Category: Market Action

Market Action

June 6, 2017

HIMIPref™ Preferred Indices
These values reflect the December 2008 revision of the HIMIPref™ Indices
Values are provisional and are finalized monthly
Index Mean
Current
Yield
(at bid)		 Median
YTW		 Median
Average
Trading
Value		 Median
Mod Dur
(YTW)		 Issues Day’s Perf. Index Value
Ratchet 0.00 % 0.00 % 0 0.00 0 -0.4754 % 2,084.8
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.4754 % 3,825.5
Floater 3.76 % 3.80 % 82,415 17.77 3 -0.4754 % 2,204.7
OpRet 0.00 % 0.00 % 0 0.00 0 0.2682 % 3,048.9
SplitShare 4.72 % 4.16 % 74,092 1.53 5 0.2682 % 3,641.0
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.2682 % 2,840.8
Perpetual-Premium 5.28 % 3.11 % 70,221 0.09 25 -0.0812 % 2,792.0
Perpetual-Discount 5.08 % 5.09 % 101,019 15.27 12 -0.0917 % 3,005.2
FixedReset 4.56 % 4.17 % 193,857 6.52 95 -0.4770 % 2,272.4
Deemed-Retractible 4.98 % 4.96 % 125,078 6.27 30 -0.1454 % 2,903.5
FloatingReset 2.52 % 3.18 % 46,702 4.39 10 -0.0563 % 2,516.3
Performance Highlights
Issue Index Change Notes
MFC.PR.N FixedReset -1.93 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.85
Bid-YTW : 6.99 %
MFC.PR.M FixedReset -1.53 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.95
Bid-YTW : 6.97 %
TRP.PR.B FixedReset -1.49 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-06-06
Maturity Price : 13.85
Evaluated at bid price : 13.85
Bid-YTW : 3.98 %
TRP.PR.E FixedReset -1.41 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-06-06
Maturity Price : 20.26
Evaluated at bid price : 20.26
Bid-YTW : 4.25 %
IFC.PR.A FixedReset -1.39 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 17.06
Bid-YTW : 8.68 %
TD.PF.A FixedReset -1.34 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-06-06
Maturity Price : 20.61
Evaluated at bid price : 20.61
Bid-YTW : 4.01 %
BMO.PR.W FixedReset -1.31 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-06-06
Maturity Price : 20.30
Evaluated at bid price : 20.30
Bid-YTW : 4.01 %
MFC.PR.J FixedReset -1.31 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.15
Bid-YTW : 6.14 %
IFC.PR.C FixedReset -1.28 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.90
Bid-YTW : 6.29 %
IAG.PR.G FixedReset -1.25 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.28
Bid-YTW : 6.25 %
RY.PR.H FixedReset -1.24 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-06-06
Maturity Price : 20.67
Evaluated at bid price : 20.67
Bid-YTW : 3.98 %
MFC.PR.K FixedReset -1.23 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.24
Bid-YTW : 7.25 %
TD.PF.C FixedReset -1.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-06-06
Maturity Price : 20.32
Evaluated at bid price : 20.32
Bid-YTW : 4.06 %
BMO.PR.Q FixedReset -1.18 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.00
Bid-YTW : 5.83 %
RY.PR.J FixedReset -1.17 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-06-06
Maturity Price : 21.77
Evaluated at bid price : 22.02
Bid-YTW : 4.17 %
TD.PF.B FixedReset -1.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-06-06
Maturity Price : 20.46
Evaluated at bid price : 20.46
Bid-YTW : 4.05 %
BAM.PR.T FixedReset -1.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-06-06
Maturity Price : 18.43
Evaluated at bid price : 18.43
Bid-YTW : 4.56 %
MFC.PR.G FixedReset -1.01 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.54
Bid-YTW : 5.46 %
SLF.PR.G FixedReset -1.00 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 15.84
Bid-YTW : 9.05 %
Volume Highlights
Issue Index Shares
Traded		 Notes
CM.PR.R FixedReset 189,067 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-06-06
Maturity Price : 23.13
Evaluated at bid price : 24.93
Bid-YTW : 4.25 %
IAG.PR.G FixedReset 184,300 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.28
Bid-YTW : 6.25 %
TD.PF.H FixedReset 67,430 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-10-31
Maturity Price : 25.00
Evaluated at bid price : 26.02
Bid-YTW : 3.98 %
TD.PF.A FixedReset 50,372 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-06-06
Maturity Price : 20.61
Evaluated at bid price : 20.61
Bid-YTW : 4.01 %
MFC.PR.N FixedReset 36,449 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.85
Bid-YTW : 6.99 %
TRP.PR.D FixedReset 33,000 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-06-06
Maturity Price : 20.05
Evaluated at bid price : 20.05
Bid-YTW : 4.26 %
There were 30 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
BAM.PR.K Floater Quote: 12.52 – 12.77
Spot Rate : 0.2500
Average : 0.1759

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-06-06
Maturity Price : 12.52
Evaluated at bid price : 12.52
Bid-YTW : 3.82 %
CU.PR.I FixedReset Quote: 26.00 – 26.29
Spot Rate : 0.2900
Average : 0.2322

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2020-12-01
Maturity Price : 25.00
Evaluated at bid price : 26.00
Bid-YTW : 3.31 %
IAG.PR.G FixedReset Quote: 21.28 – 21.59
Spot Rate : 0.3100
Average : 0.2586

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.28
Bid-YTW : 6.25 %
PWF.PR.T FixedReset Quote: 22.41 – 22.65
Spot Rate : 0.2400
Average : 0.1891

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-06-06
Maturity Price : 21.87
Evaluated at bid price : 22.41
Bid-YTW : 3.77 %
ELF.PR.F Perpetual-Premium Quote: 25.21 – 25.45
Spot Rate : 0.2400
Average : 0.1896

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2017-07-06
Maturity Price : 25.00
Evaluated at bid price : 25.21
Bid-YTW : 3.90 %
HSE.PR.A FixedReset Quote: 15.20 – 15.40
Spot Rate : 0.2000
Average : 0.1526

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-06-06
Maturity Price : 15.20
Evaluated at bid price : 15.20
Bid-YTW : 4.35 %
Market Action

