Category: Market Action

Market Action

November 22, 2024

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 0.9161 % 2,215.5
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.9161 % 4,249.4
Floater 8.59 % 9.01 % 30,634 10.31 4 0.9161 % 2,449.0
OpRet 0.00 % 0.00 % 0 0.00 0 -0.2787 % 3,618.7
SplitShare 4.77 % 4.57 % 76,081 3.03 6 -0.2787 % 4,321.5
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.2787 % 3,371.8
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 0.2377 % 2,808.3
Perpetual-Discount 6.13 % 6.27 % 53,061 13.48 31 0.2377 % 3,062.3
FixedReset Disc 5.46 % 6.96 % 102,555 12.47 58 0.2591 % 2,706.3
Insurance Straight 5.97 % 6.12 % 64,491 13.68 21 0.4501 % 3,033.3
FloatingReset 6.62 % 6.72 % 41,352 12.80 2 0.8690 % 3,253.3
FixedReset Prem 6.37 % 5.55 % 164,579 3.69 7 0.2759 % 2,599.9
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 0.2591 % 2,766.4
FixedReset Ins Non 5.23 % 6.49 % 74,897 13.26 14 0.3618 % 2,811.6
Performance Highlights
Issue Index Change Notes
CU.PR.F Perpetual-Discount -3.38 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-22
Maturity Price : 18.01
Evaluated at bid price : 18.01
Bid-YTW : 6.29 %
SLF.PR.D Insurance Straight -1.50 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-22
Maturity Price : 19.70
Evaluated at bid price : 19.70
Bid-YTW : 5.74 %
CU.PR.C FixedReset Disc -1.44 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-22
Maturity Price : 20.60
Evaluated at bid price : 20.60
Bid-YTW : 6.89 %
IFC.PR.K Insurance Straight 1.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-22
Maturity Price : 21.66
Evaluated at bid price : 21.97
Bid-YTW : 6.07 %
BN.PF.G FixedReset Disc 1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-22
Maturity Price : 19.72
Evaluated at bid price : 19.72
Bid-YTW : 7.77 %
BN.PR.B Floater 1.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-22
Maturity Price : 11.76
Evaluated at bid price : 11.76
Bid-YTW : 9.08 %
BIP.PR.F FixedReset Disc 1.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-22
Maturity Price : 22.68
Evaluated at bid price : 23.65
Bid-YTW : 6.76 %
BN.PF.A FixedReset Disc 1.17 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-22
Maturity Price : 22.57
Evaluated at bid price : 23.38
Bid-YTW : 6.92 %
PVS.PR.J SplitShare 1.18 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2028-02-29
Maturity Price : 25.00
Evaluated at bid price : 25.02
Bid-YTW : 4.34 %
FFH.PR.G FixedReset Disc 1.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-22
Maturity Price : 20.80
Evaluated at bid price : 20.80
Bid-YTW : 6.96 %
TD.PF.I FixedReset Prem 1.24 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2027-10-31
Maturity Price : 25.00
Evaluated at bid price : 26.03
Bid-YTW : 4.96 %
BN.PF.B FixedReset Disc 1.28 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-22
Maturity Price : 20.62
Evaluated at bid price : 20.62
Bid-YTW : 7.46 %
PVS.PR.G SplitShare 1.38 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-02-28
Maturity Price : 25.00
Evaluated at bid price : 25.06
Bid-YTW : 3.26 %
SLF.PR.H FixedReset Ins Non 1.52 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-22
Maturity Price : 18.75
Evaluated at bid price : 18.75
Bid-YTW : 6.99 %
FFH.PR.F FloatingReset 1.87 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-22
Maturity Price : 21.30
Evaluated at bid price : 21.30
Bid-YTW : 6.76 %
MFC.PR.J FixedReset Ins Non 2.28 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-22
Maturity Price : 22.81
Evaluated at bid price : 23.75
Bid-YTW : 6.28 %
BN.PR.K Floater 2.33 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-22
Maturity Price : 11.85
Evaluated at bid price : 11.85
Bid-YTW : 9.01 %
MFC.PR.C Insurance Straight 2.70 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-22
Maturity Price : 19.00
Evaluated at bid price : 19.00
Bid-YTW : 5.93 %
IFC.PR.A FixedReset Ins Non 3.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-22
Maturity Price : 19.68
Evaluated at bid price : 19.68
Bid-YTW : 6.49 %
FFH.PR.K FixedReset Disc 3.57 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-22
Maturity Price : 22.99
Evaluated at bid price : 23.82
Bid-YTW : 6.95 %
BIP.PR.A FixedReset Disc 3.57 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-22
Maturity Price : 22.20
Evaluated at bid price : 22.91
Bid-YTW : 7.47 %
BN.PR.M Perpetual-Discount 3.70 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-22
Maturity Price : 18.51
Evaluated at bid price : 18.51
Bid-YTW : 6.54 %
POW.PR.A Perpetual-Discount 5.58 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-22
Maturity Price : 22.44
Evaluated at bid price : 22.70
Bid-YTW : 6.25 %
GWO.PR.S Insurance Straight 10.26 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-22
Maturity Price : 21.50
Evaluated at bid price : 21.50
Bid-YTW : 6.22 %
Volume Highlights
Issue Index Shares
Traded		 Notes
MFC.PR.M FixedReset Ins Non 204,721 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-22
Maturity Price : 21.64
Evaluated at bid price : 22.00
Bid-YTW : 6.48 %
ENB.PR.T FixedReset Disc 136,800 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-22
Maturity Price : 20.02
Evaluated at bid price : 20.02
Bid-YTW : 7.54 %
TD.PF.D FixedReset Disc 107,600 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-22
Maturity Price : 23.52
Evaluated at bid price : 24.17
Bid-YTW : 6.22 %
ENB.PR.H FixedReset Disc 31,867 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-22
Maturity Price : 19.69
Evaluated at bid price : 19.69
Bid-YTW : 7.20 %
SLF.PR.E Insurance Straight 28,900 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-22
Maturity Price : 20.30
Evaluated at bid price : 20.30
Bid-YTW : 5.64 %
FFH.PR.C FixedReset Disc 25,242 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-22
Maturity Price : 24.12
Evaluated at bid price : 25.06
Bid-YTW : 6.52 %
There were 19 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
ENB.PF.E FixedReset Disc Quote: 18.10 – 19.10
Spot Rate : 1.0000
Average : 0.6298

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-22
Maturity Price : 18.10
Evaluated at bid price : 18.10
Bid-YTW : 8.18 %
BN.PF.A FixedReset Disc Quote: 23.38 – 24.25
Spot Rate : 0.8700
Average : 0.5777

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-22
Maturity Price : 22.57
Evaluated at bid price : 23.38
Bid-YTW : 6.92 %
CU.PR.F Perpetual-Discount Quote: 18.01 – 18.75
Spot Rate : 0.7400
Average : 0.4789

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-22
Maturity Price : 18.01
Evaluated at bid price : 18.01
Bid-YTW : 6.29 %
MFC.PR.B Insurance Straight Quote: 19.48 – 20.23
Spot Rate : 0.7500
Average : 0.5203

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-22
Maturity Price : 19.48
Evaluated at bid price : 19.48
Bid-YTW : 5.98 %
ENB.PF.C FixedReset Disc Quote: 18.45 – 19.00
Spot Rate : 0.5500
Average : 0.3706

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-22
Maturity Price : 18.45
Evaluated at bid price : 18.45
Bid-YTW : 8.11 %
MIC.PR.A Perpetual-Discount Quote: 21.31 – 21.95
Spot Rate : 0.6400
Average : 0.4656

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-22
Maturity Price : 21.31
Evaluated at bid price : 21.31
Bid-YTW : 6.46 %
Market Action

