Category: Market Action

Market Action

June 29, 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 0.3307 % 1,645.6
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.3307 % 3,006.1
Floater 4.67 % 4.67 % 64,688 16.10 3 0.3307 % 1,732.4
OpRet 4.86 % -0.26 % 41,221 0.08 1 0.0794 % 2,836.9
SplitShare 4.88 % 5.00 % 82,771 4.63 7 -0.0286 % 3,342.1
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.0286 % 2,607.6
Perpetual-Premium 5.59 % -13.67 % 77,772 0.09 9 0.2431 % 2,647.6
Perpetual-Discount 5.33 % 5.35 % 106,184 14.87 28 0.8289 % 2,764.1
FixedReset 5.18 % 4.59 % 158,615 7.34 88 0.6345 % 1,967.1
Deemed-Retractible 5.10 % 5.17 % 124,989 4.90 33 0.6877 % 2,714.6
FloatingReset 3.12 % 5.14 % 31,477 5.18 18 0.3869 % 2,093.9
Performance Highlights
Issue Index Change Notes
TD.PR.Y FixedReset -1.19 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.17
Bid-YTW : 4.47 %
BNS.PR.F FloatingReset -1.14 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.14
Bid-YTW : 8.09 %
CU.PR.I FixedReset 1.01 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2020-12-01
Maturity Price : 25.00
Evaluated at bid price : 26.01
Bid-YTW : 3.61 %
CU.PR.C FixedReset 1.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-06-29
Maturity Price : 16.95
Evaluated at bid price : 16.95
Bid-YTW : 4.50 %
RY.PR.H FixedReset 1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-06-29
Maturity Price : 18.38
Evaluated at bid price : 18.38
Bid-YTW : 4.13 %
VNR.PR.A FixedReset 1.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-06-29
Maturity Price : 18.21
Evaluated at bid price : 18.21
Bid-YTW : 4.84 %
GWO.PR.Q Deemed-Retractible 1.08 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.34
Bid-YTW : 5.57 %
CM.PR.Q FixedReset 1.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-06-29
Maturity Price : 19.40
Evaluated at bid price : 19.40
Bid-YTW : 4.40 %
TD.PF.B FixedReset 1.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-06-29
Maturity Price : 18.36
Evaluated at bid price : 18.36
Bid-YTW : 4.16 %
TD.PF.E FixedReset 1.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-06-29
Maturity Price : 20.50
Evaluated at bid price : 20.50
Bid-YTW : 4.34 %
PWF.PR.P FixedReset 1.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-06-29
Maturity Price : 13.25
Evaluated at bid price : 13.25
Bid-YTW : 4.22 %
RY.PR.J FixedReset 1.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-06-29
Maturity Price : 19.40
Evaluated at bid price : 19.40
Bid-YTW : 4.39 %
BAM.PF.E FixedReset 1.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-06-29
Maturity Price : 18.41
Evaluated at bid price : 18.41
Bid-YTW : 4.64 %
TD.PF.C FixedReset 1.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-06-29
Maturity Price : 18.26
Evaluated at bid price : 18.26
Bid-YTW : 4.18 %
FTS.PR.K FixedReset 1.17 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-06-29
Maturity Price : 17.35
Evaluated at bid price : 17.35
Bid-YTW : 4.09 %
SLF.PR.C Deemed-Retractible 1.18 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.39
Bid-YTW : 6.72 %
CU.PR.F Perpetual-Discount 1.24 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-06-29
Maturity Price : 21.26
Evaluated at bid price : 21.26
Bid-YTW : 5.35 %
MFC.PR.F FixedReset 1.26 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 13.67
Bid-YTW : 10.19 %
ELF.PR.H Perpetual-Discount 1.27 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-06-29
Maturity Price : 24.18
Evaluated at bid price : 24.67
Bid-YTW : 5.57 %
BAM.PR.R FixedReset 1.28 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-06-29
Maturity Price : 15.01
Evaluated at bid price : 15.01
Bid-YTW : 4.82 %
SLF.PR.A Deemed-Retractible 1.33 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.92
Bid-YTW : 6.04 %
SLF.PR.D Deemed-Retractible 1.33 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.38
Bid-YTW : 6.73 %
MFC.PR.B Deemed-Retractible 1.35 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.52
Bid-YTW : 6.21 %
SLF.PR.B Deemed-Retractible 1.36 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.13
Bid-YTW : 5.96 %
IAG.PR.G FixedReset 1.37 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.45
Bid-YTW : 7.80 %
GWO.PR.P Deemed-Retractible 1.41 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 25.17
Bid-YTW : 5.33 %
PWF.PR.S Perpetual-Discount 1.43 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-06-29
Maturity Price : 22.48
Evaluated at bid price : 22.77
Bid-YTW : 5.35 %
MFC.PR.C Deemed-Retractible 1.45 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.69
Bid-YTW : 6.60 %
CM.PR.P FixedReset 1.46 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-06-29
Maturity Price : 18.06
Evaluated at bid price : 18.06
Bid-YTW : 4.14 %
CU.PR.E Perpetual-Discount 1.48 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-06-29
Maturity Price : 22.89
Evaluated at bid price : 23.28
Bid-YTW : 5.30 %
CM.PR.O FixedReset 1.49 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-06-29
Maturity Price : 18.40
Evaluated at bid price : 18.40
Bid-YTW : 4.16 %
SLF.PR.E Deemed-Retractible 1.55 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.65
Bid-YTW : 6.60 %
CU.PR.D Perpetual-Discount 1.62 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-06-29
Maturity Price : 22.86
Evaluated at bid price : 23.24
Bid-YTW : 5.31 %
GWO.PR.R Deemed-Retractible 1.65 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.82
Bid-YTW : 6.16 %
TRP.PR.A FixedReset 1.77 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-06-29
Maturity Price : 14.40
Evaluated at bid price : 14.40
Bid-YTW : 4.62 %
GWO.PR.H Deemed-Retractible 1.78 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.87
Bid-YTW : 6.18 %
CU.PR.H Perpetual-Discount 1.80 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-06-29
Maturity Price : 24.53
Evaluated at bid price : 24.94
Bid-YTW : 5.30 %
FTS.PR.M FixedReset 1.80 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-06-29
Maturity Price : 19.20
Evaluated at bid price : 19.20
Bid-YTW : 4.26 %
GWO.PR.G Deemed-Retractible 1.83 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.46
Bid-YTW : 5.55 %
GWO.PR.S Deemed-Retractible 1.84 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.85
Bid-YTW : 5.37 %
CU.PR.G Perpetual-Discount 1.91 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-06-29
Maturity Price : 21.38
Evaluated at bid price : 21.38
Bid-YTW : 5.32 %
HSE.PR.C FixedReset 1.92 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-06-29
Maturity Price : 17.53
Evaluated at bid price : 17.53
Bid-YTW : 5.56 %
HSE.PR.B FloatingReset 1.97 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-06-29
Maturity Price : 10.35
Evaluated at bid price : 10.35
Bid-YTW : 5.33 %
GWO.PR.I Deemed-Retractible 2.00 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.89
Bid-YTW : 6.44 %
HSE.PR.G FixedReset 2.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-06-29
Maturity Price : 19.22
Evaluated at bid price : 19.22
Bid-YTW : 5.51 %
FTS.PR.G FixedReset 2.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-06-29
Maturity Price : 17.25
Evaluated at bid price : 17.25
Bid-YTW : 4.15 %
TRP.PR.E FixedReset 2.21 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-06-29
Maturity Price : 17.60
Evaluated at bid price : 17.60
Bid-YTW : 4.47 %
FTS.PR.F Perpetual-Discount 2.30 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-06-29
Maturity Price : 23.70
Evaluated at bid price : 24.01
Bid-YTW : 5.14 %
SLF.PR.I FixedReset 2.42 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.18
Bid-YTW : 7.83 %
TRP.PR.B FixedReset 2.49 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-06-29
Maturity Price : 11.53
Evaluated at bid price : 11.53
Bid-YTW : 4.17 %
FTS.PR.J Perpetual-Discount 2.68 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-06-29
Maturity Price : 22.99
Evaluated at bid price : 23.38
Bid-YTW : 5.11 %
TRP.PR.D FixedReset 2.74 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-06-29
Maturity Price : 17.25
Evaluated at bid price : 17.25
Bid-YTW : 4.50 %
HSE.PR.E FixedReset 2.99 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-06-29
Maturity Price : 19.31
Evaluated at bid price : 19.31
Bid-YTW : 5.50 %
TRP.PR.C FixedReset 3.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-06-29
Maturity Price : 12.03
Evaluated at bid price : 12.03
Bid-YTW : 4.46 %
PWF.PR.Q FloatingReset 4.17 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-06-29
Maturity Price : 12.50
Evaluated at bid price : 12.50
Bid-YTW : 4.19 %
Volume Highlights
Issue Index Shares
Traded		 Notes
BNS.PR.M Deemed-Retractible 115,095 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2016-08-26
Maturity Price : 25.00
Evaluated at bid price : 25.26
Bid-YTW : 2.55 %
TD.PF.C FixedReset 105,172 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-06-29
Maturity Price : 18.26
Evaluated at bid price : 18.26
Bid-YTW : 4.18 %
MFC.PR.I FixedReset 102,569 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.65
Bid-YTW : 6.98 %
BNS.PR.N Deemed-Retractible 100,875 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2016-07-29
Maturity Price : 25.25
Evaluated at bid price : 25.72
Bid-YTW : -7.01 %
CM.PR.P FixedReset 80,036 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-06-29
Maturity Price : 18.06
Evaluated at bid price : 18.06
Bid-YTW : 4.14 %
FTS.PR.E OpRet 62,100 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2016-07-29
Maturity Price : 25.00
Evaluated at bid price : 25.20
Bid-YTW : -0.26 %
There were 36 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
BNS.PR.F FloatingReset Quote: 18.14 – 18.99
Spot Rate : 0.8500
Average : 0.5792

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.14
Bid-YTW : 8.09 %
IAG.PR.G FixedReset Quote: 18.45 – 19.22
Spot Rate : 0.7700
Average : 0.5054

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.45
Bid-YTW : 7.80 %
GWO.PR.O FloatingReset Quote: 12.55 – 13.57
Spot Rate : 1.0200
Average : 0.8729

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 12.55
Bid-YTW : 10.83 %
HSE.PR.A FixedReset Quote: 11.18 – 11.59
Spot Rate : 0.4100
Average : 0.2689

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-06-29
Maturity Price : 11.18
Evaluated at bid price : 11.18
Bid-YTW : 5.24 %
SLF.PR.G FixedReset Quote: 14.20 – 14.60
Spot Rate : 0.4000
Average : 0.2657

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 14.20
Bid-YTW : 9.69 %
ALB.PR.C SplitShare Quote: 26.15 – 26.94
Spot Rate : 0.7900
Average : 0.6641

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2017-02-28
Maturity Price : 25.67
Evaluated at bid price : 26.15
Bid-YTW : 2.47 %
Market Action

