Category: Market Action

Market Action

October 30, 2024

PerpetualDiscounts now yield 6.13%, equivalent to 7.97% interest at the standard equivalency factor of 1.3x. Long corporates yielded 4.93% on 2024-10-29 and since then the closing price of ZLC has changed from 15.30 to 15.28, a total return of -0.13%, implying an increase of yields of 1bp (BMO reports a duration of 12.35, but don’t disclose whether this is Macaulay or Modified; I will assume Modified) to 4.94%. Therefore, the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) has widened to 305bp from the 290bp reported October 23.

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 0.0000 % 2,147.0
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.0000 % 4,117.9
Floater 8.87 % 9.36 % 36,807 10.05 4 0.0000 % 2,373.2
OpRet 0.00 % 0.00 % 0 0.00 0 -0.1051 % 3,599.3
SplitShare 4.80 % 5.23 % 45,780 1.27 8 -0.1051 % 4,298.3
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.1051 % 3,353.7
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 0.2322 % 2,858.2
Perpetual-Discount 6.02 % 6.13 % 51,621 13.69 31 0.2322 % 3,116.7
FixedReset Disc 5.53 % 7.03 % 112,355 12.47 58 0.0303 % 2,659.6
Insurance Straight 5.93 % 6.09 % 68,898 13.74 20 0.3510 % 3,051.6
FloatingReset 7.46 % 7.57 % 27,178 11.82 1 -0.8889 % 2,823.8
FixedReset Prem 6.41 % 5.72 % 180,317 3.75 7 -0.1383 % 2,583.0
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 0.0303 % 2,718.7
FixedReset Ins Non 5.27 % 6.28 % 87,118 13.49 14 0.1771 % 2,785.3
Performance Highlights
Issue Index Change Notes
BN.PF.I FixedReset Disc -2.67 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-30
Maturity Price : 21.52
Evaluated at bid price : 21.90
Bid-YTW : 7.67 %
FTS.PR.J Perpetual-Discount -2.32 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-30
Maturity Price : 20.22
Evaluated at bid price : 20.22
Bid-YTW : 5.99 %
ENB.PF.A FixedReset Disc -2.25 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-30
Maturity Price : 18.70
Evaluated at bid price : 18.70
Bid-YTW : 7.79 %
IFC.PR.F Insurance Straight -1.65 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-30
Maturity Price : 22.08
Evaluated at bid price : 22.08
Bid-YTW : 6.08 %
FTS.PR.K FixedReset Disc -1.27 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-30
Maturity Price : 20.29
Evaluated at bid price : 20.29
Bid-YTW : 6.57 %
PWF.PR.L Perpetual-Discount -1.24 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-30
Maturity Price : 20.76
Evaluated at bid price : 20.76
Bid-YTW : 6.19 %
MFC.PR.F FixedReset Ins Non -1.21 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-30
Maturity Price : 15.50
Evaluated at bid price : 15.50
Bid-YTW : 6.90 %
MFC.PR.B Insurance Straight -1.19 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-30
Maturity Price : 19.90
Evaluated at bid price : 19.90
Bid-YTW : 5.93 %
GWO.PR.R Insurance Straight -1.19 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-30
Maturity Price : 19.94
Evaluated at bid price : 19.94
Bid-YTW : 6.10 %
BN.PR.N Perpetual-Discount -1.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-30
Maturity Price : 18.81
Evaluated at bid price : 18.81
Bid-YTW : 6.40 %
MFC.PR.C Insurance Straight 1.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-30
Maturity Price : 19.70
Evaluated at bid price : 19.70
Bid-YTW : 5.80 %
CU.PR.J Perpetual-Discount 1.17 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-30
Maturity Price : 19.85
Evaluated at bid price : 19.85
Bid-YTW : 6.10 %
PWF.PR.Z Perpetual-Discount 1.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-30
Maturity Price : 21.15
Evaluated at bid price : 21.15
Bid-YTW : 6.13 %
PWF.PR.S Perpetual-Discount 1.52 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-30
Maturity Price : 20.00
Evaluated at bid price : 20.00
Bid-YTW : 6.04 %
SLF.PR.C Insurance Straight 1.56 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-30
Maturity Price : 20.16
Evaluated at bid price : 20.16
Bid-YTW : 5.59 %
PWF.PR.R Perpetual-Discount 1.74 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-30
Maturity Price : 21.97
Evaluated at bid price : 22.20
Bid-YTW : 6.23 %
MFC.PR.N FixedReset Ins Non 1.91 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-30
Maturity Price : 21.30
Evaluated at bid price : 21.30
Bid-YTW : 6.33 %
GWO.PR.G Insurance Straight 2.21 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-30
Maturity Price : 20.80
Evaluated at bid price : 20.80
Bid-YTW : 6.34 %
IFC.PR.E Insurance Straight 3.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-30
Maturity Price : 21.90
Evaluated at bid price : 21.90
Bid-YTW : 6.02 %
BN.PF.C Perpetual-Discount 3.57 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-30
Maturity Price : 19.15
Evaluated at bid price : 19.15
Bid-YTW : 6.42 %
POW.PR.D Perpetual-Discount 4.65 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-30
Maturity Price : 20.70
Evaluated at bid price : 20.70
Bid-YTW : 6.10 %
BN.PF.F FixedReset Disc 7.52 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-30
Maturity Price : 20.44
Evaluated at bid price : 20.44
Bid-YTW : 7.33 %
Volume Highlights
Issue Index Shares
Traded		 Notes
BN.PR.K Floater 85,485 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-30
Maturity Price : 11.32
Evaluated at bid price : 11.32
Bid-YTW : 9.38 %
BMO.PR.W FixedReset Disc 69,768 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-12-25
Maturity Price : 25.00
Evaluated at bid price : 24.93
Bid-YTW : 4.71 %
TD.PF.C FixedReset Disc 37,282 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-30
Maturity Price : 22.26
Evaluated at bid price : 23.00
Bid-YTW : 5.75 %
MFC.PR.M FixedReset Ins Non 35,880 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-30
Maturity Price : 21.49
Evaluated at bid price : 21.80
Bid-YTW : 6.28 %
BN.PR.B Floater 18,759 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-30
Maturity Price : 11.30
Evaluated at bid price : 11.30
Bid-YTW : 9.40 %
FTS.PR.M FixedReset Disc 18,374 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-30
Maturity Price : 20.53
Evaluated at bid price : 20.53
Bid-YTW : 6.86 %
There were 14 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
IFC.PR.C FixedReset Ins Non Quote: 18.00 – 21.00
Spot Rate : 3.0000
Average : 2.4495

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-30
Maturity Price : 18.00
Evaluated at bid price : 18.00
Bid-YTW : 7.59 %
MFC.PR.F FixedReset Ins Non Quote: 15.50 – 17.00
Spot Rate : 1.5000
Average : 1.1596

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-30
Maturity Price : 15.50
Evaluated at bid price : 15.50
Bid-YTW : 6.90 %
BN.PF.I FixedReset Disc Quote: 21.90 – 23.60
Spot Rate : 1.7000
Average : 1.3901

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-30
Maturity Price : 21.52
Evaluated at bid price : 21.90
Bid-YTW : 7.67 %
FTS.PR.J Perpetual-Discount Quote: 20.22 – 20.80
Spot Rate : 0.5800
Average : 0.3723

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-30
Maturity Price : 20.22
Evaluated at bid price : 20.22
Bid-YTW : 5.99 %
CU.PR.C FixedReset Disc Quote: 20.32 – 21.01
Spot Rate : 0.6900
Average : 0.4990

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-30
Maturity Price : 20.32
Evaluated at bid price : 20.32
Bid-YTW : 6.81 %
ENB.PF.A FixedReset Disc Quote: 18.70 – 19.19
Spot Rate : 0.4900
Average : 0.3193

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-30
Maturity Price : 18.70
Evaluated at bid price : 18.70
Bid-YTW : 7.79 %
Market Action

October 29, 2024

CM announced an LRCN issue today:

CIBC (TSX: CM) (NYSE: CM) today announced the public offering in the United States of US$500 million of 6.950% Fixed Rate Reset Limited Recourse Capital Notes Series 5 (Non-Viability Contingent Capital (NVCC)) (Subordinated Indebtedness) (the “LRCNs”).

The LRCNs will bear interest at a rate of 6.950% annually, payable quarterly, for the initial period ending on, but excluding, January 28, 2030. Thereafter, the interest rate on the LRCNs will reset every five years at a rate equal to the prevailing 5-year U.S. Treasury Rate plus 2.833%. The LRCNs will mature on January 28, 2085. The expected closing date of the offering is November 5, 2024.

In connection with the issuance of the LRCNs, CIBC will issue Non-Cumulative 5-Year Fixed Rate Reset Class A Preferred Shares Series 59 (Non-Viability Contingent Capital (NVCC)) (the “Series 59 Shares”) to be held by Computershare Trust Company of Canada as trustee of CIBC LRCN Limited Recourse Trust (the “Limited Recourse Trust”). In case of non-payment of interest on or principal of the LRCNs when due, the recourse of each LRCN holder will be limited to that holder’s proportionate share of the Limited Recourse Trust’s assets held in respect of the LRCNs, which will consist of Series 59 Shares except in limited circumstances.