November 21, 2024

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 0.9246 % 2,195.4
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.9246 % 4,210.8
Floater 8.67 % 9.14 % 30,434 10.19 4 0.9246 % 2,426.7
OpRet 0.00 % 0.00 % 0 0.00 0 -0.1921 % 3,628.8
SplitShare 4.76 % 5.11 % 76,047 3.00 6 -0.1921 % 4,333.6
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.1921 % 3,381.2
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 -0.0555 % 2,801.6
Perpetual-Discount 6.15 % 6.27 % 50,766 13.48 31 -0.0555 % 3,055.0
FixedReset Disc 5.47 % 6.85 % 99,364 12.64 58 0.1058 % 2,699.3
Insurance Straight 6.00 % 6.13 % 60,730 13.66 21 0.0251 % 3,019.7
FloatingReset 6.74 % 6.78 % 38,957 12.72 2 0.2177 % 3,225.3
FixedReset Prem 6.39 % 5.55 % 170,842 3.70 7 -0.0055 % 2,592.7
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 0.1058 % 2,759.2
FixedReset Ins Non 5.24 % 6.27 % 71,537 13.49 14 -0.0172 % 2,801.5
Performance Highlights
Issue Index Change Notes
GWO.PR.S Insurance Straight -7.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-21
Maturity Price : 19.50
Evaluated at bid price : 19.50
Bid-YTW : 6.86 %
POW.PR.A Perpetual-Discount -5.49 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-21
Maturity Price : 21.50
Evaluated at bid price : 21.50
Bid-YTW : 6.61 %
MFC.PR.J FixedReset Ins Non -2.85 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-21
Maturity Price : 22.53
Evaluated at bid price : 23.22
Bid-YTW : 6.27 %
ENB.PF.A FixedReset Disc -1.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-21
Maturity Price : 18.81
Evaluated at bid price : 18.81
Bid-YTW : 7.77 %
IFC.PR.F Insurance Straight 1.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-21
Maturity Price : 22.00
Evaluated at bid price : 22.00
Bid-YTW : 6.13 %
BN.PR.B Floater 1.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-21
Maturity Price : 11.64
Evaluated at bid price : 11.64
Bid-YTW : 9.17 %
CU.PR.D Perpetual-Discount 1.26 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-21
Maturity Price : 20.05
Evaluated at bid price : 20.05
Bid-YTW : 6.15 %
GWO.PR.G Insurance Straight 1.32 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-21
Maturity Price : 21.28
Evaluated at bid price : 21.55
Bid-YTW : 6.13 %
CU.PR.C FixedReset Disc 1.70 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-21
Maturity Price : 20.90
Evaluated at bid price : 20.90
Bid-YTW : 6.60 %
BN.PR.C Floater 2.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-21
Maturity Price : 11.68
Evaluated at bid price : 11.68
Bid-YTW : 9.14 %
FFH.PR.E FixedReset Disc 2.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-21
Maturity Price : 20.56
Evaluated at bid price : 20.56
Bid-YTW : 6.47 %
BN.PF.C Perpetual-Discount 2.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-21
Maturity Price : 18.81
Evaluated at bid price : 18.81
Bid-YTW : 6.57 %
BN.PF.D Perpetual-Discount 3.70 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-21
Maturity Price : 19.08
Evaluated at bid price : 19.08
Bid-YTW : 6.54 %
MFC.PR.C Insurance Straight 5.65 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-21
Maturity Price : 18.50
Evaluated at bid price : 18.50
Bid-YTW : 6.09 %
Volume Highlights
Issue Index Shares
Traded		 Notes
BN.PR.X FixedReset Disc 159,786 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-21
Maturity Price : 15.86
Evaluated at bid price : 15.86
Bid-YTW : 7.85 %
BN.PR.T FixedReset Disc 111,871 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-21
Maturity Price : 16.86
Evaluated at bid price : 16.86
Bid-YTW : 7.79 %
TD.PF.A FixedReset Disc 106,218 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-21
Maturity Price : 22.23
Evaluated at bid price : 22.92
Bid-YTW : 5.76 %
BN.PF.G FixedReset Disc 98,143 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-21
Maturity Price : 19.52
Evaluated at bid price : 19.52
Bid-YTW : 7.61 %
MFC.PR.M FixedReset Ins Non 70,440 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-21
Maturity Price : 21.67
Evaluated at bid price : 22.05
Bid-YTW : 6.23 %
FFH.PR.C FixedReset Disc 66,311 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-21
Maturity Price : 24.06
Evaluated at bid price : 25.02
Bid-YTW : 6.33 %
There were 30 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
GWO.PR.S Insurance Straight Quote: 19.50 – 21.90
Spot Rate : 2.4000
Average : 1.5624

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-21
Maturity Price : 19.50
Evaluated at bid price : 19.50
Bid-YTW : 6.86 %
POW.PR.A Perpetual-Discount Quote: 21.50 – 22.90
Spot Rate : 1.4000
Average : 0.8399

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-21
Maturity Price : 21.50
Evaluated at bid price : 21.50
Bid-YTW : 6.61 %
MFC.PR.J FixedReset Ins Non Quote: 23.22 – 24.11
Spot Rate : 0.8900
Average : 0.5573

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-21
Maturity Price : 22.53
Evaluated at bid price : 23.22
Bid-YTW : 6.27 %
BN.PR.M Perpetual-Discount Quote: 17.85 – 19.40
Spot Rate : 1.5500
Average : 1.2691

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-21
Maturity Price : 17.85
Evaluated at bid price : 17.85
Bid-YTW : 6.78 %
ENB.PR.A Perpetual-Discount Quote: 21.90 – 22.55
Spot Rate : 0.6500
Average : 0.4525

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-21
Maturity Price : 21.65
Evaluated at bid price : 21.90
Bid-YTW : 6.30 %
BN.PR.B Floater Quote: 11.64 – 12.17
Spot Rate : 0.5300
Average : 0.3401

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-21
Maturity Price : 11.64
Evaluated at bid price : 11.64
Bid-YTW : 9.17 %
Market Action

November 20, 2024

PerpetualDiscounts now yield 6.26%, equivalent to 8.14% interest at the standard equivalency factor of 1.3x. Long corporates yielded 4.90% on 2024-11-19 and since then the closing price of ZLC has changed from 15.35 to 15.26, a total return of -0.59%, implying an increase of yields of 5bp (BMO reports a duration of 12.47, but don’t disclose whether this is Macaulay or Modified; I will assume Modified) to 4.95%. Therefore, the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) has narrowed to 320bp from the 335bp reported November 13.

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 0.6983 % 2,175.3
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.6983 % 4,172.3
Floater 8.75 % 9.28 % 30,464 10.06 4 0.6983 % 2,404.5
OpRet 0.00 % 0.00 % 0 0.00 0 0.6868 % 3,635.8
SplitShare 4.75 % 4.99 % 79,168 3.00 6 0.6868 % 4,341.9
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.6868 % 3,387.7
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 -0.4789 % 2,803.2
Perpetual-Discount 6.14 % 6.26 % 47,859 13.49 31 -0.4789 % 3,056.7
FixedReset Disc 5.48 % 6.92 % 95,528 12.64 58 0.1983 % 2,696.4
Insurance Straight 6.00 % 6.15 % 60,173 13.62 21 -0.6133 % 3,019.0
FloatingReset 6.75 % 6.77 % 35,961 12.72 2 2.1348 % 3,218.3
FixedReset Prem 6.39 % 5.54 % 171,900 3.69 7 0.0828 % 2,592.9
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 0.1983 % 2,756.3
FixedReset Ins Non 5.24 % 6.26 % 71,392 13.56 14 -0.8640 % 2,802.0
Performance Highlights
Issue Index Change Notes
MFC.PR.C Insurance Straight -9.78 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-20
Maturity Price : 17.51
Evaluated at bid price : 17.51
Bid-YTW : 6.44 %
BN.PR.M Perpetual-Discount -5.61 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-20
Maturity Price : 17.85
Evaluated at bid price : 17.85
Bid-YTW : 6.78 %
BN.PF.D Perpetual-Discount -5.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-20
Maturity Price : 18.40
Evaluated at bid price : 18.40
Bid-YTW : 6.79 %
BN.PF.C Perpetual-Discount -4.17 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-20
Maturity Price : 18.40
Evaluated at bid price : 18.40
Bid-YTW : 6.72 %
FFH.PR.K FixedReset Disc -2.75 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-20
Maturity Price : 22.52
Evaluated at bid price : 23.00
Bid-YTW : 7.03 %
GWO.PR.S Insurance Straight -2.73 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-20
Maturity Price : 21.00
Evaluated at bid price : 21.00
Bid-YTW : 6.37 %
MFC.PR.N FixedReset Ins Non -1.91 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-20
Maturity Price : 20.87
Evaluated at bid price : 20.87
Bid-YTW : 6.49 %
BN.PR.N Perpetual-Discount -1.74 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-20
Maturity Price : 18.62
Evaluated at bid price : 18.62
Bid-YTW : 6.50 %
CU.PR.D Perpetual-Discount -1.49 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-20
Maturity Price : 19.80
Evaluated at bid price : 19.80
Bid-YTW : 6.22 %
ENB.PF.K FixedReset Disc -1.43 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-20
Maturity Price : 22.20
Evaluated at bid price : 22.67
Bid-YTW : 6.96 %
GWO.PR.G Insurance Straight -1.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-20
Maturity Price : 21.27
Evaluated at bid price : 21.27
Bid-YTW : 6.22 %
BN.PR.R FixedReset Disc 1.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-20
Maturity Price : 16.76
Evaluated at bid price : 16.76
Bid-YTW : 7.82 %
FFH.PR.I FixedReset Disc 1.27 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-20
Maturity Price : 21.32
Evaluated at bid price : 21.60
Bid-YTW : 6.76 %
BN.PF.I FixedReset Disc 1.32 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-20
Maturity Price : 22.55
Evaluated at bid price : 23.05
Bid-YTW : 7.39 %
BN.PR.B Floater 1.32 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-20
Maturity Price : 11.50
Evaluated at bid price : 11.50
Bid-YTW : 9.28 %
MIC.PR.A Perpetual-Discount 1.33 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-20
Maturity Price : 21.31
Evaluated at bid price : 21.31
Bid-YTW : 6.45 %
CU.PR.C FixedReset Disc 1.48 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-20
Maturity Price : 20.55
Evaluated at bid price : 20.55
Bid-YTW : 6.71 %
BN.PF.J FixedReset Disc 1.62 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-20
Maturity Price : 22.59
Evaluated at bid price : 23.28
Bid-YTW : 6.80 %
BN.PR.T FixedReset Disc 1.94 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-20
Maturity Price : 16.82
Evaluated at bid price : 16.82
Bid-YTW : 7.81 %
BN.PF.H FixedReset Disc 2.26 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-20
Maturity Price : 23.99
Evaluated at bid price : 24.44
Bid-YTW : 7.38 %
GWO.PR.T Insurance Straight 3.41 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-20
Maturity Price : 21.20
Evaluated at bid price : 21.20
Bid-YTW : 6.18 %
PVS.PR.K SplitShare 3.96 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2029-05-31
Maturity Price : 25.00
Evaluated at bid price : 24.95
Bid-YTW : 4.75 %
FFH.PR.F FloatingReset 4.84 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-20
Maturity Price : 20.80
Evaluated at bid price : 20.80
Bid-YTW : 7.00 %
Volume Highlights
Issue Index Shares
Traded		 Notes
BN.PR.R FixedReset Disc 455,400 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-20
Maturity Price : 16.76
Evaluated at bid price : 16.76
Bid-YTW : 7.82 %
BN.PF.G FixedReset Disc 265,725 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-20
Maturity Price : 19.47
Evaluated at bid price : 19.47
Bid-YTW : 7.62 %
FFH.PR.C FixedReset Disc 101,047 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-20
Maturity Price : 24.15
Evaluated at bid price : 25.07
Bid-YTW : 6.32 %
ENB.PF.C FixedReset Disc 92,313 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-20
Maturity Price : 18.33
Evaluated at bid price : 18.33
Bid-YTW : 7.89 %
FFH.PR.D FloatingReset 62,869 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-20
Maturity Price : 24.61
Evaluated at bid price : 25.13
Bid-YTW : 6.77 %
FFH.PR.E FixedReset Disc 51,001 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-20
Maturity Price : 20.15
Evaluated at bid price : 20.15
Bid-YTW : 6.60 %
There were 22 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
IFC.PR.A FixedReset Ins Non Quote: 19.00 – 23.00
Spot Rate : 4.0000
Average : 2.2718

