Category: Market Action

Market Action

September 6, 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 0.7372 % 2,215.2
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.7372 % 4,248.7
Floater 9.72 % 10.01 % 79,384 9.42 2 0.7372 % 2,448.6
OpRet 0.00 % 0.00 % 0 0.00 0 -0.4060 % 3,547.6
SplitShare 4.69 % 5.28 % 32,939 1.11 4 -0.4060 % 4,236.6
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.4060 % 3,305.6
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 0.0847 % 2,914.0
Perpetual-Discount 5.91 % 6.05 % 58,681 13.78 31 0.0847 % 3,177.5
FixedReset Disc 5.43 % 6.79 % 114,099 12.68 58 -0.0024 % 2,688.0
Insurance Straight 5.77 % 5.86 % 68,312 14.15 20 0.3857 % 3,136.9
FloatingReset 8.37 % 8.47 % 35,059 10.77 2 0.4162 % 2,767.8
FixedReset Prem 6.44 % 5.72 % 210,042 13.39 7 -0.1556 % 2,570.6
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 -0.0024 % 2,747.7
FixedReset Ins Non 5.17 % 6.04 % 102,691 13.83 14 0.5085 % 2,842.5
Performance Highlights
Issue Index Change Notes
GWO.PR.N FixedReset Ins Non -2.32 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-06
Maturity Price : 14.31
Evaluated at bid price : 14.31
Bid-YTW : 7.10 %
CU.PR.D Perpetual-Discount -1.68 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-06
Maturity Price : 20.50
Evaluated at bid price : 20.50
Bid-YTW : 6.03 %
BN.PR.R FixedReset Disc -1.65 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-06
Maturity Price : 16.71
Evaluated at bid price : 16.71
Bid-YTW : 7.62 %
BN.PR.T FixedReset Disc -1.49 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-06
Maturity Price : 16.55
Evaluated at bid price : 16.55
Bid-YTW : 7.74 %
GWO.PR.M Insurance Straight -1.41 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-06
Maturity Price : 23.58
Evaluated at bid price : 23.85
Bid-YTW : 6.08 %
FTS.PR.H FixedReset Disc -1.30 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-06
Maturity Price : 15.15
Evaluated at bid price : 15.15
Bid-YTW : 7.15 %
MFC.PR.N FixedReset Ins Non -1.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-06
Maturity Price : 21.41
Evaluated at bid price : 21.71
Bid-YTW : 6.04 %
PWF.PR.K Perpetual-Discount -1.21 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-06
Maturity Price : 20.45
Evaluated at bid price : 20.45
Bid-YTW : 6.14 %
PVS.PR.K SplitShare -1.19 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2029-05-31
Maturity Price : 25.00
Evaluated at bid price : 24.01
Bid-YTW : 5.44 %
FFH.PR.E FixedReset Disc -1.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-06
Maturity Price : 17.30
Evaluated at bid price : 17.30
Bid-YTW : 7.45 %
FTS.PR.K FixedReset Disc 1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-06
Maturity Price : 20.75
Evaluated at bid price : 20.75
Bid-YTW : 6.28 %
BN.PR.B Floater 1.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-06
Maturity Price : 11.63
Evaluated at bid price : 11.63
Bid-YTW : 10.01 %
POW.PR.C Perpetual-Discount 1.29 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-06
Maturity Price : 24.16
Evaluated at bid price : 24.41
Bid-YTW : 6.03 %
PWF.PR.E Perpetual-Discount 1.33 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-06
Maturity Price : 22.66
Evaluated at bid price : 22.90
Bid-YTW : 6.08 %
GWO.PR.Q Insurance Straight 1.49 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-06
Maturity Price : 21.48
Evaluated at bid price : 21.74
Bid-YTW : 5.92 %
BN.PR.X FixedReset Disc 1.65 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-06
Maturity Price : 17.30
Evaluated at bid price : 17.30
Bid-YTW : 7.03 %
SLF.PR.E Insurance Straight 1.71 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-06
Maturity Price : 20.80
Evaluated at bid price : 20.80
Bid-YTW : 5.42 %
IFC.PR.E Insurance Straight 2.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-06
Maturity Price : 22.70
Evaluated at bid price : 22.98
Bid-YTW : 5.76 %
SLF.PR.C Insurance Straight 2.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-06
Maturity Price : 20.75
Evaluated at bid price : 20.75
Bid-YTW : 5.37 %
GWO.PR.T Insurance Straight 2.30 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-06
Maturity Price : 21.75
Evaluated at bid price : 21.75
Bid-YTW : 5.94 %
BN.PF.E FixedReset Disc 6.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-06
Maturity Price : 18.35
Evaluated at bid price : 18.35
Bid-YTW : 7.57 %
SLF.PR.H FixedReset Ins Non 12.50 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-06
Maturity Price : 18.00
Evaluated at bid price : 18.00
Bid-YTW : 6.75 %
Volume Highlights
Issue Index Shares
Traded		 Notes
GWO.PR.M Insurance Straight 127,200 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-06
Maturity Price : 23.58
Evaluated at bid price : 23.85
Bid-YTW : 6.08 %
BMO.PR.E FixedReset Prem 116,830 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-06
Maturity Price : 23.48
Evaluated at bid price : 25.82
Bid-YTW : 5.72 %
BN.PR.R FixedReset Disc 94,689 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-06
Maturity Price : 16.71
Evaluated at bid price : 16.71
Bid-YTW : 7.62 %
ENB.PR.Y FixedReset Disc 58,216 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-06
Maturity Price : 18.09
Evaluated at bid price : 18.09
Bid-YTW : 7.46 %
NA.PR.S FixedReset Disc 58,200 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-06
Maturity Price : 23.19
Evaluated at bid price : 25.03
Bid-YTW : 5.58 %
IFC.PR.C FixedReset Ins Non 57,332 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-06
Maturity Price : 21.30
Evaluated at bid price : 21.30
Bid-YTW : 6.37 %
There were 20 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: 23.10 – 24.00
Spot Rate : 0.9000
Average : 0.6441

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-06
Maturity Price : 22.56
Evaluated at bid price : 23.10
Bid-YTW : 7.23 %
CU.PR.D Perpetual-Discount Quote: 20.50 – 21.19
Spot Rate : 0.6900
Average : 0.4384

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-06
Maturity Price : 20.50
Evaluated at bid price : 20.50
Bid-YTW : 6.03 %
GWO.PR.N FixedReset Ins Non Quote: 14.31 – 14.93
Spot Rate : 0.6200
Average : 0.4083

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-06
Maturity Price : 14.31
Evaluated at bid price : 14.31
Bid-YTW : 7.10 %
BN.PF.A FixedReset Disc Quote: 24.20 – 24.78
Spot Rate : 0.5800
Average : 0.3793

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-06
Maturity Price : 22.94
Evaluated at bid price : 24.20
Bid-YTW : 6.41 %
CU.PR.E Perpetual-Discount Quote: 21.05 – 22.05
Spot Rate : 1.0000
Average : 0.7996

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-06
Maturity Price : 21.05
Evaluated at bid price : 21.05
Bid-YTW : 5.87 %
GWO.PR.M Insurance Straight Quote: 23.85 – 24.44
Spot Rate : 0.5900
Average : 0.3898

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-06
Maturity Price : 23.58
Evaluated at bid price : 23.85
Bid-YTW : 6.08 %
Market Action

