Category: Market Action

Market Action

October 25, 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 -0.2791 % 1,700.8
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.2791 % 3,107.0
Floater 4.41 % 4.54 % 42,393 16.34 4 -0.2791 % 1,790.6
OpRet 0.00 % 0.00 % 0 0.00 0 -0.1453 % 2,899.9
SplitShare 4.83 % 4.62 % 41,790 2.08 6 -0.1453 % 3,463.2
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.1453 % 2,702.1
Perpetual-Premium 5.35 % 4.67 % 74,273 0.98 23 -0.1507 % 2,701.7
Perpetual-Discount 5.12 % 5.08 % 96,878 15.26 15 0.1668 % 2,913.7
FixedReset 4.86 % 4.24 % 165,911 6.90 93 -0.1011 % 2,092.4
Deemed-Retractible 5.02 % 3.35 % 111,775 0.42 32 -0.0102 % 2,808.8
FloatingReset 2.88 % 3.75 % 42,306 4.93 12 -0.3665 % 2,258.9
Performance Highlights
Issue Index Change Notes
SLF.PR.K FloatingReset -2.11 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 16.25
Bid-YTW : 8.72 %
SLF.PR.J FloatingReset -1.53 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 12.85
Bid-YTW : 11.03 %
TRP.PR.D FixedReset -1.32 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-10-25
Maturity Price : 18.01
Evaluated at bid price : 18.01
Bid-YTW : 4.42 %
TRP.PR.E FixedReset -1.28 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-10-25
Maturity Price : 18.45
Evaluated at bid price : 18.45
Bid-YTW : 4.36 %
VNR.PR.A FixedReset -1.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-10-25
Maturity Price : 19.32
Evaluated at bid price : 19.32
Bid-YTW : 4.57 %
TRP.PR.G FixedReset -1.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-10-25
Maturity Price : 20.60
Evaluated at bid price : 20.60
Bid-YTW : 4.51 %
BNS.PR.D FloatingReset -1.07 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.38
Bid-YTW : 6.53 %
IAG.PR.G FixedReset 1.00 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.20
Bid-YTW : 6.71 %
FTS.PR.K FixedReset 1.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-10-25
Maturity Price : 17.89
Evaluated at bid price : 17.89
Bid-YTW : 4.07 %
FTS.PR.F Perpetual-Discount 1.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-10-25
Maturity Price : 24.28
Evaluated at bid price : 24.58
Bid-YTW : 5.05 %
HSE.PR.E FixedReset 1.17 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-10-25
Maturity Price : 21.38
Evaluated at bid price : 21.70
Bid-YTW : 4.97 %
FTS.PR.M FixedReset 1.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-10-25
Maturity Price : 19.40
Evaluated at bid price : 19.40
Bid-YTW : 4.32 %
Volume Highlights
Issue Index Shares
Traded		 Notes
RY.PR.Q FixedReset 316,230 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-05-24
Maturity Price : 25.00
Evaluated at bid price : 26.61
Bid-YTW : 3.87 %
BMO.PR.B FixedReset 277,250 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-02-25
Maturity Price : 25.00
Evaluated at bid price : 25.72
Bid-YTW : 4.28 %
NA.PR.X FixedReset 191,190 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-05-15
Maturity Price : 25.00
Evaluated at bid price : 26.65
Bid-YTW : 3.95 %
RY.PR.L FixedReset 132,544 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 25.25
Bid-YTW : 3.48 %
RY.PR.R FixedReset 119,945 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-08-24
Maturity Price : 25.00
Evaluated at bid price : 26.68
Bid-YTW : 3.89 %
NA.PR.S FixedReset 109,308 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-10-25
Maturity Price : 18.95
Evaluated at bid price : 18.95
Bid-YTW : 4.22 %
There were 46 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
SLF.PR.K FloatingReset Quote: 16.25 – 16.75
Spot Rate : 0.5000
Average : 0.2897

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 16.25
Bid-YTW : 8.72 %
TRP.PR.D FixedReset Quote: 18.01 – 18.31
Spot Rate : 0.3000
Average : 0.1963

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-10-25
Maturity Price : 18.01
Evaluated at bid price : 18.01
Bid-YTW : 4.42 %
BMO.PR.S FixedReset Quote: 19.50 – 19.75
Spot Rate : 0.2500
Average : 0.1591

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-10-25
Maturity Price : 19.50
Evaluated at bid price : 19.50
Bid-YTW : 4.07 %
W.PR.H Perpetual-Premium Quote: 25.51 – 25.79
Spot Rate : 0.2800
Average : 0.1955

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2016-11-24
Maturity Price : 25.00
Evaluated at bid price : 25.51
Bid-YTW : -16.55 %
IFC.PR.D FloatingReset Quote: 18.55 – 23.00
Spot Rate : 4.4500
Average : 4.3744

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.55
Bid-YTW : 7.41 %
GRP.PR.A SplitShare Quote: 25.67 – 26.00
Spot Rate : 0.3300
Average : 0.2559

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2016-11-24
Maturity Price : 25.00
Evaluated at bid price : 25.67
Bid-YTW : -22.52 %
Market Action

October 24, 2016

Another shot has been fired in the minimum wage battles:

Just around the corner from Google’s GOOGL +0.26% main campus in Mountain View, California sits a nondescript concrete building. Inside the building, the future of fast food is being developed and refined. This is the headquarters of Zume. Founded by former Zynga Studio head Alex Garden, Zume wants to revolutionize the $9.7 billion pizza delivery world. Their plan is simple; no humans, all robots. From the production line assembly of the pizza to the eventual delivery, robots are the primary labor ingredient.

The process is not completely human free at this point, with humans adding the cheese and toppings, but it is only a matter of time before robots are able to take over that process as well. Currently the robots add sauce to the dough (the sauce robot is named “Marta”) which travels on a conveyor belt to humans who add toppings and cheese. Bruno the robot then places the pizzas in an oven. A couple of Fiats driven by humans (for now) deliver the pizzas locally.

Here’s an interesting piece on drone taxis:

Mass transit, the lifeblood of cities worldwide, is under threat from the biggest innovation in automotive technology since Henry Ford’s assembly line first flooded streets with cars.

The self-driving vehicles being pioneered by Tesla Motors Inc., Alphabet Inc.’s Google and others are poised to dramatically lower the cost of taxis, potentially making them cheaper than buses or subways, according to a joint report by Bloomberg New Energy Finance and McKinsey & Co. Having no driver to pay could reduce taxi prices to 67 cents a mile by 2025, less than a quarter of the cost in Manhattan today, the report found.

It’s a change with the potential to reshape commuting patterns, transforming urban life. As prices fall, the challenge for cities is that the cars may become too popular. Instead of complementing public transit, they may lure commuters away from buses and trains, inundating streets with drone cars.

I find it very worrisome that US tribalism is increasing:

The divisions over Peter Thiel and his support for Donald Trump are deepening in Silicon Valley.

Dismay over the billionaire venture capitalist’s stance on the Republican candidate has been showing up all across the technology landscape — from a startup founder saying he regrets taking a Trump backer’s money to a prominent diversity group refusing to work with any company associated with Thiel. In one recent case, it also throttled the flow of cash into a fledgling VC fund.

Arlan Hamilton, managing partner at Backstage Capital, said she rejected a potential investor because the person refused to disavow and sever ties with Thiel, a co-founder of PayPal and Palantir Technologies Inc. She declined to name the investor, saying the person offered to put $500,000 in her Los Angeles-based technology seed fund.

While the amount is tiny by industry standards, it is significant to Hamilton’s year-old seed fund, which has about $5 million in commitments, according to a report by Inc. The stymied deal reflects the growing divisiveness in the run up to the U.S. presidential election, which is spilling into everyday business. Hamilton took to Twitter to air her political protest.

“Because of my Peter Thiel stance, my company just lost half a million $ in new funding,” Hamilton wrote on Twitter. “Couldn’t have Thiel money flowing through our company. Hard problem. Easy decision.”

