Category: Market Action

Market Action

December 14, 2016

The big news of the day was the FOMC press release:

Information received since the Federal Open Market Committee met in November indicates that the labor market has continued to strengthen and that economic activity has been expanding at a moderate pace since mid-year. Job gains have been solid in recent months and the unemployment rate has declined. Household spending has been rising moderately but business fixed investment has remained soft. Inflation has increased since earlier this year but is still below the Committee’s 2 percent longer-run objective, partly reflecting earlier declines in energy prices and in prices of non-energy imports. Market-based measures of inflation compensation have moved up considerably but still are low; most survey-based measures of longer-term inflation expectations are little changed, on balance, in recent months.
…
In view of realized and expected labor market conditions and inflation, the Committee decided to raise the target range for the federal funds rate to 1/2 to 3/4 percent. The stance of monetary policy remains accommodative, thereby supporting some further strengthening in labor market conditions and a return to 2 percent inflation.
…
The Committee expects that economic conditions will evolve in a manner that will warrant only gradual increases in the federal funds rate; the federal funds rate is likely to remain, for some time, below levels that are expected to prevail in the longer run.

Of interest was the Fed’s long-term projection:

The unemployment rate was 6.7 percent when Yellen took office in February 2014, and it is now at 4.6 percent. The road to a tightening labor market has been a long, spirit-crushing slog for millions of Americans and Yellen has been particularly attentive to broader labor indicators during her tenure. She noted that black unemployment rates were “about back to 2007 levels as well.”

Click for Big

Sometimes I wish I lived in Aukland:

Domino’s demonstrated its ability to deliver food via a drone Thursday in New Zealand and plans to test actual deliveries to customers next month.

“It doesn’t add up to deliver a two kilogram package in a two-ton vehicle,” said Scott Bush, a general manager for Domino’s Pizza Enterprises, which is independent of the U.S. chain and operates in seven countries. “In Auckland, we have such massive traffic congestion it just makes sense to take to the airways.”

A Domino’s customer who requests a drone delivery will receive a notification when their delivery is approaching. After going outside and hitting a button on their smartphone, the drone will lower the food via a tether. Once the package is released, the drone pulls the tether back up and flies back to the Domino’s store.

… or maybe England:

Amazon.com Inc.’s drone delivery program has liftoff—from a rural corner of England.

Amazon last week made its first customer delivery by drone, carrying a package containing popcorn and a Fire TV video-streaming device several miles to a two-story farmhouse near Cambridge, U.K., in 13 minutes. A video the company released Wednesday shows a track the drone used to launch, a platform from which employees monitored takeoff, and a landing pad on the customer’s lawn.

PerpetualDiscounts now yield 5.52%, equivalent to 7.18% interest at the standard equivalency factor of 1.3x. Long corporates now yield about 4.2%, so the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) is now about 300bp, a narrowing from the 310bp reported December 7.

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	0.5013 %	1,765.3
FixedFloater	0.00 %	0.00 %	0	0.00	0	0.5013 %	3,224.8
Floater	4.28 %	4.38 %	54,865	16.68	4	0.5013 %	1,858.5
OpRet	0.00 %	0.00 %	0	0.00	0	0.0595 %	2,930.5
SplitShare	4.82 %	4.59 %	82,841	4.30	6	0.0595 %	3,499.7
Interest-Bearing	0.00 %	0.00 %	0	0.00	0	0.0595 %	2,730.6
Perpetual-Premium	5.47 %	5.40 %	87,933	14.43	23	-0.0263 %	2,645.4
Perpetual-Discount	5.51 %	5.52 %	99,403	14.57	15	-0.5111 %	2,729.6
FixedReset	4.87 %	4.68 %	228,359	6.79	96	0.0560 %	2,102.5
Deemed-Retractible	5.21 %	4.67 %	143,956	4.55	32	-0.2605 %	2,735.1
FloatingReset	2.84 %	3.87 %	46,927	4.81	12	-0.4929 %	2,298.7