CIBC may redeem the LRCNs on January 28, 2030 and on each January 28, April 28, July 28 and October 28 thereafter with the prior written approval of the Superintendent of Financial Institutions (Canada), in whole or in part on not less than 10 days’ nor more than 60 days’ prior notice.

The net proceeds to CIBC from the sale of the LRCNs will be used for general corporate purposes, which may include the redemption of outstanding capital securities of CIBC, and/or the repayment of other outstanding liabilities of CIBC.

The joint book-running managers for the offering are CIBC World Markets Corp., BNP Paribas Securities Corp., BofA Securities, Inc., Citigroup Global Markets Inc., HSBC Securities (USA) Inc. and J.P. Morgan Securities LLC.

Thanks to Assiduous Reader IrateAR for bringing this to my attention!

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 0.2990 % 2,147.0
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.2990 % 4,117.9
Floater 8.87 % 9.35 % 35,686 10.05 4 0.2990 % 2,373.2
OpRet 0.00 % 0.00 % 0 0.00 0 -0.0400 % 3,603.0
SplitShare 4.79 % 5.33 % 46,104 1.27 8 -0.0400 % 4,302.8
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.0400 % 3,357.2
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 -0.7831 % 2,851.6
Perpetual-Discount 6.04 % 6.13 % 51,603 13.68 31 -0.7831 % 3,109.5
FixedReset Disc 5.53 % 7.01 % 112,939 12.49 58 -0.2705 % 2,658.8
Insurance Straight 5.95 % 6.08 % 67,700 13.77 20 -1.8421 % 3,040.9
FloatingReset 7.39 % 7.50 % 27,079 11.90 1 -0.7937 % 2,849.1
FixedReset Prem 6.40 % 5.68 % 182,024 3.75 7 -0.0055 % 2,586.6
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 -0.2705 % 2,717.9
FixedReset Ins Non 5.28 % 6.26 % 86,587 13.49 14 -1.0716 % 2,780.4
Performance Highlights
Issue Index Change Notes
IFC.PR.C FixedReset Ins Non -11.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-29
Maturity Price : 18.00
Evaluated at bid price : 18.00
Bid-YTW : 7.59 %
BN.PF.F FixedReset Disc -7.27 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-29
Maturity Price : 19.01
Evaluated at bid price : 19.01
Bid-YTW : 7.88 %
GWO.PR.G Insurance Straight -6.86 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-29
Maturity Price : 20.35
Evaluated at bid price : 20.35
Bid-YTW : 6.48 %
BN.PF.C Perpetual-Discount -5.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-29
Maturity Price : 18.49
Evaluated at bid price : 18.49
Bid-YTW : 6.65 %
IFC.PR.E Insurance Straight -4.97 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-29
Maturity Price : 21.24
Evaluated at bid price : 21.24
Bid-YTW : 6.20 %
POW.PR.D Perpetual-Discount -4.90 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-29
Maturity Price : 19.78
Evaluated at bid price : 19.78
Bid-YTW : 6.39 %
PWF.PR.R Perpetual-Discount -3.88 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-29
Maturity Price : 21.56
Evaluated at bid price : 21.82
Bid-YTW : 6.33 %
CU.PR.F Perpetual-Discount -3.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-29
Maturity Price : 18.70
Evaluated at bid price : 18.70
Bid-YTW : 6.13 %
CU.PR.H Perpetual-Discount -2.67 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-29
Maturity Price : 21.65
Evaluated at bid price : 21.90
Bid-YTW : 6.09 %
MFC.PR.N FixedReset Ins Non -2.56 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-29
Maturity Price : 20.90
Evaluated at bid price : 20.90
Bid-YTW : 6.45 %
SLF.PR.C Insurance Straight -2.55 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-29
Maturity Price : 19.85
Evaluated at bid price : 19.85
Bid-YTW : 5.68 %
IFC.PR.I Insurance Straight -2.44 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-29
Maturity Price : 22.07
Evaluated at bid price : 22.40
Bid-YTW : 6.09 %
GWO.PR.T Insurance Straight -2.39 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-29
Maturity Price : 21.25
Evaluated at bid price : 21.25
Bid-YTW : 6.14 %
GWO.PR.I Insurance Straight -1.97 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-29
Maturity Price : 18.95
Evaluated at bid price : 18.95
Bid-YTW : 6.02 %
ENB.PR.A Perpetual-Discount -1.88 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-29
Maturity Price : 22.72
Evaluated at bid price : 23.01
Bid-YTW : 6.08 %
GWO.PR.P Insurance Straight -1.82 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-29
Maturity Price : 21.89
Evaluated at bid price : 22.13
Bid-YTW : 6.17 %
MFC.PR.C Insurance Straight -1.76 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-29
Maturity Price : 19.50
Evaluated at bid price : 19.50
Bid-YTW : 5.86 %
GWO.PR.H Insurance Straight -1.75 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-29
Maturity Price : 20.16
Evaluated at bid price : 20.16
Bid-YTW : 6.09 %
PWF.PR.Z Perpetual-Discount -1.65 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-29
Maturity Price : 20.90
Evaluated at bid price : 20.90
Bid-YTW : 6.20 %
GWO.PR.L Insurance Straight -1.62 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-29
Maturity Price : 22.79
Evaluated at bid price : 23.07
Bid-YTW : 6.19 %
GWO.PR.Y Insurance Straight -1.61 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-29
Maturity Price : 18.89
Evaluated at bid price : 18.89
Bid-YTW : 6.03 %
IFC.PR.A FixedReset Ins Non -1.49 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-29
Maturity Price : 18.52
Evaluated at bid price : 18.52
Bid-YTW : 6.57 %
BIP.PR.F FixedReset Disc -1.48 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-29
Maturity Price : 22.06
Evaluated at bid price : 22.56
Bid-YTW : 6.86 %
SLF.PR.E Insurance Straight -1.46 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-29
Maturity Price : 20.30
Evaluated at bid price : 20.30
Bid-YTW : 5.61 %
POW.PR.A Perpetual-Discount -1.46 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-29
Maturity Price : 22.72
Evaluated at bid price : 23.01
Bid-YTW : 6.13 %
BN.PR.Z FixedReset Disc -1.44 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-29
Maturity Price : 20.50
Evaluated at bid price : 20.50
Bid-YTW : 7.49 %
CU.PR.E Perpetual-Discount -1.40 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-29
Maturity Price : 20.46
Evaluated at bid price : 20.46
Bid-YTW : 6.10 %
BN.PF.D Perpetual-Discount -1.37 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-29
Maturity Price : 19.40
Evaluated at bid price : 19.40
Bid-YTW : 6.40 %
GWO.PR.M Insurance Straight -1.33 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-29
Maturity Price : 23.41
Evaluated at bid price : 23.70
Bid-YTW : 6.19 %
POW.PR.B Perpetual-Discount -1.31 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-29
Maturity Price : 21.65
Evaluated at bid price : 21.90
Bid-YTW : 6.16 %
PWF.PR.H Perpetual-Discount -1.27 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-29
Maturity Price : 23.04
Evaluated at bid price : 23.31
Bid-YTW : 6.20 %
CU.PR.G Perpetual-Discount -1.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-29
Maturity Price : 19.13
Evaluated at bid price : 19.13
Bid-YTW : 5.99 %
PWF.PR.G Perpetual-Discount -1.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-29
Maturity Price : 23.72
Evaluated at bid price : 24.03
Bid-YTW : 6.17 %
GWO.PR.R Insurance Straight -1.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-29
Maturity Price : 20.18
Evaluated at bid price : 20.18
Bid-YTW : 6.03 %
BIP.PR.E FixedReset Disc -1.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-29
Maturity Price : 22.39
Evaluated at bid price : 23.00
Bid-YTW : 6.82 %
GWO.PR.S Insurance Straight -1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-29
Maturity Price : 21.55
Evaluated at bid price : 21.81
Bid-YTW : 6.08 %
ENB.PR.F FixedReset Disc 1.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-29
Maturity Price : 18.63
Evaluated at bid price : 18.63
Bid-YTW : 7.64 %
MFC.PR.F FixedReset Ins Non 1.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-29
Maturity Price : 15.69
Evaluated at bid price : 15.69
Bid-YTW : 6.82 %
BN.PR.X FixedReset Disc 5.33 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-29
Maturity Price : 16.02
Evaluated at bid price : 16.02
Bid-YTW : 7.64 %
PWF.PR.S Perpetual-Discount 18.67 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-29
Maturity Price : 19.70
Evaluated at bid price : 19.70
Bid-YTW : 6.13 %
Volume Highlights
Issue Index Shares
Traded		 Notes
PWF.PR.P FixedReset Disc 196,600 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-29
Maturity Price : 14.95
Evaluated at bid price : 14.95
Bid-YTW : 7.43 %
BMO.PR.W FixedReset Disc 101,300 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-12-25
Maturity Price : 25.00
Evaluated at bid price : 25.16
Bid-YTW : 4.89 %
SLF.PR.G FixedReset Ins Non 101,000 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-29
Maturity Price : 16.10
Evaluated at bid price : 16.10
Bid-YTW : 6.82 %
SLF.PR.E Insurance Straight 54,300 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-29
Maturity Price : 20.30
Evaluated at bid price : 20.30
Bid-YTW : 5.61 %
MFC.PR.N FixedReset Ins Non 51,500 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-29
Maturity Price : 20.90
Evaluated at bid price : 20.90
Bid-YTW : 6.45 %
BMO.PR.E FixedReset Prem 27,848 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2028-11-25
Maturity Price : 25.00
Evaluated at bid price : 26.36
Bid-YTW : 5.68 %
There were 19 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
IFC.PR.C FixedReset Ins Non Quote: 18.00 – 20.90
Spot Rate : 2.9000
Average : 1.8458