The market report will be delayed.

Update, 2016-10-26:

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 -0.9673 % 1,705.6
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.9673 % 3,115.7
Floater 4.40 % 4.53 % 41,928 16.36 4 -0.9673 % 1,795.6
OpRet 0.00 % 0.00 % 0 0.00 0 0.0330 % 2,904.2
SplitShare 4.82 % 4.55 % 38,680 2.09 6 0.0330 % 3,468.2
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0330 % 2,706.0
Perpetual-Premium 5.34 % 3.47 % 73,104 0.10 23 -0.0142 % 2,705.8
Perpetual-Discount 5.12 % 5.12 % 97,730 15.24 15 -0.0170 % 2,908.8
FixedReset 4.86 % 4.25 % 165,450 6.90 93 -0.1057 % 2,094.5
Deemed-Retractible 5.02 % 2.96 % 111,585 0.43 32 -0.1506 % 2,809.1
FloatingReset 2.87 % 3.79 % 42,403 4.95 12 0.0302 % 2,267.2
Performance Highlights
Issue Index Change Notes
TRP.PR.H FloatingReset -2.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-10-24
Maturity Price : 10.68
Evaluated at bid price : 10.68
Bid-YTW : 4.13 %
BIP.PR.A FixedReset -1.72 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-10-24
Maturity Price : 21.39
Evaluated at bid price : 21.71
Bid-YTW : 4.96 %
BAM.PR.B Floater -1.50 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-10-24
Maturity Price : 10.52
Evaluated at bid price : 10.52
Bid-YTW : 4.53 %
IFC.PR.A FixedReset -1.15 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 15.42
Bid-YTW : 9.66 %
MFC.PR.L FixedReset -1.12 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.52
Bid-YTW : 7.58 %
MFC.PR.J FixedReset -1.10 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.77
Bid-YTW : 6.85 %
SLF.PR.G FixedReset -1.05 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 14.15
Bid-YTW : 10.09 %
BAM.PR.C Floater -1.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-10-24
Maturity Price : 10.41
Evaluated at bid price : 10.41
Bid-YTW : 4.58 %
MFC.PR.O FixedReset 1.01 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-06-19
Maturity Price : 25.00
Evaluated at bid price : 26.88
Bid-YTW : 3.97 %
BAM.PF.A FixedReset 1.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-10-24
Maturity Price : 19.75
Evaluated at bid price : 19.75
Bid-YTW : 4.68 %
Volume Highlights
Issue Index Shares
Traded		 Notes
BMO.PR.B FixedReset 529,555 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-02-25
Maturity Price : 25.00
Evaluated at bid price : 25.71
Bid-YTW : 4.29 %
TD.PF.H FixedReset 461,080 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-10-31
Maturity Price : 25.00
Evaluated at bid price : 25.70
Bid-YTW : 4.26 %
RY.PR.L FixedReset 417,634 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 25.20
Bid-YTW : 3.52 %
BNS.PR.H FixedReset 357,756 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-01-26
Maturity Price : 25.00
Evaluated at bid price : 25.86
Bid-YTW : 4.25 %
RY.PR.J FixedReset 198,575 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-10-24
Maturity Price : 20.95
Evaluated at bid price : 20.95
Bid-YTW : 4.10 %
TRP.PR.D FixedReset 168,236 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-10-24
Maturity Price : 18.25
Evaluated at bid price : 18.25
Bid-YTW : 4.36 %
GWO.PR.Q Deemed-Retractible 111,700 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 25.03
Bid-YTW : 5.22 %
There were 34 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
IFC.PR.D FloatingReset Quote: 18.55 – 23.00
Spot Rate : 4.4500
Average : 4.2914

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.55
Bid-YTW : 7.40 %
TRP.PR.H FloatingReset Quote: 10.68 – 11.14
Spot Rate : 0.4600
Average : 0.3224

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-10-24
Maturity Price : 10.68
Evaluated at bid price : 10.68
Bid-YTW : 4.13 %
GWO.PR.N FixedReset Quote: 13.77 – 14.17
Spot Rate : 0.4000
Average : 0.2774

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 13.77
Bid-YTW : 10.37 %
RY.PR.P Perpetual-Premium Quote: 25.95 – 26.14
Spot Rate : 0.1900
Average : 0.1325

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-02-24
Maturity Price : 25.00
Evaluated at bid price : 25.95
Bid-YTW : 4.66 %
TRP.PR.B FixedReset Quote: 12.09 – 12.28
Spot Rate : 0.1900
Average : 0.1339

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-10-24
Maturity Price : 12.09
Evaluated at bid price : 12.09
Bid-YTW : 4.13 %
ELF.PR.G Perpetual-Discount Quote: 22.87 – 23.11
Spot Rate : 0.2400
Average : 0.1842

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-10-24
Maturity Price : 22.62
Evaluated at bid price : 22.87
Bid-YTW : 5.22 %
Market Action

October 21, 2016

Here’s some drone news with a sting in its tail!

The day when police zap suspects from the sky with drones carrying stun guns may be nearing.

Taser International Inc., known for its stun guns and body cameras, is exploring the concept of a drone armed with a stun gun for use by police. This week, the company held discussions with police officials about such a device during a law-enforcement conference here.

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 0.5338 % 1,722.2
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.5338 % 3,146.1
Floater 4.35 % 4.46 % 42,139 16.50 4 0.5338 % 1,813.1
OpRet 0.00 % 0.00 % 0 0.00 0 0.0000 % 2,903.2
SplitShare 4.82 % 4.53 % 38,933 2.09 6 0.0000 % 3,467.1
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0000 % 2,705.1
Perpetual-Premium 5.33 % 2.93 % 72,573 0.11 23 0.4841 % 2,706.2
Perpetual-Discount 5.12 % 5.11 % 98,896 15.26 15 -0.0847 % 2,909.3
FixedReset 4.85 % 4.29 % 167,659 6.89 93 -0.2855 % 2,096.7
Deemed-Retractible 5.00 % 3.16 % 111,639 0.43 32 0.2350 % 2,813.3
FloatingReset 2.96 % 3.93 % 40,831 4.95 12 -0.0991 % 2,266.5
Performance Highlights
Issue Index Change Notes
BAM.PF.A FixedReset -2.94 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-10-21
Maturity Price : 19.51
Evaluated at bid price : 19.51
Bid-YTW : 4.85 %
SLF.PR.J FloatingReset -1.89 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 13.00
Bid-YTW : 10.95 %
SLF.PR.G FixedReset -1.79 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 14.30
Bid-YTW : 10.00 %
BAM.PF.B FixedReset -1.49 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-10-21
Maturity Price : 18.47
Evaluated at bid price : 18.47
Bid-YTW : 4.80 %
IAG.PR.G FixedReset -1.47 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.11
Bid-YTW : 6.87 %
MFC.PR.O FixedReset -1.44 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-06-19
Maturity Price : 25.00
Evaluated at bid price : 26.61
Bid-YTW : 4.21 %
TRP.PR.A FixedReset -1.32 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-10-21
Maturity Price : 15.64
Evaluated at bid price : 15.64
Bid-YTW : 4.50 %
BAM.PF.G FixedReset -1.26 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-10-21
Maturity Price : 21.18
Evaluated at bid price : 21.18
Bid-YTW : 4.50 %
BAM.PF.E FixedReset -1.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-10-21
Maturity Price : 19.60
Evaluated at bid price : 19.60
Bid-YTW : 4.54 %
HSE.PR.C FixedReset -1.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-10-21
Maturity Price : 19.53
Evaluated at bid price : 19.53
Bid-YTW : 5.19 %
TRP.PR.C FixedReset -1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-10-21
Maturity Price : 13.57
Evaluated at bid price : 13.57
Bid-YTW : 4.24 %
BAM.PR.Z FixedReset -1.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-10-21
Maturity Price : 19.79
Evaluated at bid price : 19.79
Bid-YTW : 4.85 %
BAM.PR.B Floater 1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-10-21
Maturity Price : 10.68
Evaluated at bid price : 10.68
Bid-YTW : 4.46 %
RY.PR.I FixedReset 1.06 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.80
Bid-YTW : 3.36 %
MFC.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 : 23.75
Bid-YTW : 5.50 %
SLF.PR.C Deemed-Retractible 1.12 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.58
Bid-YTW : 6.03 %
W.PR.J Perpetual-Premium 2.63 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2016-11-20
Maturity Price : 25.00
Evaluated at bid price : 25.77
Bid-YTW : -28.06 %
W.PR.H Perpetual-Premium 2.78 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2016-11-20
Maturity Price : 25.00
Evaluated at bid price : 25.86
Bid-YTW : -31.77 %
Volume Highlights
Issue Index Shares
Traded		 Notes
BMO.PR.B FixedReset 4,330,078 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-02-25
Maturity Price : 25.00
Evaluated at bid price : 25.69
Bid-YTW : 4.29 %
TD.PF.H FixedReset 895,400 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-10-31
Maturity Price : 25.00
Evaluated at bid price : 25.83
Bid-YTW : 4.14 %
BNS.PR.H FixedReset 185,571 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-01-26
Maturity Price : 25.00
Evaluated at bid price : 25.88
Bid-YTW : 4.22 %
GWO.PR.Q Deemed-Retractible 144,439 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 25.04
Bid-YTW : 5.20 %
GWO.PR.N FixedReset 112,243 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 13.78
Bid-YTW : 10.40 %
GWO.PR.L Deemed-Retractible 106,489 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2016-12-31
Maturity Price : 25.50
Evaluated at bid price : 25.70
Bid-YTW : 3.16 %
There were 51 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
IFC.PR.D FloatingReset Quote: 18.55 – 23.00
Spot Rate : 4.4500
Average : 4.1175