Performance Highlights
Issue	Index	Change	Notes
TRP.PR.H	FloatingReset	-1.91 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-12-14 Maturity Price : 11.28 Evaluated at bid price : 11.28 Bid-YTW : 3.87 %
TRP.PR.F	FloatingReset	-1.56 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-12-14 Maturity Price : 14.55 Evaluated at bid price : 14.55 Bid-YTW : 4.10 %
CU.PR.C	FixedReset	-1.39 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-12-14 Maturity Price : 19.10 Evaluated at bid price : 19.10 Bid-YTW : 4.62 %
SLF.PR.K	FloatingReset	-1.22 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 16.20 Bid-YTW : 8.77 %
TD.PR.S	FixedReset	-1.21 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.77 Bid-YTW : 4.09 %
SLF.PR.B	Deemed-Retractible	-1.20 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.17 Bid-YTW : 6.63 %
BNS.PR.Q	FixedReset	-1.20 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.88 Bid-YTW : 4.19 %
SLF.PR.D	Deemed-Retractible	-1.20 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.67 Bid-YTW : 7.32 %
SLF.PR.C	Deemed-Retractible	-1.19 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.70 Bid-YTW : 7.30 %
FTS.PR.M	FixedReset	-1.14 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-12-14 Maturity Price : 19.05 Evaluated at bid price : 19.05 Bid-YTW : 4.84 %
FTS.PR.F	Perpetual-Discount	-1.10 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-12-14 Maturity Price : 22.11 Evaluated at bid price : 22.39 Bid-YTW : 5.51 %
CU.PR.E	Perpetual-Discount	-1.09 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-12-14 Maturity Price : 22.36 Evaluated at bid price : 22.67 Bid-YTW : 5.44 %
W.PR.J	Perpetual-Premium	-1.03 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-12-14 Maturity Price : 24.66 Evaluated at bid price : 24.92 Bid-YTW : 5.71 %
IAG.PR.A	Deemed-Retractible	-1.02 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.28 Bid-YTW : 7.04 %
MFC.PR.B	Deemed-Retractible	-1.00 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.74 Bid-YTW : 6.79 %
BAM.PR.R	FixedReset	1.09 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-12-14 Maturity Price : 16.62 Evaluated at bid price : 16.62 Bid-YTW : 4.98 %
BMO.PR.W	FixedReset	1.12 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-12-14 Maturity Price : 18.92 Evaluated at bid price : 18.92 Bid-YTW : 4.51 %

Volume Highlights
Issue	Index	Shares Traded	Notes
NA.PR.S	FixedReset	197,757	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-12-14 Maturity Price : 19.10 Evaluated at bid price : 19.10 Bid-YTW : 4.72 %
MFC.PR.R	FixedReset	163,636	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.89 Bid-YTW : 5.01 %
TRP.PR.K	FixedReset	156,203	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-12-14 Maturity Price : 23.13 Evaluated at bid price : 24.98 Bid-YTW : 4.87 %
BAM.PF.I	FixedReset	151,586	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-12-14 Maturity Price : 23.17 Evaluated at bid price : 25.08 Bid-YTW : 4.82 %
BIP.PR.A	FixedReset	85,120	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-12-14 Maturity Price : 21.16 Evaluated at bid price : 21.16 Bid-YTW : 5.48 %
RY.PR.Z	FixedReset	67,685	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-12-14 Maturity Price : 19.10 Evaluated at bid price : 19.10 Bid-YTW : 4.48 %
There were 83 other index-included issues trading in excess of 10,000 shares.