June 5, 2017

HIMIPref™ Preferred Indices
These values reflect the December 2008 revision of the HIMIPref™ Indices
Values are provisional and are finalized monthly
Index Mean
Current
Yield
(at bid)		 Median
YTW		 Median
Average
Trading
Value		 Median
Mod Dur
(YTW)		 Issues Day’s Perf. Index Value
Ratchet 0.00 % 0.00 % 0 0.00 0 0.1852 % 2,094.8
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.1852 % 3,843.8
Floater 3.74 % 3.78 % 83,168 17.81 3 0.1852 % 2,215.2
OpRet 0.00 % 0.00 % 0 0.00 0 -0.0237 % 3,040.7
SplitShare 4.73 % 4.49 % 72,172 3.93 5 -0.0237 % 3,631.3
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.0237 % 2,833.2
Perpetual-Premium 5.28 % 0.32 % 71,000 0.09 25 0.0766 % 2,794.3
Perpetual-Discount 5.08 % 5.08 % 102,442 15.28 12 -0.1655 % 3,007.9
FixedReset 4.54 % 4.14 % 194,769 6.54 95 -0.2077 % 2,283.3
Deemed-Retractible 4.97 % 4.96 % 125,080 6.27 30 0.0231 % 2,907.7
FloatingReset 2.52 % 3.10 % 47,304 4.40 10 -0.3834 % 2,517.7
Performance Highlights
Issue Index Change Notes
TRP.PR.A FixedReset -2.46 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-06-05
Maturity Price : 17.85
Evaluated at bid price : 17.85
Bid-YTW : 4.08 %
BAM.PR.X FixedReset -2.36 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-06-05
Maturity Price : 15.70
Evaluated at bid price : 15.70
Bid-YTW : 4.43 %
SLF.PR.J FloatingReset -2.27 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 15.10
Bid-YTW : 9.25 %
BMO.PR.S FixedReset -1.53 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-06-05
Maturity Price : 21.27
Evaluated at bid price : 21.27
Bid-YTW : 3.94 %
IAG.PR.G FixedReset -1.24 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.55
Bid-YTW : 6.05 %
MFC.PR.L FixedReset -1.07 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.44
Bid-YTW : 7.16 %
BNS.PR.D FloatingReset -1.01 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.58
Bid-YTW : 4.89 %
TD.PF.F Perpetual-Premium 1.02 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-10-31
Maturity Price : 25.00
Evaluated at bid price : 25.77
Bid-YTW : 4.51 %
IAG.PR.A Deemed-Retractible 1.09 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.10
Bid-YTW : 5.83 %
Volume Highlights
Issue Index Shares
Traded		 Notes
CM.PR.R FixedReset 255,851 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-06-05
Maturity Price : 23.14
Evaluated at bid price : 24.97
Bid-YTW : 4.24 %
BMO.PR.C FixedReset 51,398 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-06-05
Maturity Price : 23.30
Evaluated at bid price : 25.43
Bid-YTW : 4.19 %
NA.PR.W FixedReset 31,767 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-06-05
Maturity Price : 20.41
Evaluated at bid price : 20.41
Bid-YTW : 4.05 %
BMO.PR.B FixedReset 28,352 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-02-25
Maturity Price : 25.00
Evaluated at bid price : 26.05
Bid-YTW : 3.92 %
BNS.PR.D FloatingReset 27,200 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.58
Bid-YTW : 4.89 %
HSE.PR.C FixedReset 26,281 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-06-05
Maturity Price : 22.17
Evaluated at bid price : 22.52
Bid-YTW : 4.64 %
There were 11 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
TRP.PR.A FixedReset Quote: 17.85 – 18.27
Spot Rate : 0.4200
Average : 0.2922

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-06-05
Maturity Price : 17.85
Evaluated at bid price : 17.85
Bid-YTW : 4.08 %
PVS.PR.E SplitShare Quote: 25.91 – 26.48
Spot Rate : 0.5700
Average : 0.4439

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-10-31
Maturity Price : 25.00
Evaluated at bid price : 25.91
Bid-YTW : 4.75 %
SLF.PR.J FloatingReset Quote: 15.10 – 15.40
Spot Rate : 0.3000
Average : 0.1843

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 15.10
Bid-YTW : 9.25 %
BNS.PR.C FloatingReset Quote: 24.06 – 24.35
Spot Rate : 0.2900
Average : 0.1854

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.06
Bid-YTW : 3.35 %
IFC.PR.A FixedReset Quote: 17.30 – 17.72
Spot Rate : 0.4200
Average : 0.3194

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 17.30
Bid-YTW : 8.46 %
SLF.PR.A Deemed-Retractible Quote: 23.93 – 24.19
Spot Rate : 0.2600
Average : 0.1804

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.93
Bid-YTW : 5.42 %
Market Action

June 2, 2017

Jobs, jobs, jobs!

Nonfarm payrolls rose by a seasonally adjusted 138,000 in May from the prior month, the Labor Department said Friday, and job gains in the prior two months were revised down. The unemployment rate fell to 4.3%, the lowest reading since May 2001. Economists surveyed by The Wall Street Journal had expected 184,000 new jobs to be added in May and a jobless rate of 4.4%.
…
The drop in unemployment suggests that the labor market is at or very near full employment, or the point when virtually all workers who are seeking a job have found one. Federal Reserve officials projected in March the jobless rate will average 4.7% to 5% over the long run.
…
Average hourly earnings for private-sector workers increased by 4 cents to $26.22 an hour in May. From a year earlier, wages rose 2.5%. Annual wage gains have stayed near the 2.5% pace since late 2015, despite a steady decrease in the unemployment rate.

Typically, economists would expect falling unemployment to coincide with better wage gains. When the unemployment rate was 4.4% in May 2007, wages for nonsupervisory workers were growing better than 4% annually. In May 2001, those wages were up 4% from a year earlier. Nonsupervisory wages rose 2.4% last month, from a year earlier.

Maybe people have lost the habit of paying more:

Robert Barbera, co-director for the Center for Financial Economics at Johns Hopkins University, suggests it is important to not just look at the unemployment rate’s level, but how long it took to get there

It took a long seven years for the unemployment rate to get to 4.3% from the peak of 10% in October 2009. Because of the sluggish growth, businesses never had to scramble, and pay more, to add workers. And at no point did workers feel they were awash in opportunity.

This slow growth doesn’t give people confidence to ask for higher wages. And plenty of workers have never experienced that kind of environment: The 2000s were a bit of a dud outside of housing. Only workers in their 40s and older remember the 1990s boom. Maybe the U.S. labor market is turning a bit like Japan’s, where the unemployment has fallen to its lowest level in nearly a quarter-century, but after so many years of disappointment, workers are hesitant to demand higher wages, and employers are hesitant to give them.

Meanwhile Illinois is in big trouble!

Illinois had its bond rating downgraded to one step above junk by Moody’s Investors Service and S&P Global Ratings, the lowest ranking on record for a U.S. state, as the long-running political stalemate over the budget shows no signs of ending.

S&P warned that Illinois will likely lose its investment-grade status, an unprecedented step for a state, around July 1 if leaders haven’t agreed on a budget that chips away at the government’s chronic deficits. Moody’s followed S&P’s downgrade Thursday, citing Illinois’s underfunded pensions and the record backlog of bills that are equivalent to about 40 percent of its operating budget.