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.55
Bid-YTW : 7.48 %
BAM.PF.A FixedReset Quote: 19.51 – 19.99
Spot Rate : 0.4800
Average : 0.3282

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-10-21
Maturity Price : 19.51
Evaluated at bid price : 19.51
Bid-YTW : 4.85 %
SLF.PR.G FixedReset Quote: 14.30 – 14.72
Spot Rate : 0.4200
Average : 0.3106

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 14.30
Bid-YTW : 10.00 %
BMO.PR.Q FixedReset Quote: 20.35 – 20.65
Spot Rate : 0.3000
Average : 0.1956

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.35
Bid-YTW : 6.06 %
GWO.PR.S Deemed-Retractible Quote: 25.66 – 25.91
Spot Rate : 0.2500
Average : 0.1633

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 25.66
Bid-YTW : 4.94 %
MFC.PR.O FixedReset Quote: 26.61 – 26.90
Spot Rate : 0.2900
Average : 0.2071

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-06-19
Maturity Price : 25.00
Evaluated at bid price : 26.61
Bid-YTW : 4.21 %
Market Action

October 20, 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 -0.4824 % 1,713.1
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.4824 % 3,129.4
Floater 4.36 % 4.51 % 43,750 16.41 4 -0.4824 % 1,803.5
OpRet 0.00 % 0.00 % 0 0.00 0 0.0463 % 2,903.2
SplitShare 4.82 % 4.49 % 40,515 2.10 6 0.0463 % 3,467.1
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0463 % 2,705.1
Perpetual-Premium 5.35 % 4.74 % 70,934 0.11 23 0.0103 % 2,693.1
Perpetual-Discount 5.12 % 5.09 % 98,669 15.32 15 -0.0790 % 2,911.8
FixedReset 4.83 % 4.26 % 161,549 6.90 92 0.1781 % 2,102.7
Deemed-Retractible 5.01 % 3.25 % 112,064 0.44 32 0.0508 % 2,806.8
FloatingReset 2.96 % 3.99 % 40,897 4.95 12 0.3763 % 2,268.7
Performance Highlights
Issue Index Change Notes
FTS.PR.M FixedReset -2.37 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-10-20
Maturity Price : 19.33
Evaluated at bid price : 19.33
Bid-YTW : 4.44 %
FTS.PR.G FixedReset -2.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-10-20
Maturity Price : 18.01
Evaluated at bid price : 18.01
Bid-YTW : 4.20 %
FTS.PR.H FixedReset -2.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-10-20
Maturity Price : 13.95
Evaluated at bid price : 13.95
Bid-YTW : 4.11 %
FTS.PR.K FixedReset -2.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-10-20
Maturity Price : 17.87
Evaluated at bid price : 17.87
Bid-YTW : 4.20 %
FTS.PR.F Perpetual-Discount -1.42 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-10-20
Maturity Price : 24.09
Evaluated at bid price : 24.35
Bid-YTW : 5.09 %
CU.PR.I FixedReset -1.33 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2020-12-01
Maturity Price : 25.00
Evaluated at bid price : 26.05
Bid-YTW : 3.57 %
TRP.PR.G FixedReset -1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-10-20
Maturity Price : 21.03
Evaluated at bid price : 21.03
Bid-YTW : 4.50 %
BAM.PF.G FixedReset 1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-10-20
Maturity Price : 21.45
Evaluated at bid price : 21.45
Bid-YTW : 4.44 %
SLF.PR.J FloatingReset 1.07 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 13.25
Bid-YTW : 10.67 %
HSE.PR.C FixedReset 1.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-10-20
Maturity Price : 19.74
Evaluated at bid price : 19.74
Bid-YTW : 5.13 %
MFC.PR.J FixedReset 1.41 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.09
Bid-YTW : 6.70 %
TRP.PR.H FloatingReset 1.85 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-10-20
Maturity Price : 11.00
Evaluated at bid price : 11.00
Bid-YTW : 4.17 %
BIP.PR.A FixedReset 2.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-10-20
Maturity Price : 21.72
Evaluated at bid price : 22.03
Bid-YTW : 4.97 %
Volume Highlights
Issue Index Shares
Traded		 Notes
BNS.PR.H FixedReset 820,915 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-01-26
Maturity Price : 25.00
Evaluated at bid price : 25.91
Bid-YTW : 4.20 %
RY.PR.C Deemed-Retractible 103,500 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2016-11-19
Maturity Price : 25.00
Evaluated at bid price : 25.35
Bid-YTW : -3.63 %
POW.PR.D Perpetual-Discount 102,800 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-10-20
Maturity Price : 24.61
Evaluated at bid price : 24.87
Bid-YTW : 5.05 %
TD.PF.H FixedReset 85,853 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-10-31
Maturity Price : 25.00
Evaluated at bid price : 25.78
Bid-YTW : 4.18 %
TRP.PR.D FixedReset 77,265 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-10-20
Maturity Price : 18.40
Evaluated at bid price : 18.40
Bid-YTW : 4.44 %
BNS.PR.G FixedReset 63,087 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-07-25
Maturity Price : 25.00
Evaluated at bid price : 26.79
Bid-YTW : 3.84 %
There were 57 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
IFC.PR.D FloatingReset Quote: 18.55 – 23.00
Spot Rate : 4.4500
Average : 3.7530

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.55
Bid-YTW : 7.47 %
TRP.PR.F FloatingReset Quote: 14.59 – 14.90
Spot Rate : 0.3100
Average : 0.2017

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-10-20
Maturity Price : 14.59
Evaluated at bid price : 14.59
Bid-YTW : 4.25 %
CU.PR.I FixedReset Quote: 26.05 – 26.45
Spot Rate : 0.4000
Average : 0.2926

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2020-12-01
Maturity Price : 25.00
Evaluated at bid price : 26.05
Bid-YTW : 3.57 %
BMO.PR.W FixedReset Quote: 19.05 – 19.34
Spot Rate : 0.2900
Average : 0.1899

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-10-20
Maturity Price : 19.05
Evaluated at bid price : 19.05
Bid-YTW : 4.15 %
IFC.PR.A FixedReset Quote: 15.63 – 15.85
Spot Rate : 0.2200
Average : 0.1433

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 15.63
Bid-YTW : 9.56 %
FTS.PR.F Perpetual-Discount Quote: 24.35 – 24.65
Spot Rate : 0.3000
Average : 0.2238

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-10-20
Maturity Price : 24.09
Evaluated at bid price : 24.35
Bid-YTW : 5.09 %
Market Action

October 19, 2016

Happy Anniversary, market crash of 1987!

