixedReset Quote: 19.58 – 19.79
Spot Rate : 0.2100
Average : 0.1376

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.58
Bid-YTW : 7.40 %
Market Action

May 15, 2018

HIMIPref™ Preferred Indices
These values reflect the December 2008 revision of the HIMIPref™ Indices
Values are provisional and are finalized monthly
Index Mean
Current
Yield
(at bid)		 Median
YTW		 Median
Average
Trading
Value		 Median
Mod Dur
(YTW)		 Issues Day’s Perf. Index Value
Ratchet 0.00 % 0.00 % 0 0.00 0 0.3487 % 2,980.6
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.3487 % 5,469.3
Floater 3.36 % 3.58 % 90,715 18.30 4 0.3487 % 3,152.0
OpRet 0.00 % 0.00 % 0 0.00 0 0.0316 % 3,163.7
SplitShare 4.59 % 4.65 % 82,062 5.02 5 0.0316 % 3,778.1
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0316 % 2,947.9
Perpetual-Premium 5.62 % -6.64 % 69,109 0.09 10 0.0157 % 2,873.9
Perpetual-Discount 5.41 % 5.46 % 64,241 14.70 24 0.0574 % 2,949.8
FixedReset 4.26 % 4.62 % 158,545 3.82 103 0.3473 % 2,557.2
Deemed-Retractible 5.12 % 5.58 % 81,369 5.58 27 -0.0481 % 2,955.3
FloatingReset 3.07 % 3.31 % 30,102 3.54 8 0.3296 % 2,811.2
Performance Highlights
Issue Index Change Notes
IFC.PR.F Deemed-Retractible -1.10 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 25.07
Bid-YTW : 5.40 %
TRP.PR.B FixedReset 1.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-05-15
Maturity Price : 17.00
Evaluated at bid price : 17.00
Bid-YTW : 4.96 %
TRP.PR.D FixedReset 1.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-05-15
Maturity Price : 22.95
Evaluated at bid price : 23.52
Bid-YTW : 4.85 %
TD.PF.A FixedReset 1.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-05-15
Maturity Price : 23.06
Evaluated at bid price : 23.50
Bid-YTW : 4.69 %
BMO.PR.Z Perpetual-Discount 1.18 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-05-15
Maturity Price : 24.48
Evaluated at bid price : 24.95
Bid-YTW : 5.00 %
W.PR.H Perpetual-Discount 1.21 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-05-15
Maturity Price : 24.68
Evaluated at bid price : 25.00
Bid-YTW : 5.55 %
PWF.PR.Q FloatingReset 1.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-05-15
Maturity Price : 21.44
Evaluated at bid price : 21.44
Bid-YTW : 3.31 %
GWO.PR.N FixedReset 1.26 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.25
Bid-YTW : 7.44 %
HSE.PR.A FixedReset 1.36 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-05-15
Maturity Price : 17.94
Evaluated at bid price : 17.94
Bid-YTW : 5.20 %
MFC.PR.F FixedReset 1.37 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.28
Bid-YTW : 7.25 %
NA.PR.W FixedReset 1.43 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-05-15
Maturity Price : 22.97
Evaluated at bid price : 23.35
Bid-YTW : 4.72 %
MFC.PR.L FixedReset 1.75 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.28
Bid-YTW : 5.49 %
BAM.PR.R FixedReset 2.63 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-05-15
Maturity Price : 20.72
Evaluated at bid price : 20.72
Bid-YTW : 5.19 %
MFC.PR.K FixedReset 3.17 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.42
Bid-YTW : 5.51 %
Volume Highlights
Issue Index Shares
Traded		 Notes
BIP.PR.A FixedReset 250,539 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-05-15
Maturity Price : 23.37
Evaluated at bid price : 24.52
Bid-YTW : 5.74 %
PWF.PR.I Perpetual-Premium 174,643 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2018-06-14
Maturity Price : 25.00
Evaluated at bid price : 25.67
Bid-YTW : -21.93 %
GWO.PR.M Deemed-Retractible 147,900 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2018-06-14
Maturity Price : 25.25
Evaluated at bid price : 26.21
Bid-YTW : -29.02 %
BAM.PF.J FixedReset 106,700 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-12-31
Maturity Price : 25.00
Evaluated at bid price : 25.85
Bid-YTW : 4.10 %
TD.PF.E FixedReset 106,035 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2020-10-31
Maturity Price : 25.00
Evaluated at bid price : 24.79
Bid-YTW : 4.14 %
TRP.PR.D FixedReset 105,300 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-05-15
Maturity Price : 22.95
Evaluated at bid price : 23.52
Bid-YTW : 4.85 %
TD.PF.A FixedReset 101,828 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-05-15
Maturity Price : 23.06
Evaluated at bid price : 23.50
Bid-YTW : 4.69 %
There were 37 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
MFC.PR.M FixedReset Quote: 23.82 – 24.32
Spot Rate : 0.5000
Average : 0.3061