“Legislative gridlock has sidetracked efforts not only to address pension needs but also to achieve fiscal balance,” Ted Hampton, Moody’s analyst, said in a statement. “During the past year of fruitless negotiations and partisan wrangling, fundamental credit challenges have intensified enough to warrant a downgrade, regardless of whether a fiscal compromise is reached.”
…
“The rating actions largely reflect the severe deterioration of Illinois’ fiscal condition, a byproduct of its stalemated budget negotiations,” S&P analyst Gabriel Petek said in a statement. “The unrelenting political brinkmanship now poses a threat to the timely payment of the state’s core priority payments.”

Meanwhile, Picton Mahoney has gotten some ink for investing in ‘Deemed Retractible bonds’

Phil Mesman and his colleagues at Picton Mahoney Asset Management have been scooping up subordinated debt issued by the likes of JPMorgan Chase & Co., Barclays Plc, and Credit Agricole SA in the 1980s and 1990s that is trading at a discount to face value. The goal is to get repaid early at a premium to the current price. This strategy, which began almost two years ago with a spreadsheet plotting the rather tiny universe of the asset class, has handed the firm’s funds returns of more than 20 percent, Mesman said.

These legacy hybrid capital notes were originally issued to convert to equity in the event of a bank failure. They trade at a discount primarily because of the low coupon, which is based on a spread over the London interbank offered rate, and uncertainty around whether or not they will be repaid early, Mesman said.

The bonds, which also have a liquidity discount, have a maturity of 25 years or longer in most cases, and some are perpetual bonds, he said. The bond covenants and structures are good for investors, because they make it difficult for a bank to convert the bonds to equity in the event it needs to shore up capital levels. Regulators have said that banks need to take out the bonds before Jan. 1, 2022, Mesman said, putting a deadline on opportunities in the trade.

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 -0.8136 % 2,090.9
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.8136 % 3,836.7
Floater 3.75 % 3.79 % 84,386 17.80 3 -0.8136 % 2,211.1
OpRet 0.00 % 0.00 % 0 0.00 0 0.0158 % 3,041.4
SplitShare 4.73 % 4.30 % 69,297 1.55 5 0.0158 % 3,632.1
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0158 % 2,833.9
Perpetual-Premium 5.28 % -0.69 % 71,623 0.09 25 0.1314 % 2,792.1
Perpetual-Discount 5.07 % 5.06 % 103,880 15.33 12 0.1058 % 3,012.9
FixedReset 4.53 % 4.15 % 194,604 6.55 95 -0.3398 % 2,288.1
Deemed-Retractible 4.97 % 4.94 % 125,317 6.28 30 0.1115 % 2,907.1
FloatingReset 2.52 % 3.15 % 47,391 4.40 10 -0.1214 % 2,527.4
Performance Highlights
Issue Index Change Notes
TRP.PR.C FixedReset -2.44 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-06-02
Maturity Price : 15.19
Evaluated at bid price : 15.19
Bid-YTW : 4.07 %
TRP.PR.B FixedReset -2.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-06-02
Maturity Price : 14.06
Evaluated at bid price : 14.06
Bid-YTW : 3.95 %
PWF.PR.P FixedReset -1.90 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-06-02
Maturity Price : 15.50
Evaluated at bid price : 15.50
Bid-YTW : 4.08 %
TRP.PR.A FixedReset -1.45 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-06-02
Maturity Price : 18.30
Evaluated at bid price : 18.30
Bid-YTW : 4.00 %
MFC.PR.J FixedReset -1.43 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.44
Bid-YTW : 5.94 %
TRP.PR.H FloatingReset -1.34 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-06-02
Maturity Price : 13.22
Evaluated at bid price : 13.22
Bid-YTW : 3.43 %
BMO.PR.Q FixedReset -1.20 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.32
Bid-YTW : 5.47 %
IFC.PR.A FixedReset -1.19 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 17.37
Bid-YTW : 8.41 %
BAM.PF.B FixedReset -1.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-06-02
Maturity Price : 20.81
Evaluated at bid price : 20.81
Bid-YTW : 4.45 %
BAM.PR.C Floater -1.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-06-02
Maturity Price : 12.56
Evaluated at bid price : 12.56
Bid-YTW : 3.80 %
CM.PR.Q FixedReset -1.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-06-02
Maturity Price : 22.07
Evaluated at bid price : 22.46
Bid-YTW : 4.15 %
BAM.PR.X FixedReset -1.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-06-02
Maturity Price : 16.08
Evaluated at bid price : 16.08
Bid-YTW : 4.35 %
RY.PR.H FixedReset -1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-06-02
Maturity Price : 20.90
Evaluated at bid price : 20.90
Bid-YTW : 3.95 %
Volume Highlights
Issue Index Shares
Traded		 Notes
CM.PR.R FixedReset 2,454,817 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-06-02
Maturity Price : 23.14
Evaluated at bid price : 24.98
Bid-YTW : 4.25 %
PWF.PR.Z Perpetual-Premium 171,302 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-06-02
Maturity Price : 24.67
Evaluated at bid price : 25.07
Bid-YTW : 5.15 %
MFC.PR.N FixedReset 101,200 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.35
Bid-YTW : 6.60 %
TRP.PR.K FixedReset 91,577 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-05-31
Maturity Price : 25.00
Evaluated at bid price : 25.86
Bid-YTW : 4.16 %
MFC.PR.R FixedReset 86,691 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-03-19
Maturity Price : 25.00
Evaluated at bid price : 25.60
Bid-YTW : 4.26 %
TRP.PR.J FixedReset 68,103 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-05-31
Maturity Price : 25.00
Evaluated at bid price : 26.68
Bid-YTW : 3.70 %
There were 42 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
IAG.PR.A Deemed-Retractible Quote: 22.85 – 23.25
Spot Rate : 0.4000
Average : 0.2807

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.85
Bid-YTW : 5.99 %
TRP.PR.B FixedReset Quote: 14.06 – 14.39
Spot Rate : 0.3300
Average : 0.2449

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-06-02
Maturity Price : 14.06
Evaluated at bid price : 14.06
Bid-YTW : 3.95 %
MFC.PR.J FixedReset Quote: 21.44 – 21.67
Spot Rate : 0.2300
Average : 0.1550

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.44
Bid-YTW : 5.94 %
CM.PR.Q FixedReset Quote: 22.46 – 22.67
Spot Rate : 0.2100
Average : 0.1424

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-06-02
Maturity Price : 22.07
Evaluated at bid price : 22.46
Bid-YTW : 4.15 %
CU.PR.D Perpetual-Discount Quote: 24.64 – 24.85
Spot Rate : 0.2100
Average : 0.1517

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-06-02
Maturity Price : 24.35
Evaluated at bid price : 24.64
Bid-YTW : 4.99 %
SLF.PR.D Deemed-Retractible Quote: 22.38 – 22.61
Spot Rate : 0.2300
Average : 0.1754

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.38
Bid-YTW : 6.16 %
Market Action