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-29
Maturity Price : 18.00
Evaluated at bid price : 18.00
Bid-YTW : 7.59 %
BN.PF.F FixedReset Disc Quote: 19.01 – 20.75
Spot Rate : 1.7400
Average : 1.0193

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-29
Maturity Price : 19.01
Evaluated at bid price : 19.01
Bid-YTW : 7.88 %
GWO.PR.G Insurance Straight Quote: 20.35 – 22.07
Spot Rate : 1.7200
Average : 1.0260

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-29
Maturity Price : 20.35
Evaluated at bid price : 20.35
Bid-YTW : 6.48 %
BN.PF.C Perpetual-Discount Quote: 18.49 – 19.52
Spot Rate : 1.0300
Average : 0.5960

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-29
Maturity Price : 18.49
Evaluated at bid price : 18.49
Bid-YTW : 6.65 %
POW.PR.D Perpetual-Discount Quote: 19.78 – 20.90
Spot Rate : 1.1200
Average : 0.7659

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-29
Maturity Price : 19.78
Evaluated at bid price : 19.78
Bid-YTW : 6.39 %
PWF.PR.R Perpetual-Discount Quote: 21.82 – 22.70
Spot Rate : 0.8800
Average : 0.5381

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-29
Maturity Price : 21.56
Evaluated at bid price : 21.82
Bid-YTW : 6.33 %
Market Action

October 28, 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 0.0214 % 2,140.6
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.0214 % 4,105.6
Floater 8.89 % 9.39 % 35,535 10.02 4 0.0214 % 2,366.1
OpRet 0.00 % 0.00 % 0 0.00 0 -0.0550 % 3,604.5
SplitShare 4.79 % 5.38 % 46,031 1.27 8 -0.0550 % 4,304.5
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.0550 % 3,358.6
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 -0.6122 % 2,874.1
Perpetual-Discount 5.99 % 6.08 % 51,016 13.80 31 -0.6122 % 3,134.1
FixedReset Disc 5.52 % 7.00 % 113,225 12.48 58 -0.0931 % 2,666.0
Insurance Straight 5.84 % 5.96 % 69,265 13.91 20 0.1502 % 3,098.0
FloatingReset 7.33 % 7.44 % 27,258 11.97 1 0.8000 % 2,871.9
FixedReset Prem 6.40 % 5.71 % 188,345 3.76 7 0.2217 % 2,586.7
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 -0.0931 % 2,725.2
FixedReset Ins Non 5.23 % 6.25 % 84,424 13.52 14 -0.0378 % 2,810.5
Performance Highlights
Issue Index Change Notes
PWF.PR.S Perpetual-Discount -18.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-28
Maturity Price : 16.60
Evaluated at bid price : 16.60
Bid-YTW : 7.29 %
BN.PR.X FixedReset Disc -6.69 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-28
Maturity Price : 15.21
Evaluated at bid price : 15.21
Bid-YTW : 8.04 %
CCS.PR.C Insurance Straight -2.37 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-28
Maturity Price : 21.00
Evaluated at bid price : 21.00
Bid-YTW : 6.03 %
IFC.PR.C FixedReset Ins Non -1.98 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-28
Maturity Price : 20.25
Evaluated at bid price : 20.25
Bid-YTW : 6.77 %
IFC.PR.F Insurance Straight -1.49 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-28
Maturity Price : 22.19
Evaluated at bid price : 22.47
Bid-YTW : 5.96 %
SLF.PR.D Insurance Straight -1.19 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-28
Maturity Price : 20.00
Evaluated at bid price : 20.00
Bid-YTW : 5.63 %
CM.PR.P FixedReset Disc 1.32 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-28
Maturity Price : 23.61
Evaluated at bid price : 24.52
Bid-YTW : 5.37 %
GWO.PR.T Insurance Straight 1.44 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-28
Maturity Price : 21.77
Evaluated at bid price : 21.77
Bid-YTW : 5.99 %
IFC.PR.A FixedReset Ins Non 1.57 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-28
Maturity Price : 18.80
Evaluated at bid price : 18.80
Bid-YTW : 6.47 %
BIK.PR.A FixedReset Prem 1.91 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2029-04-01
Maturity Price : 25.00
Evaluated at bid price : 26.71
Bid-YTW : 5.90 %
IFC.PR.I Insurance Straight 2.50 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-28
Maturity Price : 22.60
Evaluated at bid price : 22.96
Bid-YTW : 5.94 %
CU.PR.F Perpetual-Discount 3.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-28
Maturity Price : 19.28
Evaluated at bid price : 19.28
Bid-YTW : 5.94 %
IFC.PR.E Insurance Straight 5.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-28
Maturity Price : 21.88
Evaluated at bid price : 22.35
Bid-YTW : 5.86 %
Volume Highlights
Issue Index Shares
Traded		 Notes
NA.PR.S FixedReset Disc 105,000 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-28
Maturity Price : 23.11
Evaluated at bid price : 24.75
Bid-YTW : 5.66 %
SLF.PR.H FixedReset Ins Non 57,800 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-28
Maturity Price : 18.79
Evaluated at bid price : 18.79
Bid-YTW : 6.63 %
BMO.PR.W FixedReset Disc 53,400 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-12-25
Maturity Price : 25.00
Evaluated at bid price : 25.15
Bid-YTW : 5.06 %
RY.PR.M FixedReset Disc 46,800 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-28
Maturity Price : 23.56
Evaluated at bid price : 24.07
Bid-YTW : 5.71 %
TD.PF.C FixedReset Disc 45,900 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-28
Maturity Price : 22.15
Evaluated at bid price : 22.80
Bid-YTW : 5.81 %
BMO.PR.E FixedReset Prem 42,800 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2028-11-25
Maturity Price : 25.00
Evaluated at bid price : 26.54
Bid-YTW : 5.48 %
There were 15 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
PWF.PR.S Perpetual-Discount Quote: 16.60 – 20.39
Spot Rate : 3.7900
Average : 2.0634

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-28
Maturity Price : 16.60
Evaluated at bid price : 16.60
Bid-YTW : 7.29 %
CCS.PR.C Insurance Straight Quote: 21.00 – 22.70
Spot Rate : 1.7000
Average : 1.1174

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-28
Maturity Price : 21.00
Evaluated at bid price : 21.00
Bid-YTW : 6.03 %
CU.PR.H Perpetual-Discount Quote: 22.50 – 24.00
Spot Rate : 1.5000
Average : 0.9520

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-28
Maturity Price : 22.22
Evaluated at bid price : 22.50
Bid-YTW : 5.93 %
BN.PR.X FixedReset Disc Quote: 15.21 – 16.33
Spot Rate : 1.1200
Average : 0.6545

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-28
Maturity Price : 15.21
Evaluated at bid price : 15.21
Bid-YTW : 8.04 %
MFC.PR.F FixedReset Ins Non Quote: 15.50 – 17.00
Spot Rate : 1.5000
Average : 1.1444

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-28
Maturity Price : 15.50
Evaluated at bid price : 15.50
Bid-YTW : 6.90 %
CU.PR.D Perpetual-Discount Quote: 20.70 – 21.76
Spot Rate : 1.0600
Average : 0.7323

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-28
Maturity Price : 20.70
Evaluated at bid price : 20.70
Bid-YTW : 6.03 %
Market Action