September 5, 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 -0.7745 % 2,199.0
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.7745 % 4,217.6
Floater 9.79 % 10.07 % 36,977 9.37 2 -0.7745 % 2,430.6
OpRet 0.00 % 0.00 % 0 0.00 0 0.0406 % 3,562.1
SplitShare 4.67 % 5.34 % 30,615 1.11 4 0.0406 % 4,253.9
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0406 % 3,319.0
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 0.5020 % 2,911.5
Perpetual-Discount 5.91 % 6.07 % 60,331 13.78 31 0.5020 % 3,174.8
FixedReset Disc 5.43 % 6.78 % 115,214 12.71 58 -0.1044 % 2,688.1
Insurance Straight 5.79 % 5.86 % 68,027 14.12 20 0.4575 % 3,124.9
FloatingReset 8.40 % 8.47 % 36,229 10.78 2 -0.7231 % 2,756.3
FixedReset Prem 6.43 % 5.68 % 212,896 13.40 7 -0.0167 % 2,574.6
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 -0.1044 % 2,747.8
FixedReset Ins Non 5.19 % 6.02 % 103,097 13.85 14 -0.4992 % 2,828.2
Performance Highlights
Issue Index Change Notes
BN.PF.E FixedReset Disc -6.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-05
Maturity Price : 17.30
Evaluated at bid price : 17.30
Bid-YTW : 8.03 %
SLF.PR.H FixedReset Ins Non -5.88 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-05
Maturity Price : 16.00
Evaluated at bid price : 16.00
Bid-YTW : 7.56 %
GWO.PR.T Insurance Straight -2.25 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-05
Maturity Price : 21.26
Evaluated at bid price : 21.26
Bid-YTW : 6.07 %
MFC.PR.K FixedReset Ins Non -1.72 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-05
Maturity Price : 22.88
Evaluated at bid price : 24.06
Bid-YTW : 5.67 %
NA.PR.E FixedReset Disc -1.69 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-05
Maturity Price : 23.08
Evaluated at bid price : 24.46
Bid-YTW : 5.74 %
MFC.PR.M FixedReset Ins Non -1.49 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-05
Maturity Price : 21.45
Evaluated at bid price : 21.75
Bid-YTW : 6.13 %
POW.PR.C Perpetual-Discount -1.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-05
Maturity Price : 23.85
Evaluated at bid price : 24.10
Bid-YTW : 6.11 %
FFH.PR.G FixedReset Disc -1.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-05
Maturity Price : 17.90
Evaluated at bid price : 17.90
Bid-YTW : 7.58 %
BN.PR.B Floater -1.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-05
Maturity Price : 11.50
Evaluated at bid price : 11.50
Bid-YTW : 10.13 %
PWF.PR.Z Perpetual-Discount 1.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-05
Maturity Price : 21.58
Evaluated at bid price : 21.58
Bid-YTW : 6.05 %
IFC.PR.F Insurance Straight 1.32 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-05
Maturity Price : 22.71
Evaluated at bid price : 23.00
Bid-YTW : 5.86 %
PWF.PR.F Perpetual-Discount 1.38 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-05
Maturity Price : 21.81
Evaluated at bid price : 22.05
Bid-YTW : 6.02 %
ENB.PR.N FixedReset Disc 1.38 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-05
Maturity Price : 21.71
Evaluated at bid price : 22.05
Bid-YTW : 6.78 %
SLF.PR.C Insurance Straight 1.50 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-05
Maturity Price : 20.30
Evaluated at bid price : 20.30
Bid-YTW : 5.49 %
SLF.PR.D Insurance Straight 1.75 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-05
Maturity Price : 20.35
Evaluated at bid price : 20.35
Bid-YTW : 5.48 %
BN.PF.J FixedReset Disc 1.95 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-05
Maturity Price : 22.94
Evaluated at bid price : 24.01
Bid-YTW : 6.46 %
SLF.PR.E Insurance Straight 2.25 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-05
Maturity Price : 20.45
Evaluated at bid price : 20.45
Bid-YTW : 5.51 %
PWF.PR.R Perpetual-Discount 4.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-05
Maturity Price : 22.66
Evaluated at bid price : 22.90
Bid-YTW : 6.08 %
PWF.PR.L Perpetual-Discount 10.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-05
Maturity Price : 21.26
Evaluated at bid price : 21.26
Bid-YTW : 6.08 %
Volume Highlights
Issue Index Shares
Traded		 Notes
GWO.PR.N FixedReset Ins Non 104,400 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-05
Maturity Price : 14.65
Evaluated at bid price : 14.65
Bid-YTW : 6.94 %
ENB.PR.B FixedReset Disc 56,512 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-05
Maturity Price : 17.90
Evaluated at bid price : 17.90
Bid-YTW : 7.55 %
FTS.PR.M FixedReset Disc 54,400 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-05
Maturity Price : 20.51
Evaluated at bid price : 20.51
Bid-YTW : 6.69 %
CU.PR.J Perpetual-Discount 46,550 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-05
Maturity Price : 20.38
Evaluated at bid price : 20.38
Bid-YTW : 5.87 %
ENB.PR.T FixedReset Disc 42,703 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-05
Maturity Price : 20.47
Evaluated at bid price : 20.47
Bid-YTW : 7.10 %
SLF.PR.D Insurance Straight 38,847 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-05
Maturity Price : 20.35
Evaluated at bid price : 20.35
Bid-YTW : 5.48 %
There were 24 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
SLF.PR.H FixedReset Ins Non Quote: 16.00 – 19.64
Spot Rate : 3.6400
Average : 3.0355

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-05
Maturity Price : 16.00
Evaluated at bid price : 16.00
Bid-YTW : 7.56 %
IFC.PR.E Insurance Straight Quote: 22.50 – 24.76
Spot Rate : 2.2600
Average : 1.6578

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-05
Maturity Price : 22.22
Evaluated at bid price : 22.50
Bid-YTW : 5.88 %
BN.PF.E FixedReset Disc Quote: 17.30 – 18.50
Spot Rate : 1.2000
Average : 0.7220

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-05
Maturity Price : 17.30
Evaluated at bid price : 17.30
Bid-YTW : 8.03 %
CU.PR.E Perpetual-Discount Quote: 21.05 – 22.05
Spot Rate : 1.0000
Average : 0.5799

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-05
Maturity Price : 21.05
Evaluated at bid price : 21.05
Bid-YTW : 5.87 %
PWF.PR.S Perpetual-Discount Quote: 20.34 – 21.98
Spot Rate : 1.6400
Average : 1.3077

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-05
Maturity Price : 20.34
Evaluated at bid price : 20.34
Bid-YTW : 5.98 %
GWO.PR.T Insurance Straight Quote: 21.26 – 21.90
Spot Rate : 0.6400
Average : 0.3696

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-05
Maturity Price : 21.26
Evaluated at bid price : 21.26
Bid-YTW : 6.07 %
Market Action

September 4, 2024

PerpetualDiscounts now yield 6.09%, equivalent to 7.92% interest at the standard equivalency factor of 1.3x. Long corporates yielded 4.83% on 2024-8-23 and since then the closing price of ZLC has changed from 15.45 to 15.38, a decrease of 45bp in price, implying an increase of yields of 4bp (BMO reports a duration of 12.44, but don’t disclose whether this is Macaulay or Modified; I will assume Modified) to 4.87%. Therefore, the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) has remained steady at the 305bp reported August 28.

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 0.5625 % 2,216.1
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.5625 % 4,250.5
Floater 10.09 % 10.42 % 35,206 9.11 2 0.5625 % 2,449.6
OpRet 0.00 % 0.00 % 0 0.00 0 0.3669 % 3,560.6
SplitShare 4.67 % 5.15 % 30,822 1.12 4 0.3669 % 4,252.1
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.3669 % 3,317.7
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 0.1676 % 2,897.0
Perpetual-Discount 5.94 % 6.09 % 57,882 13.71 31 0.1676 % 3,159.0
FixedReset Disc 5.43 % 6.81 % 116,540 12.64 58 0.1354 % 2,690.9
Insurance Straight 5.82 % 5.88 % 68,849 14.08 20 0.2598 % 3,110.6
FloatingReset 8.34 % 8.41 % 33,538 10.84 2 0.3369 % 2,776.4
FixedReset Prem 6.43 % 5.59 % 210,517 3.88 7 0.0389 % 2,575.0
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 0.1354 % 2,750.7
FixedReset Ins Non 5.17 % 6.03 % 95,381 13.91 14 0.5601 % 2,842.3
Performance Highlights
Issue Index Change Notes
PWF.PR.L Perpetual-Discount -8.44 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-04
Maturity Price : 19.32
Evaluated at bid price : 19.32
Bid-YTW : 6.70 %
PWF.PR.R Perpetual-Discount -3.30 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-04
Maturity Price : 21.76
Evaluated at bid price : 22.01
Bid-YTW : 6.33 %
SLF.PR.E Insurance Straight -3.24 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-04
Maturity Price : 20.00
Evaluated at bid price : 20.00
Bid-YTW : 5.64 %
BN.PF.J FixedReset Disc -1.88 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-04
Maturity Price : 22.71
Evaluated at bid price : 23.55
Bid-YTW : 6.60 %
ENB.PR.N FixedReset Disc -1.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-04
Maturity Price : 21.49
Evaluated at bid price : 21.75
Bid-YTW : 6.88 %
BN.PF.C Perpetual-Discount 1.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-04
Maturity Price : 19.95
Evaluated at bid price : 19.95
Bid-YTW : 6.20 %
PWF.PR.E Perpetual-Discount 1.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-04
Maturity Price : 22.43
Evaluated at bid price : 22.69
Bid-YTW : 6.13 %
FFH.PR.G FixedReset Disc 1.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-04
Maturity Price : 18.10
Evaluated at bid price : 18.10
Bid-YTW : 7.49 %
POW.PR.C Perpetual-Discount 1.24 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-04
Maturity Price : 24.15
Evaluated at bid price : 24.40
Bid-YTW : 6.03 %
GWO.PR.M Insurance Straight 1.34 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-04
Maturity Price : 23.95
Evaluated at bid price : 24.20
Bid-YTW : 5.99 %
SLF.PR.C Insurance Straight 1.42 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-04
Maturity Price : 20.00
Evaluated at bid price : 20.00
Bid-YTW : 5.57 %
GWO.PR.R Insurance Straight 1.42 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-04
Maturity Price : 20.65
Evaluated at bid price : 20.65
Bid-YTW : 5.82 %
FFH.PR.K FixedReset Disc 1.59 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-04
Maturity Price : 22.01
Evaluated at bid price : 22.30
Bid-YTW : 7.11 %
IFC.PR.I Insurance Straight 1.61 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-04
Maturity Price : 22.96
Evaluated at bid price : 23.40
Bid-YTW : 5.86 %
BN.PF.F FixedReset Disc 1.61 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-04
Maturity Price : 20.85
Evaluated at bid price : 20.85
Bid-YTW : 7.13 %
MIC.PR.A Perpetual-Discount 1.94 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-04
Maturity Price : 21.00
Evaluated at bid price : 21.00
Bid-YTW : 6.57 %
BN.PR.M Perpetual-Discount 6.76 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-04
Maturity Price : 19.59
Evaluated at bid price : 19.59
Bid-YTW : 6.19 %
MFC.PR.N FixedReset Ins Non 7.75 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-04
Maturity Price : 21.61
Evaluated at bid price : 21.98
Bid-YTW : 5.96 %
Volume Highlights
Issue Index Shares
Traded		 Notes
ENB.PR.B FixedReset Disc 58,264 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-04
Maturity Price : 18.06
Evaluated at bid price : 18.06
Bid-YTW : 7.48 %
ENB.PR.P FixedReset Disc 50,165 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-04
Maturity Price : 19.75
Evaluated at bid price : 19.75
Bid-YTW : 7.19 %
ENB.PR.Y FixedReset Disc 45,261 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-04
Maturity Price : 18.01
Evaluated at bid price : 18.01
Bid-YTW : 7.49 %
ENB.PR.T FixedReset Disc 43,265 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-04
Maturity Price : 20.56
Evaluated at bid price : 20.56
Bid-YTW : 7.06 %
ENB.PR.D FixedReset Disc 42,760 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-04
Maturity Price : 18.38
Evaluated at bid price : 18.38
Bid-YTW : 7.38 %
BN.PR.K Floater 42,600 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-04
Maturity Price : 11.62
Evaluated at bid price : 11.62
Bid-YTW : 10.42 %
There were 10 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
PWF.PR.L Perpetual-Discount Quote: 19.32 – 21.30
Spot Rate : 1.9800
Average : 1.0946