June 1, 2017

HIMIPref™ Preferred Indices
These values reflect the December 2008 revision of the HIMIPref™ Indices
Values are provisional and are finalized monthly
Index Mean
Current
Yield
(at bid)		 Median
YTW		 Median
Average
Trading
Value		 Median
Mod Dur
(YTW)		 Issues Day’s Perf. Index Value
Ratchet 0.00 % 0.00 % 0 0.00 0 -1.7535 % 2,108.0
FixedFloater 0.00 % 0.00 % 0 0.00 0 -1.7535 % 3,868.1
Floater 3.72 % 3.76 % 83,942 17.86 3 -1.7535 % 2,229.2
OpRet 0.00 % 0.00 % 0 0.00 0 -0.3850 % 3,040.9
SplitShare 4.73 % 4.38 % 70,349 3.94 5 -0.3850 % 3,631.5
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.3850 % 2,833.5
Perpetual-Premium 5.29 % 0.02 % 71,435 0.09 25 -0.0313 % 2,788.5
Perpetual-Discount 5.07 % 5.08 % 107,709 15.30 12 0.2084 % 3,009.7
FixedReset 4.51 % 4.11 % 194,832 6.55 94 -0.1675 % 2,295.9
Deemed-Retractible 4.98 % 4.95 % 127,298 6.28 30 -0.1046 % 2,903.8
FloatingReset 2.52 % 3.19 % 48,144 4.41 10 -0.1632 % 2,530.5
Performance Highlights
Issue Index Change Notes
BAM.PR.B Floater -1.85 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-06-01
Maturity Price : 12.70
Evaluated at bid price : 12.70
Bid-YTW : 3.76 %
BAM.PR.K Floater -1.78 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-06-01
Maturity Price : 12.70
Evaluated at bid price : 12.70
Bid-YTW : 3.76 %
PVS.PR.E SplitShare -1.67 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-10-31
Maturity Price : 25.00
Evaluated at bid price : 25.92
Bid-YTW : 4.73 %
BAM.PR.C Floater -1.63 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-06-01
Maturity Price : 12.70
Evaluated at bid price : 12.70
Bid-YTW : 3.76 %
BAM.PR.Z FixedReset -1.59 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-06-01
Maturity Price : 21.35
Evaluated at bid price : 21.63
Bid-YTW : 4.61 %
SLF.PR.G FixedReset -1.47 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 16.08
Bid-YTW : 8.81 %
IFC.PR.C FixedReset -1.42 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.85
Bid-YTW : 6.33 %
BAM.PF.F FixedReset -1.37 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-06-01
Maturity Price : 22.00
Evaluated at bid price : 22.25
Bid-YTW : 4.43 %
IFC.PR.A FixedReset -1.35 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 17.58
Bid-YTW : 8.22 %
IAG.PR.G FixedReset -1.22 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.78
Bid-YTW : 5.89 %
GWO.PR.N FixedReset -1.21 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 15.45
Bid-YTW : 9.27 %
BAM.PF.G FixedReset -1.19 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-06-01
Maturity Price : 22.05
Evaluated at bid price : 22.42
Bid-YTW : 4.40 %
BAM.PR.R FixedReset -1.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-06-01
Maturity Price : 18.43
Evaluated at bid price : 18.43
Bid-YTW : 4.41 %
BAM.PF.C Perpetual-Discount 1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-06-01
Maturity Price : 22.84
Evaluated at bid price : 23.24
Bid-YTW : 5.29 %
BAM.PR.N Perpetual-Discount 1.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-06-01
Maturity Price : 22.70
Evaluated at bid price : 22.94
Bid-YTW : 5.25 %
CM.PR.Q FixedReset 1.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-06-01
Maturity Price : 22.23
Evaluated at bid price : 22.70
Bid-YTW : 4.10 %
PWF.PR.P FixedReset 1.28 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-06-01
Maturity Price : 15.80
Evaluated at bid price : 15.80
Bid-YTW : 4.00 %
TRP.PR.A FixedReset 1.64 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-06-01
Maturity Price : 18.57
Evaluated at bid price : 18.57
Bid-YTW : 3.94 %
Volume Highlights
Issue Index Shares
Traded		 Notes
MFC.PR.R FixedReset 123,294 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-03-19
Maturity Price : 25.00
Evaluated at bid price : 25.53
Bid-YTW : 4.33 %
TD.PF.A FixedReset 60,581 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-06-01
Maturity Price : 21.00
Evaluated at bid price : 21.00
Bid-YTW : 3.95 %
BMO.PR.C FixedReset 44,447 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-06-01
Maturity Price : 23.32
Evaluated at bid price : 25.49
Bid-YTW : 4.19 %
PWF.PR.Z Perpetual-Premium 40,885 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-06-01
Maturity Price : 24.61
Evaluated at bid price : 25.00
Bid-YTW : 5.17 %
PWF.PR.T FixedReset 40,057 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-06-01
Maturity Price : 22.44
Evaluated at bid price : 22.81
Bid-YTW : 3.74 %
GWO.PR.T Deemed-Retractible 32,383 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 25.20
Bid-YTW : 5.09 %
There were 22 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
BAM.PF.F FixedReset Quote: 22.25 – 22.70
Spot Rate : 0.4500
Average : 0.2652

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-06-01
Maturity Price : 22.00
Evaluated at bid price : 22.25
Bid-YTW : 4.43 %
PVS.PR.E SplitShare Quote: 25.92 – 26.48
Spot Rate : 0.5600
Average : 0.4216

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-10-31
Maturity Price : 25.00
Evaluated at bid price : 25.92
Bid-YTW : 4.73 %
CM.PR.O FixedReset Quote: 20.91 – 21.24
Spot Rate : 0.3300
Average : 0.2114

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-06-01
Maturity Price : 20.91
Evaluated at bid price : 20.91
Bid-YTW : 4.04 %
SLF.PR.H FixedReset Quote: 18.68 – 18.99
Spot Rate : 0.3100
Average : 0.1963

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.68
Bid-YTW : 7.30 %
BAM.PR.Z FixedReset Quote: 21.63 – 21.92
Spot Rate : 0.2900
Average : 0.1896

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-06-01
Maturity Price : 21.35
Evaluated at bid price : 21.63
Bid-YTW : 4.61 %
NA.PR.X FixedReset Quote: 26.65 – 26.90
Spot Rate : 0.2500
Average : 0.1516

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-05-15
Maturity Price : 25.00
Evaluated at bid price : 26.65
Bid-YTW : 3.87 %
Market Action

May 31, 2017

PerpetualDiscounts now yield 5.08%, equivalent to 6.60% interest at the standard equivalency factor of 1.3x. Long corporates now yield about 3.65%, so the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) is now 295bp, the same as reported on May 24.