October 25, 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 -0.2131 % 2,140.1
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.2131 % 4,104.8
Floater 8.90 % 9.39 % 36,735 10.03 4 -0.2131 % 2,365.6
OpRet 0.00 % 0.00 % 0 0.00 0 0.0800 % 3,606.5
SplitShare 4.79 % 5.26 % 45,504 1.28 8 0.0800 % 4,306.9
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0800 % 3,360.4
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 -0.1554 % 2,891.8
Perpetual-Discount 5.95 % 6.05 % 49,913 13.81 31 -0.1554 % 3,153.4
FixedReset Disc 5.51 % 6.88 % 114,568 12.59 58 0.1087 % 2,668.5
Insurance Straight 5.85 % 5.98 % 67,747 13.92 20 -0.5787 % 3,093.3
FloatingReset 7.61 % 7.72 % 26,720 11.66 1 0.0000 % 2,849.1
FixedReset Prem 6.42 % 5.65 % 194,728 3.75 7 0.1888 % 2,581.0
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 0.1087 % 2,727.8
FixedReset Ins Non 5.23 % 6.17 % 85,431 13.62 14 0.0412 % 2,811.5
Performance Highlights
Issue Index Change Notes
IFC.PR.E Insurance Straight -5.89 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-25
Maturity Price : 21.24
Evaluated at bid price : 21.24
Bid-YTW : 6.20 %
IFC.PR.I Insurance Straight -3.57 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-25
Maturity Price : 22.07
Evaluated at bid price : 22.40
Bid-YTW : 6.08 %
CU.PR.J Perpetual-Discount -3.35 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-25
Maturity Price : 19.62
Evaluated at bid price : 19.62
Bid-YTW : 6.16 %
SLF.PR.H FixedReset Ins Non -1.21 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-25
Maturity Price : 18.79
Evaluated at bid price : 18.79
Bid-YTW : 6.54 %
PWF.PR.T FixedReset Disc 1.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-25
Maturity Price : 21.85
Evaluated at bid price : 22.25
Bid-YTW : 6.11 %
PWF.PR.A Floater 1.18 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-25
Maturity Price : 13.00
Evaluated at bid price : 13.00
Bid-YTW : 8.05 %
BIP.PR.A FixedReset Disc 1.24 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-25
Maturity Price : 21.27
Evaluated at bid price : 21.27
Bid-YTW : 7.63 %
NA.PR.W FixedReset Disc 2.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-25
Maturity Price : 22.26
Evaluated at bid price : 23.00
Bid-YTW : 5.64 %
CCS.PR.C Insurance Straight 2.43 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-25
Maturity Price : 21.51
Evaluated at bid price : 21.51
Bid-YTW : 5.88 %
Volume Highlights
Issue Index Shares
Traded		 Notes
ENB.PR.T FixedReset Disc 29,113 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-25
Maturity Price : 20.50
Evaluated at bid price : 20.50
Bid-YTW : 7.17 %
BMO.PR.E FixedReset Prem 25,765 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2028-11-25
Maturity Price : 25.00
Evaluated at bid price : 26.60
Bid-YTW : 5.40 %
PWF.PR.T FixedReset Disc 23,943 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-25
Maturity Price : 21.85
Evaluated at bid price : 22.25
Bid-YTW : 6.11 %
BN.PR.R FixedReset Disc 22,600 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-25
Maturity Price : 16.68
Evaluated at bid price : 16.68
Bid-YTW : 7.62 %
RY.PR.S FixedReset Prem 22,509 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-25
Maturity Price : 23.30
Evaluated at bid price : 25.25
Bid-YTW : 5.34 %
BMO.PR.W FixedReset Disc 22,077 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-11-25
Maturity Price : 25.00
Evaluated at bid price : 25.14
Bid-YTW : 4.77 %
There were 7 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 – 22.60
Spot Rate : 1.3600
Average : 0.8549

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-25
Maturity Price : 21.24
Evaluated at bid price : 21.24
Bid-YTW : 6.20 %
IFC.PR.I Insurance Straight Quote: 22.40 – 23.50
Spot Rate : 1.1000
Average : 0.7311

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-25
Maturity Price : 22.07
Evaluated at bid price : 22.40
Bid-YTW : 6.08 %
PWF.PR.L Perpetual-Discount Quote: 21.08 – 21.90
Spot Rate : 0.8200
Average : 0.6187

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-25
Maturity Price : 21.08
Evaluated at bid price : 21.08
Bid-YTW : 6.09 %
CU.PR.J Perpetual-Discount Quote: 19.62 – 20.40
Spot Rate : 0.7800
Average : 0.5932

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-25
Maturity Price : 19.62
Evaluated at bid price : 19.62
Bid-YTW : 6.16 %
RY.PR.S FixedReset Prem Quote: 25.25 – 25.76
Spot Rate : 0.5100
Average : 0.3456

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-25
Maturity Price : 23.30
Evaluated at bid price : 25.25
Bid-YTW : 5.34 %
ENB.PF.C FixedReset Disc Quote: 18.32 – 18.65
Spot Rate : 0.3300
Average : 0.2041

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-25
Maturity Price : 18.32
Evaluated at bid price : 18.32
Bid-YTW : 7.76 %
Market Action

October 24, 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 -0.1065 % 2,144.7
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.1065 % 4,113.5
Floater 8.88 % 9.40 % 36,803 10.02 4 -0.1065 % 2,370.6
OpRet 0.00 % 0.00 % 0 0.00 0 0.0100 % 3,603.6
SplitShare 4.79 % 5.41 % 45,517 1.28 8 0.0100 % 4,303.4
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0100 % 3,357.7
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 -0.0926 % 2,896.3
Perpetual-Discount 5.94 % 6.04 % 49,834 13.84 31 -0.0926 % 3,158.3
FixedReset Disc 5.52 % 6.89 % 116,158 12.58 58 -0.0857 % 2,665.6
Insurance Straight 5.82 % 5.91 % 64,425 14.02 20 -0.2258 % 3,111.4
FloatingReset 7.61 % 7.72 % 26,177 11.66 1 -0.1332 % 2,849.1
FixedReset Prem 6.43 % 5.57 % 195,907 3.53 7 -0.0832 % 2,576.2
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 -0.0857 % 2,724.8
FixedReset Ins Non 5.23 % 6.17 % 88,513 13.63 14 0.0963 % 2,810.4
Performance Highlights
Issue Index Change Notes
CCS.PR.C Insurance Straight -5.45 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-24
Maturity Price : 21.00
Evaluated at bid price : 21.00
Bid-YTW : 6.03 %
NA.PR.W FixedReset Disc -2.84 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-24
Maturity Price : 21.99
Evaluated at bid price : 22.55
Bid-YTW : 5.77 %
BN.PR.N Perpetual-Discount -2.56 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-24
Maturity Price : 19.00
Evaluated at bid price : 19.00
Bid-YTW : 6.33 %
BN.PF.A FixedReset Disc -1.28 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-24
Maturity Price : 22.38
Evaluated at bid price : 23.05
Bid-YTW : 6.69 %
ENB.PR.Y FixedReset Disc -1.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-24
Maturity Price : 17.85
Evaluated at bid price : 17.85
Bid-YTW : 7.64 %
TD.PF.E FixedReset Disc -1.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-24
Maturity Price : 23.05
Evaluated at bid price : 23.60
Bid-YTW : 6.02 %
BN.PF.C Perpetual-Discount -1.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-24
Maturity Price : 19.55
Evaluated at bid price : 19.55
Bid-YTW : 6.28 %
GWO.PR.R Insurance Straight 1.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-24
Maturity Price : 20.59
Evaluated at bid price : 20.59
Bid-YTW : 5.90 %
GWO.PR.T Insurance Straight 1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-24
Maturity Price : 21.47
Evaluated at bid price : 21.47
Bid-YTW : 6.07 %
MFC.PR.F FixedReset Ins Non 1.31 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-24
Maturity Price : 15.50
Evaluated at bid price : 15.50
Bid-YTW : 6.78 %
CU.PR.J Perpetual-Discount 3.47 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-24
Maturity Price : 20.30
Evaluated at bid price : 20.30
Bid-YTW : 5.95 %
Volume Highlights
Issue Index Shares
Traded		 Notes
BN.PR.K Floater 61,000 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-24
Maturity Price : 11.23
Evaluated at bid price : 11.23
Bid-YTW : 9.44 %
ENB.PF.E FixedReset Disc 27,865 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-24
Maturity Price : 17.93
Evaluated at bid price : 17.93
Bid-YTW : 7.82 %
PVS.PR.L SplitShare 20,100 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-06-30
Maturity Price : 25.00
Evaluated at bid price : 25.51
Bid-YTW : 5.18 %
BMO.PR.E FixedReset Prem 16,913 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2028-11-25
Maturity Price : 25.00
Evaluated at bid price : 26.64
Bid-YTW : 5.36 %
BN.PR.B Floater 15,392 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-24
Maturity Price : 11.28
Evaluated at bid price : 11.28
Bid-YTW : 9.40 %
TD.PF.C FixedReset Disc 13,885 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-24
Maturity Price : 22.06
Evaluated at bid price : 22.66
Bid-YTW : 5.75 %
There were 5 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
NA.PR.W FixedReset Disc Quote: 22.55 – 23.38
Spot Rate : 0.8300
Average : 0.5072

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-24
Maturity Price : 21.99
Evaluated at bid price : 22.55
Bid-YTW : 5.77 %
CU.PR.F Perpetual-Discount Quote: 18.70 – 19.50
Spot Rate : 0.8000
Average : 0.6593

