Category: Market Action

Market Action

October 10, 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 -0.2554 % 2,142.4
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.2554 % 4,109.1
Floater 9.63 % 10.18 % 35,935 9.41 4 -0.2554 % 2,368.1
OpRet 0.00 % 0.00 % 0 0.00 0 -0.0450 % 3,600.3
SplitShare 4.79 % 5.15 % 42,200 1.32 8 -0.0450 % 4,299.6
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.0450 % 3,354.7
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 -0.7674 % 2,882.6
Perpetual-Discount 5.97 % 6.03 % 50,977 13.85 31 -0.7674 % 3,143.3
FixedReset Disc 5.52 % 6.96 % 123,651 12.44 58 -0.4763 % 2,663.0
Insurance Straight 5.78 % 5.82 % 59,256 14.12 20 0.0116 % 3,131.8
FloatingReset 8.18 % 8.29 % 27,762 11.10 1 0.2294 % 2,766.8
FixedReset Prem 6.46 % 5.79 % 207,856 13.52 7 -0.2284 % 2,561.8
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 -0.4763 % 2,722.1
FixedReset Ins Non 5.22 % 6.30 % 93,925 13.54 14 -0.4813 % 2,814.3
Performance Highlights
Issue Index Change Notes
BN.PF.E FixedReset Disc -6.72 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-10
Maturity Price : 17.07
Evaluated at bid price : 17.07
Bid-YTW : 8.25 %
IFC.PR.A FixedReset Ins Non -4.68 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-10
Maturity Price : 18.35
Evaluated at bid price : 18.35
Bid-YTW : 6.64 %
BN.PF.I FixedReset Disc -3.30 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-10
Maturity Price : 21.59
Evaluated at bid price : 22.00
Bid-YTW : 7.63 %
GWO.PR.I Insurance Straight -3.28 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-10
Maturity Price : 19.15
Evaluated at bid price : 19.15
Bid-YTW : 5.93 %
ENB.PR.Y FixedReset Disc -2.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-10
Maturity Price : 17.75
Evaluated at bid price : 17.75
Bid-YTW : 7.77 %
PWF.PR.Z Perpetual-Discount -1.87 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-10
Maturity Price : 21.07
Evaluated at bid price : 21.07
Bid-YTW : 6.13 %
PWF.PR.T FixedReset Disc -1.64 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-10
Maturity Price : 21.56
Evaluated at bid price : 21.85
Bid-YTW : 6.30 %
CU.PR.F Perpetual-Discount -1.63 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-10
Maturity Price : 18.70
Evaluated at bid price : 18.70
Bid-YTW : 6.11 %
IFC.PR.C FixedReset Ins Non -1.49 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-10
Maturity Price : 20.50
Evaluated at bid price : 20.50
Bid-YTW : 6.69 %
GWO.PR.P Insurance Straight -1.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-10
Maturity Price : 22.22
Evaluated at bid price : 22.50
Bid-YTW : 6.04 %
PWF.PF.A Perpetual-Discount -1.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-10
Maturity Price : 19.40
Evaluated at bid price : 19.40
Bid-YTW : 5.82 %
BN.PF.F FixedReset Disc 1.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-10
Maturity Price : 20.75
Evaluated at bid price : 20.75
Bid-YTW : 7.21 %
MFC.PR.B Insurance Straight 1.51 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-10
Maturity Price : 20.20
Evaluated at bid price : 20.20
Bid-YTW : 5.82 %
ENB.PR.F FixedReset Disc 1.52 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-10
Maturity Price : 18.70
Evaluated at bid price : 18.70
Bid-YTW : 7.61 %
GWO.PR.T Insurance Straight 2.35 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-10
Maturity Price : 21.75
Evaluated at bid price : 21.75
Bid-YTW : 5.98 %
Volume Highlights
Issue Index Shares
Traded		 Notes
ENB.PF.C FixedReset Disc 138,210 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-10
Maturity Price : 18.38
Evaluated at bid price : 18.38
Bid-YTW : 7.85 %
ENB.PF.A FixedReset Disc 130,054 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-10
Maturity Price : 19.16
Evaluated at bid price : 19.16
Bid-YTW : 7.61 %
ENB.PR.P FixedReset Disc 106,910 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-10
Maturity Price : 19.70
Evaluated at bid price : 19.70
Bid-YTW : 7.36 %
RY.PR.J FixedReset Disc 86,360 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-10
Maturity Price : 23.54
Evaluated at bid price : 24.22
Bid-YTW : 5.95 %
BN.PF.A FixedReset Disc 60,500 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-10
Maturity Price : 22.57
Evaluated at bid price : 23.40
Bid-YTW : 6.65 %
BMO.PR.Y FixedReset Disc 56,035 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-10
Maturity Price : 23.77
Evaluated at bid price : 24.32
Bid-YTW : 5.84 %
There were 16 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
BN.PF.E FixedReset Disc Quote: 17.07 – 18.30
Spot Rate : 1.2300
Average : 0.7365

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-10
Maturity Price : 17.07
Evaluated at bid price : 17.07
Bid-YTW : 8.25 %
BN.PF.I FixedReset Disc Quote: 22.00 – 23.25
Spot Rate : 1.2500
Average : 0.9300

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-10
Maturity Price : 21.59
Evaluated at bid price : 22.00
Bid-YTW : 7.63 %
GWO.PR.I Insurance Straight Quote: 19.15 – 19.90
Spot Rate : 0.7500
Average : 0.4323

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-10
Maturity Price : 19.15
Evaluated at bid price : 19.15
Bid-YTW : 5.93 %
MIC.PR.A Perpetual-Discount Quote: 20.61 – 21.92
Spot Rate : 1.3100
Average : 1.0313

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-10
Maturity Price : 20.61
Evaluated at bid price : 20.61
Bid-YTW : 6.62 %
BN.PF.J FixedReset Disc Quote: 23.00 – 23.70
Spot Rate : 0.7000
Average : 0.4625

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-10
Maturity Price : 22.41
Evaluated at bid price : 23.00
Bid-YTW : 6.79 %
CU.PR.F Perpetual-Discount Quote: 18.70 – 19.88
Spot Rate : 1.1800
Average : 0.9434

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-10
Maturity Price : 18.70
Evaluated at bid price : 18.70
Bid-YTW : 6.11 %
Market Action

October 9, 2024

PerpetualDiscounts now yield 6.03%, equivalent to 7.84% interest at the standard equivalency factor of 1.3x. Long corporates yielded 4.77% on 2024-9-20 and since then the closing price of ZLC has changed from 15.51 to 15.22 after going ex-dividend for $0.06 on 9/27, a total return of -1.48%, implying an increase of yields of 12bp (BMO reports a duration of 12.47, but don’t disclose whether this is Macaulay or Modified; I will assume Modified) to 4.89%. Therefore, the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) has narrowed slightly (and perhaps spuriously) to 295bp from the 300bp reported October 2.