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 -0.2626 % 2,145.7
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.2626 % 3,937.2
Floater 3.55 % 3.69 % 52,231 18.02 4 -0.2626 % 2,269.0
OpRet 0.00 % 0.00 % 0 0.00 0 -0.0079 % 3,052.7
SplitShare 4.71 % 4.22 % 70,653 1.55 5 -0.0079 % 3,645.6
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.0079 % 2,844.4
Perpetual-Premium 5.30 % -2.00 % 73,788 0.09 23 0.0680 % 2,789.4
Perpetual-Discount 5.09 % 5.08 % 97,253 15.28 14 0.2285 % 3,003.5
FixedReset 4.51 % 4.12 % 196,535 6.55 94 0.0694 % 2,299.7
Deemed-Retractible 4.97 % 4.90 % 128,110 6.29 30 0.3069 % 2,906.9
FloatingReset 2.51 % 3.06 % 48,838 4.41 10 0.2711 % 2,534.6
Performance Highlights
Issue Index Change Notes
PWF.PR.A Floater -1.37 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-05-31
Maturity Price : 14.40
Evaluated at bid price : 14.40
Bid-YTW : 3.30 %
TRP.PR.D FixedReset -1.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-05-31
Maturity Price : 20.59
Evaluated at bid price : 20.59
Bid-YTW : 4.17 %
TD.PF.F Perpetual-Premium -1.01 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-10-31
Maturity Price : 25.00
Evaluated at bid price : 25.50
Bid-YTW : 4.67 %
GWO.PR.N FixedReset 1.45 % 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 %
Volume Highlights
Issue Index Shares
Traded		 Notes
TRP.PR.K FixedReset 81,845 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-05-31
Maturity Price : 25.00
Evaluated at bid price : 26.07
Bid-YTW : 3.97 %
RY.PR.R FixedReset 67,640 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-08-24
Maturity Price : 25.00
Evaluated at bid price : 26.84
Bid-YTW : 3.66 %
BMO.PR.T FixedReset 48,686 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-05-31
Maturity Price : 20.73
Evaluated at bid price : 20.73
Bid-YTW : 3.96 %
PWF.PR.Z Perpetual-Premium 45,468 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-05-31
Maturity Price : 24.61
Evaluated at bid price : 25.00
Bid-YTW : 5.17 %
BAM.PF.I FixedReset 42,089 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-03-31
Maturity Price : 25.00
Evaluated at bid price : 26.05
Bid-YTW : 4.04 %
BMO.PR.S FixedReset 41,026 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-05-31
Maturity Price : 21.44
Evaluated at bid price : 21.44
Bid-YTW : 3.93 %
There were 27 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
BAM.PF.H FixedReset Quote: 26.10 – 26.58
Spot Rate : 0.4800
Average : 0.3739

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2020-12-31
Maturity Price : 25.00
Evaluated at bid price : 26.10
Bid-YTW : 3.94 %
TD.PF.F Perpetual-Premium Quote: 25.50 – 25.88
Spot Rate : 0.3800
Average : 0.2790

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-10-31
Maturity Price : 25.00
Evaluated at bid price : 25.50
Bid-YTW : 4.67 %
ELF.PR.G Perpetual-Discount Quote: 23.13 – 23.40
Spot Rate : 0.2700
Average : 0.1782

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-05-31
Maturity Price : 22.86
Evaluated at bid price : 23.13
Bid-YTW : 5.19 %
TRP.PR.A FixedReset Quote: 18.27 – 18.58
Spot Rate : 0.3100
Average : 0.2215

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-05-31
Maturity Price : 18.27
Evaluated at bid price : 18.27
Bid-YTW : 4.00 %
CU.PR.I FixedReset Quote: 26.12 – 26.34
Spot Rate : 0.2200
Average : 0.1496

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2020-12-01
Maturity Price : 25.00
Evaluated at bid price : 26.12
Bid-YTW : 3.15 %
PVS.PR.E SplitShare Quote: 26.36 – 26.70
Spot Rate : 0.3400
Average : 0.2698

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2017-06-30
Maturity Price : 26.00
Evaluated at bid price : 26.36
Bid-YTW : -12.30 %
Market Action

May 30, 2017

HIMIPref™ Preferred Indices
These values reflect the December 2008 revision of the HIMIPref™ Indices
Values are provisional and are finalized monthly
Index Mean
Current
Yield
(at bid)		 Median
YTW		 Median
Average
Trading
Value		 Median
Mod Dur
(YTW)		 Issues Day’s Perf. Index Value
Ratchet 0.00 % 0.00 % 0 0.00 0 -0.1872 % 2,151.3
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.1872 % 3,947.5
Floater 3.54 % 3.69 % 54,091 18.03 4 -0.1872 % 2,275.0
OpRet 0.00 % 0.00 % 0 0.00 0 0.1810 % 3,052.9
SplitShare 4.71 % 4.34 % 71,655 1.55 5 0.1810 % 3,645.9
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.1810 % 2,844.6
Perpetual-Premium 5.30 % -1.81 % 74,470 0.09 23 0.0374 % 2,787.5
Perpetual-Discount 5.11 % 5.09 % 97,439 15.24 14 -0.0391 % 2,996.6
FixedReset 4.52 % 4.12 % 197,937 6.55 94 -0.0222 % 2,298.1
Deemed-Retractible 4.97 % 5.06 % 129,588 6.24 30 0.1756 % 2,898.0
FloatingReset 2.52 % 3.11 % 49,108 4.41 10 -0.0981 % 2,527.8
Performance Highlights
Issue Index Change Notes
TRP.PR.B FixedReset -2.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-05-30
Maturity Price : 14.25
Evaluated at bid price : 14.25
Bid-YTW : 3.89 %
TRP.PR.H FloatingReset -1.32 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-05-30
Maturity Price : 13.42
Evaluated at bid price : 13.42
Bid-YTW : 3.38 %
MFC.PR.F FixedReset -1.29 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 15.25
Bid-YTW : 9.54 %
TRP.PR.F FloatingReset -1.24 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-05-30
Maturity Price : 18.35
Evaluated at bid price : 18.35
Bid-YTW : 3.34 %
Volume Highlights
Issue Index Shares
Traded		 Notes
BNS.PR.H FixedReset 161,025 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-01-26
Maturity Price : 25.00
Evaluated at bid price : 26.19
Bid-YTW : 3.85 %
TRP.PR.K FixedReset 104,403 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-05-31
Maturity Price : 25.00
Evaluated at bid price : 25.92
Bid-YTW : 4.10 %
PWF.PR.Z Perpetual-Premium 94,205 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-05-30
Maturity Price : 24.63
Evaluated at bid price : 25.02
Bid-YTW : 5.16 %
NA.PR.W FixedReset 87,400 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-05-30
Maturity Price : 20.60
Evaluated at bid price : 20.60
Bid-YTW : 4.03 %
TRP.PR.D FixedReset 79,985 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-05-30
Maturity Price : 20.80
Evaluated at bid price : 20.80
Bid-YTW : 4.12 %
TRP.PR.G FixedReset 66,415 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-05-30
Maturity Price : 22.21
Evaluated at bid price : 22.72
Bid-YTW : 4.26 %
There were 36 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
GWO.PR.L Deemed-Retractible Quote: 26.00 – 26.40
Spot Rate : 0.4000
Average : 0.2623