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-20
Maturity Price : 19.00
Evaluated at bid price : 19.00
Bid-YTW : 6.51 %
MFC.PR.C Insurance Straight Quote: 17.51 – 19.50
Spot Rate : 1.9900
Average : 1.1434

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-20
Maturity Price : 17.51
Evaluated at bid price : 17.51
Bid-YTW : 6.44 %
BN.PR.M Perpetual-Discount Quote: 17.85 – 19.32
Spot Rate : 1.4700
Average : 0.9611

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-20
Maturity Price : 17.85
Evaluated at bid price : 17.85
Bid-YTW : 6.78 %
BN.PF.C Perpetual-Discount Quote: 18.40 – 19.65
Spot Rate : 1.2500
Average : 0.8749

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-20
Maturity Price : 18.40
Evaluated at bid price : 18.40
Bid-YTW : 6.72 %
FFH.PR.K FixedReset Disc Quote: 23.00 – 24.00
Spot Rate : 1.0000
Average : 0.6516

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-20
Maturity Price : 22.52
Evaluated at bid price : 23.00
Bid-YTW : 7.03 %
GWO.PR.S Insurance Straight Quote: 21.00 – 21.99
Spot Rate : 0.9900
Average : 0.6441

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-20
Maturity Price : 21.00
Evaluated at bid price : 21.00
Bid-YTW : 6.37 %
Market Action

November 19, 2024

Canadian inflation is reported to have ticked up a little in October:

The Consumer Price Index rose at an annual rate of 2 per cent in October, up from 1.6 per cent in September, Statistics Canada said Tuesday in a report. Financial analysts were expecting an upturn to 1.9 per cent.

The inflation rate was guided higher by less flattering year-over-year calculations for gasoline prices and hefty increases in property taxes. On a monthly basis, the CPI rose 0.4 per cent.
…
But Tuesday’s report also showed that core measures of inflation – which strip out volatile movements in the CPI – heated up last month, an unwelcome development. This could prompt the BoC to shift back to rate cuts of a quarter-percentage-point after its half-point reduction in October.
…
Property taxes rose 6 per cent in October, year-over-year, up from 4.9 per cent in 2023 and the largest increase since 1992. Statscan makes an annual update to its property tax numbers in every October CPI report.

How market bets and economist views for future BoC rate cuts have shifted after today’s inflation data

Over all, housing inflation is trending lower. Shelter prices rose 4.8 per cent in October, year-over-year, compared with 5 per cent in September. Mortgage interest cost increases are slowing as the BoC cuts interest rates, and rents rose by an annual 7.3 per cent, down from 8.2 per cent in September. Still, national rents have jumped 25 per cent since the end of 2019, underscoring the financial headwinds facing millions of Canadians.

… and then:

Implied probabilities in swaps markets now suggest a 72 per cent chance of a 25 basis point cut on Dec. 11, and a 28 per cent chance that the bank will follow up with another jumbo 50 basis point cut, according to LSEG data.

Just prior to the inflation data, markets were pricing in 61 per cent odds of the 25 basis point cut.


Pre-Announcement

Post-Announcement

Interesting to see that the projected 2025-12-10 rate has ticked up to 2.81% from 2.78%.

Fairfax issues single-handedly lifted the market today, following reported reports (thanks, IrateAR!) that FFH will be issuing an LRCN-like sub-debt issue. We’ll see what gets reported tomorrow.

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 0.5104 % 2,160.2
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.5104 % 4,143.3
Floater 8.81 % 9.34 % 30,611 10.02 4 0.5104 % 2,387.8
OpRet 0.00 % 0.00 % 0 0.00 0 -0.5372 % 3,611.0
SplitShare 4.78 % 4.97 % 61,446 2.12 6 -0.5372 % 4,312.3
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.5372 % 3,364.6
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 0.2400 % 2,816.6
Perpetual-Discount 6.11 % 6.28 % 47,474 13.47 31 0.2400 % 3,071.4
FixedReset Disc 5.49 % 6.88 % 91,259 12.60 58 1.0107 % 2,691.1
Insurance Straight 5.96 % 6.12 % 59,710 13.65 21 0.7645 % 3,037.6
FloatingReset 6.90 % 6.77 % 33,191 12.72 2 8.3092 % 3,151.0
FixedReset Prem 6.39 % 5.54 % 169,957 3.70 7 -0.3247 % 2,590.7
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 1.0107 % 2,750.9
FixedReset Ins Non 5.20 % 6.28 % 72,253 13.40 14 0.5046 % 2,826.4
Performance Highlights
Issue Index Change Notes
PVS.PR.K SplitShare -4.23 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2029-05-31
Maturity Price : 25.00
Evaluated at bid price : 24.00
Bid-YTW : 5.73 %
TD.PF.I FixedReset Prem -1.12 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2027-10-31
Maturity Price : 25.00
Evaluated at bid price : 25.71
Bid-YTW : 5.41 %
IFC.PR.A FixedReset Ins Non -1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-19
Maturity Price : 19.00
Evaluated at bid price : 19.00
Bid-YTW : 6.51 %
BN.PF.B FixedReset Disc 1.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-19
Maturity Price : 20.51
Evaluated at bid price : 20.51
Bid-YTW : 7.32 %
PVS.PR.G SplitShare 1.24 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-02-28
Maturity Price : 25.00
Evaluated at bid price : 25.31
Bid-YTW : 3.98 %
MFC.PR.M FixedReset Ins Non 1.28 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-19
Maturity Price : 21.74
Evaluated at bid price : 22.15
Bid-YTW : 6.28 %
ENB.PR.H FixedReset Disc 1.32 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-19
Maturity Price : 19.92
Evaluated at bid price : 19.92
Bid-YTW : 6.92 %
BN.PR.K Floater 1.33 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-19
Maturity Price : 11.43
Evaluated at bid price : 11.43
Bid-YTW : 9.34 %
FFH.PR.M FixedReset Disc 1.34 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-03-31
Maturity Price : 25.00
Evaluated at bid price : 25.03
Bid-YTW : 6.67 %
MFC.PR.Q FixedReset Ins Non 1.39 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-19
Maturity Price : 22.97
Evaluated at bid price : 24.15
Bid-YTW : 6.01 %
CU.PR.D Perpetual-Discount 1.46 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-19
Maturity Price : 20.10
Evaluated at bid price : 20.10
Bid-YTW : 6.13 %
PWF.PR.Z Perpetual-Discount 1.83 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-19
Maturity Price : 20.64
Evaluated at bid price : 20.64
Bid-YTW : 6.31 %
IFC.PR.G FixedReset Ins Non 1.98 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-19
Maturity Price : 22.98
Evaluated at bid price : 24.18
Bid-YTW : 6.01 %
BIP.PR.A FixedReset Disc 2.31 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-19
Maturity Price : 21.69
Evaluated at bid price : 22.10
Bid-YTW : 7.53 %
BN.PR.M Perpetual-Discount 2.55 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-19
Maturity Price : 18.91
Evaluated at bid price : 18.91
Bid-YTW : 6.39 %
FFH.PR.K FixedReset Disc 4.19 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-19
Maturity Price : 22.90
Evaluated at bid price : 23.65
Bid-YTW : 6.82 %
FFH.PR.D FloatingReset 5.72 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-19
Maturity Price : 24.61
Evaluated at bid price : 25.13
Bid-YTW : 6.77 %
FFH.PR.C FixedReset Disc 6.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-19
Maturity Price : 24.13
Evaluated at bid price : 25.05
Bid-YTW : 6.32 %
FFH.PR.F FloatingReset 11.77 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-19
Maturity Price : 19.84
Evaluated at bid price : 19.84
Bid-YTW : 7.34 %
FFH.PR.I FixedReset Disc 13.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-19
Maturity Price : 21.33
Evaluated at bid price : 21.33
Bid-YTW : 6.86 %
FFH.PR.E FixedReset Disc 13.84 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-19
Maturity Price : 20.15
Evaluated at bid price : 20.15
Bid-YTW : 6.60 %
FFH.PR.G FixedReset Disc 14.33 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-19
Maturity Price : 20.35
Evaluated at bid price : 20.35
Bid-YTW : 6.88 %
GWO.PR.T Insurance Straight 18.84 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-19
Maturity Price : 20.50
Evaluated at bid price : 20.50
Bid-YTW : 6.40 %
Volume Highlights
Issue Index Shares
Traded		 Notes
FFH.PR.D FloatingReset 228,320 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-19
Maturity Price : 24.61
Evaluated at bid price : 25.13
Bid-YTW : 6.77 %
TD.PF.A FixedReset Disc 117,604 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-19
Maturity Price : 22.20
Evaluated at bid price : 22.87
Bid-YTW : 5.77 %
FFH.PR.G FixedReset Disc 100,846 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-19
Maturity Price : 20.35
Evaluated at bid price : 20.35
Bid-YTW : 6.88 %
FFH.PR.I FixedReset Disc 100,742 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-19
Maturity Price : 21.33
Evaluated at bid price : 21.33
Bid-YTW : 6.86 %
NA.PR.S FixedReset Disc 87,200 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-19
Maturity Price : 23.15
Evaluated at bid price : 24.85
Bid-YTW : 5.71 %
FTS.PR.H FixedReset Disc 75,500 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-19
Maturity Price : 15.48
Evaluated at bid price : 15.48
Bid-YTW : 7.28 %
There were 22 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
MFC.PR.K FixedReset Ins Non Quote: 24.39 – 25.88
Spot Rate : 1.4900
Average : 0.8468