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 0.4919 % 2,147.9
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.4919 % 4,119.7
Floater 9.61 % 10.14 % 36,152 9.45 4 0.4919 % 2,374.2
OpRet 0.00 % 0.00 % 0 0.00 0 0.1504 % 3,602.0
SplitShare 4.79 % 5.21 % 42,397 1.33 8 0.1504 % 4,301.5
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.1504 % 3,356.2
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 0.2135 % 2,904.9
Perpetual-Discount 5.92 % 6.03 % 49,758 13.81 31 0.2135 % 3,167.6
FixedReset Disc 5.50 % 6.91 % 122,438 12.49 58 0.0432 % 2,675.8
Insurance Straight 5.78 % 5.85 % 59,296 14.11 20 -0.8802 % 3,131.4
FloatingReset 8.20 % 8.30 % 28,149 11.09 1 0.4608 % 2,760.5
FixedReset Prem 6.45 % 5.79 % 211,058 13.50 7 -0.0557 % 2,567.7
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 0.0432 % 2,735.2
FixedReset Ins Non 5.19 % 6.30 % 95,333 13.61 14 0.0888 % 2,828.0
Performance Highlights
Issue Index Change Notes
CCS.PR.C Insurance Straight -3.77 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-09
Maturity Price : 21.44
Evaluated at bid price : 21.70
Bid-YTW : 5.80 %
GWO.PR.T Insurance Straight -3.63 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-09
Maturity Price : 21.25
Evaluated at bid price : 21.25
Bid-YTW : 6.12 %
GWO.PR.Q Insurance Straight -3.60 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-09
Maturity Price : 21.45
Evaluated at bid price : 21.45
Bid-YTW : 6.06 %
MFC.PR.B Insurance Straight -3.54 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-09
Maturity Price : 19.90
Evaluated at bid price : 19.90
Bid-YTW : 5.91 %
ENB.PR.F FixedReset Disc -2.38 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-09
Maturity Price : 18.42
Evaluated at bid price : 18.42
Bid-YTW : 7.73 %
BN.PR.X FixedReset Disc -1.21 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-09
Maturity Price : 16.35
Evaluated at bid price : 16.35
Bid-YTW : 7.48 %
BN.PF.H FixedReset Disc -1.18 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-09
Maturity Price : 23.05
Evaluated at bid price : 23.54
Bid-YTW : 7.55 %
CU.PR.G Perpetual-Discount -1.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-09
Maturity Price : 18.89
Evaluated at bid price : 18.89
Bid-YTW : 6.05 %
BN.PF.I FixedReset Disc -1.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-09
Maturity Price : 22.34
Evaluated at bid price : 22.75
Bid-YTW : 7.38 %
BN.PF.F FixedReset Disc -1.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-09
Maturity Price : 20.50
Evaluated at bid price : 20.50
Bid-YTW : 7.29 %
GWO.PR.H Insurance Straight -1.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-09
Maturity Price : 20.73
Evaluated at bid price : 20.73
Bid-YTW : 5.90 %
IFC.PR.G FixedReset Ins Non -1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-09
Maturity Price : 22.84
Evaluated at bid price : 23.90
Bid-YTW : 6.00 %
BN.PR.K Floater 1.25 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-09
Maturity Price : 11.30
Evaluated at bid price : 11.30
Bid-YTW : 10.14 %
ENB.PR.A Perpetual-Discount 1.29 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-09
Maturity Price : 22.55
Evaluated at bid price : 22.80
Bid-YTW : 6.11 %
POW.PR.C Perpetual-Discount 1.42 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-09
Maturity Price : 24.00
Evaluated at bid price : 24.25
Bid-YTW : 6.00 %
TD.PF.E FixedReset Disc 1.44 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-09
Maturity Price : 23.48
Evaluated at bid price : 24.00
Bid-YTW : 6.07 %
IFC.PR.C FixedReset Ins Non 1.51 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-09
Maturity Price : 20.81
Evaluated at bid price : 20.81
Bid-YTW : 6.59 %
PWF.PR.L Perpetual-Discount 1.93 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-09
Maturity Price : 21.39
Evaluated at bid price : 21.66
Bid-YTW : 6.00 %
PWF.PR.E Perpetual-Discount 2.58 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-09
Maturity Price : 22.77
Evaluated at bid price : 23.05
Bid-YTW : 6.08 %
PWF.PR.T FixedReset Disc 3.77 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-09
Maturity Price : 22.06
Evaluated at bid price : 22.57
Bid-YTW : 6.20 %
Volume Highlights
Issue Index Shares
Traded		 Notes
BMO.PR.W FixedReset Disc 323,000 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-11-25
Maturity Price : 25.00
Evaluated at bid price : 25.09
Bid-YTW : 4.71 %
PWF.PF.A Perpetual-Discount 113,227 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-09
Maturity Price : 19.89
Evaluated at bid price : 19.89
Bid-YTW : 5.77 %
CM.PR.Q FixedReset Disc 102,000 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-09
Maturity Price : 23.61
Evaluated at bid price : 24.20
Bid-YTW : 5.93 %
PWF.PR.K Perpetual-Discount 100,330 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-09
Maturity Price : 21.20
Evaluated at bid price : 21.20
Bid-YTW : 5.96 %
MFC.PR.Q FixedReset Ins Non 70,000 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-09
Maturity Price : 22.89
Evaluated at bid price : 24.01
Bid-YTW : 5.97 %
ENB.PF.A FixedReset Disc 68,044 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-09
Maturity Price : 19.20
Evaluated at bid price : 19.20
Bid-YTW : 7.59 %
There were 17 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
CU.PR.H Perpetual-Discount Quote: 21.76 – 23.34
Spot Rate : 1.5800
Average : 1.0682

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-09
Maturity Price : 21.50
Evaluated at bid price : 21.76
Bid-YTW : 6.11 %
MFC.PR.B Insurance Straight Quote: 19.90 – 20.66
Spot Rate : 0.7600
Average : 0.4342

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-09
Maturity Price : 19.90
Evaluated at bid price : 19.90
Bid-YTW : 5.91 %
IFC.PR.A FixedReset Ins Non Quote: 19.25 – 20.07
Spot Rate : 0.8200
Average : 0.5102

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-09
Maturity Price : 19.25
Evaluated at bid price : 19.25
Bid-YTW : 6.33 %
GWO.PR.Q Insurance Straight Quote: 21.45 – 22.18
Spot Rate : 0.7300
Average : 0.4390

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-09
Maturity Price : 21.45
Evaluated at bid price : 21.45
Bid-YTW : 6.06 %
GWO.PR.T Insurance Straight Quote: 21.25 – 22.37
Spot Rate : 1.1200
Average : 0.8927

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-09
Maturity Price : 21.25
Evaluated at bid price : 21.25
Bid-YTW : 6.12 %
GWO.PR.Y Insurance Straight Quote: 19.40 – 20.00
Spot Rate : 0.6000
Average : 0.3830

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-09
Maturity Price : 19.40
Evaluated at bid price : 19.40
Bid-YTW : 5.85 %
Market Action

October 8, 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 -0.1495 % 2,137.4
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.1495 % 4,099.5
Floater 9.66 % 10.18 % 36,376 9.42 4 -0.1495 % 2,362.6
OpRet 0.00 % 0.00 % 0 0.00 0 -0.0501 % 3,596.6
SplitShare 4.80 % 5.25 % 44,131 1.33 8 -0.0501 % 4,295.1
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.0501 % 3,351.2
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 -0.4075 % 2,898.7
Perpetual-Discount 5.94 % 6.03 % 50,218 13.81 31 -0.4075 % 3,160.9
FixedReset Disc 5.50 % 6.93 % 115,028 12.48 58 -0.0781 % 2,674.6
Insurance Straight 5.73 % 5.82 % 59,431 14.17 20 0.4780 % 3,159.2
FloatingReset 8.24 % 8.34 % 28,323 11.05 1 -0.0461 % 2,747.8
FixedReset Prem 6.45 % 5.78 % 209,205 13.50 7 0.0836 % 2,569.1
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 -0.0781 % 2,734.0
FixedReset Ins Non 5.20 % 6.31 % 96,661 13.59 14 -0.0615 % 2,825.4
Performance Highlights
Issue Index Change Notes
PWF.PR.E Perpetual-Discount -2.98 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-08
Maturity Price : 22.19
Evaluated at bid price : 22.47
Bid-YTW : 6.24 %
ENB.PR.A Perpetual-Discount -2.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-08
Maturity Price : 22.24
Evaluated at bid price : 22.51
Bid-YTW : 6.19 %
PWF.PR.L Perpetual-Discount -1.98 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-08
Maturity Price : 21.25
Evaluated at bid price : 21.25
Bid-YTW : 6.13 %
MIC.PR.A Perpetual-Discount -1.72 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-08
Maturity Price : 20.56
Evaluated at bid price : 20.56
Bid-YTW : 6.63 %
FTS.PR.K FixedReset Disc -1.52 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-08
Maturity Price : 20.75
Evaluated at bid price : 20.75
Bid-YTW : 6.42 %
CU.PR.H Perpetual-Discount -1.30 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-08
Maturity Price : 21.71
Evaluated at bid price : 21.96
Bid-YTW : 6.05 %
ENB.PR.D FixedReset Disc -1.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-08
Maturity Price : 18.00
Evaluated at bid price : 18.00
Bid-YTW : 7.71 %
MFC.PR.L FixedReset Ins Non -1.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-08
Maturity Price : 22.29
Evaluated at bid price : 23.00
Bid-YTW : 5.91 %
BN.PR.N Perpetual-Discount -1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-08
Maturity Price : 19.00
Evaluated at bid price : 19.00
Bid-YTW : 6.31 %
BN.PF.G FixedReset Disc 1.87 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-08
Maturity Price : 19.10
Evaluated at bid price : 19.10
Bid-YTW : 7.65 %
GWO.PR.T Insurance Straight 3.76 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-08
Maturity Price : 22.05
Evaluated at bid price : 22.05
Bid-YTW : 5.89 %
IFC.PR.I Insurance Straight 3.79 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-08
Maturity Price : 22.83
Evaluated at bid price : 23.25
Bid-YTW : 5.83 %
CCS.PR.C Insurance Straight 3.92 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-08
Maturity Price : 22.28
Evaluated at bid price : 22.55
Bid-YTW : 5.57 %
Volume Highlights
Issue Index Shares
Traded		 Notes
RY.PR.J FixedReset Disc 93,330 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-08
Maturity Price : 23.64
Evaluated at bid price : 24.30
Bid-YTW : 5.93 %
GWO.PR.M Insurance Straight 80,900 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-08
Maturity Price : 23.92
Evaluated at bid price : 24.16
Bid-YTW : 6.04 %
ENB.PF.C FixedReset Disc 52,581 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-08
Maturity Price : 18.45
Evaluated at bid price : 18.45
Bid-YTW : 7.82 %
CM.PR.P FixedReset Disc 48,500 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-08
Maturity Price : 23.21
Evaluated at bid price : 24.12
Bid-YTW : 5.48 %
BMO.PR.W FixedReset Disc 46,780 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-11-25
Maturity Price : 25.00
Evaluated at bid price : 25.09
Bid-YTW : 4.61 %
PVS.PR.L SplitShare 41,690 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-06-30
Maturity Price : 25.00
Evaluated at bid price : 25.30
Bid-YTW : 5.31 %
There were 8 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
IFC.PR.F Insurance Straight Quote: 22.96 – 24.99
Spot Rate : 2.0300
Average : 1.1745