Wide Spread Highlights
Issue	Index	Quote Data and Yield Notes
FTS.PR.M	FixedReset	Quote: 19.05 – 19.34 Spot Rate : 0.2900 Average : 0.1915 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-12-14 Maturity Price : 19.05 Evaluated at bid price : 19.05 Bid-YTW : 4.84 %
CU.PR.E	Perpetual-Discount	Quote: 22.67 – 22.99 Spot Rate : 0.3200 Average : 0.2221 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-12-14 Maturity Price : 22.36 Evaluated at bid price : 22.67 Bid-YTW : 5.44 %
CU.PR.C	FixedReset	Quote: 19.10 – 19.47 Spot Rate : 0.3700 Average : 0.2731 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-12-14 Maturity Price : 19.10 Evaluated at bid price : 19.10 Bid-YTW : 4.62 %
SLF.PR.K	FloatingReset	Quote: 16.20 – 16.64 Spot Rate : 0.4400 Average : 0.3473 YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 16.20 Bid-YTW : 8.77 %
CU.PR.D	Perpetual-Discount	Quote: 22.66 – 22.95 Spot Rate : 0.2900 Average : 0.2042 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-12-14 Maturity Price : 22.35 Evaluated at bid price : 22.66 Bid-YTW : 5.44 %
CU.PR.G	Perpetual-Discount	Quote: 20.63 – 20.90 Spot Rate : 0.2700 Average : 0.1915 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-12-14 Maturity Price : 20.63 Evaluated at bid price : 20.63 Bid-YTW : 5.50 %

Market Action

December 13, 2016

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	0.2575 %	1,756.5
FixedFloater	0.00 %	0.00 %	0	0.00	0	0.2575 %	3,208.7
Floater	4.31 %	4.41 %	55,052	16.62	4	0.2575 %	1,849.2
OpRet	0.00 %	0.00 %	0	0.00	0	0.1125 %	2,928.8
SplitShare	4.83 %	4.51 %	53,494	1.97	6	0.1125 %	3,497.6
Interest-Bearing	0.00 %	0.00 %	0	0.00	0	0.1125 %	2,729.0
Perpetual-Premium	5.47 %	5.40 %	88,764	14.42	23	0.0281 %	2,646.1
Perpetual-Discount	5.48 %	5.50 %	97,443	14.59	15	0.3123 %	2,743.6
FixedReset	4.87 %	4.68 %	217,568	6.79	96	0.2370 %	2,101.4
Deemed-Retractible	5.19 %	5.03 %	143,601	4.55	32	0.0383 %	2,742.3
FloatingReset	2.83 %	3.80 %	45,759	4.81	12	0.2802 %	2,310.1

Performance Highlights
Issue	Index	Change	Notes
CU.PR.F	Perpetual-Discount	1.02 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-12-13 Maturity Price : 20.87 Evaluated at bid price : 20.87 Bid-YTW : 5.44 %
SLF.PR.I	FixedReset	1.05 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.16 Bid-YTW : 6.99 %
BAM.PF.H	FixedReset	1.09 %	YTW SCENARIO Maturity Type : Call Maturity Date : 2020-12-31 Maturity Price : 25.00 Evaluated at bid price : 25.97 Bid-YTW : 3.91 %
FTS.PR.M	FixedReset	1.10 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-12-13 Maturity Price : 19.27 Evaluated at bid price : 19.27 Bid-YTW : 4.78 %
TRP.PR.A	FixedReset	1.10 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-12-13 Maturity Price : 15.57 Evaluated at bid price : 15.57 Bid-YTW : 4.92 %
IFC.PR.D	FloatingReset	1.32 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 19.65 Bid-YTW : 6.54 %
IFC.PR.A	FixedReset	1.37 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 16.26 Bid-YTW : 9.20 %
CU.PR.C	FixedReset	1.41 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-12-13 Maturity Price : 19.37 Evaluated at bid price : 19.37 Bid-YTW : 4.55 %
PWF.PR.A	Floater	1.61 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-12-13 Maturity Price : 11.96 Evaluated at bid price : 11.96 Bid-YTW : 3.98 %
TRP.PR.H	FloatingReset	1.95 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-12-13 Maturity Price : 11.50 Evaluated at bid price : 11.50 Bid-YTW : 3.80 %