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-04
Maturity Price : 19.32
Evaluated at bid price : 19.32
Bid-YTW : 6.70 %
PWF.PR.S Perpetual-Discount Quote: 20.28 – 21.98
Spot Rate : 1.7000
Average : 0.9434

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-04
Maturity Price : 20.28
Evaluated at bid price : 20.28
Bid-YTW : 6.00 %
BN.PR.X FixedReset Disc Quote: 17.05 – 18.70
Spot Rate : 1.6500
Average : 0.9807

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-04
Maturity Price : 17.05
Evaluated at bid price : 17.05
Bid-YTW : 7.13 %
SLF.PR.E Insurance Straight Quote: 20.00 – 21.19
Spot Rate : 1.1900
Average : 0.7131

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-04
Maturity Price : 20.00
Evaluated at bid price : 20.00
Bid-YTW : 5.64 %
PWF.PR.R Perpetual-Discount Quote: 22.01 – 22.93
Spot Rate : 0.9200
Average : 0.6229

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-04
Maturity Price : 21.76
Evaluated at bid price : 22.01
Bid-YTW : 6.33 %
SLF.PR.D Insurance Straight Quote: 20.00 – 20.96
Spot Rate : 0.9600
Average : 0.6641

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-04
Maturity Price : 20.00
Evaluated at bid price : 20.00
Bid-YTW : 5.57 %
Market Action

September 3, 2024

I have updated the post ALA.PR.G & ALA.PR.H To Be Extended. I have also updated ENB.PR.Y: 6% Conversion to FloatingReset, ENB.PR.Z to reflect the newly assigned ticker symbol for the FloatingReset. There are numerous other announcements to pass on (as noted in the comments, but I will take care of them in the morning.

HIMIPref™ Preferred Indices
These values reflect the December 2008 revision of the HIMIPref™ Indices
Values are provisional and are finalized monthly
Index Mean
Current
Yield
(at bid)		 Median
YTW		 Median
Average
Trading
Value		 Median
Mod Dur
(YTW)		 Issues Day’s Perf. Index Value
Ratchet 0.00 % 0.00 % 0 0.00 0 -1.5339 % 2,203.7
FixedFloater 0.00 % 0.00 % 0 0.00 0 -1.5339 % 4,226.8
Floater 10.15 % 10.43 % 32,607 9.10 2 -1.5339 % 2,435.9
OpRet 0.00 % 0.00 % 0 0.00 0 0.2657 % 3,547.6
SplitShare 4.69 % 5.56 % 29,815 1.12 4 0.2657 % 4,236.6
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.2657 % 3,305.6
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 -0.0090 % 2,892.1
Perpetual-Discount 5.95 % 6.11 % 57,821 13.69 31 -0.0090 % 3,153.7
FixedReset Disc 5.43 % 6.80 % 121,271 12.71 58 0.1803 % 2,687.3
Insurance Straight 5.83 % 5.91 % 68,155 14.07 20 -0.2847 % 3,102.6
FloatingReset 8.37 % 8.41 % 34,638 10.85 2 -0.5412 % 2,767.0
FixedReset Prem 6.43 % 5.70 % 213,370 3.88 7 -0.2108 % 2,574.0
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 0.1803 % 2,746.9
FixedReset Ins Non 5.20 % 6.07 % 96,070 13.86 14 -0.5671 % 2,826.5
Performance Highlights
Issue Index Change Notes
SLF.PR.H FixedReset Ins Non -9.62 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-03
Maturity Price : 17.00
Evaluated at bid price : 17.00
Bid-YTW : 7.13 %
MFC.PR.N FixedReset Ins Non -6.89 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-03
Maturity Price : 20.40
Evaluated at bid price : 20.40
Bid-YTW : 6.44 %
BN.PR.M Perpetual-Discount -6.33 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-03
Maturity Price : 18.35
Evaluated at bid price : 18.35
Bid-YTW : 6.61 %
SLF.PR.C Insurance Straight -4.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-03
Maturity Price : 19.72
Evaluated at bid price : 19.72
Bid-YTW : 5.65 %
BN.PR.B Floater -2.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-03
Maturity Price : 11.51
Evaluated at bid price : 11.51
Bid-YTW : 10.52 %
IFC.PR.I Insurance Straight -2.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-03
Maturity Price : 22.66
Evaluated at bid price : 23.03
Bid-YTW : 5.96 %
SLF.PR.J FloatingReset -1.58 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-03
Maturity Price : 16.24
Evaluated at bid price : 16.24
Bid-YTW : 8.64 %
FFH.PR.K FixedReset Disc -1.57 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-03
Maturity Price : 21.56
Evaluated at bid price : 21.95
Bid-YTW : 7.22 %
BIP.PR.B FixedReset Disc -1.42 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-03
Maturity Price : 23.83
Evaluated at bid price : 24.25
Bid-YTW : 7.55 %
PWF.PR.F Perpetual-Discount -1.37 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-03
Maturity Price : 21.28
Evaluated at bid price : 21.55
Bid-YTW : 6.16 %
TD.PF.I FixedReset Prem -1.28 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2027-10-31
Maturity Price : 25.00
Evaluated at bid price : 25.52
Bid-YTW : 5.82 %
BN.PR.K Floater -1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-03
Maturity Price : 11.60
Evaluated at bid price : 11.60
Bid-YTW : 10.43 %
PVS.PR.J SplitShare 1.17 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2028-02-29
Maturity Price : 25.00
Evaluated at bid price : 24.11
Bid-YTW : 5.56 %
GWO.PR.N FixedReset Ins Non 1.60 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-03
Maturity Price : 14.63
Evaluated at bid price : 14.63
Bid-YTW : 6.94 %
MFC.PR.M FixedReset Ins Non 1.61 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-03
Maturity Price : 21.70
Evaluated at bid price : 22.10
Bid-YTW : 6.03 %
BIP.PR.E FixedReset Disc 1.73 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-03
Maturity Price : 22.66
Evaluated at bid price : 23.50
Bid-YTW : 6.51 %
CU.PR.J Perpetual-Discount 1.90 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-03
Maturity Price : 20.38
Evaluated at bid price : 20.38
Bid-YTW : 5.87 %
BN.PF.J FixedReset Disc 1.91 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-03
Maturity Price : 22.93
Evaluated at bid price : 24.00
Bid-YTW : 6.46 %
BN.PF.E FixedReset Disc 2.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-03
Maturity Price : 18.33
Evaluated at bid price : 18.33
Bid-YTW : 7.57 %
FFH.PR.G FixedReset Disc 3.95 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-03
Maturity Price : 17.90
Evaluated at bid price : 17.90
Bid-YTW : 7.57 %
MIC.PR.A Perpetual-Discount 4.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-03
Maturity Price : 20.60
Evaluated at bid price : 20.60
Bid-YTW : 6.70 %
MFC.PR.F FixedReset Ins Non 7.42 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-03
Maturity Price : 16.65
Evaluated at bid price : 16.65
Bid-YTW : 6.26 %
Volume Highlights
Issue Index Shares
Traded		 Notes
BN.PR.R FixedReset Disc 37,000 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-03
Maturity Price : 16.78
Evaluated at bid price : 16.78
Bid-YTW : 7.59 %
ENB.PR.T FixedReset Disc 29,300 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-03
Maturity Price : 20.50
Evaluated at bid price : 20.50
Bid-YTW : 7.08 %
TD.PF.A FixedReset Disc 21,300 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-03
Maturity Price : 23.42
Evaluated at bid price : 24.50
Bid-YTW : 5.32 %
ENB.PR.B FixedReset Disc 17,500 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-03
Maturity Price : 17.90
Evaluated at bid price : 17.90
Bid-YTW : 7.55 %
MFC.PR.M FixedReset Ins Non 14,800 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-03
Maturity Price : 21.70
Evaluated at bid price : 22.10
Bid-YTW : 6.03 %
ENB.PF.E FixedReset Disc 12,000 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-03
Maturity Price : 17.92
Evaluated at bid price : 17.92
Bid-YTW : 7.74 %
There were 2 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
GWO.PR.Y Insurance Straight Quote: 19.35 – 22.25
Spot Rate : 2.9000
Average : 1.9642