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-19
Maturity Price : 23.04
Evaluated at bid price : 24.39
Bid-YTW : 5.78 %
PVS.PR.K SplitShare Quote: 24.00 – 25.10
Spot Rate : 1.1000
Average : 0.6038

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2029-05-31
Maturity Price : 25.00
Evaluated at bid price : 24.00
Bid-YTW : 5.73 %
ENB.PF.C FixedReset Disc Quote: 18.22 – 19.00
Spot Rate : 0.7800
Average : 0.5584

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-19
Maturity Price : 18.22
Evaluated at bid price : 18.22
Bid-YTW : 7.93 %
BN.PF.J FixedReset Disc Quote: 22.91 – 23.45
Spot Rate : 0.5400
Average : 0.3619

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-19
Maturity Price : 22.37
Evaluated at bid price : 22.91
Bid-YTW : 6.91 %
BN.PF.B FixedReset Disc Quote: 20.51 – 21.34
Spot Rate : 0.8300
Average : 0.6641

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-19
Maturity Price : 20.51
Evaluated at bid price : 20.51
Bid-YTW : 7.32 %
BN.PF.G FixedReset Disc Quote: 19.42 – 19.94
Spot Rate : 0.5200
Average : 0.3922

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-19
Maturity Price : 19.42
Evaluated at bid price : 19.42
Bid-YTW : 7.64 %
Market Action

November 18, 2024

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 -0.0213 % 2,149.3
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.0213 % 4,122.3
Floater 8.86 % 9.38 % 31,052 9.99 4 -0.0213 % 2,375.7
OpRet 0.00 % 0.00 % 0 0.00 0 0.1727 % 3,630.5
SplitShare 4.76 % 4.98 % 73,459 3.01 6 0.1727 % 4,335.6
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.1727 % 3,382.8
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 0.0385 % 2,809.9
Perpetual-Discount 6.13 % 6.26 % 49,376 13.50 31 0.0385 % 3,064.1
FixedReset Disc 5.55 % 7.01 % 89,305 12.47 58 0.2903 % 2,664.2
Insurance Straight 6.01 % 6.14 % 62,026 13.63 21 -0.5599 % 3,014.5
FloatingReset 7.47 % 7.18 % 30,632 12.24 2 1.5904 % 2,909.3
FixedReset Prem 6.37 % 5.53 % 171,007 3.70 7 0.1654 % 2,599.2
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 0.2903 % 2,723.3
FixedReset Ins Non 5.22 % 6.36 % 72,168 13.33 14 0.1168 % 2,812.2
Performance Highlights
Issue Index Change Notes
GWO.PR.T Insurance Straight -18.82 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-18
Maturity Price : 17.25
Evaluated at bid price : 17.25
Bid-YTW : 7.62 %
BN.PR.M Perpetual-Discount -3.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-18
Maturity Price : 18.44
Evaluated at bid price : 18.44
Bid-YTW : 6.56 %
PWF.PR.Z Perpetual-Discount -2.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-18
Maturity Price : 20.27
Evaluated at bid price : 20.27
Bid-YTW : 6.43 %
ENB.PR.D FixedReset Disc -1.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-18
Maturity Price : 17.66
Evaluated at bid price : 17.66
Bid-YTW : 7.82 %
BN.PF.C Perpetual-Discount -1.19 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-18
Maturity Price : 19.12
Evaluated at bid price : 19.12
Bid-YTW : 6.46 %
CU.PR.D Perpetual-Discount -1.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-18
Maturity Price : 19.81
Evaluated at bid price : 19.81
Bid-YTW : 6.22 %
ENB.PR.A Perpetual-Discount -1.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-18
Maturity Price : 21.78
Evaluated at bid price : 22.02
Bid-YTW : 6.26 %
POW.PR.D Perpetual-Discount -1.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-18
Maturity Price : 20.16
Evaluated at bid price : 20.16
Bid-YTW : 6.29 %
IFC.PR.A FixedReset Ins Non 1.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-18
Maturity Price : 19.20
Evaluated at bid price : 19.20
Bid-YTW : 6.44 %
BN.PF.E FixedReset Disc 1.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-18
Maturity Price : 18.50
Evaluated at bid price : 18.50
Bid-YTW : 7.73 %
GWO.PR.N FixedReset Ins Non 1.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-18
Maturity Price : 14.66
Evaluated at bid price : 14.66
Bid-YTW : 7.27 %
TD.PF.I FixedReset Prem 1.13 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2027-10-31
Maturity Price : 25.00
Evaluated at bid price : 26.00
Bid-YTW : 4.98 %
BIP.PR.E FixedReset Disc 1.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-18
Maturity Price : 22.57
Evaluated at bid price : 23.30
Bid-YTW : 6.81 %
FFH.PR.G FixedReset Disc 1.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-18
Maturity Price : 17.80
Evaluated at bid price : 17.80
Bid-YTW : 7.85 %
BN.PF.I FixedReset Disc 1.17 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-18
Maturity Price : 22.23
Evaluated at bid price : 22.56
Bid-YTW : 7.55 %
BIP.PR.B FixedReset Disc 1.31 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-12-31
Maturity Price : 25.00
Evaluated at bid price : 24.77
Bid-YTW : 7.11 %
FFH.PR.K FixedReset Disc 1.34 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-18
Maturity Price : 22.32
Evaluated at bid price : 22.70
Bid-YTW : 7.12 %
FFH.PR.E FixedReset Disc 1.37 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-18
Maturity Price : 17.70
Evaluated at bid price : 17.70
Bid-YTW : 7.52 %
MIC.PR.A Perpetual-Discount 1.94 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-18
Maturity Price : 21.00
Evaluated at bid price : 21.00
Bid-YTW : 6.55 %
SLF.PR.C Insurance Straight 2.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-18
Maturity Price : 20.20
Evaluated at bid price : 20.20
Bid-YTW : 5.60 %
FFH.PR.D FloatingReset 2.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-18
Maturity Price : 23.51
Evaluated at bid price : 23.77
Bid-YTW : 7.18 %
CU.PR.F Perpetual-Discount 2.50 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-18
Maturity Price : 18.46
Evaluated at bid price : 18.46
Bid-YTW : 6.13 %
GWO.PR.G Insurance Straight 3.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-18
Maturity Price : 21.50
Evaluated at bid price : 21.50
Bid-YTW : 6.15 %
CU.PR.C FixedReset Disc 4.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-18
Maturity Price : 20.41
Evaluated at bid price : 20.41
Bid-YTW : 6.75 %
POW.PR.A Perpetual-Discount 5.81 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-18
Maturity Price : 22.49
Evaluated at bid price : 22.75
Bid-YTW : 6.23 %
Volume Highlights
Issue Index Shares
Traded		 Notes
TD.PF.D FixedReset Disc 100,000 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-18
Maturity Price : 23.51
Evaluated at bid price : 24.16
Bid-YTW : 6.02 %
GWO.PR.N FixedReset Ins Non 69,600 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-18
Maturity Price : 14.66
Evaluated at bid price : 14.66
Bid-YTW : 7.27 %
ENB.PF.A FixedReset Disc 33,600 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-18
Maturity Price : 19.00
Evaluated at bid price : 19.00
Bid-YTW : 7.68 %
ENB.PR.T FixedReset Disc 25,300 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-18
Maturity Price : 20.06
Evaluated at bid price : 20.06
Bid-YTW : 7.34 %
BN.PF.G FixedReset Disc 25,000 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-18
Maturity Price : 19.39
Evaluated at bid price : 19.39
Bid-YTW : 7.65 %
BN.PF.C Perpetual-Discount 15,300 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-18
Maturity Price : 19.12
Evaluated at bid price : 19.12
Bid-YTW : 6.46 %
There were 4 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
GWO.PR.T Insurance Straight Quote: 17.25 – 21.39
Spot Rate : 4.1400
Average : 2.3622