Volume Highlights
Issue	Index	Shares Traded	Notes
BNS.PR.N	Deemed-Retractible	226,890	YTW SCENARIO Maturity Type : Call Maturity Date : 2017-01-27 Maturity Price : 25.00 Evaluated at bid price : 25.28 Bid-YTW : 1.17 %
TRP.PR.K	FixedReset	185,425	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-12-13 Maturity Price : 23.13 Evaluated at bid price : 24.98 Bid-YTW : 4.87 %
FTS.PR.M	FixedReset	170,193	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-12-13 Maturity Price : 19.27 Evaluated at bid price : 19.27 Bid-YTW : 4.78 %
MFC.PR.R	FixedReset	125,836	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.85 Bid-YTW : 5.03 %
RY.PR.Z	FixedReset	93,133	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-12-13 Maturity Price : 18.94 Evaluated at bid price : 18.94 Bid-YTW : 4.52 %
MFC.PR.N	FixedReset	84,200	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 18.66 Bid-YTW : 7.89 %
There were 82 other index-included issues trading in excess of 10,000 shares.

Wide Spread Highlights
Issue	Index	Quote Data and Yield Notes
GWO.PR.Q	Deemed-Retractible	Quote: 23.54 – 23.92 Spot Rate : 0.3800 Average : 0.2138 YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.54 Bid-YTW : 6.07 %
RY.PR.I	FixedReset	Quote: 24.35 – 24.60 Spot Rate : 0.2500 Average : 0.1526 YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.35 Bid-YTW : 3.86 %
W.PR.K	FixedReset	Quote: 25.59 – 25.85 Spot Rate : 0.2600 Average : 0.1733 YTW SCENARIO Maturity Type : Call Maturity Date : 2021-01-15 Maturity Price : 25.00 Evaluated at bid price : 25.59 Bid-YTW : 4.87 %
HSE.PR.G	FixedReset	Quote: 21.52 – 21.70 Spot Rate : 0.1800 Average : 0.1194 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-12-13 Maturity Price : 21.25 Evaluated at bid price : 21.52 Bid-YTW : 5.35 %
GWO.PR.P	Deemed-Retractible	Quote: 24.54 – 24.77 Spot Rate : 0.2300 Average : 0.1728 YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.54 Bid-YTW : 5.68 %
TRP.PR.J	FixedReset	Quote: 26.00 – 26.22 Spot Rate : 0.2200 Average : 0.1630 YTW SCENARIO Maturity Type : Call Maturity Date : 2021-05-31 Maturity Price : 25.00 Evaluated at bid price : 26.00 Bid-YTW : 4.58 %

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	0.8415 %	1,822.5
FixedFloater	0.00 %	0.00 %	0	0.00	0	0.8415 %	3,329.3
Floater	4.15 %	4.20 %	63,094	17.00	4	0.8415 %	1,918.7
OpRet	0.00 %	0.00 %	0	0.00	0	0.2381 %	2,940.2
SplitShare	4.82 %	4.68 %	79,690	4.26	6	0.2381 %	3,511.3
Interest-Bearing	0.00 %	0.00 %	0	0.00	0	0.2381 %	2,739.6
Perpetual-Premium	5.46 %	5.16 %	87,812	14.47	23	0.3212 %	2,662.5
Perpetual-Discount	5.46 %	5.49 %	107,491	14.59	15	0.8108 %	2,757.0
FixedReset	4.69 %	4.54 %	260,841	6.77	96	1.1426 %	2,179.0
Deemed-Retractible	5.17 %	4.64 %	141,672	4.51	32	0.2454 %	2,756.1
FloatingReset	2.80 %	3.79 %	45,929	4.78	12	0.8869 %	2,333.5