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-03
Maturity Price : 19.35
Evaluated at bid price : 19.35
Bid-YTW : 5.83 %
MFC.PR.N FixedReset Ins Non Quote: 20.40 – 22.25
Spot Rate : 1.8500
Average : 1.1793

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-03
Maturity Price : 20.40
Evaluated at bid price : 20.40
Bid-YTW : 6.44 %
SLF.PR.H FixedReset Ins Non Quote: 17.00 – 19.64
Spot Rate : 2.6400
Average : 2.0798

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-03
Maturity Price : 17.00
Evaluated at bid price : 17.00
Bid-YTW : 7.13 %
IFC.PR.E Insurance Straight Quote: 22.46 – 24.76
Spot Rate : 2.3000
Average : 1.8719

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-03
Maturity Price : 22.18
Evaluated at bid price : 22.46
Bid-YTW : 5.89 %
PVS.PR.I SplitShare Quote: 24.85 – 25.85
Spot Rate : 1.0000
Average : 0.6192

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-10-31
Maturity Price : 25.00
Evaluated at bid price : 24.85
Bid-YTW : 5.28 %
BN.PR.M Perpetual-Discount Quote: 18.35 – 19.70
Spot Rate : 1.3500
Average : 0.9835

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-03
Maturity Price : 18.35
Evaluated at bid price : 18.35
Bid-YTW : 6.61 %
Market Action

August 30, 2024

I have updated the post ZPR Is Now A Laddered Fund Again! with new data. The page Investigation of ZPR – BMO Laddered Preferred Share Index ETF has been updated with a link to this post.

HIMIPref™ Preferred Indices
These values reflect the December 2008 revision of the HIMIPref™ Indices
Values are provisional and are finalized monthly
Index Mean
Current
Yield
(at bid)		 Median
YTW		 Median
Average
Trading
Value		 Median
Mod Dur
(YTW)		 Issues Day’s Perf. Index Value
Ratchet 0.00 % 0.00 % 0 0.00 0 1.1638 % 2,238.1
FixedFloater 0.00 % 0.00 % 0 0.00 0 1.1638 % 4,292.6
Floater 9.99 % 10.28 % 76,177 9.22 2 1.1638 % 2,473.9
OpRet 0.00 % 0.00 % 0 0.00 0 -0.3057 % 3,538.2
SplitShare 4.70 % 5.23 % 29,502 1.13 4 -0.3057 % 4,225.4
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.3057 % 3,296.8
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 -0.0120 % 2,892.4
Perpetual-Discount 5.95 % 6.08 % 58,216 13.75 31 -0.0120 % 3,154.0
FixedReset Disc 5.43 % 6.76 % 123,225 12.68 60 -0.0577 % 2,682.4
Insurance Straight 5.82 % 5.90 % 69,128 14.05 21 -0.8269 % 3,111.4
FloatingReset 8.66 % 8.66 % 26,563 10.71 3 0.2432 % 2,782.1
FixedReset Prem 6.68 % 5.66 % 220,687 3.90 5 -0.1923 % 2,579.4
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 -0.0577 % 2,742.0
FixedReset Ins Non 5.17 % 6.03 % 99,255 13.87 14 0.0918 % 2,842.6
Performance Highlights
Issue Index Change Notes
MIC.PR.A Perpetual-Discount -5.67 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-30
Maturity Price : 19.80
Evaluated at bid price : 19.80
Bid-YTW : 6.97 %
FFH.PR.G FixedReset Disc -5.49 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-30
Maturity Price : 17.22
Evaluated at bid price : 17.22
Bid-YTW : 7.83 %
BN.PF.E FixedReset Disc -2.71 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-30
Maturity Price : 17.95
Evaluated at bid price : 17.95
Bid-YTW : 7.70 %
CU.PR.J Perpetual-Discount -2.68 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-30
Maturity Price : 20.00
Evaluated at bid price : 20.00
Bid-YTW : 5.98 %
IFC.PR.K Insurance Straight -2.18 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-30
Maturity Price : 22.06
Evaluated at bid price : 22.40
Bid-YTW : 5.95 %
PWF.PR.E Perpetual-Discount -1.75 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-30
Maturity Price : 22.17
Evaluated at bid price : 22.45
Bid-YTW : 6.19 %
CCS.PR.C Insurance Straight -1.48 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-30
Maturity Price : 21.33
Evaluated at bid price : 21.33
Bid-YTW : 5.97 %
GWO.PR.Q Insurance Straight -1.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-30
Maturity Price : 21.10
Evaluated at bid price : 21.10
Bid-YTW : 6.11 %
MFC.PR.I FixedReset Ins Non 1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-30
Maturity Price : 23.30
Evaluated at bid price : 24.80
Bid-YTW : 5.85 %
BN.PR.K Floater 1.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-30
Maturity Price : 11.72
Evaluated at bid price : 11.72
Bid-YTW : 10.31 %
CU.PR.G Perpetual-Discount 1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-30
Maturity Price : 19.50
Evaluated at bid price : 19.50
Bid-YTW : 5.81 %
BIP.PR.B FixedReset Disc 1.07 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-12-31
Maturity Price : 25.00
Evaluated at bid price : 24.60
Bid-YTW : 6.44 %
GWO.PR.H Insurance Straight 1.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-30
Maturity Price : 20.55
Evaluated at bid price : 20.55
Bid-YTW : 5.91 %
BN.PR.B Floater 1.29 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-30
Maturity Price : 11.75
Evaluated at bid price : 11.75
Bid-YTW : 10.28 %
PWF.PR.F Perpetual-Discount 1.39 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-30
Maturity Price : 21.59
Evaluated at bid price : 21.85
Bid-YTW : 6.07 %
GWO.PR.S Insurance Straight 1.39 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-30
Maturity Price : 21.86
Evaluated at bid price : 22.10
Bid-YTW : 5.93 %
BN.PR.R FixedReset Disc 1.51 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-30
Maturity Price : 16.85
Evaluated at bid price : 16.85
Bid-YTW : 7.53 %
GWO.PR.R Insurance Straight 2.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-30
Maturity Price : 20.36
Evaluated at bid price : 20.36
Bid-YTW : 5.90 %
PWF.PR.R Perpetual-Discount 3.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-30
Maturity Price : 22.43
Evaluated at bid price : 22.69
Bid-YTW : 6.13 %
BN.PR.Z FixedReset Disc 5.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-30
Maturity Price : 21.92
Evaluated at bid price : 22.26
Bid-YTW : 6.83 %
Volume Highlights
Issue Index Shares
Traded		 Notes
ENB.PR.D FixedReset Disc 74,233 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-30
Maturity Price : 18.30
Evaluated at bid price : 18.30
Bid-YTW : 7.38 %
TD.PF.C FixedReset Disc 56,269 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-30
Maturity Price : 23.18
Evaluated at bid price : 24.00
Bid-YTW : 5.41 %
ENB.PR.J FixedReset Disc 39,870 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-30
Maturity Price : 19.78
Evaluated at bid price : 19.78
Bid-YTW : 7.24 %
BN.PR.R FixedReset Disc 26,006 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-30
Maturity Price : 16.85
Evaluated at bid price : 16.85
Bid-YTW : 7.53 %
BN.PF.G FixedReset Disc 25,718 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-30
Maturity Price : 19.00
Evaluated at bid price : 19.00
Bid-YTW : 7.55 %
IFC.PR.G FixedReset Ins Non 16,972 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-30
Maturity Price : 22.72
Evaluated at bid price : 23.68
Bid-YTW : 6.03 %
There were 2 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
MIC.PR.A Perpetual-Discount Quote: 19.80 – 21.10
Spot Rate : 1.3000
Average : 0.7643