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-24
Maturity Price : 18.70
Evaluated at bid price : 18.70
Bid-YTW : 6.13 %
GWO.PR.I Insurance Straight Quote: 19.25 – 19.74
Spot Rate : 0.4900
Average : 0.3501

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-24
Maturity Price : 19.25
Evaluated at bid price : 19.25
Bid-YTW : 5.91 %
BN.PR.N Perpetual-Discount Quote: 19.00 – 19.51
Spot Rate : 0.5100
Average : 0.3702

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-24
Maturity Price : 19.00
Evaluated at bid price : 19.00
Bid-YTW : 6.33 %
RY.PR.O Perpetual-Discount Quote: 24.06 – 24.42
Spot Rate : 0.3600
Average : 0.2280

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-24
Maturity Price : 23.75
Evaluated at bid price : 24.06
Bid-YTW : 5.08 %
PWF.PF.A Perpetual-Discount Quote: 19.04 – 19.50
Spot Rate : 0.4600
Average : 0.3401

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-24
Maturity Price : 19.04
Evaluated at bid price : 19.04
Bid-YTW : 5.94 %
Market Action

October 23, 2024

PerpetualDiscounts now yield 6.06%, equivalent to 7.88% interest at the standard equivalency factor of 1.3x. Long corporates yielded 4.84% on 2024-10-18 and since then the closing price of ZLC has changed from 15.44 to 15.16, a total return of -1.81%, implying an increase of yields of 15bp (BMO reports a duration of 12.44, but don’t disclose whether this is Macaulay or Modified; I will assume Modified) to 4.99%. Therefore, the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) has narrowed to 290bp from the 300bp reported October 16.

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 -0.1912 % 2,147.0
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.1912 % 4,117.9
Floater 9.61 % 10.18 % 36,654 9.38 4 -0.1912 % 2,373.2
OpRet 0.00 % 0.00 % 0 0.00 0 -0.0250 % 3,603.2
SplitShare 4.79 % 5.42 % 44,632 1.29 8 -0.0250 % 4,303.0
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.0250 % 3,357.4
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 -0.4770 % 2,899.0
Perpetual-Discount 5.94 % 6.06 % 50,570 13.84 31 -0.4770 % 3,161.2
FixedReset Disc 5.51 % 6.90 % 120,779 12.62 58 -0.1297 % 2,667.9
Insurance Straight 5.80 % 5.93 % 63,217 14.00 20 -0.4174 % 3,118.4
FloatingReset 7.60 % 7.71 % 26,559 11.67 1 0.0888 % 2,852.9
FixedReset Prem 6.42 % 5.64 % 202,361 13.56 7 0.1723 % 2,578.3
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 -0.1297 % 2,727.1
FixedReset Ins Non 5.23 % 6.17 % 89,761 13.63 14 -0.4109 % 2,807.7
Performance Highlights
Issue Index Change Notes
MFC.PR.F FixedReset Ins Non -6.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-23
Maturity Price : 15.30
Evaluated at bid price : 15.30
Bid-YTW : 6.87 %
GWO.PR.T Insurance Straight -2.88 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-23
Maturity Price : 21.25
Evaluated at bid price : 21.25
Bid-YTW : 6.13 %
CU.PR.F Perpetual-Discount -2.86 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-23
Maturity Price : 18.70
Evaluated at bid price : 18.70
Bid-YTW : 6.12 %
BN.PR.M Perpetual-Discount -2.50 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-23
Maturity Price : 19.08
Evaluated at bid price : 19.08
Bid-YTW : 6.30 %
CU.PR.J Perpetual-Discount -2.44 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-23
Maturity Price : 19.62
Evaluated at bid price : 19.62
Bid-YTW : 6.16 %
BIP.PR.E FixedReset Disc -2.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-23
Maturity Price : 22.44
Evaluated at bid price : 23.08
Bid-YTW : 6.72 %
PWF.PR.L Perpetual-Discount -1.91 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-23
Maturity Price : 21.00
Evaluated at bid price : 21.00
Bid-YTW : 6.11 %
POW.PR.C Perpetual-Discount -1.84 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-23
Maturity Price : 23.69
Evaluated at bid price : 24.00
Bid-YTW : 6.08 %
GWO.PR.Q Insurance Straight -1.28 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-23
Maturity Price : 21.35
Evaluated at bid price : 21.62
Bid-YTW : 6.01 %
FFH.PR.K FixedReset Disc -1.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-23
Maturity Price : 21.59
Evaluated at bid price : 22.00
Bid-YTW : 7.16 %
CM.PR.P FixedReset Disc -1.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-23
Maturity Price : 22.96
Evaluated at bid price : 23.90
Bid-YTW : 5.43 %
PWF.PR.A Floater -1.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-23
Maturity Price : 13.16
Evaluated at bid price : 13.16
Bid-YTW : 8.82 %
GWO.PR.Y Insurance Straight -1.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-23
Maturity Price : 19.20
Evaluated at bid price : 19.20
Bid-YTW : 5.93 %
PWF.PR.Z Perpetual-Discount -1.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-23
Maturity Price : 21.20
Evaluated at bid price : 21.20
Bid-YTW : 6.11 %
BN.PF.J FixedReset Disc -1.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-23
Maturity Price : 22.51
Evaluated at bid price : 23.16
Bid-YTW : 6.66 %
BIP.PR.A FixedReset Disc 1.48 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-23
Maturity Price : 21.21
Evaluated at bid price : 21.21
Bid-YTW : 7.65 %
TD.PF.E FixedReset Disc 2.58 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-23
Maturity Price : 23.30
Evaluated at bid price : 23.85
Bid-YTW : 5.96 %
Volume Highlights
Issue Index Shares
Traded		 Notes
RY.PR.M FixedReset Disc 74,200 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-23
Maturity Price : 23.66
Evaluated at bid price : 24.16
Bid-YTW : 5.66 %
ENB.PF.C FixedReset Disc 46,100 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-23
Maturity Price : 18.32
Evaluated at bid price : 18.32
Bid-YTW : 7.75 %
NA.PR.C FixedReset Prem 34,100 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2027-11-15
Maturity Price : 25.00
Evaluated at bid price : 25.73
Bid-YTW : 5.87 %
ENB.PF.G FixedReset Disc 30,300 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-23
Maturity Price : 17.78
Evaluated at bid price : 17.78
Bid-YTW : 7.83 %
BN.PF.H FixedReset Disc 26,300 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-23
Maturity Price : 23.22
Evaluated at bid price : 23.72
Bid-YTW : 7.41 %
PWF.PR.P FixedReset Disc 25,900 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-23
Maturity Price : 14.90
Evaluated at bid price : 14.90
Bid-YTW : 7.33 %
There were 12 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
BN.PF.I FixedReset Disc Quote: 22.37 – 23.60
Spot Rate : 1.2300
Average : 0.8642

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-23
Maturity Price : 22.08
Evaluated at bid price : 22.37
Bid-YTW : 7.43 %
CU.PR.E Perpetual-Discount Quote: 20.75 – 21.99
Spot Rate : 1.2400
Average : 0.8986

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-23
Maturity Price : 20.75
Evaluated at bid price : 20.75
Bid-YTW : 6.01 %
CU.PR.H Perpetual-Discount Quote: 22.50 – 23.34
Spot Rate : 0.8400
Average : 0.5256

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-23
Maturity Price : 22.22
Evaluated at bid price : 22.50
Bid-YTW : 5.92 %
PWF.PR.L Perpetual-Discount Quote: 21.00 – 21.74
Spot Rate : 0.7400
Average : 0.4614

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-23
Maturity Price : 21.00
Evaluated at bid price : 21.00
Bid-YTW : 6.11 %
MFC.PR.F FixedReset Ins Non Quote: 15.30 – 16.30
Spot Rate : 1.0000
Average : 0.7378

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-23
Maturity Price : 15.30
Evaluated at bid price : 15.30
Bid-YTW : 6.87 %
GWO.PR.T Insurance Straight Quote: 21.25 – 21.95
Spot Rate : 0.7000
Average : 0.4906

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-23
Maturity Price : 21.25
Evaluated at bid price : 21.25
Bid-YTW : 6.13 %
Market Action