Performance Highlights
Issue	Index	Change	Notes
BNS.PR.B	FloatingReset	1.01 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.11 Bid-YTW : 3.80 %
NA.PR.X	FixedReset	1.01 %	YTW SCENARIO Maturity Type : Call Maturity Date : 2021-05-15 Maturity Price : 25.00 Evaluated at bid price : 26.94 Bid-YTW : 3.85 %
W.PR.M	FixedReset	1.01 %	YTW SCENARIO Maturity Type : Call Maturity Date : 2021-10-15 Maturity Price : 25.00 Evaluated at bid price : 26.05 Bid-YTW : 4.20 %
BAM.PF.B	FixedReset	1.04 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-12-28 Maturity Price : 19.49 Evaluated at bid price : 19.49 Bid-YTW : 4.96 %
NA.PR.S	FixedReset	1.09 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-12-28 Maturity Price : 19.56 Evaluated at bid price : 19.56 Bid-YTW : 4.70 %
MFC.PR.O	FixedReset	1.09 %	YTW SCENARIO Maturity Type : Call Maturity Date : 2021-06-19 Maturity Price : 25.00 Evaluated at bid price : 26.90 Bid-YTW : 3.80 %
GRP.PR.A	SplitShare	1.14 %	YTW SCENARIO Maturity Type : Call Maturity Date : 2017-01-27 Maturity Price : 25.00 Evaluated at bid price : 25.45 Bid-YTW : -18.33 %
CU.PR.D	Perpetual-Discount	1.14 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-12-28 Maturity Price : 22.64 Evaluated at bid price : 23.00 Bid-YTW : 5.37 %
CM.PR.P	FixedReset	1.16 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-12-28 Maturity Price : 19.18 Evaluated at bid price : 19.18 Bid-YTW : 4.51 %
BAM.PR.C	Floater	1.19 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-12-28 Maturity Price : 11.08 Evaluated at bid price : 11.08 Bid-YTW : 4.27 %
RY.PR.Z	FixedReset	1.19 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-12-28 Maturity Price : 19.52 Evaluated at bid price : 19.52 Bid-YTW : 4.47 %
TRP.PR.F	FloatingReset	1.22 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-12-28 Maturity Price : 14.90 Evaluated at bid price : 14.90 Bid-YTW : 4.01 %
FTS.PR.F	Perpetual-Discount	1.24 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-12-28 Maturity Price : 22.62 Evaluated at bid price : 22.87 Bid-YTW : 5.41 %
MFC.PR.F	FixedReset	1.27 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 14.39 Bid-YTW : 10.19 %
HSE.PR.C	FixedReset	1.27 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-12-28 Maturity Price : 21.24 Evaluated at bid price : 21.52 Bid-YTW : 5.04 %
TD.PF.E	FixedReset	1.30 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-12-28 Maturity Price : 22.13 Evaluated at bid price : 22.64 Bid-YTW : 4.40 %
TRP.PR.E	FixedReset	1.30 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-12-28 Maturity Price : 19.51 Evaluated at bid price : 19.51 Bid-YTW : 4.72 %
MFC.PR.L	FixedReset	1.34 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 19.69 Bid-YTW : 7.06 %
NA.PR.W	FixedReset	1.34 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-12-28 Maturity Price : 18.90 Evaluated at bid price : 18.90 Bid-YTW : 4.68 %
TD.PR.Z	FloatingReset	1.35 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.20 Bid-YTW : 3.70 %
BNS.PR.A	FloatingReset	1.36 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.89 Bid-YTW : 3.46 %
CU.PR.H	Perpetual-Premium	1.36 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-12-28 Maturity Price : 24.23 Evaluated at bid price : 24.63 Bid-YTW : 5.37 %
IFC.PR.C	FixedReset	1.38 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.60 Bid-YTW : 6.35 %
BMO.PR.Y	FixedReset	1.39 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-12-28 Maturity Price : 21.48 Evaluated at bid price : 21.83 Bid-YTW : 4.44 %
PWF.PR.T	FixedReset	1.40 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-12-28 Maturity Price : 20.96 Evaluated at bid price : 20.96 Bid-YTW : 4.37 %
TRP.PR.A	FixedReset	1.41 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-12-28 Maturity Price : 15.82 Evaluated at bid price : 15.82 Bid-YTW : 4.94 %
SLF.PR.H	FixedReset	1.44 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 17.65 Bid-YTW : 8.06 %
CU.PR.F	Perpetual-Discount	1.44 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-12-28 Maturity Price : 21.08 Evaluated at bid price : 21.08 Bid-YTW : 5.40 %
FTS.PR.H	FixedReset	1.45 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-12-28 Maturity Price : 14.01 Evaluated at bid price : 14.01 Bid-YTW : 4.67 %
CM.PR.Q	FixedReset	1.45 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-12-28 Maturity Price : 21.39 Evaluated at bid price : 21.71 Bid-YTW : 4.45 %
RY.PR.H	FixedReset	1.45 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-12-28 Maturity Price : 19.58 Evaluated at bid price : 19.58 Bid-YTW : 4.51 %
RY.PR.M	FixedReset	1.48 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-12-28 Maturity Price : 21.28 Evaluated at bid price : 21.28 Bid-YTW : 4.45 %