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-30
Maturity Price : 19.80
Evaluated at bid price : 19.80
Bid-YTW : 6.97 %
BN.PR.T FixedReset Disc Quote: 16.80 – 18.05
Spot Rate : 1.2500
Average : 0.8005

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-30
Maturity Price : 16.80
Evaluated at bid price : 16.80
Bid-YTW : 7.59 %
FFH.PR.G FixedReset Disc Quote: 17.22 – 18.22
Spot Rate : 1.0000
Average : 0.5958

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-30
Maturity Price : 17.22
Evaluated at bid price : 17.22
Bid-YTW : 7.83 %
IFC.PR.E Insurance Straight Quote: 22.52 – 24.30
Spot Rate : 1.7800
Average : 1.4025

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-30
Maturity Price : 22.24
Evaluated at bid price : 22.52
Bid-YTW : 5.87 %
CU.PR.J Perpetual-Discount Quote: 20.00 – 20.86
Spot Rate : 0.8600
Average : 0.6016

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-30
Maturity Price : 20.00
Evaluated at bid price : 20.00
Bid-YTW : 5.98 %
BIP.PR.E FixedReset Disc Quote: 23.10 – 23.95
Spot Rate : 0.8500
Average : 0.6287

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-30
Maturity Price : 22.44
Evaluated at bid price : 23.10
Bid-YTW : 6.61 %
Market Action

August 29, 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 0.2160 % 2,212.3
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.2160 % 4,243.2
Floater 10.11 % 10.42 % 32,911 9.12 2 0.2160 % 2,445.4
OpRet 0.00 % 0.00 % 0 0.00 0 0.8736 % 3,549.0
SplitShare 4.69 % 5.22 % 30,328 1.13 4 0.8736 % 4,238.3
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.8736 % 3,306.9
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 0.0869 % 2,892.7
Perpetual-Discount 5.95 % 6.08 % 58,750 13.73 31 0.0869 % 3,154.4
FixedReset Disc 5.42 % 6.79 % 122,894 12.68 60 0.2964 % 2,684.0
Insurance Straight 5.77 % 5.88 % 69,417 14.00 21 0.7110 % 3,137.4
FloatingReset 8.68 % 8.71 % 26,633 10.74 3 0.1740 % 2,775.3
FixedReset Prem 6.67 % 5.66 % 223,602 3.83 5 0.1387 % 2,584.4
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 0.2964 % 2,743.6
FixedReset Ins Non 5.17 % 6.02 % 99,704 13.88 14 0.0782 % 2,840.0
Performance Highlights
Issue Index Change Notes
BN.PR.Z FixedReset Disc -4.33 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-29
Maturity Price : 21.20
Evaluated at bid price : 21.20
Bid-YTW : 7.20 %
PWF.PR.R Perpetual-Discount -1.92 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-29
Maturity Price : 21.75
Evaluated at bid price : 22.00
Bid-YTW : 6.32 %
MFC.PR.F FixedReset Ins Non -1.90 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-29
Maturity Price : 15.50
Evaluated at bid price : 15.50
Bid-YTW : 6.68 %
PWF.PR.F Perpetual-Discount -1.69 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-29
Maturity Price : 21.28
Evaluated at bid price : 21.55
Bid-YTW : 6.16 %
BN.PF.C Perpetual-Discount -1.25 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-29
Maturity Price : 19.75
Evaluated at bid price : 19.75
Bid-YTW : 6.26 %
BN.PR.M Perpetual-Discount -1.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-29
Maturity Price : 19.44
Evaluated at bid price : 19.44
Bid-YTW : 6.23 %
ENB.PF.K FixedReset Disc 1.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-29
Maturity Price : 22.91
Evaluated at bid price : 24.00
Bid-YTW : 6.41 %
GWO.PR.Y Insurance Straight 1.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-29
Maturity Price : 19.50
Evaluated at bid price : 19.50
Bid-YTW : 5.88 %
BIK.PR.A FixedReset Prem 1.17 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2029-04-01
Maturity Price : 25.00
Evaluated at bid price : 25.95
Bid-YTW : 6.87 %
CU.PR.F Perpetual-Discount 1.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-29
Maturity Price : 19.43
Evaluated at bid price : 19.43
Bid-YTW : 5.83 %
IFC.PR.A FixedReset Ins Non 1.21 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-29
Maturity Price : 19.30
Evaluated at bid price : 19.30
Bid-YTW : 6.24 %
CCS.PR.C Insurance Straight 1.41 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-29
Maturity Price : 21.38
Evaluated at bid price : 21.65
Bid-YTW : 5.87 %
PVS.PR.K SplitShare 1.46 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2029-05-31
Maturity Price : 25.00
Evaluated at bid price : 24.35
Bid-YTW : 5.08 %
SLF.PR.C Insurance Straight 1.53 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-29
Maturity Price : 20.56
Evaluated at bid price : 20.56
Bid-YTW : 5.42 %
FFH.PR.K FixedReset Disc 1.59 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-29
Maturity Price : 22.01
Evaluated at bid price : 22.30
Bid-YTW : 7.08 %
PWF.PR.S Perpetual-Discount 1.62 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-29
Maturity Price : 20.09
Evaluated at bid price : 20.09
Bid-YTW : 6.05 %
ENB.PF.C FixedReset Disc 1.85 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-29
Maturity Price : 18.15
Evaluated at bid price : 18.15
Bid-YTW : 7.70 %
FFH.PR.I FixedReset Disc 1.87 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-29
Maturity Price : 19.10
Evaluated at bid price : 19.10
Bid-YTW : 7.40 %
PVS.PR.J SplitShare 1.91 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2028-02-29
Maturity Price : 25.00
Evaluated at bid price : 24.01
Bid-YTW : 5.66 %
PWF.PR.P FixedReset Disc 1.98 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-29
Maturity Price : 14.95
Evaluated at bid price : 14.95
Bid-YTW : 7.26 %
GWO.PR.Q Insurance Straight 2.65 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-29
Maturity Price : 21.40
Evaluated at bid price : 21.67
Bid-YTW : 6.04 %
CU.PR.J Perpetual-Discount 2.75 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-29
Maturity Price : 20.55
Evaluated at bid price : 20.55
Bid-YTW : 5.82 %
BN.PF.E FixedReset Disc 2.79 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-29
Maturity Price : 18.45
Evaluated at bid price : 18.45
Bid-YTW : 7.49 %
BN.PF.B FixedReset Disc 3.39 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-29
Maturity Price : 21.36
Evaluated at bid price : 21.66
Bid-YTW : 6.79 %
BIP.PR.A FixedReset Disc 5.24 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-29
Maturity Price : 21.68
Evaluated at bid price : 22.10
Bid-YTW : 7.30 %
IFC.PR.K Insurance Straight 5.29 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-29
Maturity Price : 22.61
Evaluated at bid price : 22.90
Bid-YTW : 5.82 %
Volume Highlights
Issue Index Shares
Traded		 Notes
BN.PR.R FixedReset Disc 249,515 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-29
Maturity Price : 16.60
Evaluated at bid price : 16.60
Bid-YTW : 7.63 %
BN.PF.A FixedReset Disc 103,100 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-29
Maturity Price : 22.96
Evaluated at bid price : 24.26
Bid-YTW : 6.36 %
FTS.PR.H FixedReset Disc 52,100 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-29
Maturity Price : 15.20
Evaluated at bid price : 15.20
Bid-YTW : 7.08 %
GWO.PR.T Insurance Straight 46,000 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-29
Maturity Price : 21.82
Evaluated at bid price : 21.82
Bid-YTW : 6.01 %
PWF.PR.S Perpetual-Discount 39,158 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-29
Maturity Price : 20.09
Evaluated at bid price : 20.09
Bid-YTW : 6.05 %
GWO.PR.M Insurance Straight 30,640 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-29
Maturity Price : 23.96
Evaluated at bid price : 24.21
Bid-YTW : 6.09 %
There were 10 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
GWO.PR.Y Insurance Straight Quote: 19.50 – 22.25
Spot Rate : 2.7500
Average : 1.7584

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-29
Maturity Price : 19.50
Evaluated at bid price : 19.50
Bid-YTW : 5.88 %
BN.PR.Z FixedReset Disc Quote: 21.20 – 22.39
Spot Rate : 1.1900
Average : 0.7650

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-29
Maturity Price : 21.20
Evaluated at bid price : 21.20
Bid-YTW : 7.20 %
BN.PF.C Perpetual-Discount Quote: 19.75 – 20.99
Spot Rate : 1.2400
Average : 0.8281

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-29
Maturity Price : 19.75
Evaluated at bid price : 19.75
Bid-YTW : 6.26 %
PWF.PR.R Perpetual-Discount Quote: 22.00 – 22.90
Spot Rate : 0.9000
Average : 0.6299

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-29
Maturity Price : 21.75
Evaluated at bid price : 22.00
Bid-YTW : 6.32 %
FTS.PR.H FixedReset Disc Quote: 15.20 – 15.79
Spot Rate : 0.5900
Average : 0.3654

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-29
Maturity Price : 15.20
Evaluated at bid price : 15.20
Bid-YTW : 7.08 %
MFC.PR.F FixedReset Ins Non Quote: 15.50 – 16.90
Spot Rate : 1.4000
Average : 1.2233

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-29
Maturity Price : 15.50
Evaluated at bid price : 15.50
Bid-YTW : 6.68 %
Market Action

August 28, 2024

PerpetualDiscounts now yield 6.09%, equivalent to 7.92% interest at the standard equivalency factor of 1.3x. Long corporates yielded 4.83% on 2024-8-23 and since then the closing price of ZLC has changed from 15.45 to 15.35, a decrease of 65bp in price, implying an increase of yields of 5bp (BMO reports a duration of 12.44, but don’t disclose whether this is Macaulay or Modified; I will assume Modified) to 4.88%. Therefore, the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) has narrowed to 305bp from the 320bp reported August 21.