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-18
Maturity Price : 17.25
Evaluated at bid price : 17.25
Bid-YTW : 7.62 %
BN.PR.M Perpetual-Discount Quote: 18.44 – 19.44
Spot Rate : 1.0000
Average : 0.5929

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-18
Maturity Price : 18.44
Evaluated at bid price : 18.44
Bid-YTW : 6.56 %
ENB.PR.A Perpetual-Discount Quote: 22.02 – 22.85
Spot Rate : 0.8300
Average : 0.5406

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-18
Maturity Price : 21.78
Evaluated at bid price : 22.02
Bid-YTW : 6.26 %
CU.PR.D Perpetual-Discount Quote: 19.81 – 20.40
Spot Rate : 0.5900
Average : 0.3647

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-18
Maturity Price : 19.81
Evaluated at bid price : 19.81
Bid-YTW : 6.22 %
MFC.PR.F FixedReset Ins Non Quote: 16.36 – 17.89
Spot Rate : 1.5300
Average : 1.3349

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-18
Maturity Price : 16.36
Evaluated at bid price : 16.36
Bid-YTW : 6.67 %
PWF.PR.Z Perpetual-Discount Quote: 20.27 – 21.00
Spot Rate : 0.7300
Average : 0.5418

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-18
Maturity Price : 20.27
Evaluated at bid price : 20.27
Bid-YTW : 6.43 %
Market Action

November 15, 2024

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 -0.0850 % 2,149.7
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.0850 % 4,123.2
Floater 8.86 % 9.39 % 32,343 9.98 4 -0.0850 % 2,376.2
OpRet 0.00 % 0.00 % 0 0.00 0 0.0731 % 3,624.2
SplitShare 4.77 % 5.14 % 73,677 2.13 6 0.0731 % 4,328.1
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0731 % 3,377.0
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 -0.4566 % 2,808.8
Perpetual-Discount 6.13 % 6.27 % 49,156 13.50 31 -0.4566 % 3,062.9
FixedReset Disc 5.56 % 6.93 % 89,498 12.47 58 -0.2560 % 2,656.5
Insurance Straight 5.97 % 6.12 % 62,750 13.68 21 -0.3787 % 3,031.5
FloatingReset 7.59 % 7.33 % 29,441 12.06 2 -0.0733 % 2,863.7
FixedReset Prem 6.38 % 5.55 % 169,853 3.71 7 -0.2968 % 2,594.9
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 -0.2560 % 2,715.5
FixedReset Ins Non 5.23 % 6.20 % 74,606 13.49 14 0.1342 % 2,808.9
Performance Highlights
Issue Index Change Notes
POW.PR.A Perpetual-Discount -5.70 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-15
Maturity Price : 21.50
Evaluated at bid price : 21.50
Bid-YTW : 6.61 %
CU.PR.C FixedReset Disc -2.97 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-15
Maturity Price : 19.60
Evaluated at bid price : 19.60
Bid-YTW : 6.92 %
GWO.PR.G Insurance Straight -2.80 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-15
Maturity Price : 20.85
Evaluated at bid price : 20.85
Bid-YTW : 6.34 %
CU.PR.F Perpetual-Discount -2.54 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-15
Maturity Price : 18.01
Evaluated at bid price : 18.01
Bid-YTW : 6.28 %
MIC.PR.A Perpetual-Discount -1.95 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-15
Maturity Price : 20.60
Evaluated at bid price : 20.60
Bid-YTW : 6.67 %
BN.PF.F FixedReset Disc -1.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-15
Maturity Price : 20.00
Evaluated at bid price : 20.00
Bid-YTW : 7.49 %
BN.PF.D Perpetual-Discount -1.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-15
Maturity Price : 19.30
Evaluated at bid price : 19.30
Bid-YTW : 6.46 %
GWO.PR.Y Insurance Straight -1.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-15
Maturity Price : 18.80
Evaluated at bid price : 18.80
Bid-YTW : 6.08 %
TD.PF.I FixedReset Prem -1.00 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2027-10-31
Maturity Price : 25.00
Evaluated at bid price : 25.71
Bid-YTW : 5.39 %
BIP.PR.F FixedReset Disc 1.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-15
Maturity Price : 22.33
Evaluated at bid price : 23.00
Bid-YTW : 6.72 %
GWO.PR.T Insurance Straight 1.19 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-15
Maturity Price : 21.25
Evaluated at bid price : 21.25
Bid-YTW : 6.16 %
ENB.PR.D FixedReset Disc 1.21 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-15
Maturity Price : 17.88
Evaluated at bid price : 17.88
Bid-YTW : 7.61 %
FTS.PR.K FixedReset Disc 1.32 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-15
Maturity Price : 19.96
Evaluated at bid price : 19.96
Bid-YTW : 6.67 %
BIP.PR.B FixedReset Disc 1.33 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-15
Maturity Price : 24.01
Evaluated at bid price : 24.45
Bid-YTW : 7.67 %
ENB.PF.A FixedReset Disc 1.89 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-15
Maturity Price : 18.96
Evaluated at bid price : 18.96
Bid-YTW : 7.56 %
Volume Highlights
Issue Index Shares
Traded		 Notes
PWF.PR.A Floater 155,500 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-15
Maturity Price : 13.05
Evaluated at bid price : 13.05
Bid-YTW : 8.06 %
TD.PF.D FixedReset Disc 125,490 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-15
Maturity Price : 23.58
Evaluated at bid price : 24.21
Bid-YTW : 5.91 %
SLF.PR.C Insurance Straight 27,082 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-15
Maturity Price : 19.80
Evaluated at bid price : 19.80
Bid-YTW : 5.71 %
SLF.PR.G FixedReset Ins Non 19,100 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-15
Maturity Price : 16.10
Evaluated at bid price : 16.10
Bid-YTW : 6.80 %
RY.PR.S FixedReset Prem 15,100 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-15
Maturity Price : 23.38
Evaluated at bid price : 25.50
Bid-YTW : 5.34 %
NA.PR.S FixedReset Disc 14,418 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-15
Maturity Price : 23.15
Evaluated at bid price : 24.84
Bid-YTW : 5.63 %
There were 12 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
TD.PF.D FixedReset Disc Quote: 24.21 – 26.25
Spot Rate : 2.0400
Average : 1.3325

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-15
Maturity Price : 23.58
Evaluated at bid price : 24.21
Bid-YTW : 5.91 %
POW.PR.A Perpetual-Discount Quote: 21.50 – 22.90
Spot Rate : 1.4000
Average : 0.8473

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-15
Maturity Price : 21.50
Evaluated at bid price : 21.50
Bid-YTW : 6.61 %
GWO.PR.G Insurance Straight Quote: 20.85 – 21.71
Spot Rate : 0.8600
Average : 0.5572

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-15
Maturity Price : 20.85
Evaluated at bid price : 20.85
Bid-YTW : 6.34 %
CU.PR.C FixedReset Disc Quote: 19.60 – 20.60
Spot Rate : 1.0000
Average : 0.7163

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-15
Maturity Price : 19.60
Evaluated at bid price : 19.60
Bid-YTW : 6.92 %
BN.PF.G FixedReset Disc Quote: 19.39 – 20.14
Spot Rate : 0.7500
Average : 0.4737

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-15
Maturity Price : 19.39
Evaluated at bid price : 19.39
Bid-YTW : 7.52 %
CCS.PR.C Insurance Straight Quote: 20.80 – 21.40
Spot Rate : 0.6000
Average : 0.3889

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-15
Maturity Price : 20.80
Evaluated at bid price : 20.80
Bid-YTW : 6.11 %
Market Action