June 28, 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 1.0020 % 1,640.1
FixedFloater 0.00 % 0.00 % 0 0.00 0 1.0020 % 2,996.2
Floater 4.69 % 4.67 % 63,430 16.09 3 1.0020 % 1,726.7
OpRet 4.86 % 0.54 % 38,166 0.08 1 0.0795 % 2,834.6
SplitShare 4.87 % 4.91 % 83,435 4.63 7 0.2531 % 3,343.1
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.2531 % 2,608.4
Perpetual-Premium 5.60 % -12.04 % 78,552 0.09 9 0.2519 % 2,641.1
Perpetual-Discount 5.37 % 5.42 % 105,404 14.77 28 0.5628 % 2,741.4
FixedReset 5.21 % 4.56 % 160,057 7.32 88 0.6231 % 1,954.7
Deemed-Retractible 5.13 % 5.23 % 122,792 4.90 33 0.5198 % 2,696.1
FloatingReset 3.13 % 5.15 % 30,301 5.18 18 -0.2108 % 2,085.9
Performance Highlights
Issue Index Change Notes
GWO.PR.O FloatingReset -4.92 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 12.55
Bid-YTW : 10.83 %
SLF.PR.J FloatingReset -1.88 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 12.51
Bid-YTW : 11.04 %
CCS.PR.C Deemed-Retractible -1.13 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.85
Bid-YTW : 6.35 %
RY.PR.K FloatingReset -1.02 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.43
Bid-YTW : 5.38 %
TD.PF.F Perpetual-Discount 1.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-06-28
Maturity Price : 24.50
Evaluated at bid price : 24.90
Bid-YTW : 4.98 %
GWO.PR.Q Deemed-Retractible 1.05 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.08
Bid-YTW : 5.73 %
MFC.PR.K FixedReset 1.07 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 16.97
Bid-YTW : 8.49 %
TRP.PR.E FixedReset 1.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-06-28
Maturity Price : 17.22
Evaluated at bid price : 17.22
Bid-YTW : 4.57 %
MFC.PR.I FixedReset 1.09 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.54
Bid-YTW : 7.06 %
BNS.PR.F FloatingReset 1.10 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.35
Bid-YTW : 7.86 %
CU.PR.D Perpetual-Discount 1.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-06-28
Maturity Price : 22.54
Evaluated at bid price : 22.87
Bid-YTW : 5.40 %
IFC.PR.C FixedReset 1.11 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 17.35
Bid-YTW : 8.32 %
BAM.PR.Z FixedReset 1.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-06-28
Maturity Price : 18.85
Evaluated at bid price : 18.85
Bid-YTW : 4.87 %
CM.PR.Q FixedReset 1.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-06-28
Maturity Price : 19.19
Evaluated at bid price : 19.19
Bid-YTW : 4.45 %
RY.PR.Z FixedReset 1.17 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-06-28
Maturity Price : 18.19
Evaluated at bid price : 18.19
Bid-YTW : 4.12 %
CU.PR.E Perpetual-Discount 1.19 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-06-28
Maturity Price : 22.60
Evaluated at bid price : 22.94
Bid-YTW : 5.38 %
GWO.PR.I Deemed-Retractible 1.23 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.46
Bid-YTW : 6.73 %
BMO.PR.T FixedReset 1.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-06-28
Maturity Price : 18.12
Evaluated at bid price : 18.12
Bid-YTW : 4.17 %
TD.PF.C FixedReset 1.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-06-28
Maturity Price : 18.05
Evaluated at bid price : 18.05
Bid-YTW : 4.23 %
BMO.PR.Y FixedReset 1.27 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-06-28
Maturity Price : 19.99
Evaluated at bid price : 19.99
Bid-YTW : 4.29 %
MFC.PR.C Deemed-Retractible 1.28 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.38
Bid-YTW : 6.81 %
CU.PR.G Perpetual-Discount 1.30 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-06-28
Maturity Price : 20.98
Evaluated at bid price : 20.98
Bid-YTW : 5.42 %
CU.PR.C FixedReset 1.33 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-06-28
Maturity Price : 16.78
Evaluated at bid price : 16.78
Bid-YTW : 4.54 %
MFC.PR.L FixedReset 1.33 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 17.54
Bid-YTW : 8.14 %
HSE.PR.E FixedReset 1.35 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-06-28
Maturity Price : 18.75
Evaluated at bid price : 18.75
Bid-YTW : 5.67 %
MFC.PR.B Deemed-Retractible 1.37 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.22
Bid-YTW : 6.41 %
FTS.PR.M FixedReset 1.40 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-06-28
Maturity Price : 18.86
Evaluated at bid price : 18.86
Bid-YTW : 4.34 %
CU.PR.F Perpetual-Discount 1.40 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-06-28
Maturity Price : 21.00
Evaluated at bid price : 21.00
Bid-YTW : 5.42 %
SLF.PR.G FixedReset 1.43 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 14.20
Bid-YTW : 9.68 %
BAM.PR.X FixedReset 1.44 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-06-28
Maturity Price : 13.42
Evaluated at bid price : 13.42
Bid-YTW : 4.64 %
TRP.PR.C FixedReset 1.47 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-06-28
Maturity Price : 11.68
Evaluated at bid price : 11.68
Bid-YTW : 4.60 %
RY.PR.M FixedReset 1.54 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-06-28
Maturity Price : 19.07
Evaluated at bid price : 19.07
Bid-YTW : 4.35 %
SLF.PR.I FixedReset 1.54 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 17.75
Bid-YTW : 8.18 %
BAM.PR.K Floater 1.60 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-06-28
Maturity Price : 10.14
Evaluated at bid price : 10.14
Bid-YTW : 4.67 %
SLF.PR.A Deemed-Retractible 1.66 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.62
Bid-YTW : 6.23 %
HSE.PR.C FixedReset 1.71 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-06-28
Maturity Price : 17.20
Evaluated at bid price : 17.20
Bid-YTW : 5.67 %
SLF.PR.E Deemed-Retractible 1.72 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.32
Bid-YTW : 6.83 %
TRP.PR.B FixedReset 1.81 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-06-28
Maturity Price : 11.25
Evaluated at bid price : 11.25
Bid-YTW : 4.27 %
SLF.PR.B Deemed-Retractible 1.83 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.82
Bid-YTW : 6.15 %
SLF.PR.D Deemed-Retractible 1.93 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.10
Bid-YTW : 6.92 %
HSE.PR.G FixedReset 2.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-06-28
Maturity Price : 18.84
Evaluated at bid price : 18.84
Bid-YTW : 5.62 %
SLF.PR.C Deemed-Retractible 2.08 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.14
Bid-YTW : 6.89 %
FTS.PR.J Perpetual-Discount 2.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-06-28
Maturity Price : 22.46
Evaluated at bid price : 22.77
Bid-YTW : 5.26 %
FTS.PR.F Perpetual-Discount 2.31 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-06-28
Maturity Price : 23.17
Evaluated at bid price : 23.47
Bid-YTW : 5.26 %
SLF.PR.H FixedReset 2.42 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 15.68
Bid-YTW : 9.13 %
VNR.PR.A FixedReset 3.56 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-06-28
Maturity Price : 18.02
Evaluated at bid price : 18.02
Bid-YTW : 4.89 %
PWF.PR.Q FloatingReset 4.35 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-06-28
Maturity Price : 12.00
Evaluated at bid price : 12.00
Bid-YTW : 4.37 %
Volume Highlights
Issue Index Shares
Traded		 Notes
BMO.PR.R FloatingReset 65,220 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.55
Bid-YTW : 4.97 %
IFC.PR.C FixedReset 37,129 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 17.35
Bid-YTW : 8.32 %
NA.PR.A FixedReset 36,935 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-08-15
Maturity Price : 25.00
Evaluated at bid price : 25.63
Bid-YTW : 4.92 %
RY.PR.Q FixedReset 25,986 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-05-24
Maturity Price : 25.00
Evaluated at bid price : 26.37
Bid-YTW : 4.39 %
BMO.PR.S FixedReset 25,633 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-06-28
Maturity Price : 18.27
Evaluated at bid price : 18.27
Bid-YTW : 4.24 %
SLF.PR.I FixedReset 23,137 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 17.75
Bid-YTW : 8.18 %
There were 25 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
HSE.PR.B FloatingReset Quote: 10.15 – 12.15
Spot Rate : 2.0000
Average : 1.3883

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-06-28
Maturity Price : 10.15
Evaluated at bid price : 10.15
Bid-YTW : 5.43 %
GWO.PR.O FloatingReset Quote: 12.55 – 13.57
Spot Rate : 1.0200
Average : 0.7117

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 12.55
Bid-YTW : 10.83 %
RY.PR.Q FixedReset Quote: 26.37 – 26.75
Spot Rate : 0.3800
Average : 0.2326

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-05-24
Maturity Price : 25.00
Evaluated at bid price : 26.37
Bid-YTW : 4.39 %
PWF.PR.T FixedReset Quote: 20.40 – 20.83
Spot Rate : 0.4300
Average : 0.3179

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-06-28
Maturity Price : 20.40
Evaluated at bid price : 20.40
Bid-YTW : 3.89 %
TRP.PR.D FixedReset Quote: 16.79 – 17.15
Spot Rate : 0.3600
Average : 0.2482

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-06-28
Maturity Price : 16.79
Evaluated at bid price : 16.79
Bid-YTW : 4.62 %
NA.PR.S FixedReset Quote: 17.53 – 17.94
Spot Rate : 0.4100
Average : 0.3103

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-06-28
Maturity Price : 17.53
Evaluated at bid price : 17.53
Bid-YTW : 4.55 %
Market Action

June 27, 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 -0.8937 % 1,623.9
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.8937 % 2,966.5
Floater 4.73 % 4.74 % 62,111 15.97 3 -0.8937 % 1,709.6
OpRet 4.87 % 1.35 % 38,638 0.08 1 -0.1191 % 2,832.4
SplitShare 4.89 % 4.99 % 86,188 4.63 7 -0.0409 % 3,334.6
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.0409 % 2,601.8
Perpetual-Premium 5.60 % -10.42 % 78,114 0.09 9 0.0478 % 2,634.5
Perpetual-Discount 5.39 % 5.45 % 103,803 14.68 28 -0.0936 % 2,726.0
FixedReset 5.24 % 4.61 % 154,680 7.32 88 -0.7897 % 1,942.6
Deemed-Retractible 5.16 % 5.40 % 122,550 4.91 33 -0.3079 % 2,682.1
FloatingReset 3.13 % 5.09 % 28,067 5.18 18 -0.2027 % 2,090.3
Performance Highlights
Issue Index Change Notes
HSE.PR.B FloatingReset -4.69 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-06-27
Maturity Price : 10.15
Evaluated at bid price : 10.15
Bid-YTW : 5.43 %
TRP.PR.C FixedReset -2.92 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-06-27
Maturity Price : 11.65
Evaluated at bid price : 11.65
Bid-YTW : 4.68 %
HSE.PR.E FixedReset -2.89 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-06-27
Maturity Price : 18.50
Evaluated at bid price : 18.50
Bid-YTW : 5.75 %
SLF.PR.H FixedReset -2.67 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 15.31
Bid-YTW : 9.46 %
HSE.PR.G FixedReset -2.53 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-06-27
Maturity Price : 18.47
Evaluated at bid price : 18.47
Bid-YTW : 5.74 %
SLF.PR.G FixedReset -2.51 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 14.00
Bid-YTW : 9.88 %
MFC.PR.L FixedReset -2.42 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 17.31
Bid-YTW : 8.33 %
MFC.PR.K FixedReset -2.38 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 16.79
Bid-YTW : 8.64 %
SLF.PR.I FixedReset -2.35 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 17.48
Bid-YTW : 8.39 %
MFC.PR.N FixedReset -2.23 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.00
Bid-YTW : 7.93 %
MFC.PR.M FixedReset -2.22 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.10
Bid-YTW : 7.91 %
TRP.PR.B FixedReset -2.21 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-06-27
Maturity Price : 11.05
Evaluated at bid price : 11.05
Bid-YTW : 4.35 %
MFC.PR.G FixedReset -2.17 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.49
Bid-YTW : 7.77 %
FTS.PR.G FixedReset -2.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-06-27
Maturity Price : 16.94
Evaluated at bid price : 16.94
Bid-YTW : 4.22 %
FTS.PR.M FixedReset -2.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-06-27
Maturity Price : 18.60
Evaluated at bid price : 18.60
Bid-YTW : 4.40 %
HSE.PR.A FixedReset -2.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-06-27
Maturity Price : 11.02
Evaluated at bid price : 11.02
Bid-YTW : 5.32 %
NA.PR.S FixedReset -2.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-06-27
Maturity Price : 17.43
Evaluated at bid price : 17.43
Bid-YTW : 4.58 %
FTS.PR.J Perpetual-Discount -2.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-06-27
Maturity Price : 21.93
Evaluated at bid price : 22.29
Bid-YTW : 5.37 %
TRP.PR.F FloatingReset -1.89 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-06-27
Maturity Price : 12.95
Evaluated at bid price : 12.95
Bid-YTW : 4.62 %
MFC.PR.F FixedReset -1.82 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 13.46
Bid-YTW : 10.40 %
MFC.PR.J FixedReset -1.82 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.37
Bid-YTW : 7.69 %
FTS.PR.K FixedReset -1.78 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-06-27
Maturity Price : 17.09
Evaluated at bid price : 17.09
Bid-YTW : 4.15 %
MFC.PR.I FixedReset -1.78 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.33
Bid-YTW : 7.21 %
FTS.PR.F Perpetual-Discount -1.76 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-06-27
Maturity Price : 22.70
Evaluated at bid price : 22.94
Bid-YTW : 5.39 %
CM.PR.O FixedReset -1.75 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-06-27
Maturity Price : 18.00
Evaluated at bid price : 18.00
Bid-YTW : 4.25 %
HSE.PR.C FixedReset -1.74 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-06-27
Maturity Price : 16.91
Evaluated at bid price : 16.91
Bid-YTW : 5.77 %
SLF.PR.B Deemed-Retractible -1.71 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.41
Bid-YTW : 6.42 %
CM.PR.Q FixedReset -1.71 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-06-27
Maturity Price : 18.97
Evaluated at bid price : 18.97
Bid-YTW : 4.50 %
CU.PR.C FixedReset -1.66 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-06-27
Maturity Price : 16.56
Evaluated at bid price : 16.56
Bid-YTW : 4.60 %
SLF.PR.C Deemed-Retractible -1.62 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.71
Bid-YTW : 7.19 %
SLF.PR.A Deemed-Retractible -1.59 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.25
Bid-YTW : 6.47 %
IAG.PR.G FixedReset -1.52 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.10
Bid-YTW : 8.07 %
SLF.PR.D Deemed-Retractible -1.52 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.70
Bid-YTW : 7.20 %
CM.PR.P FixedReset -1.45 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-06-27
Maturity Price : 17.65
Evaluated at bid price : 17.65
Bid-YTW : 4.24 %
BMO.PR.S FixedReset -1.41 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-06-27
Maturity Price : 18.18
Evaluated at bid price : 18.18
Bid-YTW : 4.27 %
IFC.PR.C FixedReset -1.38 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 17.16
Bid-YTW : 8.48 %
SLF.PR.E Deemed-Retractible -1.36 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.96
Bid-YTW : 7.07 %
IFC.PR.A FixedReset -1.36 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 14.50
Bid-YTW : 10.27 %
GWO.PR.I Deemed-Retractible -1.17 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.20
Bid-YTW : 6.91 %
BMO.PR.T FixedReset -1.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-06-27
Maturity Price : 17.90
Evaluated at bid price : 17.90
Bid-YTW : 4.22 %
BMO.PR.W FixedReset -1.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-06-27
Maturity Price : 17.82
Evaluated at bid price : 17.82
Bid-YTW : 4.21 %
TD.PF.B FixedReset -1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-06-27
Maturity Price : 18.00
Evaluated at bid price : 18.00
Bid-YTW : 4.25 %
BAM.PR.T FixedReset -1.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-06-27
Maturity Price : 14.82
Evaluated at bid price : 14.82
Bid-YTW : 5.03 %
SLF.PR.J FloatingReset 1.92 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 12.75
Bid-YTW : 10.77 %
Volume Highlights
Issue Index Shares
Traded		 Notes
RY.PR.Q FixedReset 120,856 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-05-24
Maturity Price : 25.00
Evaluated at bid price : 26.31
Bid-YTW : 4.44 %
BNS.PR.M Deemed-Retractible 115,308 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2016-07-27
Maturity Price : 25.00
Evaluated at bid price : 25.25
Bid-YTW : 0.87 %
TRP.PR.J FixedReset 105,100 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-05-31
Maturity Price : 25.00
Evaluated at bid price : 25.88
Bid-YTW : 4.81 %
NA.PR.A FixedReset 65,236 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-08-15
Maturity Price : 25.00
Evaluated at bid price : 25.63
Bid-YTW : 4.92 %
CCS.PR.C Deemed-Retractible 25,610 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.11
Bid-YTW : 6.18 %
MFC.PR.G FixedReset 18,960 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.49
Bid-YTW : 7.77 %
There were 16 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
FTS.PR.I FloatingReset Quote: 11.90 – 12.89
Spot Rate : 0.9900
Average : 0.8204