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 -0.3873 % 2,207.6
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.3873 % 4,234.1
Floater 10.13 % 10.41 % 32,345 9.13 2 -0.3873 % 2,440.1
OpRet 0.00 % 0.00 % 0 0.00 0 0.3196 % 3,518.3
SplitShare 4.73 % 5.42 % 30,080 1.13 4 0.3196 % 4,201.6
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.3196 % 3,278.3
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 -0.0659 % 2,890.2
Perpetual-Discount 5.95 % 6.09 % 59,600 13.70 31 -0.0659 % 3,151.6
FixedReset Disc 5.44 % 6.82 % 127,660 12.61 60 0.1943 % 2,676.1
Insurance Straight 5.81 % 5.97 % 69,825 13.89 21 -0.2739 % 3,115.2
FloatingReset 8.70 % 8.66 % 26,307 10.69 3 -0.8456 % 2,770.5
FixedReset Prem 6.68 % 5.64 % 226,058 12.10 5 0.1698 % 2,580.8
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 0.1943 % 2,735.5
FixedReset Ins Non 5.18 % 6.01 % 103,418 13.88 14 0.3927 % 2,837.8
Performance Highlights
Issue Index Change Notes
GWO.PR.Q Insurance Straight -4.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-28
Maturity Price : 21.11
Evaluated at bid price : 21.11
Bid-YTW : 6.22 %
BN.PF.B FixedReset Disc -3.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-28
Maturity Price : 20.95
Evaluated at bid price : 20.95
Bid-YTW : 7.04 %
MFC.PR.Q FixedReset Ins Non -2.41 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-28
Maturity Price : 23.00
Evaluated at bid price : 24.30
Bid-YTW : 5.73 %
BN.PF.I FixedReset Disc -1.95 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-28
Maturity Price : 22.53
Evaluated at bid price : 23.07
Bid-YTW : 7.21 %
PWF.PR.S Perpetual-Discount -1.79 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-28
Maturity Price : 19.77
Evaluated at bid price : 19.77
Bid-YTW : 6.15 %
FFH.PR.K FixedReset Disc -1.57 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-28
Maturity Price : 21.56
Evaluated at bid price : 21.95
Bid-YTW : 7.19 %
ENB.PF.C FixedReset Disc -1.27 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-28
Maturity Price : 17.82
Evaluated at bid price : 17.82
Bid-YTW : 7.84 %
GWO.PR.M Insurance Straight -1.19 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-28
Maturity Price : 23.84
Evaluated at bid price : 24.09
Bid-YTW : 6.12 %
MFC.PR.B Insurance Straight -1.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-28
Maturity Price : 20.51
Evaluated at bid price : 20.51
Bid-YTW : 5.68 %
GWO.PR.Y Insurance Straight -1.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-28
Maturity Price : 19.28
Evaluated at bid price : 19.28
Bid-YTW : 5.95 %
CU.PR.I FixedReset Disc -1.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-28
Maturity Price : 23.32
Evaluated at bid price : 23.80
Bid-YTW : 6.82 %
BIP.PR.F FixedReset Disc -1.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-28
Maturity Price : 22.23
Evaluated at bid price : 22.85
Bid-YTW : 6.73 %
GWO.PR.L Insurance Straight -1.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-28
Maturity Price : 23.22
Evaluated at bid price : 23.52
Bid-YTW : 6.11 %
CU.PR.D Perpetual-Discount 1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-28
Maturity Price : 20.81
Evaluated at bid price : 20.81
Bid-YTW : 5.93 %
MFC.PR.I FixedReset Ins Non 1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-28
Maturity Price : 23.28
Evaluated at bid price : 24.75
Bid-YTW : 5.86 %
NA.PR.G FixedReset Prem 1.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-28
Maturity Price : 23.54
Evaluated at bid price : 26.07
Bid-YTW : 5.77 %
NA.PR.E FixedReset Disc 1.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-28
Maturity Price : 23.27
Evaluated at bid price : 24.97
Bid-YTW : 5.58 %
GWO.PR.P Insurance Straight 1.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-28
Maturity Price : 22.49
Evaluated at bid price : 22.75
Bid-YTW : 6.03 %
ENB.PR.F FixedReset Disc 1.19 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-28
Maturity Price : 18.72
Evaluated at bid price : 18.72
Bid-YTW : 7.40 %
PWF.PR.T FixedReset Disc 1.33 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-28
Maturity Price : 22.19
Evaluated at bid price : 22.80
Bid-YTW : 5.98 %
MFC.PR.F FixedReset Ins Non 1.67 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-28
Maturity Price : 15.80
Evaluated at bid price : 15.80
Bid-YTW : 6.55 %
MFC.PR.M FixedReset Ins Non 1.83 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-28
Maturity Price : 21.45
Evaluated at bid price : 21.75
Bid-YTW : 6.10 %
SLF.PR.D Insurance Straight 2.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-28
Maturity Price : 20.35
Evaluated at bid price : 20.35
Bid-YTW : 5.47 %
PVS.PR.K SplitShare 2.08 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2029-05-31
Maturity Price : 25.00
Evaluated at bid price : 24.00
Bid-YTW : 5.42 %
GWO.PR.T Insurance Straight 2.54 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-28
Maturity Price : 21.79
Evaluated at bid price : 21.79
Bid-YTW : 6.02 %
BN.PF.E FixedReset Disc 2.57 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-28
Maturity Price : 17.95
Evaluated at bid price : 17.95
Bid-YTW : 7.70 %
SLF.PR.C Insurance Straight 2.64 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-28
Maturity Price : 20.25
Evaluated at bid price : 20.25
Bid-YTW : 5.50 %
SLF.PR.H FixedReset Ins Non 5.53 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-28
Maturity Price : 18.81
Evaluated at bid price : 18.81
Bid-YTW : 6.44 %
BN.PF.G FixedReset Disc 20.25 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-28
Maturity Price : 19.00
Evaluated at bid price : 19.00
Bid-YTW : 7.54 %
Volume Highlights
Issue Index Shares
Traded		 Notes
MFC.PR.L FixedReset Ins Non 102,200 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-28
Maturity Price : 22.41
Evaluated at bid price : 23.23
Bid-YTW : 5.69 %
BN.PF.C Perpetual-Discount 100,608 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-28
Maturity Price : 20.00
Evaluated at bid price : 20.00
Bid-YTW : 6.18 %
CU.PR.G Perpetual-Discount 50,400 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-28
Maturity Price : 19.27
Evaluated at bid price : 19.27
Bid-YTW : 5.88 %
SLF.PR.G FixedReset Ins Non 50,300 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-28
Maturity Price : 16.34
Evaluated at bid price : 16.34
Bid-YTW : 6.50 %
ENB.PR.P FixedReset Disc 31,300 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-28
Maturity Price : 19.70
Evaluated at bid price : 19.70
Bid-YTW : 7.18 %
BN.PF.H FixedReset Disc 26,600 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-28
Maturity Price : 23.79
Evaluated at bid price : 24.21
Bid-YTW : 7.26 %
There were 14 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
ENB.PR.A Perpetual-Discount Quote: 22.76 – 23.75
Spot Rate : 0.9900
Average : 0.6179

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-28
Maturity Price : 22.50
Evaluated at bid price : 22.76
Bid-YTW : 6.07 %
GWO.PR.Q Insurance Straight Quote: 21.11 – 22.06
Spot Rate : 0.9500
Average : 0.6357

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-28
Maturity Price : 21.11
Evaluated at bid price : 21.11
Bid-YTW : 6.22 %
BN.PF.B FixedReset Disc Quote: 20.95 – 21.85
Spot Rate : 0.9000
Average : 0.6028

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-28
Maturity Price : 20.95
Evaluated at bid price : 20.95
Bid-YTW : 7.04 %
IFC.PR.K Insurance Straight Quote: 21.75 – 23.65
Spot Rate : 1.9000
Average : 1.6104