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-08
Maturity Price : 22.68
Evaluated at bid price : 22.96
Bid-YTW : 5.81 %
PWF.PR.E Perpetual-Discount Quote: 22.47 – 23.29
Spot Rate : 0.8200
Average : 0.5092

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-08
Maturity Price : 22.19
Evaluated at bid price : 22.47
Bid-YTW : 6.24 %
PWF.PR.T FixedReset Disc Quote: 21.75 – 23.13
Spot Rate : 1.3800
Average : 1.1008

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-08
Maturity Price : 21.48
Evaluated at bid price : 21.75
Bid-YTW : 6.46 %
BN.PR.N Perpetual-Discount Quote: 19.00 – 19.74
Spot Rate : 0.7400
Average : 0.5013

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-08
Maturity Price : 19.00
Evaluated at bid price : 19.00
Bid-YTW : 6.31 %
PWF.PR.L Perpetual-Discount Quote: 21.25 – 22.05
Spot Rate : 0.8000
Average : 0.5616

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-08
Maturity Price : 21.25
Evaluated at bid price : 21.25
Bid-YTW : 6.13 %
MFC.PR.N FixedReset Ins Non Quote: 21.05 – 21.65
Spot Rate : 0.6000
Average : 0.3964

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-08
Maturity Price : 21.05
Evaluated at bid price : 21.05
Bid-YTW : 6.41 %
Market Action

October 7, 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 -0.2768 % 2,140.6
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.2768 % 4,105.6
Floater 9.64 % 10.18 % 36,634 9.42 4 -0.2768 % 2,366.1
OpRet 0.00 % 0.00 % 0 0.00 0 -0.2199 % 3,598.4
SplitShare 4.80 % 5.22 % 44,013 1.33 8 -0.2199 % 4,297.2
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.2199 % 3,352.8
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 -0.2773 % 2,910.5
Perpetual-Discount 5.91 % 6.02 % 49,725 13.85 31 -0.2773 % 3,173.8
FixedReset Disc 5.49 % 6.88 % 117,482 12.48 58 0.0440 % 2,676.7
Insurance Straight 5.76 % 5.81 % 59,743 14.17 20 -0.4437 % 3,144.2
FloatingReset 8.23 % 8.33 % 28,194 11.06 1 1.4012 % 2,749.1
FixedReset Prem 6.45 % 5.80 % 216,504 13.50 7 -0.4163 % 2,567.0
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 0.0440 % 2,736.1
FixedReset Ins Non 5.20 % 6.32 % 100,320 13.59 14 -0.0682 % 2,827.2
Performance Highlights
Issue Index Change Notes
IFC.PR.I Insurance Straight -5.25 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-07
Maturity Price : 22.07
Evaluated at bid price : 22.40
Bid-YTW : 6.06 %
CCS.PR.C Insurance Straight -5.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-07
Maturity Price : 21.44
Evaluated at bid price : 21.70
Bid-YTW : 5.79 %
PWF.PR.T FixedReset Disc -4.61 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-07
Maturity Price : 21.48
Evaluated at bid price : 21.75
Bid-YTW : 6.45 %
FTS.PR.J Perpetual-Discount -2.38 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-07
Maturity Price : 20.50
Evaluated at bid price : 20.50
Bid-YTW : 5.88 %
POW.PR.C Perpetual-Discount -1.97 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-07
Maturity Price : 23.61
Evaluated at bid price : 23.88
Bid-YTW : 6.09 %
IFC.PR.C FixedReset Ins Non -1.91 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-07
Maturity Price : 20.50
Evaluated at bid price : 20.50
Bid-YTW : 6.69 %
ENB.PF.K FixedReset Disc -1.77 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-07
Maturity Price : 22.60
Evaluated at bid price : 23.35
Bid-YTW : 6.77 %
BIP.PR.B FixedReset Disc -1.42 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-07
Maturity Price : 23.86
Evaluated at bid price : 24.30
Bid-YTW : 7.70 %
CU.PR.C FixedReset Disc -1.19 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-07
Maturity Price : 20.75
Evaluated at bid price : 20.75
Bid-YTW : 6.66 %
POW.PR.D Perpetual-Discount -1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-07
Maturity Price : 21.03
Evaluated at bid price : 21.03
Bid-YTW : 5.98 %
PVS.PR.J SplitShare -1.01 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2028-02-29
Maturity Price : 25.00
Evaluated at bid price : 24.40
Bid-YTW : 5.33 %
NA.PR.W FixedReset Disc 1.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-07
Maturity Price : 22.20
Evaluated at bid price : 22.90
Bid-YTW : 5.77 %
SLF.PR.G FixedReset Ins Non 1.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-07
Maturity Price : 16.35
Evaluated at bid price : 16.35
Bid-YTW : 6.73 %
FTS.PR.M FixedReset Disc 1.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-07
Maturity Price : 20.50
Evaluated at bid price : 20.50
Bid-YTW : 6.88 %
CU.PR.H Perpetual-Discount 1.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-07
Maturity Price : 22.01
Evaluated at bid price : 22.25
Bid-YTW : 5.97 %
ENB.PF.A FixedReset Disc 1.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-07
Maturity Price : 19.05
Evaluated at bid price : 19.05
Bid-YTW : 7.65 %
FFH.PR.D FloatingReset 1.40 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-07
Maturity Price : 21.71
Evaluated at bid price : 21.71
Bid-YTW : 8.33 %
BN.PR.X FixedReset Disc 1.41 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-07
Maturity Price : 16.59
Evaluated at bid price : 16.59
Bid-YTW : 7.37 %
GWO.PR.S Insurance Straight 1.53 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-07
Maturity Price : 22.24
Evaluated at bid price : 22.51
Bid-YTW : 5.87 %
FTS.PR.K FixedReset Disc 1.69 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-07
Maturity Price : 21.07
Evaluated at bid price : 21.07
Bid-YTW : 6.31 %
TD.PF.E FixedReset Disc 3.80 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-07
Maturity Price : 23.23
Evaluated at bid price : 23.77
Bid-YTW : 6.13 %
BIP.PR.A FixedReset Disc 4.66 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-07
Maturity Price : 21.35
Evaluated at bid price : 21.35
Bid-YTW : 7.69 %
Volume Highlights
Issue Index Shares
Traded		 Notes
TD.PF.D FixedReset Disc 178,000 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-07
Maturity Price : 23.55
Evaluated at bid price : 24.15
Bid-YTW : 6.00 %
BMO.PR.W FixedReset Disc 118,000 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-11-25
Maturity Price : 25.00
Evaluated at bid price : 25.09
Bid-YTW : 4.51 %
RY.PR.J FixedReset Disc 52,600 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-07
Maturity Price : 23.68
Evaluated at bid price : 24.33
Bid-YTW : 5.92 %
RY.PR.S FixedReset Prem 48,500 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-07
Maturity Price : 23.29
Evaluated at bid price : 25.24
Bid-YTW : 5.52 %
NA.PR.S FixedReset Disc 32,900 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-07
Maturity Price : 23.13
Evaluated at bid price : 24.82
Bid-YTW : 5.64 %
PVS.PR.L SplitShare 28,400 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-06-30
Maturity Price : 25.00
Evaluated at bid price : 25.40
Bid-YTW : 5.22 %
There were 15 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
CU.PR.C FixedReset Disc Quote: 20.75 – 22.78
Spot Rate : 2.0300
Average : 1.2774

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-07
Maturity Price : 20.75
Evaluated at bid price : 20.75
Bid-YTW : 6.66 %
IFC.PR.I Insurance Straight Quote: 22.40 – 23.74
Spot Rate : 1.3400
Average : 0.8281

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-07
Maturity Price : 22.07
Evaluated at bid price : 22.40
Bid-YTW : 6.06 %
PWF.PR.T FixedReset Disc Quote: 21.75 – 23.05
Spot Rate : 1.3000
Average : 0.7946

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-07
Maturity Price : 21.48
Evaluated at bid price : 21.75
Bid-YTW : 6.45 %
CCS.PR.C Insurance Straight Quote: 21.70 – 22.80
Spot Rate : 1.1000
Average : 0.7609

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-07
Maturity Price : 21.44
Evaluated at bid price : 21.70
Bid-YTW : 5.79 %
MFC.PR.F FixedReset Ins Non Quote: 16.20 – 16.97
Spot Rate : 0.7700
Average : 0.4620

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-07
Maturity Price : 16.20
Evaluated at bid price : 16.20
Bid-YTW : 6.62 %
BN.PF.J FixedReset Disc Quote: 23.11 – 23.70
Spot Rate : 0.5900
Average : 0.4042

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-07
Maturity Price : 22.48
Evaluated at bid price : 23.11
Bid-YTW : 6.75 %
Market Action