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-06-27
Maturity Price : 11.90
Evaluated at bid price : 11.90
Bid-YTW : 4.07 %
TRP.PR.F FloatingReset Quote: 12.95 – 13.50
Spot Rate : 0.5500
Average : 0.4205

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-06-27
Maturity Price : 12.95
Evaluated at bid price : 12.95
Bid-YTW : 4.62 %
PWF.PR.Q FloatingReset Quote: 11.50 – 13.00
Spot Rate : 1.5000
Average : 1.3751

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-06-27
Maturity Price : 11.50
Evaluated at bid price : 11.50
Bid-YTW : 4.56 %
IAG.PR.G FixedReset Quote: 18.10 – 18.38
Spot Rate : 0.2800
Average : 0.1774

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.10
Bid-YTW : 8.07 %
PVS.PR.D SplitShare Quote: 23.58 – 23.98
Spot Rate : 0.4000
Average : 0.3063

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2021-10-08
Maturity Price : 25.00
Evaluated at bid price : 23.58
Bid-YTW : 5.85 %
IFC.PR.A FixedReset Quote: 14.50 – 14.80
Spot Rate : 0.3000
Average : 0.2064

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 14.50
Bid-YTW : 10.27 %
Market Action

June 24, 2016

So it seems that Brexit was basically a fizzle as far as the Canadian preferred share market was concerned. It was a bad day, certainly, with TXPR down 0.84% on the day – but that doesn’t even make the list of ten worst days this year!

HIMIPref™ Preferred Indices
These values reflect the December 2008 revision of the HIMIPref™ Indices
Values are provisional and are finalized monthly
Index Mean
Current
Yield
(at bid)		 Median
YTW		 Median
Average
Trading
Value		 Median
Mod Dur
(YTW)		 Issues Day’s Perf. Index Value
Ratchet 0.00 % 0.00 % 0 0.00 0 -1.1453 % 1,638.5
FixedFloater 0.00 % 0.00 % 0 0.00 0 -1.1453 % 2,993.2
Floater 4.69 % 4.70 % 62,328 16.05 3 -1.1453 % 1,725.0
OpRet 4.86 % -0.59 % 38,301 0.08 1 0.1192 % 2,835.8
SplitShare 4.88 % 4.94 % 86,819 4.64 7 -0.1201 % 3,336.0
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.1201 % 2,602.9
Perpetual-Premium 5.61 % -10.95 % 77,633 0.09 9 -0.1389 % 2,633.2
Perpetual-Discount 5.38 % 5.43 % 104,574 14.73 28 -0.4431 % 2,728.6
FixedReset 5.20 % 4.68 % 159,828 7.34 88 -0.9771 % 1,958.1
Deemed-Retractible 5.14 % 5.39 % 121,546 4.91 33 -0.4528 % 2,690.4
FloatingReset 3.15 % 5.15 % 29,187 5.19 18 -0.7178 % 2,094.5
Performance Highlights
Issue Index Change Notes
PWF.PR.Q FloatingReset -6.50 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-06-24
Maturity Price : 11.50
Evaluated at bid price : 11.50
Bid-YTW : 4.60 %
VNR.PR.A FixedReset -3.87 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-06-24
Maturity Price : 17.40
Evaluated at bid price : 17.40
Bid-YTW : 5.17 %
SLF.PR.I FixedReset -3.61 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 17.90
Bid-YTW : 8.13 %
TRP.PR.B FixedReset -3.42 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-06-24
Maturity Price : 11.30
Evaluated at bid price : 11.30
Bid-YTW : 4.39 %
HSE.PR.A FixedReset -3.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-06-24
Maturity Price : 11.25
Evaluated at bid price : 11.25
Bid-YTW : 5.33 %
TRP.PR.C FixedReset -2.99 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-06-24
Maturity Price : 12.00
Evaluated at bid price : 12.00
Bid-YTW : 4.67 %
TRP.PR.H FloatingReset -2.86 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-06-24
Maturity Price : 9.85
Evaluated at bid price : 9.85
Bid-YTW : 4.50 %
IAG.PR.G FixedReset -2.75 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.38
Bid-YTW : 7.93 %
SLF.PR.H FixedReset -2.72 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 15.73
Bid-YTW : 9.18 %
TD.PF.E FixedReset -2.56 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-06-24
Maturity Price : 20.16
Evaluated at bid price : 20.16
Bid-YTW : 4.49 %
RY.PR.M FixedReset -2.53 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-06-24
Maturity Price : 18.90
Evaluated at bid price : 18.90
Bid-YTW : 4.47 %
TRP.PR.A FixedReset -2.47 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-06-24
Maturity Price : 14.20
Evaluated at bid price : 14.20
Bid-YTW : 4.80 %
RY.PR.J FixedReset -2.40 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-06-24
Maturity Price : 19.15
Evaluated at bid price : 19.15
Bid-YTW : 4.53 %
CU.PR.C FixedReset -2.38 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-06-24
Maturity Price : 16.84
Evaluated at bid price : 16.84
Bid-YTW : 4.64 %
FTS.PR.I FloatingReset -2.30 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-06-24
Maturity Price : 11.92
Evaluated at bid price : 11.92
Bid-YTW : 4.10 %
TRP.PR.G FixedReset -2.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-06-24
Maturity Price : 18.06
Evaluated at bid price : 18.06
Bid-YTW : 5.12 %
BAM.PF.E FixedReset -2.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-06-24
Maturity Price : 18.24
Evaluated at bid price : 18.24
Bid-YTW : 4.77 %
PWF.PR.T FixedReset -2.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-06-24
Maturity Price : 20.43
Evaluated at bid price : 20.43
Bid-YTW : 3.97 %
HSE.PR.C FixedReset -1.99 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-06-24
Maturity Price : 17.21
Evaluated at bid price : 17.21
Bid-YTW : 5.76 %
BAM.PR.X FixedReset -1.92 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-06-24
Maturity Price : 13.31
Evaluated at bid price : 13.31
Bid-YTW : 4.83 %
CM.PR.Q FixedReset -1.88 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-06-24
Maturity Price : 19.30
Evaluated at bid price : 19.30
Bid-YTW : 4.50 %
PWF.PR.P FixedReset -1.87 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-06-24
Maturity Price : 13.10
Evaluated at bid price : 13.10
Bid-YTW : 4.38 %
TRP.PR.F FloatingReset -1.86 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-06-24
Maturity Price : 13.20
Evaluated at bid price : 13.20
Bid-YTW : 4.57 %
TRP.PR.E FixedReset -1.86 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-06-24
Maturity Price : 17.44
Evaluated at bid price : 17.44
Bid-YTW : 4.71 %
TRP.PR.D FixedReset -1.77 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-06-24
Maturity Price : 17.23
Evaluated at bid price : 17.23
Bid-YTW : 4.69 %
BAM.PR.N Perpetual-Discount -1.76 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-06-24
Maturity Price : 20.67
Evaluated at bid price : 20.67
Bid-YTW : 5.78 %
BAM.PR.M Perpetual-Discount -1.76 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-06-24
Maturity Price : 20.67
Evaluated at bid price : 20.67
Bid-YTW : 5.78 %
BAM.PF.C Perpetual-Discount -1.68 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-06-24
Maturity Price : 21.13
Evaluated at bid price : 21.13
Bid-YTW : 5.77 %
BAM.PF.D Perpetual-Discount -1.66 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-06-24
Maturity Price : 21.39
Evaluated at bid price : 21.39
Bid-YTW : 5.76 %
SLF.PR.G FixedReset -1.64 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 14.36
Bid-YTW : 9.56 %
RY.PR.Z FixedReset -1.63 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-06-24
Maturity Price : 18.10
Evaluated at bid price : 18.10
Bid-YTW : 4.23 %
BAM.PF.B FixedReset -1.63 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-06-24
Maturity Price : 17.50
Evaluated at bid price : 17.50
Bid-YTW : 4.93 %
BAM.PF.F FixedReset -1.58 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-06-24
Maturity Price : 19.31
Evaluated at bid price : 19.31
Bid-YTW : 4.80 %
SLF.PR.J FloatingReset -1.57 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 12.51
Bid-YTW : 11.05 %
NA.PR.W FixedReset -1.55 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-06-24
Maturity Price : 17.11
Evaluated at bid price : 17.11
Bid-YTW : 4.58 %
RY.PR.H FixedReset -1.52 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-06-24
Maturity Price : 18.11
Evaluated at bid price : 18.11
Bid-YTW : 4.29 %
TD.PF.D FixedReset -1.46 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-06-24
Maturity Price : 19.52
Evaluated at bid price : 19.52
Bid-YTW : 4.52 %
TD.PF.A FixedReset -1.46 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-06-24
Maturity Price : 18.27
Evaluated at bid price : 18.27
Bid-YTW : 4.28 %
BAM.PR.C Floater -1.38 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-06-24
Maturity Price : 10.01
Evaluated at bid price : 10.01
Bid-YTW : 4.73 %
BAM.PR.K Floater -1.37 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-06-24
Maturity Price : 10.06
Evaluated at bid price : 10.06
Bid-YTW : 4.70 %
HSE.PR.G FixedReset -1.35 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-06-24
Maturity Price : 18.95
Evaluated at bid price : 18.95
Bid-YTW : 5.67 %
SLF.PR.E Deemed-Retractible -1.35 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.25
Bid-YTW : 6.86 %
BAM.PR.Z FixedReset -1.32 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-06-24
Maturity Price : 18.67
Evaluated at bid price : 18.67
Bid-YTW : 5.01 %
SLF.PR.B Deemed-Retractible -1.30 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.80
Bid-YTW : 6.16 %
IFC.PR.A FixedReset -1.28 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 14.70
Bid-YTW : 10.14 %
BMO.PR.W FixedReset -1.26 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-06-24
Maturity Price : 18.02
Evaluated at bid price : 18.02
Bid-YTW : 4.26 %
BAM.PF.G FixedReset -1.26 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-06-24
Maturity Price : 19.60
Evaluated at bid price : 19.60
Bid-YTW : 4.75 %
BAM.PR.T FixedReset -1.25 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-06-24
Maturity Price : 14.97
Evaluated at bid price : 14.97
Bid-YTW : 5.10 %
BMO.PR.Y FixedReset -1.24 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-06-24
Maturity Price : 19.90
Evaluated at bid price : 19.90
Bid-YTW : 4.39 %
FTS.PR.H FixedReset -1.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-06-24
Maturity Price : 13.74
Evaluated at bid price : 13.74
Bid-YTW : 4.00 %
MFC.PR.K FixedReset -1.21 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 17.20
Bid-YTW : 8.35 %
MFC.PR.I FixedReset -1.20 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.68
Bid-YTW : 7.03 %
BIP.PR.A FixedReset -1.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-06-24
Maturity Price : 18.92
Evaluated at bid price : 18.92
Bid-YTW : 5.69 %
BNS.PR.F FloatingReset -1.20 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.15
Bid-YTW : 8.09 %
CM.PR.P FixedReset -1.17 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-06-24
Maturity Price : 17.91
Evaluated at bid price : 17.91
Bid-YTW : 4.27 %
SLF.PR.C Deemed-Retractible -1.17 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.05
Bid-YTW : 6.95 %
MFC.PR.J FixedReset -1.16 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.71
Bid-YTW : 7.49 %
MFC.PR.B Deemed-Retractible -1.12 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.10
Bid-YTW : 6.48 %
TD.PF.C FixedReset -1.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-06-24
Maturity Price : 18.01
Evaluated at bid price : 18.01
Bid-YTW : 4.33 %
SLF.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 : 22.61
Bid-YTW : 6.23 %
BMO.PR.T FixedReset -1.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-06-24
Maturity Price : 18.11
Evaluated at bid price : 18.11
Bid-YTW : 4.26 %
TD.PF.B FixedReset -1.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-06-24
Maturity Price : 18.19
Evaluated at bid price : 18.19
Bid-YTW : 4.29 %
SLF.PR.D Deemed-Retractible -1.08 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.02
Bid-YTW : 6.97 %
CU.PR.E Perpetual-Discount -1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-06-24
Maturity Price : 22.47
Evaluated at bid price : 22.79
Bid-YTW : 5.41 %
BMO.PR.S FixedReset -1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-06-24
Maturity Price : 18.44
Evaluated at bid price : 18.44
Bid-YTW : 4.30 %
Volume Highlights
Issue Index Shares
Traded		 Notes
NA.PR.A FixedReset 134,570 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-08-15
Maturity Price : 25.00
Evaluated at bid price : 25.66
Bid-YTW : 4.88 %
TD.PF.G FixedReset 94,565 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-04-30
Maturity Price : 25.00
Evaluated at bid price : 26.35
Bid-YTW : 4.47 %
TRP.PR.J FixedReset 71,029 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-05-31
Maturity Price : 25.00
Evaluated at bid price : 25.87
Bid-YTW : 4.81 %
IFC.PR.C FixedReset 61,511 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 17.40
Bid-YTW : 8.37 %
RY.PR.Q FixedReset 48,627 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-05-24
Maturity Price : 25.00
Evaluated at bid price : 26.32
Bid-YTW : 4.42 %
FTS.PR.M FixedReset 41,932 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-06-24
Maturity Price : 19.00
Evaluated at bid price : 19.00
Bid-YTW : 4.39 %
There were 39 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
PWF.PR.Q FloatingReset Quote: 11.50 – 13.25
Spot Rate : 1.7500
Average : 1.2381