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-28
Maturity Price : 21.42
Evaluated at bid price : 21.75
Bid-YTW : 6.13 %
BN.PF.I FixedReset Disc Quote: 23.07 – 24.00
Spot Rate : 0.9300
Average : 0.6887

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-28
Maturity Price : 22.53
Evaluated at bid price : 23.07
Bid-YTW : 7.21 %
CU.PR.J Perpetual-Discount Quote: 20.00 – 20.79
Spot Rate : 0.7900
Average : 0.6123

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-28
Maturity Price : 20.00
Evaluated at bid price : 20.00
Bid-YTW : 5.98 %
Market Action

August 27, 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 -0.0430 % 2,216.1
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.0430 % 4,250.5
Floater 10.09 % 10.37 % 77,184 9.16 2 -0.0430 % 2,449.6
OpRet 0.00 % 0.00 % 0 0.00 0 -0.0309 % 3,507.1
SplitShare 4.74 % 5.91 % 29,321 1.14 4 -0.0309 % 4,188.2
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.0309 % 3,267.8
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 0.4208 % 2,892.1
Perpetual-Discount 5.95 % 6.09 % 59,529 13.73 31 0.4208 % 3,153.7
FixedReset Disc 5.45 % 6.79 % 128,985 12.69 60 -0.1841 % 2,670.9
Insurance Straight 5.80 % 5.94 % 69,254 13.90 21 -0.4727 % 3,123.8
FloatingReset 8.62 % 8.60 % 26,166 10.69 3 0.8528 % 2,794.2
FixedReset Prem 6.69 % 5.64 % 223,097 12.12 5 0.5587 % 2,576.5
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 -0.1841 % 2,730.2
FixedReset Ins Non 5.20 % 6.08 % 104,940 13.81 14 0.0410 % 2,826.7
Performance Highlights
Issue Index Change Notes
SLF.PR.H FixedReset Ins Non -7.83 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-27
Maturity Price : 18.00
Evaluated at bid price : 18.00
Bid-YTW : 6.79 %
IFC.PR.K Insurance Straight -6.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-27
Maturity Price : 21.42
Evaluated at bid price : 21.75
Bid-YTW : 6.13 %
BN.PF.E FixedReset Disc -5.25 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-27
Maturity Price : 17.50
Evaluated at bid price : 17.50
Bid-YTW : 7.89 %
SLF.PR.C Insurance Straight -4.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-27
Maturity Price : 20.00
Evaluated at bid price : 20.00
Bid-YTW : 5.66 %
GWO.PR.T Insurance Straight -3.37 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-27
Maturity Price : 21.25
Evaluated at bid price : 21.25
Bid-YTW : 6.18 %
BN.PF.J FixedReset Disc -3.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-27
Maturity Price : 22.71
Evaluated at bid price : 23.55
Bid-YTW : 6.58 %
BN.PR.R FixedReset Disc -1.78 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-27
Maturity Price : 16.60
Evaluated at bid price : 16.60
Bid-YTW : 7.63 %
ENB.PR.F FixedReset Disc -1.49 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-27
Maturity Price : 18.50
Evaluated at bid price : 18.50
Bid-YTW : 7.49 %
ENB.PR.D FixedReset Disc -1.36 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-27
Maturity Price : 18.10
Evaluated at bid price : 18.10
Bid-YTW : 7.46 %
RY.PR.M FixedReset Disc -1.27 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-27
Maturity Price : 22.91
Evaluated at bid price : 23.40
Bid-YTW : 5.76 %
BN.PR.T FixedReset Disc -1.18 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-27
Maturity Price : 16.75
Evaluated at bid price : 16.75
Bid-YTW : 7.61 %
MFC.PR.I FixedReset Ins Non -1.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-27
Maturity Price : 23.18
Evaluated at bid price : 24.50
Bid-YTW : 5.93 %
PVS.PR.K SplitShare -1.01 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2029-05-31
Maturity Price : 25.00
Evaluated at bid price : 23.51
Bid-YTW : 5.91 %
FFH.PR.E FixedReset Disc 1.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-27
Maturity Price : 17.60
Evaluated at bid price : 17.60
Bid-YTW : 7.28 %
TD.PF.I FixedReset Prem 1.29 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2027-10-31
Maturity Price : 25.00
Evaluated at bid price : 25.85
Bid-YTW : 5.32 %
MFC.PR.L FixedReset Ins Non 1.31 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-27
Maturity Price : 22.40
Evaluated at bid price : 23.20
Bid-YTW : 5.70 %
MFC.PR.C Insurance Straight 1.34 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-27
Maturity Price : 20.35
Evaluated at bid price : 20.35
Bid-YTW : 5.54 %
SLF.PR.J FloatingReset 1.37 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-27
Maturity Price : 16.99
Evaluated at bid price : 16.99
Bid-YTW : 8.60 %
PWF.PR.E Perpetual-Discount 1.53 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-27
Maturity Price : 22.24
Evaluated at bid price : 22.51
Bid-YTW : 6.17 %
MFC.PR.K FixedReset Ins Non 1.58 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-27
Maturity Price : 23.04
Evaluated at bid price : 24.45
Bid-YTW : 5.53 %
FTS.PR.H FixedReset Disc 1.67 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-27
Maturity Price : 15.25
Evaluated at bid price : 15.25
Bid-YTW : 7.05 %
PWF.PR.S Perpetual-Discount 1.67 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-27
Maturity Price : 20.13
Evaluated at bid price : 20.13
Bid-YTW : 6.04 %
SLF.PR.E Insurance Straight 2.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-27
Maturity Price : 20.94
Evaluated at bid price : 20.94
Bid-YTW : 5.47 %
MFC.PR.Q FixedReset Ins Non 2.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-27
Maturity Price : 23.23
Evaluated at bid price : 24.90
Bid-YTW : 5.57 %
CU.PR.F Perpetual-Discount 2.67 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-27
Maturity Price : 19.20
Evaluated at bid price : 19.20
Bid-YTW : 5.90 %
ENB.PF.G FixedReset Disc 4.64 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-27
Maturity Price : 17.80
Evaluated at bid price : 17.80
Bid-YTW : 7.70 %
Volume Highlights
Issue Index Shares
Traded		 Notes
MFC.PR.L FixedReset Ins Non 329,000 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-27
Maturity Price : 22.40
Evaluated at bid price : 23.20
Bid-YTW : 5.70 %
ENB.PR.D FixedReset Disc 126,000 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-27
Maturity Price : 18.10
Evaluated at bid price : 18.10
Bid-YTW : 7.46 %
ENB.PF.E FixedReset Disc 78,500 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-27
Maturity Price : 17.91
Evaluated at bid price : 17.91
Bid-YTW : 7.70 %
FTS.PR.M FixedReset Disc 46,700 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-27
Maturity Price : 20.35
Evaluated at bid price : 20.35
Bid-YTW : 6.71 %
NA.PR.S FixedReset Disc 41,800 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-27
Maturity Price : 23.11
Evaluated at bid price : 24.80
Bid-YTW : 5.61 %
NA.PR.G FixedReset Prem 27,500 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-27
Maturity Price : 23.47
Evaluated at bid price : 25.80
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
SLF.PR.H FixedReset Ins Non Quote: 18.00 – 21.00
Spot Rate : 3.0000
Average : 2.0692

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-27
Maturity Price : 18.00
Evaluated at bid price : 18.00
Bid-YTW : 6.79 %
IFC.PR.K Insurance Straight Quote: 21.75 – 23.70
Spot Rate : 1.9500
Average : 1.2928

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-27
Maturity Price : 21.42
Evaluated at bid price : 21.75
Bid-YTW : 6.13 %
GWO.PR.Y Insurance Straight Quote: 19.50 – 20.75
Spot Rate : 1.2500
Average : 0.7820

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-27
Maturity Price : 19.50
Evaluated at bid price : 19.50
Bid-YTW : 5.88 %
BN.PF.E FixedReset Disc Quote: 17.50 – 18.65
Spot Rate : 1.1500
Average : 0.6960

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-27
Maturity Price : 17.50
Evaluated at bid price : 17.50
Bid-YTW : 7.89 %
SLF.PR.C Insurance Straight Quote: 20.00 – 21.10
Spot Rate : 1.1000
Average : 0.6477

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-27
Maturity Price : 20.00
Evaluated at bid price : 20.00
Bid-YTW : 5.66 %
BN.PF.J FixedReset Disc Quote: 23.55 – 24.84
Spot Rate : 1.2900
Average : 0.8859

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-27
Maturity Price : 22.71
Evaluated at bid price : 23.55
Bid-YTW : 6.58 %
Market Action