October 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 -0.0425 % 2,151.1
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.0425 % 4,125.8
Floater 9.59 % 10.22 % 36,884 9.36 4 -0.0425 % 2,377.7
OpRet 0.00 % 0.00 % 0 0.00 0 0.0751 % 3,604.1
SplitShare 4.79 % 5.38 % 44,181 1.29 8 0.0751 % 4,304.1
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0751 % 3,358.2
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 0.0803 % 2,912.9
Perpetual-Discount 5.91 % 6.01 % 51,088 13.89 31 0.0803 % 3,176.4
FixedReset Disc 5.50 % 6.88 % 121,990 12.68 58 0.4070 % 2,671.4
Insurance Straight 5.78 % 5.87 % 63,908 14.05 20 0.2161 % 3,131.5
FloatingReset 7.61 % 7.71 % 25,968 11.67 1 0.0444 % 2,850.4
FixedReset Prem 6.43 % 5.67 % 206,105 13.57 7 0.1447 % 2,573.9
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 0.4070 % 2,730.7
FixedReset Ins Non 5.21 % 6.16 % 90,874 13.68 14 0.0788 % 2,819.3
Performance Highlights
Issue Index Change Notes
BIP.PR.E FixedReset Disc 1.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-22
Maturity Price : 22.72
Evaluated at bid price : 23.60
Bid-YTW : 6.55 %
ENB.PR.F FixedReset Disc 1.30 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-22
Maturity Price : 18.66
Evaluated at bid price : 18.66
Bid-YTW : 7.54 %
TD.PF.E FixedReset Disc 1.48 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-22
Maturity Price : 22.72
Evaluated at bid price : 23.25
Bid-YTW : 6.11 %
BN.PF.B FixedReset Disc 1.79 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-22
Maturity Price : 21.07
Evaluated at bid price : 21.07
Bid-YTW : 6.95 %
FFH.PR.G FixedReset Disc 2.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-22
Maturity Price : 17.85
Evaluated at bid price : 17.85
Bid-YTW : 7.59 %
ENB.PF.K FixedReset Disc 2.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-22
Maturity Price : 22.46
Evaluated at bid price : 23.10
Bid-YTW : 6.78 %
CU.PR.J Perpetual-Discount 2.60 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-22
Maturity Price : 20.11
Evaluated at bid price : 20.11
Bid-YTW : 6.01 %
BN.PR.N Perpetual-Discount 2.89 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-22
Maturity Price : 19.55
Evaluated at bid price : 19.55
Bid-YTW : 6.15 %
ENB.PR.N FixedReset Disc 4.29 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-22
Maturity Price : 21.61
Evaluated at bid price : 21.90
Bid-YTW : 6.90 %
CCS.PR.C Insurance Straight 6.28 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-22
Maturity Price : 21.75
Evaluated at bid price : 22.00
Bid-YTW : 5.73 %
Volume Highlights
Issue Index Shares
Traded		 Notes
MFC.PR.B Insurance Straight 53,994 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-22
Maturity Price : 20.25
Evaluated at bid price : 20.25
Bid-YTW : 5.82 %
MFC.PR.J FixedReset Ins Non 44,226 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-22
Maturity Price : 22.97
Evaluated at bid price : 24.11
Bid-YTW : 5.96 %
RY.PR.M FixedReset Disc 35,200 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-22
Maturity Price : 23.66
Evaluated at bid price : 24.16
Bid-YTW : 5.66 %
ENB.PF.E FixedReset Disc 22,500 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-22
Maturity Price : 17.90
Evaluated at bid price : 17.90
Bid-YTW : 7.83 %
ENB.PF.A FixedReset Disc 21,013 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-22
Maturity Price : 19.17
Evaluated at bid price : 19.17
Bid-YTW : 7.48 %
BIP.PR.E FixedReset Disc 20,900 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-22
Maturity Price : 22.72
Evaluated at bid price : 23.60
Bid-YTW : 6.55 %
There were 6 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
PWF.PR.A Floater Quote: 13.30 – 15.69
Spot Rate : 2.3900
Average : 1.3108

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-22
Maturity Price : 13.30
Evaluated at bid price : 13.30
Bid-YTW : 8.73 %
BN.PR.M Perpetual-Discount Quote: 19.57 – 20.39
Spot Rate : 0.8200
Average : 0.5320

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-22
Maturity Price : 19.57
Evaluated at bid price : 19.57
Bid-YTW : 6.14 %
IFC.PR.A FixedReset Ins Non Quote: 18.30 – 19.50
Spot Rate : 1.2000
Average : 1.0086

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-22
Maturity Price : 18.30
Evaluated at bid price : 18.30
Bid-YTW : 6.56 %
MIC.PR.A Perpetual-Discount Quote: 21.00 – 21.95
Spot Rate : 0.9500
Average : 0.7922

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-22
Maturity Price : 21.00
Evaluated at bid price : 21.00
Bid-YTW : 6.51 %
TD.PF.A FixedReset Disc Quote: 22.80 – 23.34
Spot Rate : 0.5400
Average : 0.3918

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-22
Maturity Price : 22.16
Evaluated at bid price : 22.80
Bid-YTW : 5.73 %
GWO.PR.S Insurance Straight Quote: 22.26 – 22.74
Spot Rate : 0.4800
Average : 0.3466

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-22
Maturity Price : 22.03
Evaluated at bid price : 22.26
Bid-YTW : 5.95 %
Market Action

October 21, 2024

TXPR closed at 617.51, down 0.78% on the day. Volume today was 1.47-million, above the median of the past 21 trading days.

CPD closed at 12.30, down 0.65% on the day. Volume was 46,120, near the median of the past 21 trading days.

ZPR closed at 10.515, down 0.52% on the day. Volume was 72,940, fourth-lowest of the past 21 trading days.

Five-year Canada yields were up to 3.02%.

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 0.2983 % 2,152.0
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.2983 % 4,127.6
Floater 9.59 % 10.18 % 36,713 9.39 4 0.2983 % 2,378.7
OpRet 0.00 % 0.00 % 0 0.00 0 -0.1250 % 3,601.4
SplitShare 4.79 % 5.32 % 43,169 1.29 8 -0.1250 % 4,300.9
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.1250 % 3,355.7
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 -0.1485 % 2,910.5
Perpetual-Discount 5.91 % 6.00 % 50,544 13.91 31 -0.1485 % 3,173.8
FixedReset Disc 5.53 % 6.93 % 123,313 12.50 58 -0.2475 % 2,660.5
Insurance Straight 5.79 % 5.92 % 64,058 14.02 20 -0.5707 % 3,124.7
FloatingReset 7.61 % 7.71 % 27,018 11.67 1 0.6261 % 2,849.1
FixedReset Prem 6.44 % 5.67 % 206,081 13.57 7 -0.0668 % 2,570.1
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 -0.2475 % 2,719.6
FixedReset Ins Non 5.22 % 6.17 % 93,474 13.69 14 -0.5249 % 2,817.1
Performance Highlights
Issue Index Change Notes
CCS.PR.C Insurance Straight -5.91 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-21
Maturity Price : 20.70
Evaluated at bid price : 20.70
Bid-YTW : 6.11 %
TD.PF.E FixedReset Disc -4.66 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-21
Maturity Price : 22.42
Evaluated at bid price : 22.91
Bid-YTW : 6.20 %
ENB.PR.N FixedReset Disc -4.37 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-21
Maturity Price : 21.00
Evaluated at bid price : 21.00
Bid-YTW : 7.23 %
BIP.PR.A FixedReset Disc -2.79 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-21
Maturity Price : 20.90
Evaluated at bid price : 20.90
Bid-YTW : 7.76 %
IFC.PR.A FixedReset Ins Non -2.59 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-21
Maturity Price : 18.41
Evaluated at bid price : 18.41
Bid-YTW : 6.52 %
CU.PR.J Perpetual-Discount -2.49 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-21
Maturity Price : 19.60
Evaluated at bid price : 19.60
Bid-YTW : 6.17 %
BN.PF.B FixedReset Disc -2.45 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-21
Maturity Price : 20.70
Evaluated at bid price : 20.70
Bid-YTW : 7.08 %
IFC.PR.C FixedReset Ins Non -1.87 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-21
Maturity Price : 20.45
Evaluated at bid price : 20.45
Bid-YTW : 6.61 %
SLF.PR.G FixedReset Ins Non -1.65 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-21
Maturity Price : 16.08
Evaluated at bid price : 16.08
Bid-YTW : 6.70 %
PWF.PR.P FixedReset Disc -1.59 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-21
Maturity Price : 14.81
Evaluated at bid price : 14.81
Bid-YTW : 7.37 %
PWF.PR.T FixedReset Disc -1.57 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-21
Maturity Price : 21.67
Evaluated at bid price : 22.00
Bid-YTW : 6.18 %
GWO.PR.Y Insurance Straight -1.44 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-21
Maturity Price : 19.22
Evaluated at bid price : 19.22
Bid-YTW : 5.92 %
CU.PR.C FixedReset Disc -1.35 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-21
Maturity Price : 20.50
Evaluated at bid price : 20.50
Bid-YTW : 6.65 %
BN.PF.I FixedReset Disc -1.32 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-21
Maturity Price : 22.07
Evaluated at bid price : 22.35
Bid-YTW : 7.44 %
ENB.PR.F FixedReset Disc -1.29 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-21
Maturity Price : 18.42
Evaluated at bid price : 18.42
Bid-YTW : 7.64 %
GWO.PR.I Insurance Straight -1.27 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-21
Maturity Price : 19.45
Evaluated at bid price : 19.45
Bid-YTW : 5.85 %
MFC.PR.B Insurance Straight -1.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-21
Maturity Price : 20.25
Evaluated at bid price : 20.25
Bid-YTW : 5.82 %
POW.PR.D Perpetual-Discount -1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-21
Maturity Price : 21.02
Evaluated at bid price : 21.02
Bid-YTW : 6.00 %
CU.PR.D Perpetual-Discount 1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-21
Maturity Price : 20.75
Evaluated at bid price : 20.75
Bid-YTW : 6.01 %
FTS.PR.K FixedReset Disc 1.25 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-21
Maturity Price : 21.00
Evaluated at bid price : 21.00
Bid-YTW : 6.26 %
GWO.PR.Q Insurance Straight 1.30 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-21
Maturity Price : 21.65
Evaluated at bid price : 21.90
Bid-YTW : 5.93 %
ENB.PF.A FixedReset Disc 1.81 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-21
Maturity Price : 19.10
Evaluated at bid price : 19.10
Bid-YTW : 7.51 %
ENB.PF.G FixedReset Disc 2.30 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-21
Maturity Price : 17.78
Evaluated at bid price : 17.78
Bid-YTW : 7.83 %
NA.PR.S FixedReset Disc 8.32 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-21
Maturity Price : 23.11
Evaluated at bid price : 24.75
Bid-YTW : 5.59 %
Volume Highlights
Issue Index Shares
Traded		 Notes
IFC.PR.F Insurance Straight 152,000 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-21
Maturity Price : 22.53
Evaluated at bid price : 22.81
Bid-YTW : 5.86 %
TD.PF.D FixedReset Disc 118,000 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-21
Maturity Price : 23.32
Evaluated at bid price : 23.95
Bid-YTW : 5.89 %
SLF.PR.C Insurance Straight 34,000 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-21
Maturity Price : 20.65
Evaluated at bid price : 20.65
Bid-YTW : 5.45 %
CM.PR.S FixedReset Disc 27,400 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-21
Maturity Price : 24.89
Evaluated at bid price : 24.89
Bid-YTW : 5.58 %
TD.PF.C FixedReset Disc 26,600 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-21
Maturity Price : 22.03
Evaluated at bid price : 22.60
Bid-YTW : 5.77 %
BN.PR.B Floater 24,000 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-21
Maturity Price : 11.25
Evaluated at bid price : 11.25
Bid-YTW : 10.22 %
There were 19 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
CCS.PR.C Insurance Straight Quote: 20.70 – 22.70
Spot Rate : 2.0000
Average : 1.4147