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-06-24
Maturity Price : 11.50
Evaluated at bid price : 11.50
Bid-YTW : 4.60 %
FTS.PR.I FloatingReset Quote: 11.92 – 12.89
Spot Rate : 0.9700
Average : 0.6344

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-06-24
Maturity Price : 11.92
Evaluated at bid price : 11.92
Bid-YTW : 4.10 %
GWO.PR.L Deemed-Retractible Quote: 25.39 – 25.97
Spot Rate : 0.5800
Average : 0.3452

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2017-12-31
Maturity Price : 25.25
Evaluated at bid price : 25.39
Bid-YTW : 5.18 %
SLF.PR.J FloatingReset Quote: 12.51 – 13.24
Spot Rate : 0.7300
Average : 0.5085

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 12.51
Bid-YTW : 11.05 %
CU.PR.C FixedReset Quote: 16.84 – 17.33
Spot Rate : 0.4900
Average : 0.3643

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-06-24
Maturity Price : 16.84
Evaluated at bid price : 16.84
Bid-YTW : 4.64 %
MFC.PR.K FixedReset Quote: 17.20 – 17.50
Spot Rate : 0.3000
Average : 0.1974

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 17.20
Bid-YTW : 8.35 %
Market Action

June 23, 2016

Well, holy smokes:

With more than half the results counted, Britons appear to be choosing to withdraw from the European Union.

Several polls published at the end of a bitter campaign suggested the Remain forces would win and leaders of the Leave campaign initially said there were many signs they had lost.

But with more than 200 of the 382 voting areas reporting, Leave was increasing its lead over Remain — 51.5 per cent to 48.5 per cent. The margin between the two sides was about 500,000 votes at that point.
…
The pound first soared in Asian markets as the polls were announced, then collapsed when Leave took an early lead. The loss of more than 5 per cent was even larger than during the global financial crisis.

So it’s an interesting night:

Global markets buckled, with stocks plunging from Tokyo to London and Chicago, after early results from Britain’s referendum on membership of the European Union put the “Leave” campaign ahead. The pound fell the most on record, while haven assets jumped.

Sterling tumbled as much as 8.3 percent, the euro retreated from a six-week high and the yen surged. South Africa’s rand led losses among the currencies of commodity-exporting nations, sliding more than 5 percent as oil sank toward $48 a barrel and industrial metals slumped. Gold soared with U.S. Treasuries as investors piled into haven assets. Futures on the FTSE 100 Index plunged with S&P 500 Index contracts as benchmark stock gauges slid across Asia.

and:

The pound is making history as the chances of a Brexit grow.

The U.K. currency is headed for its biggest drop on record as results from Britain’s European Union referendum showed a stronger-than-expected vote for the “Leave” campaign. Volatility accelerated as the results from the referendum filtered through, with sterling trading in a range of more than 13 U.S. cents as an index of betting odds compiled by Oddschecker put the vote to exit the EU at 88 percent, from 23 percent on Thursday.

The 7.8 percent plunge on Friday compares with the 4.1 percent drop on 1992’s Black Wednesday, when the pound was forced out of Europe’s exchange-rate mechanism — the previous worst daily drop on record. The pound’s biggest-ever intraday decline has already been surpassed – a 5.9 percent decline on Oct. 24, 2008 — when stock markets crashed around the world during the Great Financial Crisis.

To date, the most interesting day of my career was fairly early on; September 16, 1992 – when the UK was forced out of the European Exchange Rate Mechanism.

There’s a pretty good chance that tomorrow will be the second most interesting day of my career!

But who knows? Maybe even these shattering events will be Trumped in November!

All this is happening when liquidity in the Canadian preferred share market is getting a little spotty … look at the quotes today, f’rinstance, on AIM.PR.B (10.06-21.50):

AIMPRB_quote_160623
Click for Big

and HSE.PR.B (10.65-22.00)

HSBPRB_quote_160623
Click for Big

HSE.PR.B was also featured on May 31. I have not checked whether this lamentable state of affairs is due to inadequate Toronto Stock Exchange reporting or inadequate Toronto Stock Exchange supervision of market-makers.

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 0.8914 % 1,657.5
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.8914 % 3,027.9
Floater 4.64 % 4.64 % 63,157 16.17 3 0.8914 % 1,745.0
OpRet 4.87 % 0.70 % 37,896 0.08 1 0.0000 % 2,832.4
SplitShare 4.88 % 4.88 % 87,818 4.64 7 -0.0230 % 3,340.0
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.0230 % 2,606.0
Perpetual-Premium 5.60 % -10.68 % 77,645 0.09 9 0.2480 % 2,636.9
Perpetual-Discount 5.36 % 5.42 % 103,743 14.76 28 0.2650 % 2,740.7
FixedReset 5.15 % 4.62 % 157,335 7.22 88 0.7379 % 1,977.4
Deemed-Retractible 5.12 % 5.26 % 122,034 4.92 33 0.3150 % 2,702.6
FloatingReset 3.13 % 5.13 % 30,405 5.20 18 0.7979 % 2,109.6
Performance Highlights
Issue Index Change Notes
NA.PR.Q FixedReset -1.01 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.46
Bid-YTW : 4.63 %
TD.PF.D FixedReset 1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-06-23
Maturity Price : 19.81
Evaluated at bid price : 19.81
Bid-YTW : 4.45 %
IAG.PR.G FixedReset 1.07 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.90
Bid-YTW : 7.52 %
NA.PR.S FixedReset 1.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-06-23
Maturity Price : 17.92
Evaluated at bid price : 17.92
Bid-YTW : 4.54 %
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 : 18.57
Bid-YTW : 7.60 %
BMO.PR.K Deemed-Retractible 1.14 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2016-07-23
Maturity Price : 25.25
Evaluated at bid price : 25.64
Bid-YTW : -8.30 %
BMO.PR.Y FixedReset 1.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-06-23
Maturity Price : 20.15
Evaluated at bid price : 20.15
Bid-YTW : 4.33 %
RY.PR.I FixedReset 1.18 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.12
Bid-YTW : 4.66 %
TD.PF.E FixedReset 1.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-06-23
Maturity Price : 20.69
Evaluated at bid price : 20.69
Bid-YTW : 4.37 %
BAM.PF.G FixedReset 1.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-06-23
Maturity Price : 19.85
Evaluated at bid price : 19.85
Bid-YTW : 4.69 %
IFC.PR.A FixedReset 1.29 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 14.89
Bid-YTW : 9.95 %
CM.PR.O FixedReset 1.30 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-06-23
Maturity Price : 18.70
Evaluated at bid price : 18.70
Bid-YTW : 4.26 %
HSE.PR.A FixedReset 1.31 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-06-23
Maturity Price : 11.60
Evaluated at bid price : 11.60
Bid-YTW : 5.17 %
BAM.PF.F FixedReset 1.34 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-06-23
Maturity Price : 19.62
Evaluated at bid price : 19.62
Bid-YTW : 4.72 %
TRP.PR.F FloatingReset 1.36 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-06-23
Maturity Price : 13.45
Evaluated at bid price : 13.45
Bid-YTW : 4.48 %
TRP.PR.C FixedReset 1.39 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-06-23
Maturity Price : 12.37
Evaluated at bid price : 12.37
Bid-YTW : 4.53 %
MFC.PR.M FixedReset 1.42 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.58
Bid-YTW : 7.58 %
MFC.PR.N FixedReset 1.42 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.54
Bid-YTW : 7.54 %
IFC.PR.C FixedReset 1.45 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 17.51
Bid-YTW : 8.27 %
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 : 14.00
Bid-YTW : 9.79 %
RY.PR.M FixedReset 1.47 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-06-23
Maturity Price : 19.39
Evaluated at bid price : 19.39
Bid-YTW : 4.36 %
BAM.PR.Z FixedReset 1.50 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-06-23
Maturity Price : 18.92
Evaluated at bid price : 18.92
Bid-YTW : 4.94 %
CM.PR.P FixedReset 1.55 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-06-23
Maturity Price : 18.36
Evaluated at bid price : 18.36
Bid-YTW : 4.24 %
TRP.PR.D FixedReset 1.56 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-06-23
Maturity Price : 17.54
Evaluated at bid price : 17.54
Bid-YTW : 4.61 %
BAM.PF.E FixedReset 1.63 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-06-23
Maturity Price : 18.65
Evaluated at bid price : 18.65
Bid-YTW : 4.66 %
PWF.PR.T FixedReset 1.66 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-06-23
Maturity Price : 20.85
Evaluated at bid price : 20.85
Bid-YTW : 3.88 %
FTS.PR.I FloatingReset 1.67 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-06-23
Maturity Price : 12.20
Evaluated at bid price : 12.20
Bid-YTW : 4.00 %
MFC.PR.F FixedReset 1.70 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 13.78
Bid-YTW : 10.09 %
SLF.PR.H FixedReset 1.70 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 16.17
Bid-YTW : 8.78 %
BAM.PF.A FixedReset 1.71 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-06-23
Maturity Price : 19.07
Evaluated at bid price : 19.07
Bid-YTW : 4.83 %
BNS.PR.F FloatingReset 1.72 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.37
Bid-YTW : 7.84 %
BAM.PF.B FixedReset 1.83 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-06-23
Maturity Price : 17.79
Evaluated at bid price : 17.79
Bid-YTW : 4.85 %
TRP.PR.H FloatingReset 1.91 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-06-23
Maturity Price : 10.14
Evaluated at bid price : 10.14
Bid-YTW : 4.37 %
RY.PR.J FixedReset 1.98 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-06-23
Maturity Price : 19.62
Evaluated at bid price : 19.62
Bid-YTW : 4.42 %
BMO.PR.Q FixedReset 2.10 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.91
Bid-YTW : 6.26 %
CU.PR.C FixedReset 2.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-06-23
Maturity Price : 17.25
Evaluated at bid price : 17.25
Bid-YTW : 4.52 %
PWF.PR.P FixedReset 2.30 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-06-23
Maturity Price : 13.35
Evaluated at bid price : 13.35
Bid-YTW : 4.30 %
TRP.PR.B FixedReset 2.54 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-06-23
Maturity Price : 11.70
Evaluated at bid price : 11.70
Bid-YTW : 4.24 %
SLF.PR.G FixedReset 2.96 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 14.60
Bid-YTW : 9.33 %
MFC.PR.P FloatingReset 8.70 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 12.50
Bid-YTW : 11.09 %
Volume Highlights
Issue Index Shares
Traded		 Notes
PWF.PR.R Perpetual-Discount 105,227 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-06-23
Maturity Price : 24.64
Evaluated at bid price : 25.12
Bid-YTW : 5.54 %
RY.PR.K FloatingReset 84,900 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.75
Bid-YTW : 5.10 %
BAM.PR.M Perpetual-Discount 55,700 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-06-23
Maturity Price : 21.04
Evaluated at bid price : 21.04
Bid-YTW : 5.68 %
TRP.PR.D FixedReset 40,954 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-06-23
Maturity Price : 17.54
Evaluated at bid price : 17.54
Bid-YTW : 4.61 %
EML.PR.A FixedReset 39,527 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-04-17
Maturity Price : 25.00
Evaluated at bid price : 25.62
Bid-YTW : 5.45 %
FTS.PR.G FixedReset 33,150 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-06-23
Maturity Price : 17.15
Evaluated at bid price : 17.15
Bid-YTW : 4.27 %
There were 46 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
HSE.PR.B FloatingReset Quote: 10.65 – 12.65
Spot Rate : 2.0000
Average : 1.3525