The Bank of Canada gloomily maintained its policy yields today:

The Bank of Canada today announced that it is maintaining its target for the overnight rate at 1/2 per cent. The Bank Rate is correspondingly 3/4 per cent and the deposit rate is 1/4 per cent.
…
Looking through the choppiness of recent data, the profile for growth in Canada is now lower than projected in July’s Monetary Policy Report (MPR). This is due in large part to slower near-term housing resale activity and a lower trajectory for exports. The federal government’s new measures to promote stability in Canada’s housing market are likely to restrain residential investment while dampening household vulnerabilities. Recent export data are improving but are not strong enough to make up for ground lost during the first half of 2016, despite the effects of the Canadian dollar’s past depreciation. Growth in exports over 2017 and 2018 are projected to be slower than previously forecast, due to lower estimates of global demand, a composition of US growth that appears less favourable to Canadian exports, and ongoing competitiveness challenges for Canadian firms.
…
The Bank expects Canada’s real GDP to grow by 1.1 per cent in 2016 and about 2 per cent in both 2017 and 2018. This projection implies that the economy returns to full capacity around mid-2018, materially later than the Bank had anticipated in July.

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 0.9040 % 1,721.4
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.9040 % 3,144.6
Floater 4.34 % 4.50 % 43,688 16.43 4 0.9040 % 1,812.2
OpRet 0.00 % 0.00 % 0 0.00 0 0.1522 % 2,901.9
SplitShare 4.82 % 4.52 % 42,056 2.10 6 0.1522 % 3,465.4
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.1522 % 2,703.9
Perpetual-Premium 5.35 % 4.71 % 71,650 0.20 23 0.0086 % 2,692.8
Perpetual-Discount 5.12 % 5.07 % 98,605 15.32 15 0.0904 % 2,914.1
FixedReset 4.84 % 4.27 % 162,634 6.90 92 0.5493 % 2,099.0
Deemed-Retractible 5.02 % 4.06 % 112,730 0.27 32 0.1043 % 2,805.3
FloatingReset 2.97 % 4.03 % 40,333 4.95 12 -0.0173 % 2,260.2
Performance Highlights
Issue Index Change Notes
HSE.PR.E FixedReset 1.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-10-19
Maturity Price : 21.50
Evaluated at bid price : 21.50
Bid-YTW : 5.13 %
RY.PR.J FixedReset 1.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-10-19
Maturity Price : 21.16
Evaluated at bid price : 21.16
Bid-YTW : 4.22 %
MFC.PR.M FixedReset 1.06 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.00
Bid-YTW : 7.48 %
BAM.PF.G FixedReset 1.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-10-19
Maturity Price : 21.23
Evaluated at bid price : 21.23
Bid-YTW : 4.49 %
RY.PR.M FixedReset 1.17 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-10-19
Maturity Price : 20.77
Evaluated at bid price : 20.77
Bid-YTW : 4.18 %
TD.PF.D FixedReset 1.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-10-19
Maturity Price : 20.81
Evaluated at bid price : 20.81
Bid-YTW : 4.29 %
BAM.PF.A FixedReset 1.27 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-10-19
Maturity Price : 19.95
Evaluated at bid price : 19.95
Bid-YTW : 4.74 %
TRP.PR.E FixedReset 1.34 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-10-19
Maturity Price : 18.97
Evaluated at bid price : 18.97
Bid-YTW : 4.35 %
GWO.PR.N FixedReset 1.38 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 13.94
Bid-YTW : 10.22 %
HSE.PR.A FixedReset 1.42 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-10-19
Maturity Price : 12.15
Evaluated at bid price : 12.15
Bid-YTW : 5.13 %
BAM.PR.C Floater 1.44 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-10-19
Maturity Price : 10.55
Evaluated at bid price : 10.55
Bid-YTW : 4.51 %
MFC.PR.J FixedReset 1.49 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.81
Bid-YTW : 6.90 %
CU.PR.C FixedReset 1.51 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-10-19
Maturity Price : 19.55
Evaluated at bid price : 19.55
Bid-YTW : 4.13 %
VNR.PR.A FixedReset 1.55 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-10-19
Maturity Price : 19.60
Evaluated at bid price : 19.60
Bid-YTW : 4.63 %
BAM.PF.B FixedReset 1.64 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-10-19
Maturity Price : 18.61
Evaluated at bid price : 18.61
Bid-YTW : 4.76 %
BAM.PR.Z FixedReset 1.73 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-10-19
Maturity Price : 20.03
Evaluated at bid price : 20.03
Bid-YTW : 4.79 %
FTS.PR.K FixedReset 1.73 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-10-19
Maturity Price : 18.24
Evaluated at bid price : 18.24
Bid-YTW : 4.11 %
BAM.PF.F FixedReset 1.80 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-10-19
Maturity Price : 20.92
Evaluated at bid price : 20.92
Bid-YTW : 4.53 %
MFC.PR.I FixedReset 1.86 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.85
Bid-YTW : 6.41 %
BAM.PR.R FixedReset 1.99 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-10-19
Maturity Price : 16.37
Evaluated at bid price : 16.37
Bid-YTW : 4.70 %
BAM.PR.X FixedReset 2.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-10-19
Maturity Price : 14.30
Evaluated at bid price : 14.30
Bid-YTW : 4.63 %
FTS.PR.G FixedReset 2.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-10-19
Maturity Price : 18.42
Evaluated at bid price : 18.42
Bid-YTW : 4.11 %
SLF.PR.G FixedReset 2.33 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 14.50
Bid-YTW : 9.79 %
Volume Highlights
Issue Index Shares
Traded		 Notes
NA.PR.A FixedReset 120,529 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-08-15
Maturity Price : 25.00
Evaluated at bid price : 25.96
Bid-YTW : 4.45 %
TD.PF.H FixedReset 89,670 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-10-31
Maturity Price : 25.00
Evaluated at bid price : 25.78
Bid-YTW : 4.18 %
BNS.PR.H FixedReset 84,325 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-01-26
Maturity Price : 25.00
Evaluated at bid price : 25.94
Bid-YTW : 4.17 %
TD.PR.Y FixedReset 83,525 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.22
Bid-YTW : 3.53 %
NA.PR.X FixedReset 81,738 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-05-15
Maturity Price : 25.00
Evaluated at bid price : 26.44
Bid-YTW : 4.13 %
TD.PR.T FloatingReset 75,300 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.03
Bid-YTW : 3.70 %
There were 44 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
IFC.PR.D FloatingReset Quote: 18.55 – 23.00
Spot Rate : 4.4500
Average : 2.9888

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.55
Bid-YTW : 7.47 %
GWO.PR.F Deemed-Retractible Quote: 25.71 – 26.23
Spot Rate : 0.5200
Average : 0.3343

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2016-11-18
Maturity Price : 25.00
Evaluated at bid price : 25.71
Bid-YTW : -23.06 %
BIP.PR.A FixedReset Quote: 21.58 – 21.95
Spot Rate : 0.3700
Average : 0.2223

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-10-19
Maturity Price : 21.29
Evaluated at bid price : 21.58
Bid-YTW : 5.08 %
NA.PR.Q FixedReset Quote: 24.07 – 24.40
Spot Rate : 0.3300
Average : 0.2631

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.07
Bid-YTW : 4.06 %
MFC.PR.F FixedReset Quote: 13.94 – 14.17
Spot Rate : 0.2300
Average : 0.1665

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 13.94
Bid-YTW : 10.30 %
TD.PR.Y FixedReset Quote: 24.22 – 24.40
Spot Rate : 0.1800
Average : 0.1187