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-21
Maturity Price : 20.70
Evaluated at bid price : 20.70
Bid-YTW : 6.11 %
ENB.PR.N FixedReset Disc Quote: 21.00 – 22.10
Spot Rate : 1.1000
Average : 0.6243

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-21
Maturity Price : 21.00
Evaluated at bid price : 21.00
Bid-YTW : 7.23 %
TD.PF.E FixedReset Disc Quote: 22.91 – 24.00
Spot Rate : 1.0900
Average : 0.7331

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-21
Maturity Price : 22.42
Evaluated at bid price : 22.91
Bid-YTW : 6.20 %
IFC.PR.A FixedReset Ins Non Quote: 18.41 – 19.50
Spot Rate : 1.0900
Average : 0.7987

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-21
Maturity Price : 18.41
Evaluated at bid price : 18.41
Bid-YTW : 6.52 %
CU.PR.J Perpetual-Discount Quote: 19.60 – 20.36
Spot Rate : 0.7600
Average : 0.4865

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-21
Maturity Price : 19.60
Evaluated at bid price : 19.60
Bid-YTW : 6.17 %
BIP.PR.A FixedReset Disc Quote: 20.90 – 21.90
Spot Rate : 1.0000
Average : 0.7486

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-21
Maturity Price : 20.90
Evaluated at bid price : 20.90
Bid-YTW : 7.76 %
Market Action

October 18, 2024

TXPR closed at 622.34, up 0.64% on the day. Volume today was 2.26-million, highest of the past 21 trading days.

CPD closed at 12.38, up 0.49% on the day. Volume was 49,540, near the median of the past 21 trading days.

ZPR closed at 10.57, up 0.19% on the day. Volume was 305,610, third-highest of the past 21 trading days.

Five-year Canada yields were down to 2.90%.

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 -0.1701 % 2,145.6
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.1701 % 4,115.3
Floater 9.62 % 10.20 % 36,757 9.38 4 -0.1701 % 2,371.7
OpRet 0.00 % 0.00 % 0 0.00 0 -0.0400 % 3,605.9
SplitShare 4.79 % 5.19 % 42,280 1.30 8 -0.0400 % 4,306.2
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.0400 % 3,359.9
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 0.2531 % 2,914.9
Perpetual-Discount 5.90 % 5.98 % 51,302 13.92 31 0.2531 % 3,178.5
FixedReset Disc 5.51 % 6.89 % 118,695 12.56 58 0.1423 % 2,667.1
Insurance Straight 5.76 % 5.86 % 59,359 14.08 20 0.2501 % 3,142.6
FloatingReset 7.85 % 7.95 % 26,615 11.41 1 1.1765 % 2,831.4
FixedReset Prem 6.44 % 5.68 % 206,781 13.57 7 0.1895 % 2,571.9
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 0.1423 % 2,726.4
FixedReset Ins Non 5.19 % 6.16 % 92,832 13.66 14 0.6898 % 2,831.9
Performance Highlights
Issue Index Change Notes
NA.PR.S FixedReset Disc -7.94 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-18
Maturity Price : 22.21
Evaluated at bid price : 22.85
Bid-YTW : 6.14 %
ENB.PF.A FixedReset Disc -1.99 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-18
Maturity Price : 18.76
Evaluated at bid price : 18.76
Bid-YTW : 7.67 %
GWO.PR.Q Insurance Straight -1.55 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-18
Maturity Price : 21.35
Evaluated at bid price : 21.62
Bid-YTW : 6.01 %
CU.PR.D Perpetual-Discount -1.34 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-18
Maturity Price : 20.54
Evaluated at bid price : 20.54
Bid-YTW : 6.06 %
BN.PR.N Perpetual-Discount -1.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-18
Maturity Price : 19.10
Evaluated at bid price : 19.10
Bid-YTW : 6.29 %
BN.PF.C Perpetual-Discount 1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-18
Maturity Price : 19.75
Evaluated at bid price : 19.75
Bid-YTW : 6.21 %
TD.PF.D FixedReset Disc 1.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-18
Maturity Price : 23.49
Evaluated at bid price : 24.10
Bid-YTW : 5.87 %
FFH.PR.E FixedReset Disc 1.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-18
Maturity Price : 17.25
Evaluated at bid price : 17.25
Bid-YTW : 7.48 %
BIP.PR.E FixedReset Disc 1.17 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-18
Maturity Price : 22.59
Evaluated at bid price : 23.35
Bid-YTW : 6.64 %
FFH.PR.D FloatingReset 1.18 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-18
Maturity Price : 22.10
Evaluated at bid price : 22.36
Bid-YTW : 7.95 %
TD.PF.E FixedReset Disc 1.18 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-18
Maturity Price : 23.50
Evaluated at bid price : 24.03
Bid-YTW : 5.93 %
MFC.PR.F FixedReset Ins Non 1.25 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-18
Maturity Price : 16.20
Evaluated at bid price : 16.20
Bid-YTW : 6.51 %
ENB.PR.F FixedReset Disc 1.30 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-18
Maturity Price : 18.66
Evaluated at bid price : 18.66
Bid-YTW : 7.55 %
PWF.PR.S Perpetual-Discount 1.34 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-18
Maturity Price : 20.48
Evaluated at bid price : 20.48
Bid-YTW : 5.89 %
BN.PR.M Perpetual-Discount 1.81 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-18
Maturity Price : 19.70
Evaluated at bid price : 19.70
Bid-YTW : 6.10 %
ENB.PF.G FixedReset Disc 2.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-18
Maturity Price : 17.38
Evaluated at bid price : 17.38
Bid-YTW : 8.03 %
SLF.PR.G FixedReset Ins Non 2.96 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-18
Maturity Price : 16.35
Evaluated at bid price : 16.35
Bid-YTW : 6.62 %
IFC.PR.G FixedReset Ins Non 3.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-18
Maturity Price : 23.01
Evaluated at bid price : 24.29
Bid-YTW : 5.83 %
BN.PF.I FixedReset Disc 3.42 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-18
Maturity Price : 22.28
Evaluated at bid price : 22.65
Bid-YTW : 7.35 %
GWO.PR.T Insurance Straight 3.53 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-18
Maturity Price : 22.00
Evaluated at bid price : 22.00
Bid-YTW : 5.92 %
Volume Highlights
Issue Index Shares
Traded		 Notes
PWF.PF.A Perpetual-Discount 252,482 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-18
Maturity Price : 19.20
Evaluated at bid price : 19.20
Bid-YTW : 5.89 %
GWO.PR.R Insurance Straight 251,312 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-18
Maturity Price : 20.80
Evaluated at bid price : 20.80
Bid-YTW : 5.83 %
IFC.PR.F Insurance Straight 152,264 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-18
Maturity Price : 22.53
Evaluated at bid price : 22.81
Bid-YTW : 5.86 %
ENB.PR.Y FixedReset Disc 88,828 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-18
Maturity Price : 18.01
Evaluated at bid price : 18.01
Bid-YTW : 7.58 %
ENB.PF.A FixedReset Disc 74,289 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-18
Maturity Price : 18.76
Evaluated at bid price : 18.76
Bid-YTW : 7.67 %
ENB.PR.D FixedReset Disc 72,485 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-18
Maturity Price : 18.19
Evaluated at bid price : 18.19
Bid-YTW : 7.56 %
There were 34 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
NA.PR.S FixedReset Disc Quote: 22.85 – 24.96
Spot Rate : 2.1100
Average : 1.1823