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-06-23
Maturity Price : 10.65
Evaluated at bid price : 10.65
Bid-YTW : 5.22 %
RY.PR.K FloatingReset Quote: 21.75 – 22.36
Spot Rate : 0.6100
Average : 0.4270

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.75
Bid-YTW : 5.10 %
FTS.PR.M FixedReset Quote: 18.90 – 19.37
Spot Rate : 0.4700
Average : 0.3215

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-06-23
Maturity Price : 18.90
Evaluated at bid price : 18.90
Bid-YTW : 4.41 %
TRP.PR.G FixedReset Quote: 18.47 – 18.82
Spot Rate : 0.3500
Average : 0.2292

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-06-23
Maturity Price : 18.47
Evaluated at bid price : 18.47
Bid-YTW : 5.00 %
NA.PR.Q FixedReset Quote: 23.46 – 23.94
Spot Rate : 0.4800
Average : 0.3627

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.46
Bid-YTW : 4.63 %
TRP.PR.E FixedReset Quote: 17.77 – 18.08
Spot Rate : 0.3100
Average : 0.1958

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-06-23
Maturity Price : 17.77
Evaluated at bid price : 17.77
Bid-YTW : 4.62 %
Market Action

June 22, 2016

Canada Post is looking at drones:

The post office is quietly exploring the possibility of small, unmanned aerial vehicles one day helping get the mail to where it needs to go, said Jon Hamilton, a Canada Post spokesman.
…
Canada Post declined to release documents through the Access to Information Act about its interest in drones, citing sensitivities such as trade secrets and financial, commercial, scientific or technical data.

But Mr. Hamilton insists there are no drone prototypes in the post office laboratory – at least not yet.

He characterized the effort as a “paper exercise” at the very early exploratory stages, aimed at “examining what’s out there today.”

I wonder, I wonder … I wonder if current technology would allow for a cheap dumb mechanical system to be added to community mailboxes – so a drone could deliver the mail to a hopper on a community mailbox and a sorter would put the individual letters in their proper boxes …

PerpetualDiscounts now yield 5.43%, equivalent to 7.06% interest at the standard equivalency factor of 1.3x. Long corporates now yield about 3.95%, so the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) is now about 310bp, a significant narrowing from the 320bp reported June 15.

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 0.1322 % 1,642.8
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.1322 % 3,001.1
Floater 4.68 % 4.68 % 61,088 16.09 3 0.1322 % 1,729.6
OpRet 4.87 % 0.54 % 38,088 0.08 1 0.0398 % 2,832.4
SplitShare 4.88 % 5.13 % 86,291 4.65 7 0.1842 % 3,340.8
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.1842 % 2,606.6
Perpetual-Premium 5.61 % -10.41 % 78,638 0.09 9 0.1482 % 2,630.4
Perpetual-Discount 5.37 % 5.43 % 103,277 14.75 28 0.1565 % 2,733.5
FixedReset 5.19 % 4.62 % 157,319 7.21 88 0.2027 % 1,962.9
Deemed-Retractible 5.14 % 5.28 % 124,017 4.92 33 -0.2008 % 2,694.1
FloatingReset 3.15 % 5.17 % 28,159 5.19 18 0.1049 % 2,092.9
Performance Highlights
Issue Index Change Notes
BNS.PR.F FloatingReset -2.64 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.06
Bid-YTW : 8.18 %
CCS.PR.C Deemed-Retractible -1.72 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.91
Bid-YTW : 6.29 %
TRP.PR.H FloatingReset -1.49 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-06-22
Maturity Price : 9.95
Evaluated at bid price : 9.95
Bid-YTW : 4.45 %
PWF.PR.Q FloatingReset -1.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-06-22
Maturity Price : 12.35
Evaluated at bid price : 12.35
Bid-YTW : 4.28 %
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 : 17.63
Bid-YTW : 8.11 %
BAM.PF.C Perpetual-Discount 1.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-06-22
Maturity Price : 21.35
Evaluated at bid price : 21.35
Bid-YTW : 5.71 %
FTS.PR.K FixedReset 1.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-06-22
Maturity Price : 17.30
Evaluated at bid price : 17.30
Bid-YTW : 4.20 %
TRP.PR.D FixedReset 1.17 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-06-22
Maturity Price : 17.27
Evaluated at bid price : 17.27
Bid-YTW : 4.68 %
BAM.PR.T FixedReset 1.21 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-06-22
Maturity Price : 15.10
Evaluated at bid price : 15.10
Bid-YTW : 5.05 %
FTS.PR.G FixedReset 1.49 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-06-22
Maturity Price : 17.03
Evaluated at bid price : 17.03
Bid-YTW : 4.30 %
BAM.PR.R FixedReset 1.51 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-06-22
Maturity Price : 14.75
Evaluated at bid price : 14.75
Bid-YTW : 5.04 %
TRP.PR.B FixedReset 1.69 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-06-22
Maturity Price : 11.41
Evaluated at bid price : 11.41
Bid-YTW : 4.35 %
FTS.PR.I FloatingReset 2.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-06-22
Maturity Price : 12.00
Evaluated at bid price : 12.00
Bid-YTW : 4.07 %
TRP.PR.C FixedReset 2.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-06-22
Maturity Price : 12.20
Evaluated at bid price : 12.20
Bid-YTW : 4.59 %
GWO.PR.O FloatingReset 3.13 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 13.20
Bid-YTW : 10.14 %
MFC.PR.P FloatingReset 3.60 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 11.50
Bid-YTW : 12.25 %
Volume Highlights
Issue Index Shares
Traded		 Notes
NA.PR.A FixedReset 139,496 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-08-15
Maturity Price : 25.00
Evaluated at bid price : 25.61
Bid-YTW : 4.92 %
PWF.PR.R Perpetual-Discount 115,300 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-06-22
Maturity Price : 24.58
Evaluated at bid price : 25.06
Bid-YTW : 5.55 %
TRP.PR.J FixedReset 84,700 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-05-31
Maturity Price : 25.00
Evaluated at bid price : 25.92
Bid-YTW : 4.76 %
TD.PF.B FixedReset 74,391 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-06-22
Maturity Price : 18.29
Evaluated at bid price : 18.29
Bid-YTW : 4.27 %
TD.PF.D FixedReset 65,356 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-06-22
Maturity Price : 19.61
Evaluated at bid price : 19.61
Bid-YTW : 4.50 %
TD.PF.G FixedReset 34,212 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-04-30
Maturity Price : 25.00
Evaluated at bid price : 26.25
Bid-YTW : 4.55 %
There were 26 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
HSE.PR.B FloatingReset Quote: 10.67 – 11.60
Spot Rate : 0.9300
Average : 0.6425

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-06-22
Maturity Price : 10.67
Evaluated at bid price : 10.67
Bid-YTW : 5.21 %
GWO.PR.N FixedReset Quote: 13.80 – 14.28
Spot Rate : 0.4800
Average : 0.3554

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 13.80
Bid-YTW : 9.99 %
BIP.PR.A FixedReset Quote: 19.05 – 19.35
Spot Rate : 0.3000
Average : 0.2109

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-06-22
Maturity Price : 19.05
Evaluated at bid price : 19.05
Bid-YTW : 5.64 %
TD.PR.T FloatingReset Quote: 21.50 – 21.79
Spot Rate : 0.2900
Average : 0.2185

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.50
Bid-YTW : 5.06 %
W.PR.K FixedReset Quote: 25.52 – 25.75
Spot Rate : 0.2300
Average : 0.1597

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-01-15
Maturity Price : 25.00
Evaluated at bid price : 25.52
Bid-YTW : 5.01 %
FTS.PR.H FixedReset Quote: 13.91 – 14.24
Spot Rate : 0.3300
Average : 0.2623

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-06-22
Maturity Price : 13.91
Evaluated at bid price : 13.91
Bid-YTW : 3.95 %
Market Action

June 21, 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 0.1987 % 1,640.7
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.1987 % 2,997.2
Floater 4.69 % 4.68 % 60,935 16.09 3 0.1987 % 1,727.3
OpRet 4.87 % 0.86 % 37,636 0.08 1 0.0398 % 2,831.3
SplitShare 4.89 % 5.12 % 86,431 4.65 7 -0.0012 % 3,334.6
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.0012 % 2,601.8
Perpetual-Premium 5.62 % -8.40 % 78,264 0.09 9 0.3493 % 2,626.5
Perpetual-Discount 5.38 % 5.42 % 104,319 14.75 28 0.1530 % 2,729.2
FixedReset 5.20 % 4.68 % 161,188 7.20 88 0.3387 % 1,958.9
Deemed-Retractible 5.13 % 5.32 % 125,603 4.92 33 0.3675 % 2,699.6
FloatingReset 3.11 % 5.14 % 28,298 5.20 17 0.0704 % 2,090.8
Performance Highlights
Issue Index Change Notes
TRP.PR.C FixedReset -1.65 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-06-21
Maturity Price : 11.95
Evaluated at bid price : 11.95
Bid-YTW : 4.69 %
TRP.PR.F FloatingReset -1.49 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-06-21
Maturity Price : 13.25
Evaluated at bid price : 13.25
Bid-YTW : 4.55 %
BMO.PR.Q FixedReset -1.01 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.52
Bid-YTW : 6.64 %
BMO.PR.Y FixedReset 1.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-06-21
Maturity Price : 20.03
Evaluated at bid price : 20.03
Bid-YTW : 4.36 %
BAM.PF.A FixedReset 1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-06-21
Maturity Price : 18.74
Evaluated at bid price : 18.74
Bid-YTW : 4.92 %
SLF.PR.D Deemed-Retractible 1.05 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.25
Bid-YTW : 6.80 %
SLF.PR.B Deemed-Retractible 1.06 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.98
Bid-YTW : 6.03 %
IFC.PR.C FixedReset 1.06 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 17.18
Bid-YTW : 8.54 %
GWO.PR.I Deemed-Retractible 1.12 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.70
Bid-YTW : 6.55 %
PWF.PR.K Perpetual-Discount 1.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-06-21
Maturity Price : 22.86
Evaluated at bid price : 23.13
Bid-YTW : 5.42 %
HSE.PR.A FixedReset 1.24 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-06-21
Maturity Price : 11.45
Evaluated at bid price : 11.45
Bid-YTW : 5.24 %
BAM.PF.F FixedReset 1.31 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-06-21
Maturity Price : 19.40
Evaluated at bid price : 19.40
Bid-YTW : 4.77 %
CCS.PR.C Deemed-Retractible 1.35 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.31
Bid-YTW : 6.04 %
SLF.PR.I FixedReset 1.39 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.25
Bid-YTW : 7.84 %
BAM.PR.R FixedReset 1.47 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-06-21
Maturity Price : 14.53
Evaluated at bid price : 14.53
Bid-YTW : 5.11 %
RY.PR.M FixedReset 1.55 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-06-21
Maturity Price : 19.05
Evaluated at bid price : 19.05
Bid-YTW : 4.44 %
PWF.PR.P FixedReset 1.56 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-06-21
Maturity Price : 13.00
Evaluated at bid price : 13.00
Bid-YTW : 4.42 %
MFC.PR.I FixedReset 1.58 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.87
Bid-YTW : 6.88 %
SLF.PR.H FixedReset 1.61 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 15.78
Bid-YTW : 9.12 %
PWF.PR.Q FloatingReset 1.63 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-06-21
Maturity Price : 12.50
Evaluated at bid price : 12.50
Bid-YTW : 4.23 %
NA.PR.Q FixedReset 1.76 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.71
Bid-YTW : 4.41 %
SLF.PR.G FixedReset 1.86 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 14.26
Bid-YTW : 9.65 %
IFC.PR.A FixedReset 1.86 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 14.77
Bid-YTW : 10.06 %
BAM.PF.B FixedReset 1.87 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-06-21
Maturity Price : 17.44
Evaluated at bid price : 17.44
Bid-YTW : 4.94 %
BAM.PR.Z FixedReset 1.90 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-06-21
Maturity Price : 18.76
Evaluated at bid price : 18.76
Bid-YTW : 4.99 %
SLF.PR.J FloatingReset 2.04 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 12.50
Bid-YTW : 11.05 %
BAM.PR.T FixedReset 2.19 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-06-21
Maturity Price : 14.92
Evaluated at bid price : 14.92
Bid-YTW : 5.12 %
MFC.PR.F FixedReset 2.90 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 13.50
Bid-YTW : 10.29 %
FTS.PR.H FixedReset 3.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-06-21
Maturity Price : 13.91
Evaluated at bid price : 13.91
Bid-YTW : 3.95 %
BAM.PR.X FixedReset 3.30 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-06-21
Maturity Price : 13.46
Evaluated at bid price : 13.46
Bid-YTW : 4.77 %
Volume Highlights
Issue Index Shares
Traded		 Notes
TRP.PR.J FixedReset 152,760 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-05-31
Maturity Price : 25.00
Evaluated at bid price : 25.77
Bid-YTW : 4.90 %
TRP.PR.D FixedReset 115,352 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-06-21
Maturity Price : 17.07
Evaluated at bid price : 17.07
Bid-YTW : 4.74 %
IFC.PR.C FixedReset 108,068 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 17.18
Bid-YTW : 8.54 %
RY.PR.Z FixedReset 98,325 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-06-21
Maturity Price : 18.20
Evaluated at bid price : 18.20
Bid-YTW : 4.21 %
NA.PR.A FixedReset 56,903 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-08-15
Maturity Price : 25.00
Evaluated at bid price : 25.53
Bid-YTW : 4.99 %
POW.PR.D Perpetual-Discount 54,040 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-06-21
Maturity Price : 22.63
Evaluated at bid price : 22.88
Bid-YTW : 5.46 %
There were 44 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
TRP.PR.H FloatingReset Quote: 10.10 – 10.99
Spot Rate : 0.8900
Average : 0.5553