October 4, 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 -0.8370 % 2,146.5
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.8370 % 4,117.0
Floater 10.03 % 10.16 % 84,446 9.44 2 -0.8370 % 2,372.7
OpRet 0.00 % 0.00 % 0 0.00 0 0.1604 % 3,606.3
SplitShare 4.78 % 5.12 % 113,187 4.17 4 0.1604 % 4,306.7
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.1604 % 3,360.2
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 -0.2264 % 2,918.6
Perpetual-Discount 5.90 % 6.00 % 50,114 13.88 31 -0.2264 % 3,182.6
FixedReset Disc 5.50 % 6.53 % 119,226 12.79 58 0.4647 % 2,675.5
Insurance Straight 5.73 % 5.80 % 61,826 14.23 20 -0.0620 % 3,158.2
FloatingReset 8.23 % 8.37 % 29,269 11.02 2 -0.1057 % 2,711.1
FixedReset Prem 6.43 % 5.51 % 219,280 13.55 7 -0.0666 % 2,577.7
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 0.4647 % 2,734.9
FixedReset Ins Non 5.19 % 5.87 % 98,893 14.06 14 0.5524 % 2,829.1
Performance Highlights
Issue Index Change Notes
GWO.PR.T Insurance Straight -4.28 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-04
Maturity Price : 21.25
Evaluated at bid price : 21.25
Bid-YTW : 6.11 %
BIP.PR.A FixedReset Disc -4.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-04
Maturity Price : 20.40
Evaluated at bid price : 20.40
Bid-YTW : 7.63 %
BN.PF.C Perpetual-Discount -1.91 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-04
Maturity Price : 19.52
Evaluated at bid price : 19.52
Bid-YTW : 6.27 %
BN.PR.N Perpetual-Discount -1.75 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-04
Maturity Price : 19.11
Evaluated at bid price : 19.11
Bid-YTW : 6.27 %
BN.PR.M Perpetual-Discount -1.53 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-04
Maturity Price : 19.26
Evaluated at bid price : 19.26
Bid-YTW : 6.22 %
GWO.PR.P Insurance Straight -1.52 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-04
Maturity Price : 22.49
Evaluated at bid price : 22.75
Bid-YTW : 5.97 %
GWO.PR.S Insurance Straight -1.29 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-04
Maturity Price : 21.94
Evaluated at bid price : 22.17
Bid-YTW : 5.96 %
BN.PF.A FixedReset Disc -1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-04
Maturity Price : 22.55
Evaluated at bid price : 23.38
Bid-YTW : 6.35 %
BN.PF.D Perpetual-Discount -1.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-04
Maturity Price : 19.65
Evaluated at bid price : 19.65
Bid-YTW : 6.29 %
CM.PR.Q FixedReset Disc 1.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-04
Maturity Price : 23.58
Evaluated at bid price : 24.17
Bid-YTW : 5.58 %
FFH.PR.E FixedReset Disc 1.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-04
Maturity Price : 16.90
Evaluated at bid price : 16.90
Bid-YTW : 7.22 %
RY.PR.M FixedReset Disc 1.24 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-04
Maturity Price : 23.21
Evaluated at bid price : 23.73
Bid-YTW : 5.49 %
CM.PR.P FixedReset Disc 1.26 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-04
Maturity Price : 23.20
Evaluated at bid price : 24.10
Bid-YTW : 5.10 %
TD.PF.A FixedReset Disc 1.40 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-04
Maturity Price : 22.37
Evaluated at bid price : 23.17
Bid-YTW : 5.40 %
BMO.PR.Y FixedReset Disc 1.67 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-04
Maturity Price : 23.82
Evaluated at bid price : 24.35
Bid-YTW : 5.48 %
MIC.PR.A Perpetual-Discount 1.75 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-04
Maturity Price : 20.92
Evaluated at bid price : 20.92
Bid-YTW : 6.51 %
TD.PF.D FixedReset Disc 1.85 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-04
Maturity Price : 23.63
Evaluated at bid price : 24.21
Bid-YTW : 5.63 %
IFC.PR.C FixedReset Ins Non 1.85 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-04
Maturity Price : 20.90
Evaluated at bid price : 20.90
Bid-YTW : 6.19 %
ENB.PF.G FixedReset Disc 1.94 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-04
Maturity Price : 17.89
Evaluated at bid price : 17.89
Bid-YTW : 7.43 %
RY.PR.J FixedReset Disc 1.97 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-04
Maturity Price : 23.63
Evaluated at bid price : 24.29
Bid-YTW : 5.57 %
TD.PF.C FixedReset Disc 2.49 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-04
Maturity Price : 22.29
Evaluated at bid price : 23.06
Bid-YTW : 5.43 %
MFC.PR.M FixedReset Ins Non 3.67 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-04
Maturity Price : 21.47
Evaluated at bid price : 21.77
Bid-YTW : 5.87 %
ENB.PF.A FixedReset Disc 4.56 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-04
Maturity Price : 18.82
Evaluated at bid price : 18.82
Bid-YTW : 7.26 %
BMO.PR.W FixedReset Disc 4.98 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-11-25
Maturity Price : 25.00
Evaluated at bid price : 25.08
Bid-YTW : 4.54 %
IFC.PR.E Insurance Straight 5.93 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-04
Maturity Price : 22.22
Evaluated at bid price : 22.50
Bid-YTW : 5.81 %
Volume Highlights
Issue Index Shares
Traded		 Notes
BMO.PR.W FixedReset Disc 108,863 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-11-25
Maturity Price : 25.00
Evaluated at bid price : 25.08
Bid-YTW : 4.54 %
ENB.PR.B FixedReset Disc 55,838 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-04
Maturity Price : 17.90
Evaluated at bid price : 17.90
Bid-YTW : 7.32 %
MFC.PR.Q FixedReset Ins Non 50,200 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-04
Maturity Price : 22.89
Evaluated at bid price : 24.02
Bid-YTW : 5.66 %
PVS.PR.K SplitShare 43,000 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2029-05-31
Maturity Price : 25.00
Evaluated at bid price : 24.92
Bid-YTW : 4.64 %
MFC.PR.L FixedReset Ins Non 39,600 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-04
Maturity Price : 22.46
Evaluated at bid price : 23.30
Bid-YTW : 5.53 %
PVS.PR.L SplitShare 38,200 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-06-30
Maturity Price : 25.00
Evaluated at bid price : 25.36
Bid-YTW : 5.25 %
There were 18 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: 21.25 – 22.54
Spot Rate : 1.2900
Average : 0.8774

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-04
Maturity Price : 21.25
Evaluated at bid price : 21.25
Bid-YTW : 6.11 %
BIP.PR.A FixedReset Disc Quote: 20.40 – 21.40
Spot Rate : 1.0000
Average : 0.6795

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-04
Maturity Price : 20.40
Evaluated at bid price : 20.40
Bid-YTW : 7.63 %
TD.PF.E FixedReset Disc Quote: 22.90 – 24.15
Spot Rate : 1.2500
Average : 1.0137

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-04
Maturity Price : 22.42
Evaluated at bid price : 22.90
Bid-YTW : 6.00 %
BN.PF.C Perpetual-Discount Quote: 19.52 – 20.10
Spot Rate : 0.5800
Average : 0.3678

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-04
Maturity Price : 19.52
Evaluated at bid price : 19.52
Bid-YTW : 6.27 %
NA.PR.S FixedReset Disc Quote: 24.99 – 25.45
Spot Rate : 0.4600
Average : 0.3027

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-04
Maturity Price : 23.19
Evaluated at bid price : 24.99
Bid-YTW : 5.43 %
CU.PR.H Perpetual-Discount Quote: 22.00 – 23.00
Spot Rate : 1.0000
Average : 0.8489

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-04
Maturity Price : 21.75
Evaluated at bid price : 22.00
Bid-YTW : 6.04 %
Market Action