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2017-06-29
Maturity Price : 25.50
Evaluated at bid price : 26.00
Bid-YTW : -6.84 %
ELF.PR.F Perpetual-Discount Quote: 25.19 – 25.60
Spot Rate : 0.4100
Average : 0.2838

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2017-06-29
Maturity Price : 25.00
Evaluated at bid price : 25.19
Bid-YTW : 3.64 %
RY.PR.N Perpetual-Premium Quote: 25.59 – 25.99
Spot Rate : 0.4000
Average : 0.2884

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-11-24
Maturity Price : 25.00
Evaluated at bid price : 25.59
Bid-YTW : 4.56 %
BAM.PF.I FixedReset Quote: 25.95 – 26.35
Spot Rate : 0.4000
Average : 0.2984

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-03-31
Maturity Price : 25.00
Evaluated at bid price : 25.95
Bid-YTW : 4.13 %
MFC.PR.F FixedReset Quote: 15.25 – 15.52
Spot Rate : 0.2700
Average : 0.1758

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 15.25
Bid-YTW : 9.54 %
BMO.PR.Q FixedReset Quote: 21.50 – 21.84
Spot Rate : 0.3400
Average : 0.2552

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.50
Bid-YTW : 5.27 %
Market Action

May 29, 2017

HIMIPref™ Preferred Indices
These values reflect the December 2008 revision of the HIMIPref™ Indices
Values are provisional and are finalized monthly
Index Mean
Current
Yield
(at bid)		 Median
YTW		 Median
Average
Trading
Value		 Median
Mod Dur
(YTW)		 Issues Day’s Perf. Index Value
Ratchet 0.00 % 0.00 % 0 0.00 0 -0.7432 % 2,155.3
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.7432 % 3,955.0
Floater 3.54 % 3.69 % 56,226 18.04 4 -0.7432 % 2,279.3
OpRet 0.00 % 0.00 % 0 0.00 0 -0.0708 % 3,047.4
SplitShare 4.72 % 4.29 % 71,578 1.56 5 -0.0708 % 3,639.3
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.0708 % 2,839.5
Perpetual-Premium 5.30 % 1.01 % 73,963 0.09 23 0.0953 % 2,786.4
Perpetual-Discount 5.10 % 5.09 % 98,126 15.24 14 0.1203 % 2,997.8
FixedReset 4.52 % 4.12 % 198,975 6.56 94 0.0803 % 2,298.6
Deemed-Retractible 4.97 % 5.11 % 128,780 6.24 30 0.1048 % 2,892.9
FloatingReset 2.52 % 3.18 % 47,916 4.41 10 0.1157 % 2,530.3
Performance Highlights
Issue Index Change Notes
PWF.PR.A Floater -2.34 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-05-29
Maturity Price : 14.60
Evaluated at bid price : 14.60
Bid-YTW : 3.25 %
IFC.PR.C FixedReset -1.35 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.24
Bid-YTW : 6.03 %
BIP.PR.C FixedReset 1.05 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-09-30
Maturity Price : 25.00
Evaluated at bid price : 25.95
Bid-YTW : 4.29 %
VNR.PR.A FixedReset 1.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-05-29
Maturity Price : 20.88
Evaluated at bid price : 20.88
Bid-YTW : 4.57 %
SLF.PR.J FloatingReset 1.36 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 15.35
Bid-YTW : 8.99 %
TRP.PR.H FloatingReset 1.49 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-05-29
Maturity Price : 13.60
Evaluated at bid price : 13.60
Bid-YTW : 3.33 %
TRP.PR.B FixedReset 1.62 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-05-29
Maturity Price : 14.55
Evaluated at bid price : 14.55
Bid-YTW : 3.81 %
Volume Highlights
Issue Index Shares
Traded		 Notes
PWF.PR.Z Perpetual-Premium 92,824 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-05-29
Maturity Price : 24.63
Evaluated at bid price : 25.02
Bid-YTW : 5.16 %
IFC.PR.E Deemed-Retractible 87,230 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 25.08
Bid-YTW : 5.19 %
HSE.PR.G FixedReset 62,293 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-05-29
Maturity Price : 22.96
Evaluated at bid price : 23.99
Bid-YTW : 4.69 %
TRP.PR.B FixedReset 51,989 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-05-29
Maturity Price : 14.55
Evaluated at bid price : 14.55
Bid-YTW : 3.81 %
TD.PR.T FloatingReset 50,641 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.25
Bid-YTW : 2.87 %
RY.PR.H FixedReset 44,702 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-05-29
Maturity Price : 20.95
Evaluated at bid price : 20.95
Bid-YTW : 3.94 %
There were 31 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
CU.PR.C FixedReset Quote: 20.80 – 21.46
Spot Rate : 0.6600
Average : 0.3955

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-05-29
Maturity Price : 20.80
Evaluated at bid price : 20.80
Bid-YTW : 4.05 %
PWF.PR.A Floater Quote: 14.60 – 15.19
Spot Rate : 0.5900
Average : 0.4261

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-05-29
Maturity Price : 14.60
Evaluated at bid price : 14.60
Bid-YTW : 3.25 %
BAM.PF.H FixedReset Quote: 26.11 – 26.50
Spot Rate : 0.3900
Average : 0.2767

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2020-12-31
Maturity Price : 25.00
Evaluated at bid price : 26.11
Bid-YTW : 3.92 %
IFC.PR.C FixedReset Quote: 21.24 – 21.50
Spot Rate : 0.2600
Average : 0.1719

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.24
Bid-YTW : 6.03 %
BNS.PR.Y FixedReset Quote: 21.93 – 22.18
Spot Rate : 0.2500
Average : 0.1670

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.93
Bid-YTW : 4.89 %
SLF.PR.B Deemed-Retractible Quote: 23.85 – 24.10
Spot Rate : 0.2500
Average : 0.1677

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.85
Bid-YTW : 5.51 %
Market Action

May 26, 2017

S&P has downgraded Alberta:

  • •Alberta’s projected deficits after capex over the next two years are among the highest of rated non-U.S. local and regional governments and, absent other measures, our expectation is that this will lead to further rapid growth in the province’s debt burden.
  • •As a result, we are lowering our long-term issuer credit and senior unsecured debt ratings on Alberta two notches to ‘A+’ from ‘AA’ and affirming our short-term rating at ‘A-1+’.
  • •We are also lowering our senior unsecured debt rating on Alberta’s Crown Corporation, Alberta Capital Finance Authority, to ‘A+’ from ‘AA’.
  • •The stable outlook reflects our expectations that Alberta will, on average, continue to post after-capital deficits of greater than 23% of total adjusted revenues in the next two years.