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-06-21
Maturity Price : 10.10
Evaluated at bid price : 10.10
Bid-YTW : 4.38 %
CCS.PR.C Deemed-Retractible Quote: 23.31 – 23.98
Spot Rate : 0.6700
Average : 0.4906

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.31
Bid-YTW : 6.04 %
TRP.PR.C FixedReset Quote: 11.95 – 12.30
Spot Rate : 0.3500
Average : 0.2327

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-06-21
Maturity Price : 11.95
Evaluated at bid price : 11.95
Bid-YTW : 4.69 %
TD.PR.Y FixedReset Quote: 23.38 – 23.67
Spot Rate : 0.2900
Average : 0.1912

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.38
Bid-YTW : 4.31 %
GWO.PR.O FloatingReset Quote: 12.80 – 13.50
Spot Rate : 0.7000
Average : 0.6031

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 12.80
Bid-YTW : 10.56 %
TRP.PR.F FloatingReset Quote: 13.25 – 13.68
Spot Rate : 0.4300
Average : 0.3376

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-06-21
Maturity Price : 13.25
Evaluated at bid price : 13.25
Bid-YTW : 4.55 %
Market Action

June 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 0.9361 % 1,637.4
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.9361 % 2,991.2
Floater 4.70 % 4.69 % 60,853 16.08 3 0.9361 % 1,723.9
OpRet 4.87 % 1.18 % 39,167 0.08 1 0.0000 % 2,830.1
SplitShare 4.89 % 5.12 % 87,268 4.65 7 0.0922 % 3,334.7
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0922 % 2,601.8
Perpetual-Premium 5.62 % -0.52 % 74,889 0.09 9 0.0566 % 2,617.3
Perpetual-Discount 5.39 % 5.48 % 105,298 14.61 28 0.4023 % 2,725.0
FixedReset 5.21 % 4.70 % 162,840 7.35 88 1.1176 % 1,952.3
Deemed-Retractible 5.14 % 5.37 % 126,344 4.92 33 0.0431 % 2,689.7
FloatingReset 3.11 % 5.14 % 28,530 5.20 17 0.7624 % 2,089.3
Performance Highlights
Issue Index Change Notes
CCS.PR.C Deemed-Retractible -1.71 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.00
Bid-YTW : 6.23 %
BMO.PR.T FixedReset 1.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-06-20
Maturity Price : 18.10
Evaluated at bid price : 18.10
Bid-YTW : 4.26 %
CM.PR.P FixedReset 1.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-06-20
Maturity Price : 18.04
Evaluated at bid price : 18.04
Bid-YTW : 4.31 %
CU.PR.E Perpetual-Discount 1.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-06-20
Maturity Price : 22.69
Evaluated at bid price : 23.05
Bid-YTW : 5.35 %
TRP.PR.C FixedReset 1.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-06-20
Maturity Price : 12.15
Evaluated at bid price : 12.15
Bid-YTW : 4.61 %
TD.PR.S FixedReset 1.10 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.00
Bid-YTW : 4.44 %
CU.PR.D Perpetual-Discount 1.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-06-20
Maturity Price : 22.64
Evaluated at bid price : 22.99
Bid-YTW : 5.36 %
BAM.PR.B Floater 1.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-06-20
Maturity Price : 10.10
Evaluated at bid price : 10.10
Bid-YTW : 4.68 %
RY.PR.H FixedReset 1.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-06-20
Maturity Price : 18.30
Evaluated at bid price : 18.30
Bid-YTW : 4.24 %
SLF.PR.I FixedReset 1.12 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.00
Bid-YTW : 8.04 %
BMO.PR.Q FixedReset 1.13 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.72
Bid-YTW : 6.44 %
MFC.PR.I FixedReset 1.19 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.56
Bid-YTW : 7.10 %
TD.PF.B FixedReset 1.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-06-20
Maturity Price : 18.20
Evaluated at bid price : 18.20
Bid-YTW : 4.29 %
MFC.PR.G FixedReset 1.24 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.73
Bid-YTW : 7.66 %
MFC.PR.H FixedReset 1.34 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.13
Bid-YTW : 6.23 %
TD.PF.C FixedReset 1.41 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-06-20
Maturity Price : 18.02
Evaluated at bid price : 18.02
Bid-YTW : 4.33 %
CM.PR.Q FixedReset 1.46 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-06-20
Maturity Price : 19.50
Evaluated at bid price : 19.50
Bid-YTW : 4.52 %
MFC.PR.K FixedReset 1.47 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 17.20
Bid-YTW : 8.34 %
TRP.PR.D FixedReset 1.48 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-06-20
Maturity Price : 17.17
Evaluated at bid price : 17.17
Bid-YTW : 4.71 %
BAM.PF.B FixedReset 1.48 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-06-20
Maturity Price : 17.12
Evaluated at bid price : 17.12
Bid-YTW : 5.04 %
CU.PR.C FixedReset 1.49 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-06-20
Maturity Price : 17.00
Evaluated at bid price : 17.00
Bid-YTW : 4.59 %
BAM.PF.H FixedReset 1.53 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2020-12-31
Maturity Price : 25.00
Evaluated at bid price : 25.90
Bid-YTW : 4.11 %
MFC.PR.M FixedReset 1.55 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.38
Bid-YTW : 7.72 %
RY.PR.I FixedReset 1.55 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.95
Bid-YTW : 4.80 %
FTS.PR.I FloatingReset 1.55 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-06-20
Maturity Price : 11.80
Evaluated at bid price : 11.80
Bid-YTW : 4.14 %
PWF.PR.T FixedReset 1.60 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-06-20
Maturity Price : 20.37
Evaluated at bid price : 20.37
Bid-YTW : 3.97 %
TRP.PR.A FixedReset 1.61 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-06-20
Maturity Price : 14.50
Evaluated at bid price : 14.50
Bid-YTW : 4.69 %
IAG.PR.G FixedReset 1.65 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.51
Bid-YTW : 7.81 %
VNR.PR.A FixedReset 1.70 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-06-20
Maturity Price : 17.97
Evaluated at bid price : 17.97
Bid-YTW : 5.00 %
TD.PF.D FixedReset 1.71 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-06-20
Maturity Price : 19.59
Evaluated at bid price : 19.59
Bid-YTW : 4.50 %
TRP.PR.E FixedReset 1.73 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-06-20
Maturity Price : 17.62
Evaluated at bid price : 17.62
Bid-YTW : 4.66 %
MFC.PR.N FixedReset 1.88 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.40
Bid-YTW : 7.64 %
MFC.PR.J FixedReset 1.90 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.80
Bid-YTW : 7.41 %
GWO.PR.N FixedReset 1.92 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 13.81
Bid-YTW : 9.97 %
TD.PF.E FixedReset 2.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-06-20
Maturity Price : 20.40
Evaluated at bid price : 20.40
Bid-YTW : 4.43 %
BAM.PF.F FixedReset 2.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-06-20
Maturity Price : 19.15
Evaluated at bid price : 19.15
Bid-YTW : 4.83 %
BAM.PF.A FixedReset 2.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-06-20
Maturity Price : 18.55
Evaluated at bid price : 18.55
Bid-YTW : 4.97 %
HSE.PR.C FixedReset 2.25 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-06-20
Maturity Price : 17.75
Evaluated at bid price : 17.75
Bid-YTW : 5.57 %
MFC.PR.L FixedReset 2.29 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 17.90
Bid-YTW : 7.89 %
CM.PR.O FixedReset 2.39 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-06-20
Maturity Price : 18.39
Evaluated at bid price : 18.39
Bid-YTW : 4.33 %
IFC.PR.C FixedReset 2.41 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 17.00
Bid-YTW : 8.69 %
TRP.PR.H FloatingReset 2.52 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-06-20
Maturity Price : 10.16
Evaluated at bid price : 10.16
Bid-YTW : 4.36 %
FTS.PR.M FixedReset 2.52 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-06-20
Maturity Price : 18.69
Evaluated at bid price : 18.69
Bid-YTW : 4.46 %
BAM.PF.E FixedReset 2.55 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-06-20
Maturity Price : 18.10
Evaluated at bid price : 18.10
Bid-YTW : 4.80 %
TRP.PR.I FloatingReset 2.73 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-06-20
Maturity Price : 11.66
Evaluated at bid price : 11.66
Bid-YTW : 4.40 %
IFC.PR.A FixedReset 2.76 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 14.50
Bid-YTW : 10.32 %
MFC.PR.F FixedReset 2.82 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 13.12
Bid-YTW : 10.68 %
FTS.PR.K FixedReset 2.92 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-06-20
Maturity Price : 17.25
Evaluated at bid price : 17.25
Bid-YTW : 4.21 %
BAM.PR.T FixedReset 2.96 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-06-20
Maturity Price : 14.60
Evaluated at bid price : 14.60
Bid-YTW : 5.23 %
TRP.PR.F FloatingReset 3.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-06-20
Maturity Price : 13.45
Evaluated at bid price : 13.45
Bid-YTW : 4.48 %
FTS.PR.G FixedReset 3.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-06-20
Maturity Price : 16.80
Evaluated at bid price : 16.80
Bid-YTW : 4.36 %
BAM.PF.G FixedReset 3.28 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-06-20
Maturity Price : 19.50
Evaluated at bid price : 19.50
Bid-YTW : 4.78 %
PWF.PR.P FixedReset 3.39 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-06-20
Maturity Price : 12.80
Evaluated at bid price : 12.80
Bid-YTW : 4.49 %
PWF.PR.Q FloatingReset 6.96 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-06-20
Maturity Price : 12.30
Evaluated at bid price : 12.30
Bid-YTW : 4.30 %
Volume Highlights
Issue Index Shares
Traded		 Notes
NA.PR.A FixedReset 350,040 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-08-15
Maturity Price : 25.00
Evaluated at bid price : 25.46
Bid-YTW : 5.05 %
TRP.PR.J FixedReset 123,097 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-05-31
Maturity Price : 25.00
Evaluated at bid price : 25.77
Bid-YTW : 4.89 %
BAM.PR.Z FixedReset 106,434 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-06-20
Maturity Price : 18.41
Evaluated at bid price : 18.41
Bid-YTW : 5.08 %
HSE.PR.A FixedReset 99,910 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-06-20
Maturity Price : 11.31
Evaluated at bid price : 11.31
Bid-YTW : 5.30 %
TRP.PR.D FixedReset 95,218 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-06-20
Maturity Price : 17.17
Evaluated at bid price : 17.17
Bid-YTW : 4.71 %
TD.PF.G FixedReset 79,689 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-04-30
Maturity Price : 25.00
Evaluated at bid price : 26.30
Bid-YTW : 4.50 %
There were 36 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
BMO.PR.R FloatingReset Quote: 21.43 – 22.45
Spot Rate : 1.0200
Average : 0.7070

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.43
Bid-YTW : 5.08 %
CCS.PR.C Deemed-Retractible Quote: 23.00 – 23.45
Spot Rate : 0.4500
Average : 0.2939

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.00
Bid-YTW : 6.23 %
IAG.PR.A Deemed-Retractible Quote: 22.02 – 22.44
Spot Rate : 0.4200
Average : 0.3046

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.02
Bid-YTW : 6.44 %
IGM.PR.B Perpetual-Premium Quote: 25.40 – 25.68
Spot Rate : 0.2800
Average : 0.1811

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2018-12-31
Maturity Price : 25.00
Evaluated at bid price : 25.40
Bid-YTW : 5.61 %
BNS.PR.D FloatingReset Quote: 18.64 – 18.92
Spot Rate : 0.2800
Average : 0.1882

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.64
Bid-YTW : 7.12 %
TRP.PR.B FixedReset Quote: 11.30 – 11.60
Spot Rate : 0.3000
Average : 0.2165