October 3, 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 0.4425 % 2,164.6
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.4425 % 4,151.8
Floater 9.94 % 10.06 % 83,655 9.52 2 0.4425 % 2,392.7
OpRet 0.00 % 0.00 % 0 0.00 0 0.1204 % 3,600.5
SplitShare 4.79 % 5.25 % 104,681 4.17 4 0.1204 % 4,299.8
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.1204 % 3,354.9
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 -0.3098 % 2,925.3
Perpetual-Discount 5.88 % 5.99 % 48,944 13.89 31 -0.3098 % 3,189.9
FixedReset Disc 5.52 % 6.56 % 116,367 13.01 58 -0.0466 % 2,663.1
Insurance Straight 5.73 % 5.80 % 61,756 14.23 20 0.2811 % 3,160.1
FloatingReset 8.22 % 8.34 % 29,523 11.06 2 0.2649 % 2,714.0
FixedReset Prem 6.42 % 5.52 % 216,278 13.58 7 0.2056 % 2,579.4
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 -0.0466 % 2,722.3
FixedReset Ins Non 5.22 % 5.92 % 99,858 13.97 14 0.1340 % 2,813.6
Performance Highlights
Issue Index Change Notes
ENB.PF.A FixedReset Disc -3.33 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-03
Maturity Price : 18.00
Evaluated at bid price : 18.00
Bid-YTW : 7.59 %
TD.PF.E FixedReset Disc -3.25 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-03
Maturity Price : 22.42
Evaluated at bid price : 22.90
Bid-YTW : 6.00 %
MFC.PR.M FixedReset Ins Non -2.19 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-03
Maturity Price : 21.00
Evaluated at bid price : 21.00
Bid-YTW : 6.11 %
MIC.PR.A Perpetual-Discount -1.72 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-03
Maturity Price : 20.56
Evaluated at bid price : 20.56
Bid-YTW : 6.62 %
TD.PF.C FixedReset Disc -1.70 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-03
Maturity Price : 21.96
Evaluated at bid price : 22.50
Bid-YTW : 5.58 %
ENB.PF.G FixedReset Disc -1.68 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-03
Maturity Price : 17.55
Evaluated at bid price : 17.55
Bid-YTW : 7.57 %
BIP.PR.E FixedReset Disc -1.43 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-03
Maturity Price : 22.67
Evaluated at bid price : 23.51
Bid-YTW : 6.34 %
POW.PR.A Perpetual-Discount -1.27 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-03
Maturity Price : 23.09
Evaluated at bid price : 23.35
Bid-YTW : 6.01 %
GWO.PR.L Insurance Straight -1.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-03
Maturity Price : 23.49
Evaluated at bid price : 23.76
Bid-YTW : 5.98 %
BIP.PR.B FixedReset Disc 1.03 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-12-31
Maturity Price : 25.00
Evaluated at bid price : 24.50
Bid-YTW : 7.30 %
IFC.PR.G FixedReset Ins Non 1.17 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-03
Maturity Price : 22.94
Evaluated at bid price : 24.13
Bid-YTW : 5.63 %
PWF.PR.P FixedReset Disc 1.37 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-03
Maturity Price : 14.76
Evaluated at bid price : 14.76
Bid-YTW : 7.06 %
IFC.PR.C FixedReset Ins Non 1.84 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-03
Maturity Price : 20.52
Evaluated at bid price : 20.52
Bid-YTW : 6.30 %
FTS.PR.H FixedReset Disc 1.89 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-03
Maturity Price : 15.08
Evaluated at bid price : 15.08
Bid-YTW : 6.83 %
CU.PR.C FixedReset Disc 3.30 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-03
Maturity Price : 21.00
Evaluated at bid price : 21.00
Bid-YTW : 6.22 %
CCS.PR.C Insurance Straight 4.45 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-03
Maturity Price : 22.49
Evaluated at bid price : 22.75
Bid-YTW : 5.52 %
Volume Highlights
Issue Index Shares
Traded		 Notes
PVS.PR.L SplitShare 44,600 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-06-30
Maturity Price : 25.00
Evaluated at bid price : 25.35
Bid-YTW : 5.25 %
MFC.PR.K FixedReset Ins Non 39,665 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-03
Maturity Price : 23.01
Evaluated at bid price : 24.34
Bid-YTW : 5.41 %
RY.PR.S FixedReset Prem 32,600 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-03
Maturity Price : 23.28
Evaluated at bid price : 25.23
Bid-YTW : 5.24 %
BMO.PR.W FixedReset Disc 31,400 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-03
Maturity Price : 22.72
Evaluated at bid price : 23.89
Bid-YTW : 5.17 %
TD.PF.A FixedReset Disc 29,250 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-03
Maturity Price : 22.19
Evaluated at bid price : 22.85
Bid-YTW : 5.49 %
PVS.PR.K SplitShare 27,250 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2029-05-31
Maturity Price : 25.00
Evaluated at bid price : 24.90
Bid-YTW : 4.65 %
There were 6 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
SLF.PR.G FixedReset Ins Non Quote: 16.12 – 17.00
Spot Rate : 0.8800
Average : 0.5614

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-03
Maturity Price : 16.12
Evaluated at bid price : 16.12
Bid-YTW : 6.30 %
ENB.PF.A FixedReset Disc Quote: 18.00 – 18.85
Spot Rate : 0.8500
Average : 0.5353

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-03
Maturity Price : 18.00
Evaluated at bid price : 18.00
Bid-YTW : 7.59 %
IFC.PR.E Insurance Straight Quote: 21.24 – 22.82
Spot Rate : 1.5800
Average : 1.2685

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-03
Maturity Price : 21.24
Evaluated at bid price : 21.24
Bid-YTW : 6.17 %
TD.PF.E FixedReset Disc Quote: 22.90 – 23.90
Spot Rate : 1.0000
Average : 0.7547

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-03
Maturity Price : 22.42
Evaluated at bid price : 22.90
Bid-YTW : 6.00 %
MIC.PR.A Perpetual-Discount Quote: 20.56 – 21.51
Spot Rate : 0.9500
Average : 0.7345

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-03
Maturity Price : 20.56
Evaluated at bid price : 20.56
Bid-YTW : 6.62 %
TD.PF.C FixedReset Disc Quote: 22.50 – 23.33
Spot Rate : 0.8300
Average : 0.6499

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-03
Maturity Price : 21.96
Evaluated at bid price : 22.50
Bid-YTW : 5.58 %
Market Action

October 2, 2024

PerpetualDiscounts now yield 5.96%, equivalent to 7.75% interest at the standard equivalency factor of 1.3x. Long corporates yielded 4.77% on 2024-9-20 and since then the closing price of ZLC has changed from 15.51 to 15.48 after going ex-dividend for $0.06 on 9/27, a total return of +0.19%, implying a decrease of yields of 2bp (BMO reports a duration of 12.47, but don’t disclose whether this is Macaulay or Modified; I will assume Modified) to 4.75%. Therefore, the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) has remained constant at the 300bp reported September 25.

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 -0.5719 % 2,155.1
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.5719 % 4,133.5
Floater 9.99 % 10.08 % 84,149 9.51 2 -0.5719 % 2,382.2
OpRet 0.00 % 0.00 % 0 0.00 0 0.5854 % 3,596.2
SplitShare 4.79 % 5.21 % 96,812 4.17 4 0.5854 % 4,294.6
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.5854 % 3,350.8
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 0.3478 % 2,934.4
Perpetual-Discount 5.87 % 5.96 % 49,820 13.91 31 0.3478 % 3,199.8
FixedReset Disc 5.52 % 6.58 % 118,004 12.86 58 0.2016 % 2,664.4
Insurance Straight 5.74 % 5.80 % 62,554 14.19 20 -1.0487 % 3,151.3
FloatingReset 8.24 % 8.39 % 30,002 11.01 2 -1.2297 % 2,706.8
FixedReset Prem 6.43 % 5.52 % 219,345 13.57 7 0.0334 % 2,574.1
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 0.2016 % 2,723.5
FixedReset Ins Non 5.23 % 5.94 % 100,202 14.00 14 -0.0343 % 2,809.8
Performance Highlights
Issue Index Change Notes
IFC.PR.E Insurance Straight -6.64 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-02
Maturity Price : 21.24
Evaluated at bid price : 21.24
Bid-YTW : 6.17 %
CCS.PR.C Insurance Straight -5.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-02
Maturity Price : 21.52
Evaluated at bid price : 21.78
Bid-YTW : 5.77 %
FTS.PR.H FixedReset Disc -2.31 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-02
Maturity Price : 14.80
Evaluated at bid price : 14.80
Bid-YTW : 6.96 %
CU.PR.J Perpetual-Discount -1.96 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-02
Maturity Price : 19.98
Evaluated at bid price : 19.98
Bid-YTW : 6.02 %
IFC.PR.C FixedReset Ins Non -1.71 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-02
Maturity Price : 20.15
Evaluated at bid price : 20.15
Bid-YTW : 6.42 %
FFH.PR.D FloatingReset -1.70 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-02
Maturity Price : 21.35
Evaluated at bid price : 21.35
Bid-YTW : 8.39 %
ENB.PR.N FixedReset Disc -1.43 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-02
Maturity Price : 21.68
Evaluated at bid price : 22.00
Bid-YTW : 6.62 %
GWO.PR.Q Insurance Straight -1.34 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-02
Maturity Price : 21.86
Evaluated at bid price : 22.10
Bid-YTW : 5.86 %
FTS.PR.K FixedReset Disc -1.25 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-02
Maturity Price : 20.57
Evaluated at bid price : 20.57
Bid-YTW : 6.14 %
GWO.PR.M Insurance Straight -1.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-02
Maturity Price : 24.00
Evaluated at bid price : 24.25
Bid-YTW : 6.01 %
GWO.PR.T Insurance Straight -1.21 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-02
Maturity Price : 22.00
Evaluated at bid price : 22.00
Bid-YTW : 5.90 %
GWO.PR.G Insurance Straight -1.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-02
Maturity Price : 22.12
Evaluated at bid price : 22.40
Bid-YTW : 5.83 %
FFH.PR.E FixedReset Disc -1.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-02
Maturity Price : 16.70
Evaluated at bid price : 16.70
Bid-YTW : 7.30 %
TD.PF.E FixedReset Disc 1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-02
Maturity Price : 23.14
Evaluated at bid price : 23.67
Bid-YTW : 5.80 %
CU.PR.G Perpetual-Discount 1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-02
Maturity Price : 19.40
Evaluated at bid price : 19.40
Bid-YTW : 5.88 %
TD.PF.A FixedReset Disc 1.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-02
Maturity Price : 22.30
Evaluated at bid price : 23.05
Bid-YTW : 5.43 %
PWF.PR.P FixedReset Disc 1.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-02
Maturity Price : 14.56
Evaluated at bid price : 14.56
Bid-YTW : 7.15 %
ENB.PF.K FixedReset Disc 1.28 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-02
Maturity Price : 22.83
Evaluated at bid price : 23.80
Bid-YTW : 6.32 %
CU.PR.F Perpetual-Discount 2.19 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-02
Maturity Price : 19.11
Evaluated at bid price : 19.11
Bid-YTW : 5.97 %
POW.PR.C Perpetual-Discount 3.30 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-02
Maturity Price : 24.16
Evaluated at bid price : 24.42
Bid-YTW : 5.95 %
ENB.PF.G FixedReset Disc 3.78 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-02
Maturity Price : 17.85
Evaluated at bid price : 17.85
Bid-YTW : 7.44 %
BN.PR.M Perpetual-Discount 6.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-02
Maturity Price : 19.53
Evaluated at bid price : 19.53
Bid-YTW : 6.13 %
BN.PR.X FixedReset Disc 8.81 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-02
Maturity Price : 16.55
Evaluated at bid price : 16.55
Bid-YTW : 6.94 %
Volume Highlights
Issue Index Shares
Traded		 Notes
TD.PF.C FixedReset Disc 146,400 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-02
Maturity Price : 22.20
Evaluated at bid price : 22.89
Bid-YTW : 5.47 %
ENB.PR.Y FixedReset Disc 132,335 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-02
Maturity Price : 18.20
Evaluated at bid price : 18.20
Bid-YTW : 7.22 %
ENB.PF.A FixedReset Disc 125,802 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-02
Maturity Price : 18.62
Evaluated at bid price : 18.62
Bid-YTW : 7.33 %
PVS.PR.L SplitShare 96,800 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-06-30
Maturity Price : 25.00
Evaluated at bid price : 25.40
Bid-YTW : 5.21 %
CM.PR.P FixedReset Disc 95,100 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-02
Maturity Price : 22.92
Evaluated at bid price : 23.80
Bid-YTW : 5.17 %
BMO.PR.W FixedReset Disc 71,351 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-02
Maturity Price : 22.69
Evaluated at bid price : 23.82
Bid-YTW : 5.19 %
There were 20 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
IFC.PR.E Insurance Straight Quote: 21.24 – 22.82
Spot Rate : 1.5800
Average : 0.9270

