June 26, 2019

PerpetualDiscounts now yield 5.60%, equivalent to 7.28% interest at the standard equivalency factor of 1.3x. Long corporates now yield 3.42%, so the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) is now 385bp, a slight (and perhaps spurious) narrowing from the 390bp reported June 19.

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 1.9079 % 1,921.1
FixedFloater 0.00 % 0.00 % 0 0.00 0 1.9079 % 3,525.2
Floater 6.16 % 6.43 % 75,160 13.29 3 1.9079 % 2,031.6
OpRet 0.00 % 0.00 % 0 0.00 0 -0.1252 % 3,307.8
SplitShare 4.71 % 4.81 % 80,115 4.20 7 -0.1252 % 3,950.2
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.1252 % 3,082.1
Perpetual-Premium 5.61 % -11.81 % 71,746 0.09 7 0.1628 % 2,954.9
Perpetual-Discount 5.49 % 5.60 % 60,372 14.46 26 0.1367 % 3,081.3
FixedReset Disc 5.53 % 5.37 % 165,128 14.71 70 0.2518 % 2,067.8
Deemed-Retractible 5.27 % 5.95 % 72,560 8.01 27 0.1835 % 3,084.6
FloatingReset 4.08 % 4.61 % 51,562 2.49 4 0.0530 % 2,336.9
FixedReset Prem 5.11 % 3.92 % 183,812 1.82 16 -0.0921 % 2,581.3
FixedReset Bank Non 1.98 % 4.08 % 142,363 2.51 3 -0.1666 % 2,646.4
FixedReset Ins Non 5.36 % 7.56 % 91,824 8.08 22 0.4316 % 2,121.6
Performance Highlights
Issue Index Change Notes
BAM.PR.X FixedReset Disc -2.70 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-06-26
Maturity Price : 12.27
Evaluated at bid price : 12.27
Bid-YTW : 6.28 %
BAM.PF.I FixedReset Disc -1.86 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-06-26
Maturity Price : 22.91
Evaluated at bid price : 23.80
Bid-YTW : 5.36 %
BAM.PR.Z FixedReset Disc -1.65 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-06-26
Maturity Price : 17.86
Evaluated at bid price : 17.86
Bid-YTW : 6.19 %
HSE.PR.C FixedReset Disc -1.64 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-06-26
Maturity Price : 18.00
Evaluated at bid price : 18.00
Bid-YTW : 6.25 %
MFC.PR.C Deemed-Retractible 1.07 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.79
Bid-YTW : 6.80 %
BAM.PF.A FixedReset Disc 1.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-06-26
Maturity Price : 18.60
Evaluated at bid price : 18.60
Bid-YTW : 6.02 %
BIP.PR.F FixedReset Disc 1.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-06-26
Maturity Price : 21.49
Evaluated at bid price : 21.49
Bid-YTW : 5.97 %
TRP.PR.G FixedReset Disc 1.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-06-26
Maturity Price : 17.85
Evaluated at bid price : 17.85
Bid-YTW : 6.04 %
PWF.PR.S Perpetual-Discount 1.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-06-26
Maturity Price : 21.84
Evaluated at bid price : 22.10
Bid-YTW : 5.51 %
BMO.PR.W FixedReset Disc 1.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-06-26
Maturity Price : 16.60
Evaluated at bid price : 16.60
Bid-YTW : 5.44 %
PWF.PR.P FixedReset Disc 1.17 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-06-26
Maturity Price : 13.00
Evaluated at bid price : 13.00
Bid-YTW : 5.61 %
NA.PR.C FixedReset Disc 1.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-06-26
Maturity Price : 21.45
Evaluated at bid price : 21.45
Bid-YTW : 5.56 %
HSE.PR.A FixedReset Disc 1.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-06-26
Maturity Price : 12.30
Evaluated at bid price : 12.30
Bid-YTW : 6.11 %
NA.PR.E FixedReset Disc 1.25 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-06-26
Maturity Price : 19.45
Evaluated at bid price : 19.45
Bid-YTW : 5.31 %
TD.PF.B FixedReset Disc 1.27 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-06-26
Maturity Price : 17.52
Evaluated at bid price : 17.52
Bid-YTW : 5.24 %
MFC.PR.N FixedReset Ins Non 1.28 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 16.61
Bid-YTW : 8.59 %
TRP.PR.D FixedReset Disc 1.31 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-06-26
Maturity Price : 16.26
Evaluated at bid price : 16.26
Bid-YTW : 5.91 %
NA.PR.G FixedReset Disc 1.31 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-06-26
Maturity Price : 20.87
Evaluated at bid price : 20.87
Bid-YTW : 5.25 %
BMO.PR.Y FixedReset Disc 1.39 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-06-26
Maturity Price : 19.02
Evaluated at bid price : 19.02
Bid-YTW : 5.37 %
BAM.PF.G FixedReset Disc 1.44 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-06-26
Maturity Price : 16.85
Evaluated at bid price : 16.85
Bid-YTW : 6.27 %
CU.PR.C FixedReset Disc 1.47 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-06-26
Maturity Price : 17.25
Evaluated at bid price : 17.25
Bid-YTW : 5.40 %
TRP.PR.A FixedReset Disc 1.71 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-06-26
Maturity Price : 13.70
Evaluated at bid price : 13.70
Bid-YTW : 5.99 %
SLF.PR.A Deemed-Retractible 1.79 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.15
Bid-YTW : 6.27 %
MFC.PR.L FixedReset Ins Non 1.83 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 16.70
Bid-YTW : 8.32 %
PWF.PR.T FixedReset Disc 1.85 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-06-26
Maturity Price : 18.20
Evaluated at bid price : 18.20
Bid-YTW : 5.38 %
SLF.PR.I FixedReset Ins Non 1.88 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.95
Bid-YTW : 7.34 %
IFC.PR.A FixedReset Ins Non 1.88 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 14.60
Bid-YTW : 9.58 %
PWF.PR.A Floater 2.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-06-26
Maturity Price : 12.15
Evaluated at bid price : 12.15
Bid-YTW : 5.77 %
BAM.PR.K Floater 2.86 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-06-26
Maturity Price : 10.80
Evaluated at bid price : 10.80
Bid-YTW : 6.43 %
TRP.PR.B FixedReset Disc 3.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-06-26
Maturity Price : 11.35
Evaluated at bid price : 11.35
Bid-YTW : 5.75 %
SLF.PR.G FixedReset Ins Non 3.33 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 13.95
Bid-YTW : 9.40 %
TRP.PR.C FixedReset Disc 3.67 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-06-26
Maturity Price : 12.15
Evaluated at bid price : 12.15
Bid-YTW : 5.90 %
Volume Highlights
Issue Index Shares
Traded
Notes
MFC.PR.K FixedReset Ins Non 106,400 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.02
Bid-YTW : 7.97 %
BMO.PR.W FixedReset Disc 70,200 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-06-26
Maturity Price : 16.60
Evaluated at bid price : 16.60
Bid-YTW : 5.44 %
CM.PR.O FixedReset Disc 66,000 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-06-26
Maturity Price : 16.89
Evaluated at bid price : 16.89
Bid-YTW : 5.52 %
BAM.PF.E FixedReset Disc 54,699 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-06-26
Maturity Price : 15.69
Evaluated at bid price : 15.69
Bid-YTW : 6.29 %
MFC.PR.O FixedReset Ins Non 54,300 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-06-19
Maturity Price : 25.00
Evaluated at bid price : 25.71
Bid-YTW : 4.18 %
IFC.PR.A FixedReset Ins Non 50,700 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 14.60
Bid-YTW : 9.58 %
There were 39 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
BAM.PR.Z FixedReset Disc Quote: 17.86 – 18.49
Spot Rate : 0.6300
Average : 0.3695