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.22
Bid-YTW : 3.53 %
Market Action

October 18, 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 0.2091 % 1,705.9
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.2091 % 3,116.4
Floater 4.38 % 4.53 % 43,222 16.37 4 0.2091 % 1,796.0
OpRet 0.00 % 0.00 % 0 0.00 0 0.0596 % 2,897.5
SplitShare 4.83 % 4.52 % 42,281 2.10 6 0.0596 % 3,460.2
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0596 % 2,699.8
Perpetual-Premium 5.35 % 4.74 % 70,673 2.06 23 0.0739 % 2,692.6
Perpetual-Discount 5.12 % 5.06 % 100,008 15.31 15 0.3487 % 2,911.4
FixedReset 4.87 % 4.30 % 161,341 6.89 92 -0.0284 % 2,087.5
Deemed-Retractible 5.02 % 4.84 % 112,846 1.15 32 0.0840 % 2,802.4
FloatingReset 2.97 % 4.01 % 39,553 4.96 12 0.5566 % 2,260.6
Performance Highlights
Issue Index Change Notes
GWO.PR.N FixedReset -2.62 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 13.75
Bid-YTW : 10.42 %
MFC.PR.F FixedReset -1.21 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 13.83
Bid-YTW : 10.41 %
CU.PR.C FixedReset -1.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-10-18
Maturity Price : 19.26
Evaluated at bid price : 19.26
Bid-YTW : 4.19 %
SLF.PR.H FixedReset 1.01 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 16.95
Bid-YTW : 8.39 %
CU.PR.I FixedReset 1.19 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2020-12-01
Maturity Price : 25.00
Evaluated at bid price : 26.35
Bid-YTW : 3.26 %
FTS.PR.H FixedReset 1.29 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-10-18
Maturity Price : 14.14
Evaluated at bid price : 14.14
Bid-YTW : 4.05 %
PWF.PR.A Floater 1.30 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-10-18
Maturity Price : 11.73
Evaluated at bid price : 11.73
Bid-YTW : 4.08 %
TRP.PR.F FloatingReset 1.32 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-10-18
Maturity Price : 14.54
Evaluated at bid price : 14.54
Bid-YTW : 4.26 %
PWF.PR.S Perpetual-Discount 1.88 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-10-18
Maturity Price : 23.36
Evaluated at bid price : 23.80
Bid-YTW : 5.03 %
Volume Highlights
Issue Index Shares
Traded		 Notes
NA.PR.A FixedReset 293,870 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-08-15
Maturity Price : 25.00
Evaluated at bid price : 25.92
Bid-YTW : 4.48 %
CU.PR.C FixedReset 63,050 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-10-18
Maturity Price : 19.26
Evaluated at bid price : 19.26
Bid-YTW : 4.19 %
BNS.PR.H FixedReset 56,530 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-01-26
Maturity Price : 25.00
Evaluated at bid price : 25.80
Bid-YTW : 4.28 %
RY.PR.L FixedReset 50,400 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 25.45
Bid-YTW : 3.58 %
IAG.PR.G FixedReset 46,177 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.25
Bid-YTW : 6.76 %
RY.PR.Q FixedReset 39,166 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-05-24
Maturity Price : 25.00
Evaluated at bid price : 26.72
Bid-YTW : 4.07 %
There were 39 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
TD.PF.G FixedReset Quote: 26.60 – 26.91
Spot Rate : 0.3100
Average : 0.2208

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-04-30
Maturity Price : 25.00
Evaluated at bid price : 26.60
Bid-YTW : 3.92 %
FTS.PR.J Perpetual-Discount Quote: 24.02 – 24.29
Spot Rate : 0.2700
Average : 0.1953

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-10-18
Maturity Price : 23.54
Evaluated at bid price : 24.02
Bid-YTW : 4.99 %
MFC.PR.I FixedReset Quote: 20.47 – 20.70
Spot Rate : 0.2300
Average : 0.1641

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.47
Bid-YTW : 6.68 %
TRP.PR.E FixedReset Quote: 18.72 – 19.09
Spot Rate : 0.3700
Average : 0.3119

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-10-18
Maturity Price : 18.72
Evaluated at bid price : 18.72
Bid-YTW : 4.41 %
CU.PR.H Perpetual-Premium Quote: 25.39 – 25.72
Spot Rate : 0.3300
Average : 0.2732

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-09-01
Maturity Price : 25.00
Evaluated at bid price : 25.39
Bid-YTW : 5.15 %
GWO.PR.N FixedReset Quote: 13.75 – 13.99
Spot Rate : 0.2400
Average : 0.1881

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 13.75
Bid-YTW : 10.42 %
Market Action

October 17, 2016

BMO is enhancing its DRIP:

Bank of Montreal (TSX:BMO)(NYSE:BMO) today announced that it is offering a two per cent discount on its common shares issued from treasury under the dividend reinvestment feature of its Shareholder Dividend Reinvestment and Share Purchase Plan (the “Plan”). Under the Plan, shareholders may elect to have dividends on common shares reinvested in additional common shares of the Bank. The discount will be calculated in accordance with the terms of the Plan.

The description of the plan makes it clear that these will be treasury shares:

There may also be a discount of up to 5% from such Average Market Price if the Bank issues new common shares from its treasury.

Such additional shares will be purchased on the open market or issued by the Bank from treasury. Commencing with the common share dividend declared for the fourth quarter of fiscal 2016, and subsequently until further notice, additional shares issued by the Bank from treasury will be with 2% discount.

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 -0.3241 % 1,702.4
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.3241 % 3,109.9
Floater 4.39 % 4.53 % 44,902 16.38 4 -0.3241 % 1,792.3
OpRet 0.00 % 0.00 % 0 0.00 0 -0.0132 % 2,895.7
SplitShare 4.84 % 4.49 % 43,902 2.10 6 -0.0132 % 3,458.1
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.0132 % 2,698.2
Perpetual-Premium 5.36 % 4.75 % 70,665 2.06 23 0.1101 % 2,690.6
Perpetual-Discount 5.14 % 5.13 % 100,741 15.28 15 0.0113 % 2,901.3
FixedReset 4.87 % 4.30 % 163,293 6.90 92 0.5394 % 2,088.1
Deemed-Retractible 5.03 % 4.98 % 112,606 1.16 32 -0.0255 % 2,800.0
FloatingReset 2.99 % 4.16 % 38,684 4.96 12 0.3798 % 2,248.1
Performance Highlights
Issue Index Change Notes
TRP.PR.F FloatingReset 1.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-10-17
Maturity Price : 14.35
Evaluated at bid price : 14.35
Bid-YTW : 4.32 %
HSE.PR.C FixedReset 1.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-10-17
Maturity Price : 19.40
Evaluated at bid price : 19.40
Bid-YTW : 5.22 %
TRP.PR.D FixedReset 1.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-10-17
Maturity Price : 18.40
Evaluated at bid price : 18.40
Bid-YTW : 4.43 %
MFC.PR.M FixedReset 1.12 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.91
Bid-YTW : 7.55 %
FTS.PR.M FixedReset 1.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-10-17
Maturity Price : 19.76
Evaluated at bid price : 19.76
Bid-YTW : 4.34 %
SLF.PR.I FixedReset 1.14 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.52
Bid-YTW : 7.13 %
SLF.PR.H FixedReset 1.15 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 16.78
Bid-YTW : 8.54 %
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 : 22.00
Bid-YTW : 5.85 %
IAG.PR.A Deemed-Retractible 1.21 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.45
Bid-YTW : 5.61 %
RY.PR.Z FixedReset 1.25 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-10-17
Maturity Price : 19.44
Evaluated at bid price : 19.44
Bid-YTW : 4.06 %
PWF.PR.P FixedReset 1.27 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-10-17
Maturity Price : 13.57
Evaluated at bid price : 13.57
Bid-YTW : 4.34 %
BAM.PR.T FixedReset 1.27 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-10-17
Maturity Price : 15.90
Evaluated at bid price : 15.90
Bid-YTW : 4.94 %
SLF.PR.J FloatingReset 1.40 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 13.08
Bid-YTW : 10.84 %
BNS.PR.Y FixedReset 1.41 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.80
Bid-YTW : 5.50 %
MFC.PR.L FixedReset 1.53 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.61
Bid-YTW : 7.57 %
BAM.PF.E FixedReset 1.63 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-10-17
Maturity Price : 19.33
Evaluated at bid price : 19.33
Bid-YTW : 4.60 %
MFC.PR.J FixedReset 1.71 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.66
Bid-YTW : 7.01 %
IFC.PR.A FixedReset 1.71 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 15.46
Bid-YTW : 9.71 %
CU.PR.C FixedReset 1.72 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-10-17
Maturity Price : 19.48
Evaluated at bid price : 19.48
Bid-YTW : 4.14 %
IFC.PR.C FixedReset 2.15 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.57
Bid-YTW : 7.67 %
TRP.PR.G FixedReset 2.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-10-17
Maturity Price : 21.25
Evaluated at bid price : 21.25
Bid-YTW : 4.46 %
BAM.PR.Z FixedReset 2.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-10-17
Maturity Price : 19.79
Evaluated at bid price : 19.79
Bid-YTW : 4.85 %
BAM.PR.X FixedReset 3.63 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-10-17
Maturity Price : 13.98
Evaluated at bid price : 13.98
Bid-YTW : 4.73 %
Volume Highlights
Issue Index Shares
Traded		 Notes
BNS.PR.Q FixedReset 151,043 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.10
Bid-YTW : 3.66 %
RY.PR.Q FixedReset 123,320 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-05-24
Maturity Price : 25.00
Evaluated at bid price : 26.74
Bid-YTW : 4.04 %
TD.PR.S FixedReset 107,930 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.12
Bid-YTW : 3.43 %
BNS.PR.H FixedReset 106,181 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-01-26
Maturity Price : 25.00
Evaluated at bid price : 25.80
Bid-YTW : 4.28 %
W.PR.M FixedReset 88,898 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-10-15
Maturity Price : 25.00
Evaluated at bid price : 25.90
Bid-YTW : 4.43 %
TD.PF.A FixedReset 80,220 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-10-17
Maturity Price : 18.90
Evaluated at bid price : 18.90
Bid-YTW : 4.16 %
There were 66 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
IFC.PR.D FloatingReset Quote: 18.30 – 21.00
Spot Rate : 2.7000
Average : 1.8108