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-02
Maturity Price : 21.24
Evaluated at bid price : 21.24
Bid-YTW : 6.17 %
CU.PR.E Perpetual-Discount Quote: 20.79 – 21.80
Spot Rate : 1.0100
Average : 0.6478

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-02
Maturity Price : 20.79
Evaluated at bid price : 20.79
Bid-YTW : 5.97 %
CCS.PR.C Insurance Straight Quote: 21.78 – 23.00
Spot Rate : 1.2200
Average : 0.9268

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-02
Maturity Price : 21.52
Evaluated at bid price : 21.78
Bid-YTW : 5.77 %
PWF.PR.O Perpetual-Discount Quote: 24.28 – 25.00
Spot Rate : 0.7200
Average : 0.4532

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-02
Maturity Price : 24.03
Evaluated at bid price : 24.28
Bid-YTW : 6.08 %
IFC.PR.C FixedReset Ins Non Quote: 20.15 – 20.90
Spot Rate : 0.7500
Average : 0.4832

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-02
Maturity Price : 20.15
Evaluated at bid price : 20.15
Bid-YTW : 6.42 %
BN.PF.D Perpetual-Discount Quote: 20.01 – 20.60
Spot Rate : 0.5900
Average : 0.3684

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-02
Maturity Price : 20.01
Evaluated at bid price : 20.01
Bid-YTW : 6.17 %
Market Action

October 1, 2024

I forgot to display a rainbow yesterday – sorry! But there’s a picture for today, anyway:

TXPR closed at 619.18, down 0.64% on the day. Volume today was 744,620, third-lowest of the past 21 trading days.

CPD closed at 12.255, down 0.69% on the day. Volume was 97,860, second-highest of the past 21 trading days.

ZPR closed at 10.46, down 0.95% on the day. Volume was 279,740, fourth-highest of the past 21 trading days.

Five-year Canada yields were up to 2.76%.

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 -0.0879 % 2,167.5
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.0879 % 4,157.3
Floater 9.93 % 10.05 % 85,091 9.54 2 -0.0879 % 2,395.9
OpRet 0.00 % 0.00 % 0 0.00 0 0.1213 % 3,575.3
SplitShare 4.82 % 5.30 % 97,553 4.17 4 0.1213 % 4,269.6
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.1213 % 3,331.3
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 -0.2377 % 2,924.2
Perpetual-Discount 5.89 % 5.96 % 50,143 13.91 31 -0.2377 % 3,188.7
FixedReset Disc 5.49 % 6.56 % 114,356 13.01 58 -0.0221 % 2,659.0
Insurance Straight 5.68 % 5.76 % 62,582 14.27 20 0.5317 % 3,184.7
FloatingReset 8.14 % 8.25 % 29,947 11.16 2 -0.0523 % 2,740.5
FixedReset Prem 6.44 % 5.53 % 221,863 13.57 7 0.2005 % 2,573.3
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 -0.0221 % 2,718.1
FixedReset Ins Non 5.23 % 5.94 % 100,710 13.98 14 -0.0240 % 2,810.8
Performance Highlights
Issue Index Change Notes
ENB.PF.G FixedReset Disc -3.91 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-01
Maturity Price : 17.20
Evaluated at bid price : 17.20
Bid-YTW : 7.72 %
BN.PR.M Perpetual-Discount -3.66 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-01
Maturity Price : 18.40
Evaluated at bid price : 18.40
Bid-YTW : 6.51 %
CU.PR.F Perpetual-Discount -3.66 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-01
Maturity Price : 18.70
Evaluated at bid price : 18.70
Bid-YTW : 6.10 %
POW.PR.C Perpetual-Discount -3.51 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-01
Maturity Price : 23.35
Evaluated at bid price : 23.64
Bid-YTW : 6.15 %
PWF.PR.P FixedReset Disc -3.36 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-01
Maturity Price : 14.40
Evaluated at bid price : 14.40
Bid-YTW : 7.23 %
IFC.PR.C FixedReset Ins Non -1.91 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-01
Maturity Price : 20.50
Evaluated at bid price : 20.50
Bid-YTW : 6.31 %
CU.PR.G Perpetual-Discount -1.54 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-01
Maturity Price : 19.20
Evaluated at bid price : 19.20
Bid-YTW : 5.94 %
GWO.PR.Y Insurance Straight -1.52 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-01
Maturity Price : 19.50
Evaluated at bid price : 19.50
Bid-YTW : 5.81 %
GWO.PR.S Insurance Straight -1.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-01
Maturity Price : 22.25
Evaluated at bid price : 22.52
Bid-YTW : 5.86 %
TD.PF.E FixedReset Disc -1.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-01
Maturity Price : 22.90
Evaluated at bid price : 23.43
Bid-YTW : 5.86 %
ENB.PR.Y FixedReset Disc -1.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-01
Maturity Price : 18.15
Evaluated at bid price : 18.15
Bid-YTW : 7.24 %
BN.PF.F FixedReset Disc -1.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-01
Maturity Price : 20.55
Evaluated at bid price : 20.55
Bid-YTW : 6.87 %
CU.PR.E Perpetual-Discount -1.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-01
Maturity Price : 20.79
Evaluated at bid price : 20.79
Bid-YTW : 5.97 %
FFH.PR.E FixedReset Disc 1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-01
Maturity Price : 16.87
Evaluated at bid price : 16.87
Bid-YTW : 7.23 %
FFH.PR.I FixedReset Disc 1.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-01
Maturity Price : 18.59
Evaluated at bid price : 18.59
Bid-YTW : 7.29 %
ENB.PF.K FixedReset Disc 1.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-01
Maturity Price : 22.67
Evaluated at bid price : 23.50
Bid-YTW : 6.41 %
BN.PR.N Perpetual-Discount 1.35 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-01
Maturity Price : 19.55
Evaluated at bid price : 19.55
Bid-YTW : 6.12 %
NA.PR.C FixedReset Prem 1.63 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2027-11-15
Maturity Price : 25.00
Evaluated at bid price : 26.25
Bid-YTW : 5.63 %
BN.PF.I FixedReset Disc 1.63 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-01
Maturity Price : 22.53
Evaluated at bid price : 23.05
Bid-YTW : 6.95 %
GWO.PR.H Insurance Straight 1.98 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-01
Maturity Price : 21.16
Evaluated at bid price : 21.16
Bid-YTW : 5.77 %
GWO.PR.Q Insurance Straight 2.28 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-01
Maturity Price : 22.12
Evaluated at bid price : 22.40
Bid-YTW : 5.77 %
BN.PF.A FixedReset Disc 3.38 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-01
Maturity Price : 22.63
Evaluated at bid price : 23.53
Bid-YTW : 6.30 %
CCS.PR.C Insurance Straight 3.99 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-01
Maturity Price : 22.69
Evaluated at bid price : 22.93
Bid-YTW : 5.48 %
SLF.PR.H FixedReset Ins Non 4.78 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-01
Maturity Price : 18.86
Evaluated at bid price : 18.86
Bid-YTW : 6.20 %
GWO.PR.T Insurance Straight 4.80 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-01
Maturity Price : 21.80
Evaluated at bid price : 22.27
Bid-YTW : 5.80 %
Volume Highlights
Issue Index Shares
Traded		 Notes
PVS.PR.L SplitShare 150,700 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-06-30
Maturity Price : 25.00
Evaluated at bid price : 25.28
Bid-YTW : 5.30 %
FTS.PR.M FixedReset Disc 56,870 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-01
Maturity Price : 20.20
Evaluated at bid price : 20.20
Bid-YTW : 6.52 %
BN.PF.B FixedReset Disc 22,600 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-01
Maturity Price : 21.40
Evaluated at bid price : 21.40
Bid-YTW : 6.60 %
BIP.PR.A FixedReset Disc 21,902 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-01
Maturity Price : 21.24
Evaluated at bid price : 21.24
Bid-YTW : 7.32 %
NA.PR.S FixedReset Disc 21,295 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-01
Maturity Price : 23.18
Evaluated at bid price : 24.97
Bid-YTW : 5.43 %
FTS.PR.K FixedReset Disc 20,000 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-01
Maturity Price : 20.83
Evaluated at bid price : 20.83
Bid-YTW : 6.06 %
There were 9 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
BN.PR.M Perpetual-Discount Quote: 18.40 – 19.90
Spot Rate : 1.5000
Average : 1.0521