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.82
Bid-YTW : 5.21 %
TRP.PR.G FixedReset Quote: 24.20 – 24.63
Spot Rate : 0.4300
Average : 0.2790

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-05-15
Maturity Price : 23.14
Evaluated at bid price : 24.20
Bid-YTW : 5.10 %
HSE.PR.G FixedReset Quote: 25.30 – 26.08
Spot Rate : 0.7800
Average : 0.6526

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2020-06-30
Maturity Price : 25.00
Evaluated at bid price : 25.30
Bid-YTW : 4.30 %
MFC.PR.Q FixedReset Quote: 25.02 – 25.35
Spot Rate : 0.3300
Average : 0.2041

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2023-06-19
Maturity Price : 25.00
Evaluated at bid price : 25.02
Bid-YTW : 4.61 %
BAM.PF.J FixedReset Quote: 25.85 – 26.21
Spot Rate : 0.3600
Average : 0.2375

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-12-31
Maturity Price : 25.00
Evaluated at bid price : 25.85
Bid-YTW : 4.10 %
MFC.PR.G FixedReset Quote: 24.25 – 24.78
Spot Rate : 0.5300
Average : 0.4091

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-12-19
Maturity Price : 25.00
Evaluated at bid price : 24.25
Bid-YTW : 4.71 %
Market Action

May 14, 2018

HIMIPref™ Preferred Indices
These values reflect the December 2008 revision of the HIMIPref™ Indices
Values are provisional and are finalized monthly
Index Mean
Current
Yield
(at bid)		 Median
YTW		 Median
Average
Trading
Value		 Median
Mod Dur
(YTW)		 Issues Day’s Perf. Index Value
Ratchet 0.00 % 0.00 % 0 0.00 0 -0.1254 % 2,970.3
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.1254 % 5,450.3
Floater 3.37 % 3.60 % 91,394 18.25 4 -0.1254 % 3,141.0
OpRet 0.00 % 0.00 % 0 0.00 0 0.0870 % 3,162.7
SplitShare 4.60 % 4.66 % 82,212 5.02 5 0.0870 % 3,776.9
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0870 % 2,946.9
Perpetual-Premium 5.62 % -5.90 % 67,521 0.09 10 0.0669 % 2,873.5
Perpetual-Discount 5.41 % 5.45 % 63,000 14.71 24 0.1508 % 2,948.1
FixedReset 4.27 % 4.66 % 163,780 4.02 103 0.0445 % 2,548.3
Deemed-Retractible 5.12 % 5.57 % 81,702 5.59 27 0.0655 % 2,956.8
FloatingReset 3.08 % 3.35 % 30,294 3.54 8 0.1822 % 2,801.9
Performance Highlights
Issue Index Change Notes
MFC.PR.K FixedReset -2.06 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.70
Bid-YTW : 6.06 %
BAM.PR.R FixedReset -1.85 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-05-14
Maturity Price : 20.19
Evaluated at bid price : 20.19
Bid-YTW : 5.32 %
MFC.PR.L FixedReset -1.01 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.88
Bid-YTW : 5.80 %
PWF.PR.A Floater 1.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-05-14
Maturity Price : 21.00
Evaluated at bid price : 21.00
Bid-YTW : 2.87 %
TRP.PR.A FixedReset 1.45 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-05-14
Maturity Price : 20.34
Evaluated at bid price : 20.34
Bid-YTW : 5.05 %
HSE.PR.C FixedReset 1.52 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-05-14
Maturity Price : 23.60
Evaluated at bid price : 24.77
Bid-YTW : 5.32 %
MFC.PR.G FixedReset 3.06 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-12-19
Maturity Price : 25.00
Evaluated at bid price : 24.44
Bid-YTW : 4.47 %
Volume Highlights
Issue Index Shares
Traded		 Notes
RY.PR.J FixedReset 364,900 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2020-05-24
Maturity Price : 25.00
Evaluated at bid price : 24.45
Bid-YTW : 4.71 %
RY.PR.R FixedReset 293,929 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-08-24
Maturity Price : 25.00
Evaluated at bid price : 26.57
Bid-YTW : 3.43 %
MFC.PR.H FixedReset 266,454 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-03-19
Maturity Price : 25.00
Evaluated at bid price : 25.15
Bid-YTW : 5.00 %
TRP.PR.E FixedReset 207,237 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-05-14
Maturity Price : 22.82
Evaluated at bid price : 23.25
Bid-YTW : 4.89 %
CM.PR.S FixedReset 196,800 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-05-14
Maturity Price : 23.00
Evaluated at bid price : 24.50
Bid-YTW : 4.66 %
TD.PF.E FixedReset 157,469 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2020-10-31
Maturity Price : 25.00
Evaluated at bid price : 24.84
Bid-YTW : 4.05 %
TD.PF.G FixedReset 155,804 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-04-30
Maturity Price : 25.00
Evaluated at bid price : 26.45
Bid-YTW : 3.51 %
BNS.PR.E FixedReset 150,457 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-04-25
Maturity Price : 25.00
Evaluated at bid price : 26.59
Bid-YTW : 3.32 %
MFC.PR.B Deemed-Retractible 106,720 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.68
Bid-YTW : 7.13 %
There were 18 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: 23.25 – 23.75
Spot Rate : 0.5000
Average : 0.3036