…
The downgrade reflects our assessment of the continued impact of depressed oil prices on Alberta’s important resource revenues and the province’s approach toward addressing its structural budget shortfall in a timeframe that is unlikely to prevent excessive growth in debt. To help stimulate the economy, the province has elevated its level of spending on infrastructure. As a result, in our fiscal 2016-2020 base-case forecast, our assessment of the province’s budgetary performance particularly on an after-capital basis has significantly deteriorated and is materially weaker compared with that of both domestic and international peers. In addition, we expect that for Alberta to fund its growing capital expenditure program, its debt burden will continue to
grow rapidly.
…
Nevertheless, we recognize that Alberta has good budgetary flexibility. Although it possesses strong tax advantages, compared with other Canadian provinces, that could be tapped, we believe it has yet to use these in a significant way to improve its fiscal position. We estimate that modifiable revenues and capital spending, on average, will represent about 84% of operating revenues and about 13% of total expenditures, respectively, for the fiscal 2016-2020 period.

Naturally, the pretend-conservatives are outraged:

Progressive Conservative caucus leader Ric McIver said Ceci and Premier Rachel Notley were oblivious to the fact they were turning Alberta’s finances into a “train wreck.”

“It’s going to be more expensive to provide services or there will be less of everything, including teachers, doctors, roads, schools, hospitals, all the things Albertans care about,” said McIver.

In news releases, Wildrose said the situation was due to the government’s “budget disaster,” while the Alberta Party chalked it up to “poor choices” by the NDP.

Hey! Pretend-conservatives! How much of the oil revenue from the past forty years is on deposit with the reserve fund?

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 0.3356 % 2,171.5
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.3356 % 3,984.6
Floater 3.51 % 3.66 % 57,051 18.11 4 0.3356 % 2,296.3
OpRet 0.00 % 0.00 % 0 0.00 0 -0.0786 % 3,049.6
SplitShare 4.72 % 4.28 % 72,370 1.57 5 -0.0786 % 3,641.9
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.0786 % 2,841.5
Perpetual-Premium 5.31 % 1.94 % 73,733 0.09 23 0.0711 % 2,783.8
Perpetual-Discount 5.11 % 5.08 % 99,346 15.23 14 0.1386 % 2,994.2
FixedReset 4.51 % 4.12 % 198,657 6.56 94 -0.2501 % 2,296.8
Deemed-Retractible 5.00 % 5.17 % 135,475 4.13 32 0.0356 % 2,889.9
FloatingReset 2.51 % 3.12 % 47,660 4.42 10 -0.0886 % 2,527.3
Performance Highlights
Issue Index Change Notes
BMO.PR.Q FixedReset -1.56 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.41
Bid-YTW : 5.35 %
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 : 17.95
Bid-YTW : 7.88 %
BAM.PF.H FixedReset -1.36 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2020-12-31
Maturity Price : 25.00
Evaluated at bid price : 26.19
Bid-YTW : 3.82 %
SLF.PR.G FixedReset -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 : 8.82 %
VNR.PR.A FixedReset -1.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-05-26
Maturity Price : 20.64
Evaluated at bid price : 20.64
Bid-YTW : 4.64 %
Volume Highlights
Issue Index Shares
Traded		 Notes
PWF.PR.Z Perpetual-Premium 755,121 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-05-26
Maturity Price : 24.64
Evaluated at bid price : 25.03
Bid-YTW : 5.15 %
CM.PR.Q FixedReset 275,286 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-05-26
Maturity Price : 21.99
Evaluated at bid price : 22.35
Bid-YTW : 4.18 %
BIP.PR.D FixedReset 217,375 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-03-31
Maturity Price : 25.00
Evaluated at bid price : 25.40
Bid-YTW : 4.84 %
RY.PR.E Deemed-Retractible 162,348 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2017-06-25
Maturity Price : 25.00
Evaluated at bid price : 25.20
Bid-YTW : -4.85 %
MFC.PR.M FixedReset 87,252 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.66
Bid-YTW : 6.41 %
IFC.PR.E Deemed-Retractible 84,305 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 25.01
Bid-YTW : 5.23 %
There were 30 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
TD.PF.F Perpetual-Premium Quote: 25.55 – 25.84
Spot Rate : 0.2900
Average : 0.1916

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-10-31
Maturity Price : 25.00
Evaluated at bid price : 25.55
Bid-YTW : 4.63 %
PWF.PR.F Perpetual-Premium Quote: 25.00 – 25.25
Spot Rate : 0.2500
Average : 0.1673

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-05-26
Maturity Price : 24.68
Evaluated at bid price : 25.00
Bid-YTW : 5.29 %
GWO.PR.M Deemed-Retractible Quote: 26.00 – 26.18
Spot Rate : 0.1800
Average : 0.1289

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2017-06-25
Maturity Price : 25.50
Evaluated at bid price : 26.00
Bid-YTW : -7.13 %
HSE.PR.E FixedReset Quote: 23.74 – 23.92
Spot Rate : 0.1800
Average : 0.1297

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-05-26
Maturity Price : 22.87
Evaluated at bid price : 23.74
Bid-YTW : 4.78 %
BMO.PR.Q FixedReset Quote: 21.41 – 21.70
Spot Rate : 0.2900
Average : 0.2415

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.41
Bid-YTW : 5.35 %
MFC.PR.O FixedReset Quote: 26.60 – 26.80
Spot Rate : 0.2000
Average : 0.1550

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-06-19
Maturity Price : 25.00
Evaluated at bid price : 26.60
Bid-YTW : 3.82 %
Market Action