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-01
Maturity Price : 18.40
Evaluated at bid price : 18.40
Bid-YTW : 6.51 %
POW.PR.C Perpetual-Discount Quote: 23.64 – 24.63
Spot Rate : 0.9900
Average : 0.5899

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-01
Maturity Price : 23.35
Evaluated at bid price : 23.64
Bid-YTW : 6.15 %
PWF.PR.P FixedReset Disc Quote: 14.40 – 15.25
Spot Rate : 0.8500
Average : 0.5332

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-01
Maturity Price : 14.40
Evaluated at bid price : 14.40
Bid-YTW : 7.23 %
ENB.PF.G FixedReset Disc Quote: 17.20 – 17.99
Spot Rate : 0.7900
Average : 0.5297

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-01
Maturity Price : 17.20
Evaluated at bid price : 17.20
Bid-YTW : 7.72 %
BN.PF.F FixedReset Disc Quote: 20.55 – 21.09
Spot Rate : 0.5400
Average : 0.3762

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-01
Maturity Price : 20.55
Evaluated at bid price : 20.55
Bid-YTW : 6.87 %
BN.PR.X FixedReset Disc Quote: 15.21 – 16.90
Spot Rate : 1.6900
Average : 1.5348

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-01
Maturity Price : 15.21
Evaluated at bid price : 15.21
Bid-YTW : 7.56 %
Market Action

September 30, 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 -0.2193 % 2,169.4
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.2193 % 4,160.9
Floater 9.92 % 10.02 % 85,778 9.56 2 -0.2193 % 2,398.0
OpRet 0.00 % 0.00 % 0 0.00 0 0.7806 % 3,570.9
SplitShare 4.83 % 5.32 % 97,166 4.17 4 0.7806 % 4,264.4
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.7806 % 3,327.3
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 -0.2431 % 2,931.1
Perpetual-Discount 5.87 % 5.96 % 50,575 13.91 31 -0.2431 % 3,196.3
FixedReset Disc 5.49 % 6.56 % 113,639 12.86 58 0.0689 % 2,659.6
Insurance Straight 5.71 % 5.74 % 63,968 14.29 20 0.1607 % 3,167.8
FloatingReset 8.13 % 8.28 % 31,184 11.13 2 0.2885 % 2,741.9
FixedReset Prem 6.45 % 5.55 % 224,559 13.57 7 -0.1113 % 2,568.1
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 0.0689 % 2,718.7
FixedReset Ins Non 5.23 % 5.89 % 102,334 14.03 14 0.0378 % 2,811.5
Performance Highlights
Issue Index Change Notes
BN.PR.X FixedReset Disc -9.46 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-30
Maturity Price : 15.21
Evaluated at bid price : 15.21
Bid-YTW : 7.56 %
BN.PF.A FixedReset Disc -2.90 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-30
Maturity Price : 22.20
Evaluated at bid price : 22.76
Bid-YTW : 6.54 %
BN.PR.M Perpetual-Discount -2.55 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-30
Maturity Price : 19.10
Evaluated at bid price : 19.10
Bid-YTW : 6.27 %
GWO.PR.T Insurance Straight -2.30 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-30
Maturity Price : 21.25
Evaluated at bid price : 21.25
Bid-YTW : 6.11 %
GWO.PR.H Insurance Straight -2.17 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-30
Maturity Price : 20.75
Evaluated at bid price : 20.75
Bid-YTW : 5.89 %
NA.PR.C FixedReset Prem -1.60 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-30
Maturity Price : 23.62
Evaluated at bid price : 25.83
Bid-YTW : 6.15 %
MFC.PR.F FixedReset Ins Non -1.54 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-30
Maturity Price : 16.00
Evaluated at bid price : 16.00
Bid-YTW : 6.21 %
CU.PR.H Perpetual-Discount -1.46 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-30
Maturity Price : 21.97
Evaluated at bid price : 22.20
Bid-YTW : 5.98 %
BN.PR.N Perpetual-Discount -1.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-30
Maturity Price : 19.29
Evaluated at bid price : 19.29
Bid-YTW : 6.20 %
CU.PR.G Perpetual-Discount 1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-30
Maturity Price : 19.50
Evaluated at bid price : 19.50
Bid-YTW : 5.84 %
SLF.PR.C Insurance Straight 1.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-30
Maturity Price : 20.70
Evaluated at bid price : 20.70
Bid-YTW : 5.41 %
GWO.PR.M Insurance Straight 1.24 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-30
Maturity Price : 24.25
Evaluated at bid price : 24.55
Bid-YTW : 5.94 %
TD.PF.E FixedReset Disc 1.28 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-30
Maturity Price : 23.17
Evaluated at bid price : 23.70
Bid-YTW : 5.79 %
GWO.PR.S Insurance Straight 1.47 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-30
Maturity Price : 22.55
Evaluated at bid price : 22.80
Bid-YTW : 5.78 %
CCS.PR.C Insurance Straight 1.85 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-30
Maturity Price : 21.81
Evaluated at bid price : 22.05
Bid-YTW : 5.70 %
PVS.PR.K SplitShare 2.50 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2029-05-31
Maturity Price : 25.00
Evaluated at bid price : 24.60
Bid-YTW : 4.94 %
BN.PF.G FixedReset Disc 4.76 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-30
Maturity Price : 18.70
Evaluated at bid price : 18.70
Bid-YTW : 7.34 %
Volume Highlights
Issue Index Shares
Traded		 Notes
PVS.PR.L SplitShare 158,000 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-06-30
Maturity Price : 25.00
Evaluated at bid price : 25.26
Bid-YTW : 5.32 %
CM.PR.Q FixedReset Disc 101,000 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-30
Maturity Price : 23.21
Evaluated at bid price : 23.82
Bid-YTW : 5.65 %
ENB.PF.C FixedReset Disc 29,600 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-30
Maturity Price : 18.30
Evaluated at bid price : 18.30
Bid-YTW : 7.39 %
BN.PF.G FixedReset Disc 21,700 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-30
Maturity Price : 18.70
Evaluated at bid price : 18.70
Bid-YTW : 7.34 %
FTS.PR.M FixedReset Disc 20,000 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-30
Maturity Price : 20.16
Evaluated at bid price : 20.16
Bid-YTW : 6.53 %
ENB.PR.F FixedReset Disc 15,100 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-30
Maturity Price : 18.90
Evaluated at bid price : 18.90
Bid-YTW : 7.15 %
There were 5 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
CU.PR.C FixedReset Disc Quote: 20.51 – 22.78
Spot Rate : 2.2700
Average : 1.4027

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-30
Maturity Price : 20.51
Evaluated at bid price : 20.51
Bid-YTW : 6.37 %
ENB.PR.J FixedReset Disc Quote: 20.22 – 21.45
Spot Rate : 1.2300
Average : 0.6919

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-30
Maturity Price : 20.22
Evaluated at bid price : 20.22
Bid-YTW : 6.92 %
SLF.PR.H FixedReset Ins Non Quote: 18.00 – 20.75
Spot Rate : 2.7500
Average : 2.2196

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-30
Maturity Price : 18.00
Evaluated at bid price : 18.00
Bid-YTW : 6.49 %
CU.PR.D Perpetual-Discount Quote: 20.75 – 21.89
Spot Rate : 1.1400
Average : 0.7111

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-30
Maturity Price : 20.75
Evaluated at bid price : 20.75
Bid-YTW : 5.98 %
BN.PR.X FixedReset Disc Quote: 15.21 – 17.00
Spot Rate : 1.7900
Average : 1.3647

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-30
Maturity Price : 15.21
Evaluated at bid price : 15.21
Bid-YTW : 7.56 %
BN.PR.M Perpetual-Discount Quote: 19.10 – 19.97
Spot Rate : 0.8700
Average : 0.5610

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-30
Maturity Price : 19.10
Evaluated at bid price : 19.10
Bid-YTW : 6.27 %
Market Action

September 27, 2024

There was slack Canadian economic news today:

Canada’s gross domestic product expanded at a faster-than-expected 0.2 per cent rate in July, but an advance estimate indicated that growth likely stalled in August, data showed on Friday, bolstering hopes for a supersized interest rate cut next month.
…
The economy grew in July despite the negative impact of wildfires on several industries, with growth driven by services-producing industries, primarily retail trade, public sectors and finance and insurance, Statistics Canada said.