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-05-14
Maturity Price : 22.76
Evaluated at bid price : 23.25
Bid-YTW : 4.77 %
TD.PF.A FixedReset Quote: 23.23 – 23.68
Spot Rate : 0.4500
Average : 0.2635

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-05-14
Maturity Price : 22.80
Evaluated at bid price : 23.23
Bid-YTW : 4.75 %
BAM.PR.R FixedReset Quote: 20.19 – 20.68
Spot Rate : 0.4900
Average : 0.3109

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-05-14
Maturity Price : 20.19
Evaluated at bid price : 20.19
Bid-YTW : 5.32 %
PWF.PR.Q FloatingReset Quote: 21.18 – 25.00
Spot Rate : 3.8200
Average : 3.6470

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-05-14
Maturity Price : 21.18
Evaluated at bid price : 21.18
Bid-YTW : 3.35 %
RY.PR.M FixedReset Quote: 24.27 – 24.95
Spot Rate : 0.6800
Average : 0.5342

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-05-14
Maturity Price : 23.17
Evaluated at bid price : 24.27
Bid-YTW : 4.75 %
BMO.PR.Y FixedReset Quote: 24.51 – 24.89
Spot Rate : 0.3800
Average : 0.2833

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2020-08-25
Maturity Price : 25.00
Evaluated at bid price : 24.51
Bid-YTW : 4.68 %
Market Action

May 11, 2018

Jobs, jobs, jobs!

Canada recorded its strongest wage growth in six years in April, giving the Bank of Canada more evidence that the country’s job market is robust. But don’t expect the central bank to raise interest rates just yet.

The average hourly wage climbed 3.6 per cent to $27.02 over April of last year, according to Statistics Canada’s monthly jobs report released on Friday. That’s the biggest increase since the fall of 2012, when soaring oil prices fuelled a labour shortage and spike in wages in Alberta.
…
Over all, the labour market has been strong for the past year and a half, even with the net loss of 1,100 part time jobs in April. The economy created 28,800 full-time positions and eliminated 30,000 part-time positions. Over the year, employers have added 278,300 new jobs.

The unemployment rate remained at 5.8 per cent, a level first touched in December. Before that, the last time the rate was that low was in October, 2007

FINTRAC is attempting to boost the career prospects of its employees:

Experts are raising red flags about Canada’s securities industry, saying it is increasingly susceptible to money laundering. Yet despite numerous warnings from regulatory agencies, data obtained by The Globe and Mail show that many of the country’s securities dealers are not meeting federal rules aimed at rooting out financial crime – leaving them vulnerable to exploitation by criminals looking to hide dirty money.

Statistics tell an alarming tale. Canada’s anti-money-laundering agency, Fintrac, examined more than 250 of the country’s 3,000 or so securities dealers over the past five years and found what it calls “significant” shortcomings in the firms’ controls nearly half the time, the data revealed.
…
The federal Department of Finance is currently reviewing Canada’s anti-money-laundering regime, as it’s required to do every five years.

As I said on November 23, 2015:

According to John Allison (who ran the BB&T bank with distinction through the Credit Crunch) the US “Patriot Act” costs US banks over $5-billion annually and “there has never been a single terrorist caught and convicted because of the Patriot Act.” Instead, the Patriot Act has enabled government snooping that, so far, has achieved success in nailing Eliot Switzer (a guy who hired prostitutes) and Dennis Hastert (a blackmail victim desperate to pay his blackmailer). Oh, very well done and well worth $5-billion per year.