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.30
Bid-YTW : 7.66 %
TRP.PR.D FixedReset Quote: 18.40 – 18.84
Spot Rate : 0.4400
Average : 0.2927

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-10-17
Maturity Price : 18.40
Evaluated at bid price : 18.40
Bid-YTW : 4.43 %
TRP.PR.E FixedReset Quote: 18.80 – 19.18
Spot Rate : 0.3800
Average : 0.2482

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-10-17
Maturity Price : 18.80
Evaluated at bid price : 18.80
Bid-YTW : 4.39 %
BMO.PR.R FloatingReset Quote: 22.75 – 23.15
Spot Rate : 0.4000
Average : 0.2905

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.75
Bid-YTW : 4.11 %
TD.PR.Z FloatingReset Quote: 22.60 – 22.95
Spot Rate : 0.3500
Average : 0.2508

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.60
Bid-YTW : 4.16 %
VNR.PR.A FixedReset Quote: 19.30 – 19.72
Spot Rate : 0.4200
Average : 0.3281

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-10-17
Maturity Price : 19.30
Evaluated at bid price : 19.30
Bid-YTW : 4.70 %
Market Action

October 14, 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 0.3952 % 1,707.9
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.3952 % 3,120.0
Floater 4.38 % 4.49 % 43,791 16.45 4 0.3952 % 1,798.1
OpRet 0.00 % 0.00 % 0 0.00 0 0.1061 % 2,896.1
SplitShare 4.83 % 4.53 % 45,588 2.11 6 0.1061 % 3,458.6
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.1061 % 2,698.5
Perpetual-Premium 5.36 % 4.80 % 71,171 2.07 23 0.0826 % 2,687.7
Perpetual-Discount 5.14 % 5.13 % 100,732 15.30 15 0.2872 % 2,901.0
FixedReset 4.89 % 4.30 % 154,271 6.90 92 0.9939 % 2,076.9
Deemed-Retractible 5.02 % 3.82 % 113,129 0.45 32 0.1057 % 2,800.8
FloatingReset 3.00 % 4.15 % 38,939 4.96 12 0.8319 % 2,239.6
Performance Highlights
Issue Index Change Notes
BNS.PR.C FloatingReset 1.02 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.83
Bid-YTW : 4.15 %
TD.PR.Z FloatingReset 1.02 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.68
Bid-YTW : 4.08 %
PWF.PR.T FixedReset 1.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-10-14
Maturity Price : 19.60
Evaluated at bid price : 19.60
Bid-YTW : 4.16 %
HSE.PR.E FixedReset 1.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-10-14
Maturity Price : 21.25
Evaluated at bid price : 21.25
Bid-YTW : 5.18 %
CU.PR.G Perpetual-Discount 1.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-10-14
Maturity Price : 22.17
Evaluated at bid price : 22.50
Bid-YTW : 5.05 %
MFC.PR.N FixedReset 1.14 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.71
Bid-YTW : 7.63 %
BMO.PR.T FixedReset 1.17 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-10-14
Maturity Price : 19.03
Evaluated at bid price : 19.03
Bid-YTW : 4.18 %
BMO.PR.W FixedReset 1.17 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-10-14
Maturity Price : 18.97
Evaluated at bid price : 18.97
Bid-YTW : 4.16 %
TD.PF.B FixedReset 1.19 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-10-14
Maturity Price : 18.65
Evaluated at bid price : 18.65
Bid-YTW : 4.22 %
BMO.PR.Y FixedReset 1.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-10-14
Maturity Price : 21.15
Evaluated at bid price : 21.15
Bid-YTW : 4.24 %
BMO.PR.R FloatingReset 1.20 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.71
Bid-YTW : 4.14 %
CM.PR.O FixedReset 1.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-10-14
Maturity Price : 19.10
Evaluated at bid price : 19.10
Bid-YTW : 4.21 %
BAM.PF.E FixedReset 1.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-10-14
Maturity Price : 19.02
Evaluated at bid price : 19.02
Bid-YTW : 4.67 %
TD.PF.E FixedReset 1.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-10-14
Maturity Price : 21.36
Evaluated at bid price : 21.36
Bid-YTW : 4.28 %
TD.PF.C FixedReset 1.25 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-10-14
Maturity Price : 18.65
Evaluated at bid price : 18.65
Bid-YTW : 4.21 %
HSE.PR.A FixedReset 1.27 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-10-14
Maturity Price : 11.92
Evaluated at bid price : 11.92
Bid-YTW : 5.22 %
BMO.PR.Q FixedReset 1.31 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.11
Bid-YTW : 6.28 %
MFC.PR.K FixedReset 1.32 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 17.65
Bid-YTW : 8.24 %
MFC.PR.L FixedReset 1.38 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.33
Bid-YTW : 7.78 %
BAM.PR.Z FixedReset 1.41 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-10-14
Maturity Price : 19.36
Evaluated at bid price : 19.36
Bid-YTW : 4.95 %
MFC.PR.J FixedReset 1.47 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.33
Bid-YTW : 7.25 %
TD.PF.D FixedReset 1.47 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-10-14
Maturity Price : 20.70
Evaluated at bid price : 20.70
Bid-YTW : 4.31 %
IAG.PR.G FixedReset 1.51 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.20
Bid-YTW : 6.79 %
TRP.PR.E FixedReset 1.52 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-10-14
Maturity Price : 18.72
Evaluated at bid price : 18.72
Bid-YTW : 4.41 %
NA.PR.W FixedReset 1.61 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-10-14
Maturity Price : 18.33
Evaluated at bid price : 18.33
Bid-YTW : 4.31 %
BNS.PR.D FloatingReset 1.61 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.55
Bid-YTW : 6.39 %
TRP.PR.A FixedReset 1.62 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-10-14
Maturity Price : 15.70
Evaluated at bid price : 15.70
Bid-YTW : 4.47 %
FTS.PR.M FixedReset 1.66 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-10-14
Maturity Price : 19.54
Evaluated at bid price : 19.54
Bid-YTW : 4.39 %
FTS.PR.G FixedReset 1.71 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-10-14
Maturity Price : 17.85
Evaluated at bid price : 17.85
Bid-YTW : 4.24 %
SLF.PR.H FixedReset 1.72 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 16.59
Bid-YTW : 8.69 %
FTS.PR.K FixedReset 1.78 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-10-14
Maturity Price : 17.75
Evaluated at bid price : 17.75
Bid-YTW : 4.22 %
TRP.PR.B FixedReset 1.83 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-10-14
Maturity Price : 12.25
Evaluated at bid price : 12.25
Bid-YTW : 4.24 %
RY.PR.M FixedReset 1.84 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-10-14
Maturity Price : 20.53
Evaluated at bid price : 20.53
Bid-YTW : 4.23 %
CM.PR.P FixedReset 1.90 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-10-14
Maturity Price : 18.79
Evaluated at bid price : 18.79
Bid-YTW : 4.18 %
MFC.PR.G FixedReset 1.96 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.27
Bid-YTW : 6.75 %
MFC.PR.F FixedReset 1.99 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 13.87
Bid-YTW : 10.36 %
NA.PR.S FixedReset 1.99 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-10-14
Maturity Price : 19.00
Evaluated at bid price : 19.00
Bid-YTW : 4.32 %
MFC.PR.I FixedReset 2.00 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.41
Bid-YTW : 6.71 %
VNR.PR.A FixedReset 2.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-10-14