The expected economic weakness in August likely is due to a contraction in manufacturing, transportation and warehousing which would essentially offset growth in oil and gas extraction and the public sector, Statscan said.

The BoC forecast in July that the economy would grow 2.8 per cent in the third quarter, but data released since then have led economists to predict growth of about half that figure.
…
On Tuesday, BoC Governor Tiff Macklem said it was reasonable to expect more rate cuts given the progress made in cooling inflation and reiterated that the central bank wanted to see growth pick up to absorb economic slack.

Economic growth in July was driven by increases in both services, which grew by 0.2 per cent, and goods industries, which rose by 0.1 per cent, Statscan said.

And markets reacted:

Today’s reading on gross domestic product hasn’t settled the debate in money markets and among economists as to whether the Bank of Canada will cut its trend-setting interest rate by 25 or 50 basis points next month.

But for markets, the data were enough to give slightly better odds to the larger of the two possibilities at the Oct. 23 policy meeting. Several economists are also suggesting a 50 basis point cut looms.

The U.S. also released inflation data simultaneously that showed easing price pressures in the world’s largest economy, boosting the chances of an outsized interest rate cut at the Federal Reserve’s November meeting. That’s also providing the Bank of Canada with the room to cut its policy rate further without heightened risks of weakening the Canadian currency.
…
Here’s how implied probabilities of future interest rate moves stand in swaps markets, according to data from LSEG moments after the 830 am ET data were released. The overnight rate now resides at 4.25%. While the bank moves in quarter point increments, credit market implied rates fluctuate more fluidly and are constantly changing. Columns to the right are percentage probabilities of future rate moves.


Pre-GDP Announcement

Post-GDP Announcement
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 0.1757 % 2,174.2
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.1757 % 4,170.1
Floater 9.90 % 10.02 % 53,088 9.57 2 0.1757 % 2,403.2
OpRet 0.00 % 0.00 % 0 0.00 0 -0.1325 % 3,543.3
SplitShare 4.86 % 5.53 % 57,089 3.14 5 -0.1325 % 4,231.4
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.1325 % 3,301.5
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 0.3845 % 2,938.3
Perpetual-Discount 5.86 % 5.95 % 51,430 13.94 31 0.3845 % 3,204.1
FixedReset Disc 5.50 % 6.58 % 113,769 12.96 58 0.5920 % 2,657.8
Insurance Straight 5.72 % 5.75 % 63,914 14.28 20 0.3849 % 3,162.8
FloatingReset 8.38 % 8.51 % 32,384 10.90 2 0.0262 % 2,734.1
FixedReset Prem 6.44 % 5.55 % 225,857 13.53 7 0.0167 % 2,571.0
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 0.5920 % 2,716.8
FixedReset Ins Non 5.23 % 5.91 % 103,156 14.01 14 0.9745 % 2,810.4
Performance Highlights
Issue Index Change Notes
BMO.PR.W FixedReset Disc -1.90 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-27
Maturity Price : 22.67
Evaluated at bid price : 23.79
Bid-YTW : 5.21 %
SLF.PR.G FixedReset Ins Non -1.83 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-27
Maturity Price : 16.10
Evaluated at bid price : 16.10
Bid-YTW : 6.32 %
TD.PF.E FixedReset Disc -1.47 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-27
Maturity Price : 22.88
Evaluated at bid price : 23.40
Bid-YTW : 5.88 %
GWO.PR.N FixedReset Ins Non -1.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-27
Maturity Price : 14.44
Evaluated at bid price : 14.44
Bid-YTW : 6.71 %
GWO.PR.H Insurance Straight 1.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-27
Maturity Price : 21.21
Evaluated at bid price : 21.21
Bid-YTW : 5.75 %
FFH.PR.K FixedReset Disc 1.18 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-27
Maturity Price : 21.98
Evaluated at bid price : 22.25
Bid-YTW : 6.84 %
GWO.PR.G Insurance Straight 1.21 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-27
Maturity Price : 22.40
Evaluated at bid price : 22.66
Bid-YTW : 5.76 %
GWO.PR.P Insurance Straight 1.27 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-27
Maturity Price : 22.88
Evaluated at bid price : 23.15
Bid-YTW : 5.86 %
BIP.PR.E FixedReset Disc 1.27 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-27
Maturity Price : 22.84
Evaluated at bid price : 23.85
Bid-YTW : 6.25 %
MFC.PR.F FixedReset Ins Non 1.56 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-27
Maturity Price : 16.25
Evaluated at bid price : 16.25
Bid-YTW : 6.14 %
GWO.PR.T Insurance Straight 2.35 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-27
Maturity Price : 21.75
Evaluated at bid price : 21.75
Bid-YTW : 5.96 %
CU.PR.J Perpetual-Discount 2.47 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-27
Maturity Price : 20.29
Evaluated at bid price : 20.29
Bid-YTW : 5.93 %
ENB.PF.G FixedReset Disc 3.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-27
Maturity Price : 17.75
Evaluated at bid price : 17.75
Bid-YTW : 7.50 %
CU.PR.F Perpetual-Discount 3.74 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-27
Maturity Price : 19.40
Evaluated at bid price : 19.40
Bid-YTW : 5.87 %
CU.PR.G Perpetual-Discount 4.32 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-27
Maturity Price : 19.30
Evaluated at bid price : 19.30
Bid-YTW : 5.90 %
BN.PR.X FixedReset Disc 10.45 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-27
Maturity Price : 16.80
Evaluated at bid price : 16.80
Bid-YTW : 6.85 %
MFC.PR.M FixedReset Ins Non 17.42 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-27
Maturity Price : 21.10
Evaluated at bid price : 21.10
Bid-YTW : 6.09 %
BIP.PR.A FixedReset Disc 33.19 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-27
Maturity Price : 21.31
Evaluated at bid price : 21.31
Bid-YTW : 7.31 %
Volume Highlights
Issue Index Shares
Traded		 Notes
PVS.PR.L SplitShare 514,152 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-06-30
Maturity Price : 25.00
Evaluated at bid price : 25.04
Bid-YTW : 5.49 %
TD.PF.E FixedReset Disc 52,600 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-27
Maturity Price : 22.88
Evaluated at bid price : 23.40
Bid-YTW : 5.88 %
PVS.PR.I SplitShare 31,300 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-10-31
Maturity Price : 25.00
Evaluated at bid price : 24.66
Bid-YTW : 6.35 %
MFC.PR.F FixedReset Ins Non 20,750 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-27
Maturity Price : 16.25
Evaluated at bid price : 16.25
Bid-YTW : 6.14 %
TD.PF.J FixedReset Prem 16,100 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-27
Maturity Price : 23.28
Evaluated at bid price : 24.95
Bid-YTW : 5.55 %
CU.PR.F Perpetual-Discount 15,100 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-27
Maturity Price : 19.40
Evaluated at bid price : 19.40
Bid-YTW : 5.87 %
There were 4 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
ENB.PF.K FixedReset Disc Quote: 23.10 – 24.10
Spot Rate : 1.0000
Average : 0.5979

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-27
Maturity Price : 22.45
Evaluated at bid price : 23.10
Bid-YTW : 6.55 %
CCS.PR.C Insurance Straight Quote: 21.65 – 22.75
Spot Rate : 1.1000
Average : 0.8130

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-27
Maturity Price : 21.38
Evaluated at bid price : 21.65
Bid-YTW : 5.80 %
CU.PR.I FixedReset Disc Quote: 24.30 – 24.95
Spot Rate : 0.6500
Average : 0.4358

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-27
Maturity Price : 23.85
Evaluated at bid price : 24.30
Bid-YTW : 6.52 %
BN.PF.G FixedReset Disc Quote: 17.85 – 18.85
Spot Rate : 1.0000
Average : 0.7999

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-27
Maturity Price : 17.85
Evaluated at bid price : 17.85
Bid-YTW : 7.71 %
IFC.PR.F Insurance Straight Quote: 23.10 – 23.99
Spot Rate : 0.8900
Average : 0.6931

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-27
Maturity Price : 22.81
Evaluated at bid price : 23.10
Bid-YTW : 5.76 %
MFC.PR.K FixedReset Ins Non Quote: 24.18 – 24.74
Spot Rate : 0.5600
Average : 0.4348

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-27
Maturity Price : 22.94
Evaluated at bid price : 24.18
Bid-YTW : 5.47 %