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-06-20
Maturity Price : 11.30
Evaluated at bid price : 11.30
Bid-YTW : 4.39 %
Market Action

June 17, 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 -0.5652 % 1,622.2
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.5652 % 2,963.5
Floater 4.74 % 4.73 % 61,620 16.01 3 -0.5652 % 1,707.9
OpRet 4.87 % 0.69 % 39,353 0.08 1 0.0398 % 2,830.1
SplitShare 4.89 % 5.03 % 86,782 4.66 7 -0.0349 % 3,331.6
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.0349 % 2,599.4
Perpetual-Premium 5.62 % 0.85 % 75,169 0.09 9 -0.0479 % 2,615.9
Perpetual-Discount 5.41 % 5.48 % 105,674 14.60 28 -0.0647 % 2,714.1
FixedReset 5.30 % 4.74 % 160,854 7.36 88 -0.1981 % 1,930.7
Deemed-Retractible 5.15 % 5.41 % 124,956 4.93 33 -0.1127 % 2,688.5
FloatingReset 3.20 % 5.16 % 27,140 5.20 17 -0.2758 % 2,073.5
Performance Highlights
Issue Index Change Notes
TRP.PR.F FloatingReset -3.33 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-06-17
Maturity Price : 13.05
Evaluated at bid price : 13.05
Bid-YTW : 4.69 %
TRP.PR.I FloatingReset -2.99 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-06-17
Maturity Price : 11.35
Evaluated at bid price : 11.35
Bid-YTW : 4.61 %
TRP.PR.E FixedReset -2.81 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-06-17
Maturity Price : 17.32
Evaluated at bid price : 17.32
Bid-YTW : 4.66 %
TRP.PR.G FixedReset -2.57 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-06-17
Maturity Price : 18.20
Evaluated at bid price : 18.20
Bid-YTW : 5.01 %
IAG.PR.G FixedReset -1.57 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.21
Bid-YTW : 7.98 %
MFC.PR.F FixedReset -1.54 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 12.76
Bid-YTW : 10.97 %
FTS.PR.M FixedReset -1.46 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-06-17
Maturity Price : 18.23
Evaluated at bid price : 18.23
Bid-YTW : 4.51 %
HSE.PR.G FixedReset -1.44 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-06-17
Maturity Price : 19.22
Evaluated at bid price : 19.22
Bid-YTW : 5.52 %
BAM.PR.T FixedReset -1.39 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-06-17
Maturity Price : 14.18
Evaluated at bid price : 14.18
Bid-YTW : 5.28 %
HSE.PR.C FixedReset -1.31 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-06-17
Maturity Price : 17.36
Evaluated at bid price : 17.36
Bid-YTW : 5.63 %
BAM.PF.G FixedReset -1.31 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-06-17
Maturity Price : 18.88
Evaluated at bid price : 18.88
Bid-YTW : 4.87 %
VNR.PR.A FixedReset -1.28 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-06-17
Maturity Price : 17.67
Evaluated at bid price : 17.67
Bid-YTW : 5.00 %
MFC.PR.N FixedReset -1.26 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.06
Bid-YTW : 7.86 %
FTS.PR.G FixedReset -1.21 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-06-17
Maturity Price : 16.30
Evaluated at bid price : 16.30
Bid-YTW : 4.41 %
MFC.PR.M FixedReset -1.20 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.10
Bid-YTW : 7.90 %
HSE.PR.A FixedReset -1.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-06-17
Maturity Price : 11.31
Evaluated at bid price : 11.31
Bid-YTW : 5.20 %
TRP.PR.D FixedReset -1.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-06-17
Maturity Price : 16.92
Evaluated at bid price : 16.92
Bid-YTW : 4.70 %
GWO.PR.N FixedReset -1.09 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 13.55
Bid-YTW : 10.19 %
BAM.PR.B Floater -1.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-06-17
Maturity Price : 9.99
Evaluated at bid price : 9.99
Bid-YTW : 4.73 %
NA.PR.S FixedReset -1.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-06-17
Maturity Price : 17.55
Evaluated at bid price : 17.55
Bid-YTW : 4.56 %
FTS.PR.F Perpetual-Discount -1.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-06-17
Maturity Price : 23.09
Evaluated at bid price : 23.35
Bid-YTW : 5.28 %
RY.PR.I FixedReset -1.05 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.60
Bid-YTW : 5.06 %
PWF.PR.P FixedReset -1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-06-17
Maturity Price : 12.38
Evaluated at bid price : 12.38
Bid-YTW : 4.55 %
TD.PF.B FixedReset 1.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-06-17
Maturity Price : 17.98
Evaluated at bid price : 17.98
Bid-YTW : 4.27 %
BMO.PR.S FixedReset 1.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-06-17
Maturity Price : 18.22
Evaluated at bid price : 18.22
Bid-YTW : 4.27 %
RY.PR.H FixedReset 1.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-06-17
Maturity Price : 18.10
Evaluated at bid price : 18.10
Bid-YTW : 4.21 %
SLF.PR.G FixedReset 1.08 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 14.00
Bid-YTW : 9.85 %
RY.PR.Z FixedReset 1.18 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-06-17
Maturity Price : 18.07
Evaluated at bid price : 18.07
Bid-YTW : 4.16 %
CM.PR.P FixedReset 1.19 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-06-17
Maturity Price : 17.86
Evaluated at bid price : 17.86
Bid-YTW : 4.28 %
BMO.PR.T FixedReset 1.30 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-06-17
Maturity Price : 17.92
Evaluated at bid price : 17.92
Bid-YTW : 4.23 %
RY.PR.J FixedReset 1.34 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-06-17
Maturity Price : 18.90
Evaluated at bid price : 18.90
Bid-YTW : 4.52 %
BMO.PR.W FixedReset 1.70 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-06-17
Maturity Price : 17.90
Evaluated at bid price : 17.90
Bid-YTW : 4.21 %
TRP.PR.C FixedReset 1.86 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-06-17
Maturity Price : 12.02
Evaluated at bid price : 12.02
Bid-YTW : 4.56 %
Volume Highlights
Issue Index Shares
Traded		 Notes
BAM.PF.H FixedReset 159,094 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2020-12-31
Maturity Price : 25.00
Evaluated at bid price : 25.51
Bid-YTW : 4.48 %
RY.PR.Z FixedReset 97,596 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-06-17
Maturity Price : 18.07
Evaluated at bid price : 18.07
Bid-YTW : 4.16 %
TD.PF.G FixedReset 89,975 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-04-30
Maturity Price : 25.00
Evaluated at bid price : 26.15
Bid-YTW : 4.63 %
BMO.PR.T FixedReset 84,532 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-06-17
Maturity Price : 17.92
Evaluated at bid price : 17.92
Bid-YTW : 4.23 %
NA.PR.S FixedReset 68,891 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-06-17
Maturity Price : 17.55
Evaluated at bid price : 17.55
Bid-YTW : 4.56 %
CM.PR.P FixedReset 66,600 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-06-17
Maturity Price : 17.86
Evaluated at bid price : 17.86
Bid-YTW : 4.28 %
There were 40 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
CM.PR.Q FixedReset Quote: 19.22 – 19.87
Spot Rate : 0.6500
Average : 0.4270

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-06-17
Maturity Price : 19.22
Evaluated at bid price : 19.22
Bid-YTW : 4.53 %
TRP.PR.I FloatingReset Quote: 11.35 – 12.00
Spot Rate : 0.6500
Average : 0.4378

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-06-17
Maturity Price : 11.35
Evaluated at bid price : 11.35
Bid-YTW : 4.61 %
ALB.PR.C SplitShare Quote: 26.07 – 26.99
Spot Rate : 0.9200
Average : 0.7279

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2017-02-28
Maturity Price : 25.67
Evaluated at bid price : 26.07
Bid-YTW : 2.80 %
TRP.PR.E FixedReset Quote: 17.32 – 17.79
Spot Rate : 0.4700
Average : 0.2842

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-06-17
Maturity Price : 17.32
Evaluated at bid price : 17.32
Bid-YTW : 4.66 %
TD.PF.G FixedReset Quote: 26.15 – 26.56
Spot Rate : 0.4100
Average : 0.2389

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-04-30
Maturity Price : 25.00
Evaluated at bid price : 26.15
Bid-YTW : 4.63 %
VNR.PR.A FixedReset Quote: 17.67 – 18.20
Spot Rate : 0.5300
Average : 0.3640

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-06-17
Maturity Price : 17.67
Evaluated at bid price : 17.67
Bid-YTW : 5.00 %
Market Action

June 16, 2016

A day like today needs a little light relief; it seems that the Big Banks’ darling Visa is shocked, shocked, that:

“They [Walmart] are using their size and scale to give themselves an unfair advantage,” it says.

I’ll tell you guys one thing … once some fintech company comes up with a payment mechanism that is reasonably widespread and cheap, I’ll start taking it for PrefLetter. The day can’t come soon enough!

Another good joke – although rather old and too frequently told – is investors’ return expectations:

The average expectation in a recent survey: 9.1 percent. Americans and millennials set the bar highest, at 11.1 percent and 10.2 percent, respectively.

The average stock market yield globally: 3.8 percent. And benchmark interest rates in major developed markets are at 0.5 percent or lower—or negative.

The expectations of financial advisers also appear high, according to the new global investor study by asset manager Schroders. The study, which surveyed 20,000 investors across 28 countries, found that advisers around the globe wanted to generate a minimum of 7.9 percent a year for clients—lower than what the investors wanted but still high given the low interest rates. U.S advisers cited 5 percent as their target for annual investment income.

There’s been a lot of noise lately about housing prices in Vancouver and Toronto; foreign money has come in for a great deal of opprobrium; low mortgage rates and easy credit also take a lot of blame. I contend that another culprit is the lousy returns and extreme volatility experienced in the markets since the turn of the century – why invest in the stock market when you can buy a house? We won’t get rid of that attitude until we see a lot more underwater mortgages … which, unlike American mortgages, have recourse to the borrower.

As noted by Assiduous Reader prefobsessed in the comments to June 15, the day began with a sharp decline of over 2% for TXPR. There was a significant recovery, but the market still ended the day down a lot. As far as I can make out, this resulted from a sharp decline in Treasury yields:

Treasury 10-year note yields fell five basis points to 1.524 percent as of 10:02 a.m. in New York, the lowest level since August 2012, according to Bloomberg Bond Trader data.

This decline was was subsequently reversed:

Treasuries erased gains after 10-year note yields touched the lowest level since 2012, amid shifting bets on the outcome of next week’s U.K. vote on membership in the European Union.

Benchmark 10-year note yields climbed after a U.K. Labor Party lawmaker was killed Thursday, leading to a suspension of campaigning before the June 23 Brexit referendum. Treasuries had gained as part of a rally in global government securities that pushed benchmark 10-year yields in Germany and Japan further below zero.

Demand for Treasuries rose after Federal Reserve Chair Janet Yellen on Wednesday said slow productivity growth and aging societies may depress interest rates, and also cited the risk of Brexit as a reason to keep rates steady. Polls in recent days have shown the “Leave” camp leading. The Guardian newspaper reported police are investigating reports saying the suspect in the U.K. incident had shouted “Britain First,” the name of a group that campaigns against immigration and membership in the EU.

… but nobody told the Canadian preferred share market:

TXPR_160616
Click for Big

The GOC-5 closed at 0.57% and who knows? Maybe we’re back to the days when all changes in GOC-5 would be reflected in FixedReset prices (with a high negative duration!) as the market attempts to keep yields constant … which makes no sense, but since when is the preferred share market supposed to make sense?