Maturity Price : 19.15
Evaluated at bid price : 19.15
Bid-YTW : 4.74 %
BAM.PF.B FixedReset 2.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-10-14
Maturity Price : 18.11
Evaluated at bid price : 18.11
Bid-YTW : 4.89 %
BAM.PF.H FixedReset 2.06 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2020-12-31
Maturity Price : 25.00
Evaluated at bid price : 27.21
Bid-YTW : 2.83 %
BIP.PR.A FixedReset 2.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-10-14
Maturity Price : 21.38
Evaluated at bid price : 21.70
Bid-YTW : 5.04 %
RY.PR.J FixedReset 2.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-10-14
Maturity Price : 20.92
Evaluated at bid price : 20.92
Bid-YTW : 4.26 %
BAM.PR.T FixedReset 2.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-10-14
Maturity Price : 15.70
Evaluated at bid price : 15.70
Bid-YTW : 5.01 %
BAM.PR.R FixedReset 2.17 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-10-14
Maturity Price : 16.04
Evaluated at bid price : 16.04
Bid-YTW : 4.79 %
GWO.PR.N FixedReset 2.19 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 14.00
Bid-YTW : 10.14 %
BAM.PF.F FixedReset 2.26 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-10-14
Maturity Price : 20.40
Evaluated at bid price : 20.40
Bid-YTW : 4.65 %
BAM.PF.A FixedReset 2.36 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-10-14
Maturity Price : 19.50
Evaluated at bid price : 19.50
Bid-YTW : 4.85 %
TRP.PR.G FixedReset 2.67 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-10-14
Maturity Price : 20.80
Evaluated at bid price : 20.80
Bid-YTW : 4.55 %
BAM.PF.G FixedReset 2.76 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-10-14
Maturity Price : 20.85
Evaluated at bid price : 20.85
Bid-YTW : 4.57 %
CU.PR.C FixedReset 3.51 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-10-14
Maturity Price : 19.15
Evaluated at bid price : 19.15
Bid-YTW : 4.21 %
Volume Highlights
Issue Index Shares
Traded		 Notes
NA.PR.A FixedReset 179,421 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-08-15
Maturity Price : 25.00
Evaluated at bid price : 25.96
Bid-YTW : 4.43 %
CM.PR.Q FixedReset 125,710 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-10-14
Maturity Price : 20.54
Evaluated at bid price : 20.54
Bid-YTW : 4.35 %
RY.PR.M FixedReset 91,650 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-10-14
Maturity Price : 20.53
Evaluated at bid price : 20.53
Bid-YTW : 4.23 %
TD.PF.H FixedReset 91,337 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-10-31
Maturity Price : 25.00
Evaluated at bid price : 25.62
Bid-YTW : 4.30 %
BNS.PR.E FixedReset 87,266 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-04-25
Maturity Price : 25.00
Evaluated at bid price : 26.61
Bid-YTW : 3.91 %
TRP.PR.D FixedReset 73,350 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-10-14
Maturity Price : 18.20
Evaluated at bid price : 18.20
Bid-YTW : 4.48 %
There were 65 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
IFC.PR.D FloatingReset Quote: 18.30 – 19.30
Spot Rate : 1.0000
Average : 0.8358

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.30
Bid-YTW : 7.65 %
CU.PR.I FixedReset Quote: 25.89 – 26.34
Spot Rate : 0.4500
Average : 0.3049

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2020-12-01
Maturity Price : 25.00
Evaluated at bid price : 25.89
Bid-YTW : 3.72 %
BAM.PR.X FixedReset Quote: 13.49 – 13.81
Spot Rate : 0.3200
Average : 0.1984

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-10-14
Maturity Price : 13.49
Evaluated at bid price : 13.49
Bid-YTW : 4.91 %
EML.PR.A FixedReset Quote: 26.22 – 26.54
Spot Rate : 0.3200
Average : 0.2031

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-04-17
Maturity Price : 25.00
Evaluated at bid price : 26.22
Bid-YTW : 4.56 %
BAM.PF.E FixedReset Quote: 19.02 – 19.37
Spot Rate : 0.3500
Average : 0.2345

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-10-14
Maturity Price : 19.02
Evaluated at bid price : 19.02
Bid-YTW : 4.67 %
CU.PR.C FixedReset Quote: 19.15 – 19.50
Spot Rate : 0.3500
Average : 0.2545

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-10-14
Maturity Price : 19.15
Evaluated at bid price : 19.15
Bid-YTW : 4.21 %
Market Action

October 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 -0.3936 % 1,701.2
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.3936 % 3,107.7
Floater 4.39 % 4.53 % 43,996 16.38 4 -0.3936 % 1,791.0
OpRet 0.00 % 0.00 % 0 0.00 0 -0.0265 % 2,893.0
SplitShare 4.84 % 4.43 % 45,419 2.12 6 -0.0265 % 3,454.9
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.0265 % 2,695.7
Perpetual-Premium 5.37 % 4.73 % 69,971 1.93 23 -0.1667 % 2,685.4
Perpetual-Discount 5.15 % 5.11 % 101,138 15.24 15 -0.3344 % 2,892.7
FixedReset 4.94 % 4.36 % 152,224 6.89 92 0.1499 % 2,056.4
Deemed-Retractible 5.03 % 5.01 % 112,875 1.17 32 0.0561 % 2,797.8
FloatingReset 3.00 % 4.33 % 38,498 4.97 12 0.0132 % 2,221.1
Performance Highlights
Issue Index Change Notes
FTS.PR.M FixedReset -1.69 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-10-13
Maturity Price : 19.22
Evaluated at bid price : 19.22
Bid-YTW : 4.44 %
PWF.PR.A Floater -1.28 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-10-13
Maturity Price : 11.60
Evaluated at bid price : 11.60
Bid-YTW : 4.12 %
SLF.PR.J FloatingReset -1.15 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 12.85
Bid-YTW : 11.05 %
BIP.PR.A FixedReset 1.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-10-13
Maturity Price : 21.26
Evaluated at bid price : 21.26
Bid-YTW : 5.15 %
IFC.PR.D FloatingReset 1.39 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.20
Bid-YTW : 7.71 %
TRP.PR.E FixedReset 1.43 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-10-13
Maturity Price : 18.44
Evaluated at bid price : 18.44
Bid-YTW : 4.45 %
TRP.PR.D FixedReset 1.92 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-10-13
Maturity Price : 18.05
Evaluated at bid price : 18.05
Bid-YTW : 4.49 %
Volume Highlights
Issue Index Shares
Traded		 Notes
NA.PR.A FixedReset 123,860 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-08-15
Maturity Price : 25.00
Evaluated at bid price : 25.86
Bid-YTW : 4.52 %
TD.PF.H FixedReset 118,345 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-10-31
Maturity Price : 25.00
Evaluated at bid price : 25.50
Bid-YTW : 4.41 %
MFC.PR.O FixedReset 80,964 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-06-19
Maturity Price : 25.00
Evaluated at bid price : 26.50
Bid-YTW : 4.29 %
SLF.PR.C Deemed-Retractible 64,850 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.43
Bid-YTW : 6.11 %
TRP.PR.J FixedReset 64,050 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-05-31
Maturity Price : 25.00
Evaluated at bid price : 26.54
Bid-YTW : 4.21 %
NA.PR.X FixedReset 54,225 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-05-15
Maturity Price : 25.00
Evaluated at bid price : 26.30
Bid-YTW : 4.25 %
There were 42 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
IFC.PR.D FloatingReset Quote: 18.20 – 19.20
Spot Rate : 1.0000
Average : 0.6558