May 25, 2017

HIMIPref™ Preferred Indices
These values reflect the December 2008 revision of the HIMIPref™ Indices
Values are provisional and are finalized monthly
Index Mean
Current
Yield
(at bid)		 Median
YTW		 Median
Average
Trading
Value		 Median
Mod Dur
(YTW)		 Issues Day’s Perf. Index Value
Ratchet 0.00 % 0.00 % 0 0.00 0 0.0933 % 2,164.2
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.0933 % 3,971.2
Floater 3.52 % 3.69 % 55,196 18.03 4 0.0933 % 2,288.6
OpRet 0.00 % 0.00 % 0 0.00 0 -0.1883 % 3,052.0
SplitShare 4.72 % 4.28 % 72,740 1.57 5 -0.1883 % 3,644.7
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.1883 % 2,843.8
Perpetual-Premium 5.32 % 2.25 % 68,389 0.09 22 0.1175 % 2,781.8
Perpetual-Discount 5.12 % 5.10 % 100,516 15.24 14 0.0181 % 2,990.0
FixedReset 4.50 % 4.12 % 191,709 6.57 94 -0.1926 % 2,302.5
Deemed-Retractible 5.00 % 5.17 % 135,724 4.13 32 0.1464 % 2,888.8
FloatingReset 2.50 % 3.14 % 46,509 4.43 10 0.1869 % 2,529.6
Performance Highlights
Issue Index Change Notes
MFC.PR.K FixedReset -1.25 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.75
Bid-YTW : 6.83 %
SLF.PR.G FixedReset 1.42 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 16.40
Bid-YTW : 8.62 %
Volume Highlights
Issue Index Shares
Traded		 Notes
BNS.PR.R FixedReset 354,700 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.93
Bid-YTW : 3.30 %
BMO.PR.C FixedReset 175,120 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-05-25
Maturity Price : 23.28
Evaluated at bid price : 25.36
Bid-YTW : 4.22 %
RY.PR.R FixedReset 163,450 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-08-24
Maturity Price : 25.00
Evaluated at bid price : 26.97
Bid-YTW : 3.51 %
IFC.PR.E Deemed-Retractible 163,011 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.94
Bid-YTW : 5.27 %
TD.PF.H FixedReset 160,041 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-10-31
Maturity Price : 25.00
Evaluated at bid price : 26.10
Bid-YTW : 3.87 %
RY.PR.H FixedReset 106,475 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-05-25
Maturity Price : 21.02
Evaluated at bid price : 21.02
Bid-YTW : 3.94 %
TD.PF.D FixedReset 101,538 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-05-25
Maturity Price : 22.03
Evaluated at bid price : 22.40
Bid-YTW : 4.17 %
MFC.PR.R FixedReset 100,700 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-03-19
Maturity Price : 25.00
Evaluated at bid price : 25.58
Bid-YTW : 4.26 %
There were 28 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
PVS.PR.B SplitShare Quote: 25.10 – 25.45
Spot Rate : 0.3500
Average : 0.2335

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2019-01-10
Maturity Price : 25.00
Evaluated at bid price : 25.10
Bid-YTW : 4.02 %
BAM.PF.I FixedReset Quote: 26.06 – 26.35
Spot Rate : 0.2900
Average : 0.1813

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-03-31
Maturity Price : 25.00
Evaluated at bid price : 26.06
Bid-YTW : 4.01 %
CU.PR.H Perpetual-Premium Quote: 25.40 – 25.70
Spot Rate : 0.3000
Average : 0.2045

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-09-01
Maturity Price : 25.00
Evaluated at bid price : 25.40
Bid-YTW : 5.00 %
TRP.PR.G FixedReset Quote: 22.90 – 23.21
Spot Rate : 0.3100
Average : 0.2293

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-05-25
Maturity Price : 22.32
Evaluated at bid price : 22.90
Bid-YTW : 4.23 %
MFC.PR.I FixedReset Quote: 22.30 – 22.49
Spot Rate : 0.1900
Average : 0.1221

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.30
Bid-YTW : 5.56 %
BAM.PR.R FixedReset Quote: 18.40 – 18.64
Spot Rate : 0.2400
Average : 0.1748

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-05-25
Maturity Price : 18.40
Evaluated at bid price : 18.40
Bid-YTW : 4.42 %
Market Action

May 24, 2017

PerpetualDiscounts now yield 5.11%, equivalent to 6.64% interest at the standard conversion factor of 1.3x. Long corporates now yield about 3.7%, so the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) is now about 295bp, a widening from the 285bp reported May 17.

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 0.0373 % 2,162.2
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.0373 % 3,967.5
Floater 3.53 % 3.70 % 57,208 18.02 4 0.0373 % 2,286.5
OpRet 0.00 % 0.00 % 0 0.00 0 0.2596 % 3,057.7
SplitShare 4.71 % 4.12 % 73,861 1.57 5 0.2596 % 3,651.6
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.2596 % 2,849.1
Perpetual-Premium 5.33 % 0.86 % 67,554 0.09 22 -0.0231 % 2,778.5
Perpetual-Discount 5.12 % 5.11 % 101,151 15.23 14 0.0482 % 2,989.5
FixedReset 4.49 % 4.11 % 198,825 6.58 94 0.0688 % 2,307.0
Deemed-Retractible 5.01 % 5.24 % 135,105 6.26 32 -0.0460 % 2,884.6
FloatingReset 2.51 % 3.08 % 46,720 4.43 10 0.0093 % 2,524.9
Performance Highlights
Issue Index Change Notes
TRP.PR.F FloatingReset -1.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-05-24
Maturity Price : 18.57
Evaluated at bid price : 18.57
Bid-YTW : 3.33 %
SLF.PR.J FloatingReset 1.26 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 15.30
Bid-YTW : 9.13 %
Volume Highlights
Issue Index Shares
Traded		 Notes
IFC.PR.E Deemed-Retractible 601,313 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.91
Bid-YTW : 5.29 %
GWO.PR.T Deemed-Retractible 183,066 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.97
Bid-YTW : 5.22 %
BNS.PR.H FixedReset 171,363 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-01-26
Maturity Price : 25.00
Evaluated at bid price : 26.41
Bid-YTW : 3.63 %
TD.PF.C FixedReset 127,703 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-05-24
Maturity Price : 20.82
Evaluated at bid price : 20.82
Bid-YTW : 3.99 %
SLF.PR.H FixedReset 101,504 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.10
Bid-YTW : 7.08 %
TRP.PR.K FixedReset 94,579 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-05-31
Maturity Price : 25.00
Evaluated at bid price : 26.05
Bid-YTW : 3.97 %
There were 19 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
VNR.PR.A FixedReset Quote: 20.85 – 21.30
Spot Rate : 0.4500
Average : 0.3406

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-05-24
Maturity Price : 20.85
Evaluated at bid price : 20.85
Bid-YTW : 4.59 %
IFC.PR.A FixedReset Quote: 18.22 – 18.72
Spot Rate : 0.5000
Average : 0.3967

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.22
Bid-YTW : 7.64 %
BMO.PR.C FixedReset Quote: 25.56 – 25.80
Spot Rate : 0.2400
Average : 0.1478

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-05-24
Maturity Price : 23.34
Evaluated at bid price : 25.56
Bid-YTW : 4.18 %
TRP.PR.F FloatingReset Quote: 18.57 – 18.80
Spot Rate : 0.2300
Average : 0.1637

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-05-24
Maturity Price : 18.57
Evaluated at bid price : 18.57
Bid-YTW : 3.33 %
SLF.PR.D Deemed-Retractible Quote: 22.50 – 22.70
Spot Rate : 0.2000
Average : 0.1356

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.50
Bid-YTW : 6.25 %
BNS.PR.D FloatingReset Quote: 21.65 – 21.91
Spot Rate : 0.2600
Average : 0.2041

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.65
Bid-YTW : 4.79 %