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-06-26
Maturity Price : 17.86
Evaluated at bid price : 17.86
Bid-YTW : 6.19 %

BAM.PF.I FixedReset Disc Quote: 23.80 – 24.44
Spot Rate : 0.6400
Average : 0.3875

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-06-26
Maturity Price : 22.91
Evaluated at bid price : 23.80
Bid-YTW : 5.36 %

BIP.PR.D FixedReset Disc Quote: 22.45 – 22.95
Spot Rate : 0.5000
Average : 0.3414

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-06-26
Maturity Price : 22.10
Evaluated at bid price : 22.45
Bid-YTW : 5.69 %

BMO.PR.T FixedReset Disc Quote: 16.55 – 16.90
Spot Rate : 0.3500
Average : 0.2279

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-06-26
Maturity Price : 16.55
Evaluated at bid price : 16.55
Bid-YTW : 5.48 %

TRP.PR.D FixedReset Disc Quote: 16.26 – 16.60
Spot Rate : 0.3400
Average : 0.2194

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-06-26
Maturity Price : 16.26
Evaluated at bid price : 16.26
Bid-YTW : 5.91 %

BMO.PR.Y FixedReset Disc Quote: 19.02 – 19.40
Spot Rate : 0.3800
Average : 0.2646

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-06-26
Maturity Price : 19.02
Evaluated at bid price : 19.02
Bid-YTW : 5.37 %

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