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.20
Bid-YTW : 7.71 %
PWF.PR.T FixedReset Quote: 19.40 – 19.93
Spot Rate : 0.5300
Average : 0.3327

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-10-13
Maturity Price : 19.40
Evaluated at bid price : 19.40
Bid-YTW : 4.18 %
GWO.PR.Q Deemed-Retractible Quote: 25.03 – 25.48
Spot Rate : 0.4500
Average : 0.2819

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 25.03
Bid-YTW : 5.19 %
W.PR.K FixedReset Quote: 25.80 – 26.30
Spot Rate : 0.5000
Average : 0.3589

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-01-15
Maturity Price : 25.00
Evaluated at bid price : 25.80
Bid-YTW : 4.44 %
NA.PR.Q FixedReset Quote: 23.74 – 24.19
Spot Rate : 0.4500
Average : 0.3227

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.74
Bid-YTW : 4.32 %
IAG.PR.G FixedReset Quote: 19.90 – 20.33
Spot Rate : 0.4300
Average : 0.3125

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.90
Bid-YTW : 6.98 %
Market Action

October 12, 2016

Bloomberg has a nice article about a firm that’s eating the banks’ lunch:

XTX Markets Ltd. has emerged as a foreign-exchange powerhouse, relying on programmers and mathematicians to fuel its rise into the global top five earlier this year. Now, after becoming a formidable player in currencies, XTX has its sights set on growing in stocks, commodities and bonds markets.

But in a world where the difference between profit and loss can be tiny fractions of a second, XTX says it relies more on smarts than speed. Instead of building microwave networks to ferret out prices a microsecond before anyone else, XTX uses mathematical models that are tuned with massive data sets. It says its technology has computing power comparable to some of the world’s top supercomputers.
…
A challenge for XTX is finding and recruiting talent to create its intellectual fuel for trading. The competition to lure the world’s top mathematicians and technologists isn’t just against Wall Street and other computerized traders, as XTX is now also up against tech giants like Google.

Forget MBAs, XTX is looking for uncommon traits like “extreme quantitative skills and a good understanding of technology,” said Amrolia, 53, who has a Ph.D. in mathematics from the University of Oxford.

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 -0.6670 % 1,707.9
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.6670 % 3,120.0
Floater 4.38 % 4.52 % 44,411 16.39 4 -0.6670 % 1,798.1
OpRet 0.00 % 0.00 % 0 0.00 0 0.0398 % 2,893.8
SplitShare 4.84 % 4.56 % 46,074 2.12 6 0.0398 % 3,455.8
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0398 % 2,696.4
Perpetual-Premium 5.36 % 4.77 % 72,494 2.08 23 0.0275 % 2,689.9
Perpetual-Discount 5.14 % 5.10 % 102,466 15.28 15 -0.0708 % 2,902.4
FixedReset 4.95 % 4.36 % 150,521 6.89 92 0.1700 % 2,053.4
Deemed-Retractible 5.03 % 4.88 % 111,363 0.46 32 -0.1451 % 2,796.2
FloatingReset 3.00 % 4.26 % 39,107 4.97 12 0.0617 % 2,220.8
Performance Highlights
Issue Index Change Notes
PWF.PR.A Floater -1.67 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-10-12
Maturity Price : 11.75
Evaluated at bid price : 11.75
Bid-YTW : 4.07 %
TRP.PR.B FixedReset -1.64 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-10-12
Maturity Price : 11.98
Evaluated at bid price : 11.98
Bid-YTW : 4.30 %
FTS.PR.K FixedReset -1.30 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-10-12
Maturity Price : 17.45
Evaluated at bid price : 17.45
Bid-YTW : 4.27 %
BAM.PF.F FixedReset 1.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-10-12
Maturity Price : 19.95
Evaluated at bid price : 19.95
Bid-YTW : 4.73 %
BAM.PF.E FixedReset 1.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-10-12
Maturity Price : 18.75
Evaluated at bid price : 18.75
Bid-YTW : 4.72 %
PWF.PR.P FixedReset 1.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-10-12
Maturity Price : 13.31
Evaluated at bid price : 13.31
Bid-YTW : 4.39 %
Volume Highlights
Issue Index Shares
Traded		 Notes
BAM.PR.T FixedReset 144,750 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-10-12
Maturity Price : 15.34
Evaluated at bid price : 15.34
Bid-YTW : 5.09 %
RY.PR.H FixedReset 140,940 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-10-12
Maturity Price : 18.88
Evaluated at bid price : 18.88
Bid-YTW : 4.21 %
FTS.PR.J Perpetual-Discount 116,637 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-10-12
Maturity Price : 23.48
Evaluated at bid price : 23.95
Bid-YTW : 5.00 %
MFC.PR.M FixedReset 116,408 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.43
Bid-YTW : 7.90 %
TRP.PR.D FixedReset 109,071 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-10-12
Maturity Price : 17.71
Evaluated at bid price : 17.71
Bid-YTW : 4.58 %
HSE.PR.C FixedReset 94,760 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-10-12
Maturity Price : 19.07
Evaluated at bid price : 19.07
Bid-YTW : 5.28 %
There were 62 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
SLF.PR.H FixedReset Quote: 16.26 – 16.52
Spot Rate : 0.2600
Average : 0.1798

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 16.26
Bid-YTW : 8.97 %
IAG.PR.A Deemed-Retractible Quote: 23.09 – 23.49
Spot Rate : 0.4000
Average : 0.3263

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.09
Bid-YTW : 5.83 %
FTS.PR.F Perpetual-Discount Quote: 24.40 – 24.80
Spot Rate : 0.4000
Average : 0.3338

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-10-12
Maturity Price : 24.15
Evaluated at bid price : 24.40
Bid-YTW : 5.07 %
FTS.PR.J Perpetual-Discount Quote: 23.95 – 24.18
Spot Rate : 0.2300
Average : 0.1639

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-10-12
Maturity Price : 23.48
Evaluated at bid price : 23.95
Bid-YTW : 5.00 %
GWO.PR.F Deemed-Retractible Quote: 25.58 – 25.80
Spot Rate : 0.2200
Average : 0.1671

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2016-11-11
Maturity Price : 25.00
Evaluated at bid price : 25.58
Bid-YTW : -18.75 %
PVS.PR.C SplitShare Quote: 25.15 – 25.35
Spot Rate : 0.2000
Average : 0.1492

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2017-12-10
Maturity Price : 25.00
Evaluated at bid price : 25.15
Bid-YTW : 4.76 %