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 -0.8570 % 1,631.5
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.8570 % 2,980.3
Floater 4.71 % 4.71 % 62,068 16.04 3 -0.8570 % 1,717.6
OpRet 4.87 % 1.02 % 40,975 0.08 1 -0.0795 % 2,829.0
SplitShare 4.89 % 5.03 % 87,980 4.66 7 -0.2302 % 3,332.8
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.2302 % 2,600.3
Perpetual-Premium 5.62 % 4.07 % 76,180 0.09 9 -0.1782 % 2,617.1
Perpetual-Discount 5.40 % 5.48 % 106,124 14.62 28 -0.5712 % 2,715.9
FixedReset 5.29 % 4.78 % 161,232 7.36 88 -1.9023 % 1,934.6
Deemed-Retractible 5.14 % 5.37 % 125,830 4.93 33 -0.2980 % 2,691.6
FloatingReset 3.19 % 5.20 % 27,399 5.20 17 -0.8554 % 2,079.2
Performance Highlights
Issue Index Change Notes
PWF.PR.Q FloatingReset -8.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-06-16
Maturity Price : 11.50
Evaluated at bid price : 11.50
Bid-YTW : 4.69 %
IAG.PR.G FixedReset -5.76 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.50
Bid-YTW : 7.75 %
HSE.PR.C FixedReset -4.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-06-16
Maturity Price : 17.59
Evaluated at bid price : 17.59
Bid-YTW : 5.55 %
PWF.PR.T FixedReset -3.81 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-06-16
Maturity Price : 20.20
Evaluated at bid price : 20.20
Bid-YTW : 3.94 %
TD.PF.A FixedReset -3.70 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-06-16
Maturity Price : 17.96
Evaluated at bid price : 17.96
Bid-YTW : 4.28 %
IFC.PR.C FixedReset -3.70 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 16.66
Bid-YTW : 8.89 %
BMO.PR.T FixedReset -3.65 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-06-16
Maturity Price : 17.69
Evaluated at bid price : 17.69
Bid-YTW : 4.29 %
CM.PR.Q FixedReset -3.64 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-06-16
Maturity Price : 19.05
Evaluated at bid price : 19.05
Bid-YTW : 4.57 %
CM.PR.P FixedReset -3.60 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-06-16
Maturity Price : 17.65
Evaluated at bid price : 17.65
Bid-YTW : 4.34 %
BMO.PR.S FixedReset -3.58 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-06-16
Maturity Price : 18.03
Evaluated at bid price : 18.03
Bid-YTW : 4.32 %
CM.PR.O FixedReset -3.58 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-06-16
Maturity Price : 18.05
Evaluated at bid price : 18.05
Bid-YTW : 4.34 %
MFC.PR.M FixedReset -3.58 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.32
Bid-YTW : 7.72 %
SLF.PR.I FixedReset -3.58 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 17.80
Bid-YTW : 8.12 %
BMO.PR.W FixedReset -3.56 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-06-16
Maturity Price : 17.60
Evaluated at bid price : 17.60
Bid-YTW : 4.28 %
SLF.PR.G FixedReset -3.48 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 13.85
Bid-YTW : 10.00 %
TD.PF.B FixedReset -3.42 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-06-16
Maturity Price : 17.80
Evaluated at bid price : 17.80
Bid-YTW : 4.31 %
MFC.PR.L FixedReset -3.41 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 17.58
Bid-YTW : 8.09 %
TD.PF.C FixedReset -3.39 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-06-16
Maturity Price : 17.68
Evaluated at bid price : 17.68
Bid-YTW : 4.34 %
NA.PR.W FixedReset -3.35 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-06-16
Maturity Price : 17.00
Evaluated at bid price : 17.00
Bid-YTW : 4.53 %
HSE.PR.A FixedReset -3.21 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-06-16
Maturity Price : 11.44
Evaluated at bid price : 11.44
Bid-YTW : 5.14 %
TD.PF.D FixedReset -3.21 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-06-16
Maturity Price : 19.30
Evaluated at bid price : 19.30
Bid-YTW : 4.51 %
BAM.PR.R FixedReset -3.17 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-06-16
Maturity Price : 14.06
Evaluated at bid price : 14.06
Bid-YTW : 5.17 %
BAM.PR.T FixedReset -3.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-06-16
Maturity Price : 14.38
Evaluated at bid price : 14.38
Bid-YTW : 5.20 %
TD.PF.E FixedReset -3.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-06-16
Maturity Price : 20.02
Evaluated at bid price : 20.02
Bid-YTW : 4.45 %
FTS.PR.H FixedReset -3.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-06-16
Maturity Price : 13.40
Evaluated at bid price : 13.40
Bid-YTW : 4.01 %
MFC.PR.N FixedReset -3.02 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.29
Bid-YTW : 7.68 %
HSE.PR.G FixedReset -2.99 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-06-16
Maturity Price : 19.50
Evaluated at bid price : 19.50
Bid-YTW : 5.44 %
MFC.PR.K FixedReset -2.92 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 16.96
Bid-YTW : 8.47 %
FTS.PR.M FixedReset -2.89 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-06-16
Maturity Price : 18.50
Evaluated at bid price : 18.50
Bid-YTW : 4.44 %
MFC.PR.J FixedReset -2.88 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.56
Bid-YTW : 7.53 %
BMO.PR.Y FixedReset -2.83 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-06-16
Maturity Price : 19.60
Evaluated at bid price : 19.60
Bid-YTW : 4.39 %
BNS.PR.Z FixedReset -2.83 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.60
Bid-YTW : 6.81 %
RY.PR.H FixedReset -2.82 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-06-16
Maturity Price : 17.91
Evaluated at bid price : 17.91
Bid-YTW : 4.26 %
BAM.PF.G FixedReset -2.75 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-06-16
Maturity Price : 19.13
Evaluated at bid price : 19.13
Bid-YTW : 4.80 %
BAM.PF.F FixedReset -2.68 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-06-16
Maturity Price : 18.86
Evaluated at bid price : 18.86
Bid-YTW : 4.84 %
TRP.PR.A FixedReset -2.64 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-06-16
Maturity Price : 14.41
Evaluated at bid price : 14.41
Bid-YTW : 4.63 %
MFC.PR.F FixedReset -2.56 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 12.96
Bid-YTW : 10.74 %
TRP.PR.F FloatingReset -2.53 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-06-16
Maturity Price : 13.50
Evaluated at bid price : 13.50
Bid-YTW : 4.54 %
BNS.PR.Y FixedReset -2.49 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.60
Bid-YTW : 6.45 %
SLF.PR.J FloatingReset -2.47 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 12.25
Bid-YTW : 11.37 %
RY.PR.Z FixedReset -2.46 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-06-16
Maturity Price : 17.86
Evaluated at bid price : 17.86
Bid-YTW : 4.21 %
MFC.PR.G FixedReset -2.42 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.57
Bid-YTW : 7.70 %
MFC.PR.I FixedReset -2.40 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.52
Bid-YTW : 7.06 %
BAM.PF.B FixedReset -2.36 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-06-16
Maturity Price : 16.93
Evaluated at bid price : 16.93
Bid-YTW : 5.02 %
TRP.PR.D FixedReset -2.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-06-16
Maturity Price : 17.11
Evaluated at bid price : 17.11
Bid-YTW : 4.64 %
BAM.PF.E FixedReset -2.21 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-06-16
Maturity Price : 17.69
Evaluated at bid price : 17.69
Bid-YTW : 4.84 %
BAM.PF.A FixedReset -2.19 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-06-16
Maturity Price : 18.27
Evaluated at bid price : 18.27
Bid-YTW : 4.97 %
RY.PR.I FixedReset -2.18 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.84
Bid-YTW : 4.85 %
TRP.PR.H FloatingReset -2.18 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-06-16
Maturity Price : 9.88
Evaluated at bid price : 9.88
Bid-YTW : 4.58 %
GWO.PR.N FixedReset -2.14 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 13.70
Bid-YTW : 10.04 %
RY.PR.J FixedReset -2.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-06-16
Maturity Price : 18.65
Evaluated at bid price : 18.65
Bid-YTW : 4.58 %
NA.PR.S FixedReset -2.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-06-16
Maturity Price : 17.74
Evaluated at bid price : 17.74
Bid-YTW : 4.51 %
NA.PR.Q FixedReset -2.07 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.21
Bid-YTW : 4.78 %
IFC.PR.A FixedReset -2.01 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 14.12
Bid-YTW : 10.63 %
PWF.PR.P FixedReset -1.96 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-06-16
Maturity Price : 12.51
Evaluated at bid price : 12.51
Bid-YTW : 4.50 %
BAM.PR.M Perpetual-Discount -1.96 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-06-16
Maturity Price : 20.55
Evaluated at bid price : 20.55
Bid-YTW : 5.80 %
TRP.PR.C FixedReset -1.91 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-06-16
Maturity Price : 11.80
Evaluated at bid price : 11.80
Bid-YTW : 4.65 %
BAM.PR.N Perpetual-Discount -1.82 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-06-16
Maturity Price : 20.55
Evaluated at bid price : 20.55
Bid-YTW : 5.80 %
RY.PR.M FixedReset -1.80 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-06-16
Maturity Price : 18.51
Evaluated at bid price : 18.51
Bid-YTW : 4.50 %
TRP.PR.G FixedReset -1.79 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-06-16
Maturity Price : 18.68
Evaluated at bid price : 18.68
Bid-YTW : 4.87 %
HSE.PR.E FixedReset -1.78 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-06-16
Maturity Price : 19.35
Evaluated at bid price : 19.35
Bid-YTW : 5.50 %
FTS.PR.K FixedReset -1.69 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-06-16
Maturity Price : 16.90
Evaluated at bid price : 16.90
Bid-YTW : 4.22 %
TRP.PR.I FloatingReset -1.68 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-06-16
Maturity Price : 11.70
Evaluated at bid price : 11.70
Bid-YTW : 4.47 %
SLF.PR.H FixedReset -1.66 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 15.40
Bid-YTW : 9.37 %
TD.PR.S FixedReset -1.65 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.72
Bid-YTW : 4.64 %
BAM.PF.D Perpetual-Discount -1.62 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-06-16
Maturity Price : 21.22
Evaluated at bid price : 21.22
Bid-YTW : 5.80 %
BAM.PF.C Perpetual-Discount -1.59 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-06-16
Maturity Price : 21.02
Evaluated at bid price : 21.02
Bid-YTW : 5.79 %
GWO.PR.O FloatingReset -1.54 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 12.80
Bid-YTW : 10.60 %
BNS.PR.R FixedReset -1.50 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.94
Bid-YTW : 4.90 %
FTS.PR.I FloatingReset -1.43 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-06-16
Maturity Price : 11.68
Evaluated at bid price : 11.68
Bid-YTW : 4.27 %
BMO.PR.M FixedReset -1.39 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.73
Bid-YTW : 4.61 %
CU.PR.I FixedReset -1.36 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2020-12-01
Maturity Price : 25.00
Evaluated at bid price : 25.45
Bid-YTW : 4.12 %
TRP.PR.B FixedReset -1.31 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-06-16
Maturity Price : 11.28
Evaluated at bid price : 11.28
Bid-YTW : 4.29 %
BAM.PR.K Floater -1.28 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-06-16
Maturity Price : 10.03
Evaluated at bid price : 10.03
Bid-YTW : 4.71 %
BAM.PR.Z FixedReset -1.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-06-16
Maturity Price : 18.17
Evaluated at bid price : 18.17
Bid-YTW : 5.07 %
TRP.PR.E FixedReset -1.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-06-16
Maturity Price : 17.82
Evaluated at bid price : 17.82
Bid-YTW : 4.52 %
FTS.PR.G FixedReset -1.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-06-16
Maturity Price : 16.50
Evaluated at bid price : 16.50
Bid-YTW : 4.36 %
BNS.PR.Q FixedReset -1.05 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.70
Bid-YTW : 4.83 %
TD.PR.T FloatingReset -1.02 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.39
Bid-YTW : 5.19 %
BIP.PR.B FixedReset 1.00 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2020-12-31
Maturity Price : 25.00
Evaluated at bid price : 25.20
Bid-YTW : 5.28 %
CU.PR.C FixedReset 1.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-06-16
Maturity Price : 16.74
Evaluated at bid price : 16.74
Bid-YTW : 4.57 %
BNS.PR.F FloatingReset 2.78 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.51
Bid-YTW : 7.71 %
Volume Highlights
Issue Index Shares
Traded		 Notes
NA.PR.A FixedReset 145,728 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-08-15
Maturity Price : 25.00
Evaluated at bid price : 25.44
Bid-YTW : 5.05 %
TRP.PR.D FixedReset 108,413 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-06-16
Maturity Price : 17.11
Evaluated at bid price : 17.11
Bid-YTW : 4.64 %
TRP.PR.J FixedReset 100,899 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-05-31
Maturity Price : 25.00
Evaluated at bid price : 25.75
Bid-YTW : 4.90 %
RY.PR.Q FixedReset 55,477 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-05-24
Maturity Price : 25.00
Evaluated at bid price : 26.22
Bid-YTW : 4.49 %
MFC.PR.O FixedReset 51,974 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-06-19
Maturity Price : 25.00
Evaluated at bid price : 26.25
Bid-YTW : 4.50 %
RY.PR.Z FixedReset 47,516 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-06-16
Maturity Price : 17.86
Evaluated at bid price : 17.86
Bid-YTW : 4.21 %
There were 84 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: 14.41 – 15.31
Spot Rate : 0.9000
Average : 0.5903

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-06-16
Maturity Price : 14.41
Evaluated at bid price : 14.41
Bid-YTW : 4.63 %
SLF.PR.I FixedReset Quote: 17.80 – 18.39
Spot Rate : 0.5900
Average : 0.4043

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 17.80
Bid-YTW : 8.12 %
SLF.PR.G FixedReset Quote: 13.85 – 14.30
Spot Rate : 0.4500
Average : 0.2817

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 13.85
Bid-YTW : 10.00 %
BNS.PR.R FixedReset Quote: 22.94 – 23.38
Spot Rate : 0.4400
Average : 0.2873

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.94
Bid-YTW : 4.90 %
FTS.PR.M FixedReset Quote: 18.50 – 19.05
Spot Rate : 0.5500
Average : 0.4070

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2046-06-16
Maturity Price : 18.50
Evaluated at bid price : 18.50
Bid-YTW : 4.44 %
SLF.PR.H FixedReset Quote: 15.40 – 15.90
Spot Rate : 0.5000
Average : 0.3617

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 15.40
Bid-YTW : 9.37 %