PWF.PR.P	FixedReset	1.48 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-12-28 Maturity Price : 14.41 Evaluated at bid price : 14.41 Bid-YTW : 4.68 %
BAM.PR.B	Floater	1.53 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-12-28 Maturity Price : 11.25 Evaluated at bid price : 11.25 Bid-YTW : 4.20 %
TD.PF.D	FixedReset	1.56 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-12-28 Maturity Price : 21.84 Evaluated at bid price : 22.18 Bid-YTW : 4.42 %
BAM.PF.A	FixedReset	1.58 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-12-28 Maturity Price : 21.16 Evaluated at bid price : 21.16 Bid-YTW : 4.87 %
CU.PR.G	Perpetual-Discount	1.59 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-12-28 Maturity Price : 21.09 Evaluated at bid price : 21.09 Bid-YTW : 5.40 %
FTS.PR.J	Perpetual-Discount	1.63 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-12-28 Maturity Price : 22.04 Evaluated at bid price : 22.41 Bid-YTW : 5.34 %
BAM.PF.E	FixedReset	1.64 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-12-28 Maturity Price : 20.51 Evaluated at bid price : 20.51 Bid-YTW : 4.70 %
MFC.PR.G	FixedReset	1.67 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.96 Bid-YTW : 5.91 %
BAM.PF.F	FixedReset	1.73 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-12-28 Maturity Price : 21.44 Evaluated at bid price : 21.79 Bid-YTW : 4.70 %
HSE.PR.G	FixedReset	1.74 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-12-28 Maturity Price : 22.26 Evaluated at bid price : 22.79 Bid-YTW : 5.11 %
CU.PR.E	Perpetual-Discount	1.77 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-12-28 Maturity Price : 22.69 Evaluated at bid price : 23.06 Bid-YTW : 5.35 %
MFC.PR.K	FixedReset	1.83 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 19.45 Bid-YTW : 7.19 %
BAM.PR.R	FixedReset	1.90 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-12-28 Maturity Price : 17.19 Evaluated at bid price : 17.19 Bid-YTW : 4.90 %
BAM.PF.G	FixedReset	1.93 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-12-28 Maturity Price : 21.81 Evaluated at bid price : 22.13 Bid-YTW : 4.63 %
TD.PR.T	FloatingReset	1.97 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.25 Bid-YTW : 3.57 %
CU.PR.C	FixedReset	2.05 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-12-28 Maturity Price : 20.92 Evaluated at bid price : 20.92 Bid-YTW : 4.30 %
HSE.PR.E	FixedReset	2.11 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-12-28 Maturity Price : 22.25 Evaluated at bid price : 22.74 Bid-YTW : 5.15 %
MFC.PR.J	FixedReset	2.18 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.60 Bid-YTW : 6.00 %
MFC.PR.I	FixedReset	2.28 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.47 Bid-YTW : 5.67 %
FTS.PR.K	FixedReset	2.31 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-12-28 Maturity Price : 18.16 Evaluated at bid price : 18.16 Bid-YTW : 4.59 %
HSE.PR.A	FixedReset	2.32 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-12-28 Maturity Price : 13.23 Evaluated at bid price : 13.23 Bid-YTW : 5.27 %
MFC.PR.M	FixedReset	2.33 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.24 Bid-YTW : 6.82 %
MFC.PR.N	FixedReset	2.33 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 20.19 Bid-YTW : 6.79 %
IAG.PR.G	FixedReset	2.44 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.25 Bid-YTW : 5.77 %
SLF.PR.I	FixedReset	2.49 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.79 Bid-YTW : 5.94 %
TRP.PR.H	FloatingReset	2.50 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-12-28 Maturity Price : 11.90 Evaluated at bid price : 11.90 Bid-YTW : 3.68 %
BAM.PR.X	FixedReset	2.55 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-12-28 Maturity Price : 15.29 Evaluated at bid price : 15.29 Bid-YTW : 4.92 %
SLF.PR.G	FixedReset	2.62 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 15.64 Bid-YTW : 9.08 %
MFC.PR.H	FixedReset	2.71 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.91 Bid-YTW : 5.00 %
FTS.PR.G	FixedReset	2.81 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-12-28 Maturity Price : 18.63 Evaluated at bid price : 18.63 Bid-YTW : 4.53 %
RY.PR.J	FixedReset	2.88 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-12-28 Maturity Price : 21.40 Evaluated at bid price : 21.40 Bid-YTW : 4.54 %
FTS.PR.M	FixedReset	3.08 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-12-28 Maturity Price : 20.41 Evaluated at bid price : 20.41 Bid-YTW : 4.60 %
TRP.PR.C	FixedReset	3.22 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-12-28 Maturity Price : 13.80 Evaluated at bid price : 13.80 Bid-YTW : 4.79 %
IFC.PR.A	FixedReset	3.39 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 17.06 Bid-YTW : 8.61 %
TRP.PR.B	FixedReset	4.23 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-12-28 Maturity Price : 13.31 Evaluated at bid price : 13.31 Bid-YTW : 4.51 %