November 14, 2024

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 0.1702 % 2,151.6
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.1702 % 4,126.7
Floater 8.85 % 9.39 % 31,924 9.99 4 0.1702 % 2,378.2
OpRet 0.00 % 0.00 % 0 0.00 0 0.3402 % 3,621.6
SplitShare 4.77 % 5.13 % 73,345 2.14 6 0.3402 % 4,324.9
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.3402 % 3,374.5
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 0.5717 % 2,821.7
Perpetual-Discount 6.10 % 6.25 % 49,614 13.53 31 0.5717 % 3,076.9
FixedReset Disc 5.55 % 6.94 % 90,775 12.52 58 0.2814 % 2,663.3
Insurance Straight 5.95 % 6.11 % 62,218 13.68 21 0.1908 % 3,043.0
FloatingReset 7.59 % 7.29 % 29,059 12.12 2 -0.4139 % 2,865.9
FixedReset Prem 6.36 % 5.55 % 169,195 3.72 7 0.2867 % 2,602.6
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 0.2814 % 2,722.4
FixedReset Ins Non 5.24 % 6.25 % 75,697 13.48 14 0.9308 % 2,805.2
Performance Highlights
Issue Index Change Notes
PWF.PR.G Perpetual-Discount -1.26 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-14
Maturity Price : 23.25
Evaluated at bid price : 23.55
Bid-YTW : 6.31 %
BN.PF.F FixedReset Disc 1.25 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-14
Maturity Price : 20.25
Evaluated at bid price : 20.25
Bid-YTW : 7.40 %
GWO.PR.M Insurance Straight 2.17 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-14
Maturity Price : 23.25
Evaluated at bid price : 23.55
Bid-YTW : 6.25 %
PWF.PR.S Perpetual-Discount 2.34 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-14
Maturity Price : 19.65
Evaluated at bid price : 19.65
Bid-YTW : 6.17 %
MIC.PR.A Perpetual-Discount 2.49 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-14
Maturity Price : 21.01
Evaluated at bid price : 21.01
Bid-YTW : 6.54 %
CU.PR.F Perpetual-Discount 2.61 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-14
Maturity Price : 18.48
Evaluated at bid price : 18.48
Bid-YTW : 6.11 %
BIP.PR.B FixedReset Disc 4.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-14
Maturity Price : 23.64
Evaluated at bid price : 24.13
Bid-YTW : 7.76 %
RY.PR.O Perpetual-Discount 7.54 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-14
Maturity Price : 23.53
Evaluated at bid price : 23.81
Bid-YTW : 5.15 %
IFC.PR.C FixedReset Ins Non 10.83 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-14
Maturity Price : 19.95
Evaluated at bid price : 19.95
Bid-YTW : 6.86 %
Volume Highlights
Issue Index Shares
Traded		 Notes
CU.PR.F Perpetual-Discount 93,700 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-14
Maturity Price : 18.48
Evaluated at bid price : 18.48
Bid-YTW : 6.11 %
FTS.PR.M FixedReset Disc 31,815 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-14
Maturity Price : 20.50
Evaluated at bid price : 20.50
Bid-YTW : 6.86 %
PVS.PR.L SplitShare 23,400 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-06-30
Maturity Price : 25.00
Evaluated at bid price : 25.65
Bid-YTW : 5.13 %
ENB.PF.C FixedReset Disc 19,600 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-14
Maturity Price : 18.30
Evaluated at bid price : 18.30
Bid-YTW : 7.87 %
PWF.PF.A Perpetual-Discount 19,217 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-14
Maturity Price : 18.29
Evaluated at bid price : 18.29
Bid-YTW : 6.21 %
ENB.PR.T FixedReset Disc 15,439 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-14
Maturity Price : 20.31
Evaluated at bid price : 20.31
Bid-YTW : 7.31 %
There were 6 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
TD.PF.D FixedReset Disc Quote: 24.21 – 25.21
Spot Rate : 1.0000
Average : 0.5569

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-14
Maturity Price : 23.58
Evaluated at bid price : 24.21
Bid-YTW : 5.91 %
ENB.PF.C FixedReset Disc Quote: 18.30 – 18.80
Spot Rate : 0.5000
Average : 0.3259

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-14
Maturity Price : 18.30
Evaluated at bid price : 18.30
Bid-YTW : 7.87 %
TD.PF.C FixedReset Disc Quote: 23.40 – 23.78
Spot Rate : 0.3800
Average : 0.2398

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-14
Maturity Price : 22.48
Evaluated at bid price : 23.40
Bid-YTW : 5.63 %
ENB.PF.A FixedReset Disc Quote: 18.85 – 19.29
Spot Rate : 0.4400
Average : 0.3240

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-14
Maturity Price : 18.85
Evaluated at bid price : 18.85
Bid-YTW : 7.72 %
PWF.PR.G Perpetual-Discount Quote: 23.55 – 23.85
Spot Rate : 0.3000
Average : 0.2072

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-14
Maturity Price : 23.25
Evaluated at bid price : 23.55
Bid-YTW : 6.31 %
BN.PF.H FixedReset Disc Quote: 23.90 – 24.40
Spot Rate : 0.5000
Average : 0.4072

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-14
Maturity Price : 23.39
Evaluated at bid price : 23.90
Bid-YTW : 7.44 %
Market Action

November 13, 2024

PerpetualDiscounts now yield 6.26%, equivalent to 8.14% interest at the standard equivalency factor of 1.3x. Long corporates yielded 4.77% on 2024-11-12 and since then the closing price of ZLC has changed from 15.51 to 15.46, a total return of -0.32%, implying an increase of yields of 3bp (BMO reports a duration of 12.49, but don’t disclose whether this is Macaulay or Modified; I will assume Modified) to 4.80%. Therefore, the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) has narrowed slightly (and perhaps spuriously) to 335bp from the 340bp reported November 6.

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 -0.0638 % 2,147.9
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.0638 % 4,119.7
Floater 8.86 % 9.38 % 33,110 9.99 4 -0.0638 % 2,374.2
OpRet 0.00 % 0.00 % 0 0.00 0 0.2206 % 3,609.3
SplitShare 4.79 % 5.33 % 73,463 2.14 6 0.2206 % 4,310.3
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.2206 % 3,363.0
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 0.4489 % 2,805.7
Perpetual-Discount 6.14 % 6.26 % 49,611 13.52 31 0.4489 % 3,059.4
FixedReset Disc 5.56 % 7.01 % 92,145 12.45 58 0.2706 % 2,655.8
Insurance Straight 5.96 % 6.12 % 61,466 13.67 21 0.9309 % 3,037.2
FloatingReset 7.55 % 7.24 % 27,808 12.18 2 0.7853 % 2,877.8
FixedReset Prem 6.38 % 5.54 % 168,861 3.72 7 0.1104 % 2,595.2
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 0.2706 % 2,714.8
FixedReset Ins Non 5.29 % 6.26 % 75,443 13.46 14 0.2891 % 2,779.3
Performance Highlights
Issue Index Change Notes
RY.PR.O Perpetual-Discount -7.75 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-13
Maturity Price : 21.90
Evaluated at bid price : 22.14
Bid-YTW : 5.55 %
GWO.PR.M Insurance Straight -2.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-13
Maturity Price : 22.77
Evaluated at bid price : 23.05
Bid-YTW : 6.38 %
PWF.PR.O Perpetual-Discount -1.28 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-13
Maturity Price : 22.77
Evaluated at bid price : 23.05
Bid-YTW : 6.34 %
POW.PR.C Perpetual-Discount -1.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-13
Maturity Price : 23.21
Evaluated at bid price : 23.51
Bid-YTW : 6.24 %
BN.PF.E FixedReset Disc 1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-13
Maturity Price : 18.42
Evaluated at bid price : 18.42
Bid-YTW : 7.62 %
POW.PR.A Perpetual-Discount 1.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-13
Maturity Price : 22.55
Evaluated at bid price : 22.80
Bid-YTW : 6.21 %
FTS.PR.G FixedReset Disc 1.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-13
Maturity Price : 21.67
Evaluated at bid price : 21.96
Bid-YTW : 6.29 %
PWF.PF.A Perpetual-Discount 1.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-13
Maturity Price : 18.22
Evaluated at bid price : 18.22
Bid-YTW : 6.24 %
IFC.PR.G FixedReset Ins Non 1.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-13
Maturity Price : 22.89
Evaluated at bid price : 24.00
Bid-YTW : 5.97 %
ELF.PR.H Perpetual-Discount 1.32 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-13
Maturity Price : 22.07
Evaluated at bid price : 22.30
Bid-YTW : 6.23 %
FFH.PR.I FixedReset Disc 1.36 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-13
Maturity Price : 18.70
Evaluated at bid price : 18.70
Bid-YTW : 7.68 %
BN.PR.N Perpetual-Discount 2.71 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-13
Maturity Price : 18.95
Evaluated at bid price : 18.95
Bid-YTW : 6.37 %
GWO.PR.I Insurance Straight 2.90 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-13
Maturity Price : 19.14
Evaluated at bid price : 19.14
Bid-YTW : 5.97 %
BN.PF.C Perpetual-Discount 3.50 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-13
Maturity Price : 19.20
Evaluated at bid price : 19.20
Bid-YTW : 6.42 %
CU.PR.J Perpetual-Discount 3.94 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-13
Maturity Price : 19.28
Evaluated at bid price : 19.28
Bid-YTW : 6.19 %
BN.PF.F FixedReset Disc 4.99 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-13
Maturity Price : 20.00
Evaluated at bid price : 20.00
Bid-YTW : 7.49 %
PWF.PR.S Perpetual-Discount 12.94 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-13
Maturity Price : 19.20
Evaluated at bid price : 19.20
Bid-YTW : 6.31 %
GWO.PR.T Insurance Straight 22.84 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-13
Maturity Price : 21.19
Evaluated at bid price : 21.19
Bid-YTW : 6.18 %
Volume Highlights
Issue Index Shares
Traded		 Notes
ENB.PR.N FixedReset Disc 160,482 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-13
Maturity Price : 21.29
Evaluated at bid price : 21.57
Bid-YTW : 7.10 %
ENB.PR.F FixedReset Disc 46,662 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-13
Maturity Price : 18.23
Evaluated at bid price : 18.23
Bid-YTW : 7.81 %
ENB.PF.A FixedReset Disc 45,577 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-13
Maturity Price : 18.85
Evaluated at bid price : 18.85
Bid-YTW : 7.72 %
TD.PF.C FixedReset Disc 39,770 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-13
Maturity Price : 22.46
Evaluated at bid price : 23.35
Bid-YTW : 5.64 %
PVS.PR.L SplitShare 32,600 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-06-30
Maturity Price : 25.00
Evaluated at bid price : 25.40
Bid-YTW : 5.33 %
GWO.PR.T Insurance Straight 27,753 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-13
Maturity Price : 21.19
Evaluated at bid price : 21.19
Bid-YTW : 6.18 %
There were 12 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
RY.PR.O Perpetual-Discount Quote: 22.14 – 24.29
Spot Rate : 2.1500
Average : 1.2213