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 -0.8836 % 2,974.0
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.8836 % 5,457.1
Floater 3.36 % 3.57 % 86,377 18.32 4 -0.8836 % 3,145.0
OpRet 0.00 % 0.00 % 0 0.00 0 -0.0633 % 3,160.0
SplitShare 4.60 % 4.69 % 82,004 5.03 5 -0.0633 % 3,773.7
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.0633 % 2,944.4
Perpetual-Premium 5.62 % -5.99 % 67,304 0.09 10 -0.0197 % 2,871.5
Perpetual-Discount 5.42 % 5.45 % 63,745 14.71 24 -0.0054 % 2,943.6
FixedReset 4.27 % 4.67 % 165,447 3.97 103 -0.0105 % 2,547.2
Deemed-Retractible 5.11 % 5.57 % 81,759 5.59 27 0.2302 % 2,954.8
FloatingReset 3.08 % 3.46 % 30,395 3.55 8 0.0513 % 2,796.8
Performance Highlights
Issue Index Change Notes
MFC.PR.G FixedReset -3.31 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.95
Bid-YTW : 5.31 %
PWF.PR.A Floater -2.17 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-05-11
Maturity Price : 20.75
Evaluated at bid price : 20.75
Bid-YTW : 2.90 %
HSE.PR.C FixedReset -1.73 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-05-11
Maturity Price : 24.06
Evaluated at bid price : 24.40
Bid-YTW : 5.44 %
PWF.PR.Q FloatingReset -1.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-05-11
Maturity Price : 21.09
Evaluated at bid price : 21.09
Bid-YTW : 3.36 %
SLF.PR.B Deemed-Retractible 1.06 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.80
Bid-YTW : 6.57 %
TRP.PR.E FixedReset 1.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-05-11
Maturity Price : 22.81
Evaluated at bid price : 23.24
Bid-YTW : 4.89 %
TRP.PR.H FloatingReset 1.32 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-05-11
Maturity Price : 16.85
Evaluated at bid price : 16.85
Bid-YTW : 3.74 %
Volume Highlights
Issue Index Shares
Traded		 Notes
TRP.PR.J FixedReset 184,581 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-05-31
Maturity Price : 25.00
Evaluated at bid price : 26.42
Bid-YTW : 3.91 %
BMO.PR.M FixedReset 159,900 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.84
Bid-YTW : 4.00 %
TD.PF.G FixedReset 106,900 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-04-30
Maturity Price : 25.00
Evaluated at bid price : 26.44
Bid-YTW : 3.52 %
RY.PR.Z FixedReset 68,739 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-05-11
Maturity Price : 22.86
Evaluated at bid price : 23.40
Bid-YTW : 4.68 %
CM.PR.Q FixedReset 67,003 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2020-07-31
Maturity Price : 25.00
Evaluated at bid price : 24.66
Bid-YTW : 4.32 %
TRP.PR.C FixedReset 58,600 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-05-11
Maturity Price : 17.50
Evaluated at bid price : 17.50
Bid-YTW : 5.08 %
There were 15 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
PWF.PR.Q FloatingReset Quote: 21.09 – 25.00
Spot Rate : 3.9100
Average : 3.4574

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-05-11
Maturity Price : 21.09
Evaluated at bid price : 21.09
Bid-YTW : 3.36 %
TRP.PR.F FloatingReset Quote: 20.09 – 21.09
Spot Rate : 1.0000
Average : 0.5625

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-05-11
Maturity Price : 20.09
Evaluated at bid price : 20.09
Bid-YTW : 3.94 %
MFC.PR.G FixedReset Quote: 23.95 – 24.79
Spot Rate : 0.8400
Average : 0.4593

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.95
Bid-YTW : 5.31 %
PWF.PR.A Floater Quote: 20.75 – 21.48
Spot Rate : 0.7300
Average : 0.4678

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-05-11
Maturity Price : 20.75
Evaluated at bid price : 20.75
Bid-YTW : 2.90 %
HSE.PR.C FixedReset Quote: 24.40 – 24.98
Spot Rate : 0.5800
Average : 0.3508

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-05-11
Maturity Price : 24.06
Evaluated at bid price : 24.40
Bid-YTW : 5.44 %
RY.PR.M FixedReset Quote: 24.35 – 24.95
Spot Rate : 0.6000
Average : 0.3744

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2020-11-24
Maturity Price : 25.00
Evaluated at bid price : 24.35
Bid-YTW : 4.66 %