Performance Highlights
Issue	Index	Change	Notes
MFC.PR.F	FixedReset	-1.86 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 14.21 Bid-YTW : 10.36 %
MFC.PR.G	FixedReset	-1.50 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.60 Bid-YTW : 6.15 %
TD.PR.T	FloatingReset	-1.43 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.80 Bid-YTW : 3.98 %
RY.PR.J	FixedReset	-1.28 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-12-23 Maturity Price : 20.80 Evaluated at bid price : 20.80 Bid-YTW : 4.68 %
MFC.PR.I	FixedReset	-1.21 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.97 Bid-YTW : 6.01 %
SLF.PR.I	FixedReset	-1.21 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.26 Bid-YTW : 6.31 %
MFC.PR.N	FixedReset	-1.20 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 19.73 Bid-YTW : 7.13 %
IFC.PR.A	FixedReset	-1.20 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 16.50 Bid-YTW : 9.11 %
MFC.PR.H	FixedReset	-1.15 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.28 Bid-YTW : 5.40 %
IAG.PR.A	Deemed-Retractible	-1.14 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.60 Bid-YTW : 6.84 %
BAM.PF.A	FixedReset	-1.14 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-12-23 Maturity Price : 20.83 Evaluated at bid price : 20.83 Bid-YTW : 4.96 %
MFC.PR.J	FixedReset	-1.08 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.14 Bid-YTW : 6.32 %
CM.PR.O	FixedReset	-1.07 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-12-23 Maturity Price : 19.33 Evaluated at bid price : 19.33 Bid-YTW : 4.59 %
HSE.PR.E	FixedReset	-1.02 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-12-23 Maturity Price : 21.93 Evaluated at bid price : 22.27 Bid-YTW : 5.28 %
BNS.PR.A	FloatingReset	-1.01 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.57 Bid-YTW : 3.75 %
FTS.PR.F	Perpetual-Discount	1.03 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-12-23 Maturity Price : 22.32 Evaluated at bid price : 22.59 Bid-YTW : 5.47 %