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-13
Maturity Price : 21.90
Evaluated at bid price : 22.14
Bid-YTW : 5.55 %
POW.PR.C Perpetual-Discount Quote: 23.51 – 24.48
Spot Rate : 0.9700
Average : 0.6368

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-13
Maturity Price : 23.21
Evaluated at bid price : 23.51
Bid-YTW : 6.24 %
GWO.PR.M Insurance Straight Quote: 23.05 – 23.80
Spot Rate : 0.7500
Average : 0.4592

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-13
Maturity Price : 22.77
Evaluated at bid price : 23.05
Bid-YTW : 6.38 %
BIP.PR.B FixedReset Disc Quote: 23.15 – 24.54
Spot Rate : 1.3900
Average : 1.1013

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-13
Maturity Price : 22.65
Evaluated at bid price : 23.15
Bid-YTW : 8.09 %
ENB.PR.N FixedReset Disc Quote: 21.57 – 22.10
Spot Rate : 0.5300
Average : 0.3236

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-13
Maturity Price : 21.29
Evaluated at bid price : 21.57
Bid-YTW : 7.10 %
PWF.PR.O Perpetual-Discount Quote: 23.05 – 24.00
Spot Rate : 0.9500
Average : 0.7480

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-13
Maturity Price : 22.77
Evaluated at bid price : 23.05
Bid-YTW : 6.34 %
Market Action

November 12, 2024

So, there are disconcerting rumblings about the Fed:

Elon Musk, a key Trump backer who is expected to have considerable sway in helping shape Trump’s policies, included a “100” emoji while resharing Republican Sen. Mike Lee of Utah’s post on X calling for abolishing the Fed.

“The Executive Branch should be under the direction of the president,” Lee said Thursday in a post on X, hours after Fed Chair Jerome Powell told reporters he wouldn’t resign if Trump asked him to. “The Federal Reserve is one of many examples of how we’ve deviated from the Constitution in that regard,” Lee added. “Yet another reason why we should #EndTheFed.”
…
“The American people re-elected President Trump by a resounding margin giving him a mandate to implement the promises he made on the campaign trail. He will deliver,” Leavitt said in an emailed statement to CNN.

Those promises include bringing interest rates “way down,” which Trump vowed to do if elected at the National Association of Black Journalists’ annual conference in August. Presidents, however, don’t have any direct influence over the rates Americans pay to borrow money.
…
Trump floated requiring Fed officials to consult with him on interest rate decisions. That could lead to pressure on Fed officials to keep rates lower to satisfy Trump’s wishes, which in turn could reignite inflation.

During his first term, Trump also threatened to remove or demote Fed Chair Jerome Powell, whom he has at times blamed for keeping interest rates too high.

So how much would all that be worth in real life? Maybe a full point on 10-year treasuries, just for starters? All this would be on top of the firehosing of debt-funded money into the economy … well, Trump’s always been a fan of thugs like Erdogan and, I suppose, wants to do for the US what Erdogan’s done for Turkey.

What a world! “Axe the tax” is considered incisive political commentary, and a provincial party can project economic growth of 5.4% (in order to project a balanced budget, eventually) and still get a lot of votes … buckle your seatbelts, boys!

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 0.0426 % 2,149.3
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.0426 % 4,122.3
Floater 8.86 % 9.39 % 32,543 9.99 4 0.0426 % 2,375.7
OpRet 0.00 % 0.00 % 0 0.00 0 -0.1269 % 3,601.4
SplitShare 4.80 % 5.42 % 71,420 2.14 6 -0.1269 % 4,300.8
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.1269 % 3,355.6
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 -0.7315 % 2,793.1
Perpetual-Discount 6.16 % 6.27 % 50,755 13.49 31 -0.7315 % 3,045.8
FixedReset Disc 5.58 % 7.02 % 91,046 12.45 58 0.1640 % 2,648.7
Insurance Straight 6.02 % 6.13 % 64,039 13.67 21 0.1447 % 3,009.2
FloatingReset 7.61 % 7.28 % 28,061 12.12 2 0.3695 % 2,855.3
FixedReset Prem 6.39 % 5.59 % 174,934 3.72 7 0.4602 % 2,592.3
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 0.1640 % 2,707.5
FixedReset Ins Non 5.30 % 6.28 % 75,231 13.44 14 0.2829 % 2,771.3
Performance Highlights
Issue Index Change Notes
GWO.PR.T Insurance Straight -18.21 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-12
Maturity Price : 17.25
Evaluated at bid price : 17.25
Bid-YTW : 7.61 %
PWF.PR.S Perpetual-Discount -13.27 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-12
Maturity Price : 17.00
Evaluated at bid price : 17.00
Bid-YTW : 7.14 %
BIP.PR.B FixedReset Disc -4.93 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-12
Maturity Price : 22.65
Evaluated at bid price : 23.15
Bid-YTW : 8.09 %
CU.PR.J Perpetual-Discount -4.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-12
Maturity Price : 18.55
Evaluated at bid price : 18.55
Bid-YTW : 6.43 %
BN.PF.C Perpetual-Discount -3.64 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-12
Maturity Price : 18.55
Evaluated at bid price : 18.55
Bid-YTW : 6.65 %
CU.PR.F Perpetual-Discount -3.17 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-12
Maturity Price : 18.01
Evaluated at bid price : 18.01
Bid-YTW : 6.27 %
PWF.PF.A Perpetual-Discount -2.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-12
Maturity Price : 18.00
Evaluated at bid price : 18.00
Bid-YTW : 6.31 %
ELF.PR.H Perpetual-Discount -1.96 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-12
Maturity Price : 21.76
Evaluated at bid price : 22.01
Bid-YTW : 6.32 %
BN.PF.A FixedReset Disc -1.81 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-12
Maturity Price : 21.90
Evaluated at bid price : 22.29
Bid-YTW : 7.02 %
GWO.PR.I Insurance Straight -1.80 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-12
Maturity Price : 18.60
Evaluated at bid price : 18.60
Bid-YTW : 6.15 %
MIC.PR.A Perpetual-Discount -1.49 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-12
Maturity Price : 20.50
Evaluated at bid price : 20.50
Bid-YTW : 6.70 %
CU.PR.C FixedReset Disc -1.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-12
Maturity Price : 20.10
Evaluated at bid price : 20.10
Bid-YTW : 6.74 %
BN.PR.Z FixedReset Disc -1.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-12
Maturity Price : 20.40
Evaluated at bid price : 20.40
Bid-YTW : 7.52 %
CU.PR.I FixedReset Disc 1.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-12
Maturity Price : 23.71
Evaluated at bid price : 24.21
Bid-YTW : 6.79 %
MFC.PR.C Insurance Straight 1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-12
Maturity Price : 19.80
Evaluated at bid price : 19.80
Bid-YTW : 5.78 %
ENB.PF.G FixedReset Disc 1.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-12
Maturity Price : 17.71
Evaluated at bid price : 17.71
Bid-YTW : 7.97 %
MFC.PR.M FixedReset Ins Non 1.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-12
Maturity Price : 21.43
Evaluated at bid price : 21.72
Bid-YTW : 6.28 %
ENB.PR.D FixedReset Disc 1.18 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-12
Maturity Price : 18.01
Evaluated at bid price : 18.01
Bid-YTW : 7.71 %
FTS.PR.G FixedReset Disc 1.21 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-12
Maturity Price : 21.38
Evaluated at bid price : 21.70
Bid-YTW : 6.37 %
FTS.PR.H FixedReset Disc 1.45 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-12
Maturity Price : 15.35
Evaluated at bid price : 15.35
Bid-YTW : 7.24 %
BIK.PR.A FixedReset Prem 1.73 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2029-04-01
Maturity Price : 25.00
Evaluated at bid price : 27.07
Bid-YTW : 5.60 %
BN.PR.N Perpetual-Discount 8.53 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-12
Maturity Price : 18.45
Evaluated at bid price : 18.45
Bid-YTW : 6.55 %
BN.PF.I FixedReset Disc 14.65 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-12
Maturity Price : 21.69
Evaluated at bid price : 22.15
Bid-YTW : 7.58 %
SLF.PR.C Insurance Straight 29.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-12
Maturity Price : 19.90
Evaluated at bid price : 19.90
Bid-YTW : 5.68 %
Volume Highlights
Issue Index Shares
Traded		 Notes
NA.PR.S FixedReset Disc 152,000 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-12
Maturity Price : 23.14
Evaluated at bid price : 24.83
Bid-YTW : 5.63 %
CU.PR.D Perpetual-Discount 137,591 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-12
Maturity Price : 19.80
Evaluated at bid price : 19.80
Bid-YTW : 6.21 %
MFC.PR.L FixedReset Ins Non 101,857 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-12
Maturity Price : 22.23
Evaluated at bid price : 22.88
Bid-YTW : 5.94 %
ENB.PR.T FixedReset Disc 90,544 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-12
Maturity Price : 20.18
Evaluated at bid price : 20.18
Bid-YTW : 7.36 %
BMO.PR.W FixedReset Disc 71,907 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-12
Maturity Price : 23.96
Evaluated at bid price : 24.95
Bid-YTW : 5.24 %
BN.PF.G FixedReset Disc 64,930 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-12
Maturity Price : 19.39
Evaluated at bid price : 19.39
Bid-YTW : 7.52 %
There were 14 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
GWO.PR.T Insurance Straight Quote: 17.25 – 21.20
Spot Rate : 3.9500
Average : 2.3036