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-18
Maturity Price : 22.21
Evaluated at bid price : 22.85
Bid-YTW : 6.14 %
ENB.PF.A FixedReset Disc Quote: 18.76 – 19.72
Spot Rate : 0.9600
Average : 0.5348

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-18
Maturity Price : 18.76
Evaluated at bid price : 18.76
Bid-YTW : 7.67 %
PWF.PR.H Perpetual-Discount Quote: 23.70 – 24.40
Spot Rate : 0.7000
Average : 0.4082

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-18
Maturity Price : 23.41
Evaluated at bid price : 23.70
Bid-YTW : 6.08 %
CU.PR.D Perpetual-Discount Quote: 20.54 – 21.38
Spot Rate : 0.8400
Average : 0.5780

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-18
Maturity Price : 20.54
Evaluated at bid price : 20.54
Bid-YTW : 6.06 %
MFC.PR.M FixedReset Ins Non Quote: 21.91 – 22.70
Spot Rate : 0.7900
Average : 0.5315

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-18
Maturity Price : 21.57
Evaluated at bid price : 21.91
Bid-YTW : 6.16 %
GWO.PR.H Insurance Straight Quote: 20.66 – 21.28
Spot Rate : 0.6200
Average : 0.3944

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-18
Maturity Price : 20.66
Evaluated at bid price : 20.66
Bid-YTW : 5.93 %
Market Action

October 17, 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 0.0000 % 2,149.3
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.0000 % 4,122.3
Floater 9.60 % 10.16 % 36,223 9.41 4 0.0000 % 2,375.7
OpRet 0.00 % 0.00 % 0 0.00 0 0.0850 % 3,607.4
SplitShare 4.78 % 5.16 % 42,176 1.30 8 0.0850 % 4,308.0
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0850 % 3,361.2
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 0.2612 % 2,907.5
Perpetual-Discount 5.92 % 5.99 % 51,005 13.88 31 0.2612 % 3,170.5
FixedReset Disc 5.52 % 6.91 % 118,933 12.51 58 0.0860 % 2,663.4
Insurance Straight 5.77 % 5.86 % 57,515 14.09 20 0.3510 % 3,134.8
FloatingReset 7.94 % 8.04 % 26,227 11.32 1 -0.0452 % 2,798.5
FixedReset Prem 6.45 % 5.71 % 204,443 13.60 7 0.1787 % 2,567.0
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 0.0860 % 2,722.5
FixedReset Ins Non 5.22 % 6.19 % 92,229 13.61 14 -0.2363 % 2,812.5
Performance Highlights
Issue Index Change Notes
GWO.PR.T Insurance Straight -3.41 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-17
Maturity Price : 21.25
Evaluated at bid price : 21.25
Bid-YTW : 6.13 %
SLF.PR.G FixedReset Ins Non -2.93 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-17
Maturity Price : 15.88
Evaluated at bid price : 15.88
Bid-YTW : 6.81 %
ENB.PF.G FixedReset Disc -2.46 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-17
Maturity Price : 17.02
Evaluated at bid price : 17.02
Bid-YTW : 8.19 %
BN.PF.I FixedReset Disc -2.45 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-17
Maturity Price : 21.52
Evaluated at bid price : 21.90
Bid-YTW : 7.60 %
IFC.PR.G FixedReset Ins Non -1.59 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-17
Maturity Price : 22.67
Evaluated at bid price : 23.55
Bid-YTW : 6.04 %
ENB.PR.F FixedReset Disc -1.50 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-17
Maturity Price : 18.42
Evaluated at bid price : 18.42
Bid-YTW : 7.65 %
MFC.PR.F FixedReset Ins Non -1.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-17
Maturity Price : 16.00
Evaluated at bid price : 16.00
Bid-YTW : 6.59 %
BIP.PR.F FixedReset Disc -1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-17
Maturity Price : 22.21
Evaluated at bid price : 22.81
Bid-YTW : 6.71 %
IFC.PR.F Insurance Straight -1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-17
Maturity Price : 22.53
Evaluated at bid price : 22.81
Bid-YTW : 5.85 %
RY.PR.O Perpetual-Discount 1.25 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-17
Maturity Price : 24.04
Evaluated at bid price : 24.30
Bid-YTW : 5.11 %
RY.PR.N Perpetual-Discount 1.68 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-17
Maturity Price : 24.00
Evaluated at bid price : 24.25
Bid-YTW : 5.12 %
CU.PR.C FixedReset Disc 1.82 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-17
Maturity Price : 20.70
Evaluated at bid price : 20.70
Bid-YTW : 6.60 %
PWF.PR.L Perpetual-Discount 1.86 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-17
Maturity Price : 21.39
Evaluated at bid price : 21.39
Bid-YTW : 5.99 %
CU.PR.D Perpetual-Discount 2.76 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-17
Maturity Price : 20.82
Evaluated at bid price : 20.82
Bid-YTW : 5.98 %
IFC.PR.A FixedReset Ins Non 2.84 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-17
Maturity Price : 18.82
Evaluated at bid price : 18.82
Bid-YTW : 6.39 %
IFC.PR.I Insurance Straight 3.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-17
Maturity Price : 22.72
Evaluated at bid price : 23.10
Bid-YTW : 5.89 %
TD.PF.E FixedReset Disc 4.21 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-17
Maturity Price : 23.21
Evaluated at bid price : 23.75
Bid-YTW : 6.00 %
GWO.PR.G Insurance Straight 8.85 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-17
Maturity Price : 21.91
Evaluated at bid price : 22.15
Bid-YTW : 5.92 %
Volume Highlights
Issue Index Shares
Traded		 Notes
CM.PR.S FixedReset Disc 89,701 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-17
Maturity Price : 24.84
Evaluated at bid price : 24.84
Bid-YTW : 5.61 %
RY.PR.J FixedReset Disc 87,574 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-17
Maturity Price : 23.78
Evaluated at bid price : 24.43
Bid-YTW : 5.82 %
NA.PR.E FixedReset Disc 87,557 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-17
Maturity Price : 23.16
Evaluated at bid price : 24.63
Bid-YTW : 5.66 %
FFH.PR.I FixedReset Disc 51,914 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-17
Maturity Price : 18.60
Evaluated at bid price : 18.60
Bid-YTW : 7.64 %
RY.PR.M FixedReset Disc 37,455 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-17
Maturity Price : 23.44
Evaluated at bid price : 23.95
Bid-YTW : 5.72 %
ENB.PR.Y FixedReset Disc 20,516 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-17
Maturity Price : 17.98
Evaluated at bid price : 17.98
Bid-YTW : 7.60 %
There were 6 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
IFC.PR.G FixedReset Ins Non Quote: 23.55 – 24.55
Spot Rate : 1.0000
Average : 0.6811

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-17
Maturity Price : 22.67
Evaluated at bid price : 23.55
Bid-YTW : 6.04 %
MFC.PR.F FixedReset Ins Non Quote: 16.00 – 16.97
Spot Rate : 0.9700
Average : 0.6529

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-17
Maturity Price : 16.00
Evaluated at bid price : 16.00
Bid-YTW : 6.59 %
MIC.PR.A Perpetual-Discount Quote: 20.90 – 21.95
Spot Rate : 1.0500
Average : 0.7655

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-17
Maturity Price : 20.90
Evaluated at bid price : 20.90
Bid-YTW : 6.53 %
GWO.PR.T Insurance Straight Quote: 21.25 – 22.24
Spot Rate : 0.9900
Average : 0.7409

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-17
Maturity Price : 21.25
Evaluated at bid price : 21.25
Bid-YTW : 6.13 %
MFC.PR.B Insurance Straight Quote: 20.35 – 20.99
Spot Rate : 0.6400
Average : 0.4133

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-17
Maturity Price : 20.35
Evaluated at bid price : 20.35
Bid-YTW : 5.78 %
BN.PF.I FixedReset Disc Quote: 21.90 – 23.60
Spot Rate : 1.7000
Average : 1.4860

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-17
Maturity Price : 21.52
Evaluated at bid price : 21.90
Bid-YTW : 7.60 %