Volume Highlights
Issue	Index	Shares Traded	Notes
TD.PF.H	FixedReset	117,114	YTW SCENARIO Maturity Type : Call Maturity Date : 2021-10-31 Maturity Price : 25.00 Evaluated at bid price : 25.69 Bid-YTW : 4.43 %
MFC.PR.R	FixedReset	114,858	YTW SCENARIO Maturity Type : Call Maturity Date : 2022-03-19 Maturity Price : 25.00 Evaluated at bid price : 25.11 Bid-YTW : 4.87 %
TRP.PR.D	FixedReset	91,469	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-12-23 Maturity Price : 18.50 Evaluated at bid price : 18.50 Bid-YTW : 4.96 %
RY.PR.Z	FixedReset	53,148	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-12-23 Maturity Price : 19.29 Evaluated at bid price : 19.29 Bid-YTW : 4.53 %
BMO.PR.T	FixedReset	50,054	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-12-23 Maturity Price : 19.22 Evaluated at bid price : 19.22 Bid-YTW : 4.57 %
BMO.PR.S	FixedReset	48,445	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-12-23 Maturity Price : 19.81 Evaluated at bid price : 19.81 Bid-YTW : 4.55 %
There were 56 other index-included issues trading in excess of 10,000 shares.

Performance Highlights
Issue	Index	Change	Notes
TRP.PR.F	FloatingReset	-1.47 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-12-22 Maturity Price : 14.75 Evaluated at bid price : 14.75 Bid-YTW : 4.07 %
GWO.PR.N	FixedReset	-1.46 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 14.15 Bid-YTW : 10.36 %
MFC.PR.B	Deemed-Retractible	-1.18 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.84 Bid-YTW : 6.75 %
BAM.PR.N	Perpetual-Discount	-1.05 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-12-22 Maturity Price : 20.79 Evaluated at bid price : 20.79 Bid-YTW : 5.74 %
TRP.PR.B	FixedReset	-1.01 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-12-22 Maturity Price : 12.75 Evaluated at bid price : 12.75 Bid-YTW : 4.71 %
TD.PR.Y	FixedReset	1.01 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 24.92 Bid-YTW : 3.31 %
BAM.PF.A	FixedReset	1.06 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-12-22 Maturity Price : 21.07 Evaluated at bid price : 21.07 Bid-YTW : 4.90 %
RY.PR.M	FixedReset	1.11 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-12-22 Maturity Price : 21.00 Evaluated at bid price : 21.00 Bid-YTW : 4.51 %
HSE.PR.G	FixedReset	1.12 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-12-22 Maturity Price : 22.10 Evaluated at bid price : 22.55 Bid-YTW : 5.18 %
BNS.PR.Y	FixedReset	1.13 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.51 Bid-YTW : 5.14 %
HSE.PR.E	FixedReset	1.17 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-12-22 Maturity Price : 22.09 Evaluated at bid price : 22.50 Bid-YTW : 5.22 %
BNS.PR.A	FloatingReset	1.23 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2022-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.81 Bid-YTW : 3.53 %
MFC.PR.G	FixedReset	1.25 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.93 Bid-YTW : 5.92 %
MFC.PR.H	FixedReset	1.33 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 23.55 Bid-YTW : 5.22 %
MFC.PR.M	FixedReset	1.42 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 19.93 Bid-YTW : 7.05 %
CM.PR.Q	FixedReset	1.51 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-12-22 Maturity Price : 21.31 Evaluated at bid price : 21.60 Bid-YTW : 4.48 %
SLF.PR.G	FixedReset	1.52 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 15.37 Bid-YTW : 9.32 %
MFC.PR.N	FixedReset	1.58 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 19.97 Bid-YTW : 6.94 %
MFC.PR.I	FixedReset	1.65 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.24 Bid-YTW : 5.83 %
BAM.PR.C	Floater	1.67 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2046-12-22 Maturity Price : 10.99 Evaluated at bid price : 10.99 Bid-YTW : 4.30 %
CCS.PR.C	Deemed-Retractible	1.69 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 22.85 Bid-YTW : 6.40 %
MFC.PR.K	FixedReset	1.69 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 19.20 Bid-YTW : 7.38 %
SLF.PR.I	FixedReset	1.89 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.52 Bid-YTW : 6.12 %
MFC.PR.J	FixedReset	2.10 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.37 Bid-YTW : 6.15 %
IAG.PR.G	FixedReset	3.89 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-01-31 Maturity Price : 25.00 Evaluated at bid price : 21.88 Bid-YTW : 6.01 %

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