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-12
Maturity Price : 17.25
Evaluated at bid price : 17.25
Bid-YTW : 7.61 %
BIP.PR.E FixedReset Disc Quote: 22.90 – 25.10
Spot Rate : 2.2000
Average : 1.3186

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-12
Maturity Price : 22.34
Evaluated at bid price : 22.90
Bid-YTW : 6.85 %
PWF.PR.S Perpetual-Discount Quote: 17.00 – 20.00
Spot Rate : 3.0000
Average : 2.2562

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-12
Maturity Price : 17.00
Evaluated at bid price : 17.00
Bid-YTW : 7.14 %
BIP.PR.B FixedReset Disc Quote: 23.15 – 24.50
Spot Rate : 1.3500
Average : 0.7847

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-12
Maturity Price : 22.65
Evaluated at bid price : 23.15
Bid-YTW : 8.09 %
POW.PR.A Perpetual-Discount Quote: 22.56 – 23.70
Spot Rate : 1.1400
Average : 0.7214

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-12
Maturity Price : 22.29
Evaluated at bid price : 22.56
Bid-YTW : 6.27 %
GWO.PR.S Insurance Straight Quote: 21.50 – 22.50
Spot Rate : 1.0000
Average : 0.6397

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-12
Maturity Price : 21.50
Evaluated at bid price : 21.50
Bid-YTW : 6.20 %
Market Action

November 11, 2024

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 0.5133 % 2,148.4
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.5133 % 4,120.5
Floater 8.86 % 9.41 % 33,056 9.97 4 0.5133 % 2,374.7
OpRet 0.00 % 0.00 % 0 0.00 0 0.0601 % 3,605.9
SplitShare 4.79 % 5.39 % 68,333 3.02 6 0.0601 % 4,306.2
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0601 % 3,359.9
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 0.9854 % 2,813.7
Perpetual-Discount 6.12 % 6.24 % 51,410 13.55 31 0.9854 % 3,068.2
FixedReset Disc 5.59 % 6.99 % 92,363 12.40 58 0.0470 % 2,644.3
Insurance Straight 6.02 % 6.11 % 66,637 13.69 21 -0.4844 % 3,004.9
FloatingReset 7.64 % 7.31 % 28,413 12.09 2 -0.5146 % 2,844.8
FixedReset Prem 6.42 % 5.73 % 175,538 3.71 7 -0.2433 % 2,580.4
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 0.0470 % 2,703.0
FixedReset Ins Non 5.32 % 6.37 % 77,987 13.38 14 0.0419 % 2,763.5
Performance Highlights
Issue Index Change Notes
SLF.PR.C Insurance Straight -21.63 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-11
Maturity Price : 15.40
Evaluated at bid price : 15.40
Bid-YTW : 7.36 %
BN.PF.I FixedReset Disc -12.82 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-11
Maturity Price : 19.32
Evaluated at bid price : 19.32
Bid-YTW : 8.70 %
BN.PR.N Perpetual-Discount -10.43 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-11
Maturity Price : 17.00
Evaluated at bid price : 17.00
Bid-YTW : 7.11 %
BN.PF.F FixedReset Disc -5.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-11
Maturity Price : 19.00
Evaluated at bid price : 19.00
Bid-YTW : 7.88 %
MFC.PR.I FixedReset Ins Non 1.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-11
Maturity Price : 23.02
Evaluated at bid price : 24.04
Bid-YTW : 6.22 %
FTS.PR.M FixedReset Disc 1.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-11
Maturity Price : 20.22
Evaluated at bid price : 20.22
Bid-YTW : 6.95 %
GWO.PR.I Insurance Straight 1.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-11
Maturity Price : 18.94
Evaluated at bid price : 18.94
Bid-YTW : 6.03 %
GWO.PR.Y Insurance Straight 1.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-11
Maturity Price : 18.88
Evaluated at bid price : 18.88
Bid-YTW : 6.05 %
SLF.PR.E Insurance Straight 1.25 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-11
Maturity Price : 20.20
Evaluated at bid price : 20.20
Bid-YTW : 5.65 %
BIP.PR.E FixedReset Disc 1.41 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-11
Maturity Price : 22.41
Evaluated at bid price : 23.02
Bid-YTW : 6.81 %
GWO.PR.Q Insurance Straight 1.43 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-11
Maturity Price : 21.25
Evaluated at bid price : 21.25
Bid-YTW : 6.16 %
PWF.PR.A Floater 1.55 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-11
Maturity Price : 13.10
Evaluated at bid price : 13.10
Bid-YTW : 8.02 %
POW.PR.C Perpetual-Discount 1.72 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-11
Maturity Price : 23.36
Evaluated at bid price : 23.65
Bid-YTW : 6.20 %
CU.PR.C FixedReset Disc 1.75 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-11
Maturity Price : 20.35
Evaluated at bid price : 20.35
Bid-YTW : 6.66 %
GWO.PR.T Insurance Straight 2.88 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-11
Maturity Price : 21.09
Evaluated at bid price : 21.09
Bid-YTW : 6.20 %
BN.PF.J FixedReset Disc 3.69 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-11
Maturity Price : 22.10
Evaluated at bid price : 22.50
Bid-YTW : 6.95 %
BN.PF.C Perpetual-Discount 4.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-11
Maturity Price : 19.25
Evaluated at bid price : 19.25
Bid-YTW : 6.40 %
CU.PR.J Perpetual-Discount 4.59 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-11
Maturity Price : 19.35
Evaluated at bid price : 19.35
Bid-YTW : 6.16 %
FFH.PR.G FixedReset Disc 10.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-11
Maturity Price : 17.50
Evaluated at bid price : 17.50
Bid-YTW : 7.84 %
PWF.PR.S Perpetual-Discount 15.29 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-11
Maturity Price : 19.60
Evaluated at bid price : 19.60
Bid-YTW : 6.18 %
CU.PR.F Perpetual-Discount 15.82 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-11
Maturity Price : 18.60
Evaluated at bid price : 18.60
Bid-YTW : 6.07 %
Volume Highlights
Issue Index Shares
Traded		 Notes
PWF.PR.A Floater 11,600 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-11
Maturity Price : 13.10
Evaluated at bid price : 13.10
Bid-YTW : 8.02 %
ENB.PR.B FixedReset Disc 10,700 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-11
Maturity Price : 17.67
Evaluated at bid price : 17.67
Bid-YTW : 7.83 %
PVS.PR.L SplitShare 10,000 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-06-30
Maturity Price : 25.00
Evaluated at bid price : 25.46
Bid-YTW : 5.28 %
There were 0 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
SLF.PR.C Insurance Straight Quote: 15.40 – 20.25
Spot Rate : 4.8500
Average : 2.7543

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-11
Maturity Price : 15.40
Evaluated at bid price : 15.40
Bid-YTW : 7.36 %
BN.PF.I FixedReset Disc Quote: 19.32 – 22.15
Spot Rate : 2.8300
Average : 1.5549

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-11
Maturity Price : 19.32
Evaluated at bid price : 19.32
Bid-YTW : 8.70 %
BN.PR.N Perpetual-Discount Quote: 17.00 – 19.10
Spot Rate : 2.1000
Average : 1.4629

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-11
Maturity Price : 17.00
Evaluated at bid price : 17.00
Bid-YTW : 7.11 %
MFC.PR.F FixedReset Ins Non Quote: 16.05 – 17.93
Spot Rate : 1.8800
Average : 1.2795

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-11
Maturity Price : 16.05
Evaluated at bid price : 16.05
Bid-YTW : 6.65 %
IFC.PR.C FixedReset Ins Non Quote: 18.00 – 21.22
Spot Rate : 3.2200
Average : 2.7768

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-11
Maturity Price : 18.00
Evaluated at bid price : 18.00
Bid-YTW : 7.58 %
BN.PF.G FixedReset Disc Quote: 19.30 – 20.40
Spot Rate : 1.1000
Average : 0.6705

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-11
Maturity Price : 19.30
Evaluated at bid price : 19.30
Bid-YTW : 7.55 %