August 26, 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 -0.3002 % 2,217.1
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.3002 % 4,252.4
Floater 10.09 % 10.36 % 75,592 9.17 2 -0.3002 % 2,450.7
OpRet 0.00 % 0.00 % 0 0.00 0 -0.4106 % 3,508.2
SplitShare 4.74 % 5.66 % 29,357 1.14 4 -0.4106 % 4,189.5
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.4106 % 3,268.8
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 0.1189 % 2,880.0
Perpetual-Discount 5.98 % 6.12 % 59,965 13.69 31 0.1189 % 3,140.5
FixedReset Disc 5.41 % 6.76 % 134,728 12.68 61 0.2195 % 2,675.8
Insurance Straight 5.77 % 5.94 % 71,459 13.91 21 0.4283 % 3,138.6
FloatingReset 8.70 % 8.72 % 24,538 10.58 3 0.0697 % 2,770.5
FixedReset Prem 6.73 % 5.78 % 225,436 12.09 5 -0.0543 % 2,562.1
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 0.2195 % 2,735.2
FixedReset Ins Non 5.20 % 6.09 % 105,718 13.94 14 0.4254 % 2,825.5
Performance Highlights
Issue Index Change Notes
ENB.PF.G FixedReset Disc -3.74 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-26
Maturity Price : 17.01
Evaluated at bid price : 17.01
Bid-YTW : 8.04 %
CU.PR.F Perpetual-Discount -2.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-26
Maturity Price : 18.70
Evaluated at bid price : 18.70
Bid-YTW : 6.05 %
PVS.PR.J SplitShare -1.88 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2028-02-29
Maturity Price : 25.00
Evaluated at bid price : 23.55
Bid-YTW : 6.26 %
NA.PR.G FixedReset Prem -1.53 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-26
Maturity Price : 23.47
Evaluated at bid price : 25.80
Bid-YTW : 5.84 %
PWF.PR.E Perpetual-Discount -1.38 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-26
Maturity Price : 21.94
Evaluated at bid price : 22.17
Bid-YTW : 6.27 %
BN.PF.I FixedReset Disc -1.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-26
Maturity Price : 22.78
Evaluated at bid price : 23.50
Bid-YTW : 7.07 %
ENB.PR.T FixedReset Disc 1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-26
Maturity Price : 20.44
Evaluated at bid price : 20.44
Bid-YTW : 7.07 %
ENB.PR.N FixedReset Disc 1.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-26
Maturity Price : 21.63
Evaluated at bid price : 21.94
Bid-YTW : 6.79 %
CU.PR.I FixedReset Disc 1.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-26
Maturity Price : 23.67
Evaluated at bid price : 24.12
Bid-YTW : 6.72 %
FFH.PR.M FixedReset Disc 1.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-26
Maturity Price : 23.77
Evaluated at bid price : 24.42
Bid-YTW : 7.12 %
MFC.PR.N FixedReset Ins Non 1.18 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-26
Maturity Price : 21.45
Evaluated at bid price : 21.45
Bid-YTW : 6.09 %
CCS.PR.C Insurance Straight 1.25 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-26
Maturity Price : 21.11
Evaluated at bid price : 21.11
Bid-YTW : 6.03 %
BN.PF.C Perpetual-Discount 1.27 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-26
Maturity Price : 20.00
Evaluated at bid price : 20.00
Bid-YTW : 6.18 %
FFH.PR.G FixedReset Disc 1.51 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-26
Maturity Price : 18.18
Evaluated at bid price : 18.18
Bid-YTW : 7.42 %
GWO.PR.M Insurance Straight 1.58 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-26
Maturity Price : 24.13
Evaluated at bid price : 24.38
Bid-YTW : 6.05 %
FFH.PR.I FixedReset Disc 1.60 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-26
Maturity Price : 19.00
Evaluated at bid price : 19.00
Bid-YTW : 7.44 %
SLF.PR.C Insurance Straight 1.66 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-26
Maturity Price : 20.84
Evaluated at bid price : 20.84
Bid-YTW : 5.43 %
PWF.PR.T FixedReset Disc 1.71 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-26
Maturity Price : 22.04
Evaluated at bid price : 22.55
Bid-YTW : 6.05 %
BN.PR.R FixedReset Disc 1.81 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-26
Maturity Price : 16.90
Evaluated at bid price : 16.90
Bid-YTW : 7.50 %
IFC.PR.A FixedReset Ins Non 1.98 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-26
Maturity Price : 19.07
Evaluated at bid price : 19.07
Bid-YTW : 6.31 %
CU.PR.G Perpetual-Discount 3.30 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-26
Maturity Price : 19.12
Evaluated at bid price : 19.12
Bid-YTW : 5.92 %
BN.PF.F FixedReset Disc 3.47 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-26
Maturity Price : 20.55
Evaluated at bid price : 20.55
Bid-YTW : 7.20 %
Volume Highlights
Issue Index Shares
Traded		 Notes
PWF.PF.A Perpetual-Discount 139,000 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-26
Maturity Price : 18.64
Evaluated at bid price : 18.64
Bid-YTW : 6.11 %
FTS.PR.H FixedReset Disc 89,800 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-26
Maturity Price : 15.00
Evaluated at bid price : 15.00
Bid-YTW : 7.17 %
ENB.PR.T FixedReset Disc 43,900 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-26
Maturity Price : 20.44
Evaluated at bid price : 20.44
Bid-YTW : 7.07 %
MFC.PR.K FixedReset Ins Non 43,800 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-26
Maturity Price : 22.88
Evaluated at bid price : 24.07
Bid-YTW : 5.64 %
ENB.PR.P FixedReset Disc 43,500 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-26
Maturity Price : 19.71
Evaluated at bid price : 19.71
Bid-YTW : 7.17 %
ENB.PR.Y FixedReset Disc 42,900 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-26
Maturity Price : 17.99
Evaluated at bid price : 17.99
Bid-YTW : 7.49 %
There were 8 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
BN.PF.G FixedReset Disc Quote: 15.80 – 19.35
Spot Rate : 3.5500
Average : 2.8042

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-26
Maturity Price : 15.80
Evaluated at bid price : 15.80
Bid-YTW : 9.06 %
GWO.PR.G Insurance Straight Quote: 22.25 – 23.60
Spot Rate : 1.3500
Average : 0.9128

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-26
Maturity Price : 22.01
Evaluated at bid price : 22.25
Bid-YTW : 5.94 %
BIP.PR.A FixedReset Disc Quote: 21.00 – 23.10
Spot Rate : 2.1000
Average : 1.7038

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-26
Maturity Price : 21.00
Evaluated at bid price : 21.00
Bid-YTW : 7.70 %
BN.PF.C Perpetual-Discount Quote: 20.00 – 20.99
Spot Rate : 0.9900
Average : 0.6296

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-26
Maturity Price : 20.00
Evaluated at bid price : 20.00
Bid-YTW : 6.18 %
GWO.PR.P Insurance Straight Quote: 22.50 – 23.47
Spot Rate : 0.9700
Average : 0.6925

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-26
Maturity Price : 22.22
Evaluated at bid price : 22.50
Bid-YTW : 6.10 %
ENB.PF.G FixedReset Disc Quote: 17.01 – 18.00
Spot Rate : 0.9900
Average : 0.7396

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-26
Maturity Price : 17.01
Evaluated at bid price : 17.01
Bid-YTW : 8.04 %
Market Action

August 23, 2024

TXPR closed at 623.29, up 0.76% on the day after setting a new 52-week high. Volume today was 2.29-million, above the median of the past 21 trading days.

CPD closed at 12.415, up 0.85% on the day after setting a new 52-week high. Volume was 56,470, near the median of the past 21 trading days.

ZPR closed at 10.57, up 0.76% on the day after setting a new 52-week high. Volume was 156,150, near the median of the past 21 trading days.

Five-year Canada yields were down to 2.93%.

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 -0.2566 % 2,223.8
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.2566 % 4,265.2
Floater 10.06 % 10.34 % 32,890 9.19 2 -0.2566 % 2,458.0
OpRet 0.00 % 0.00 % 0 0.00 0 0.4226 % 3,522.7
SplitShare 4.72 % 5.65 % 29,437 1.15 4 0.4226 % 4,206.8
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.4226 % 3,282.3
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 0.5036 % 2,876.6
Perpetual-Discount 5.98 % 6.12 % 58,940 13.69 31 0.5036 % 3,136.8
FixedReset Disc 5.38 % 6.82 % 141,935 12.70 62 0.1518 % 2,669.9
Insurance Straight 5.79 % 5.91 % 66,036 13.94 21 0.8236 % 3,125.2
FloatingReset 8.72 % 8.69 % 25,426 10.61 3 -0.4162 % 2,768.6
FixedReset Prem 6.72 % 5.76 % 233,920 12.07 5 -0.1239 % 2,563.5
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 0.1518 % 2,729.2
FixedReset Ins Non 5.22 % 6.21 % 106,183 13.78 14 0.4722 % 2,813.6
Performance Highlights
Issue Index Change Notes
BN.PF.G FixedReset Disc -17.28 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-23
Maturity Price : 15.80
Evaluated at bid price : 15.80
Bid-YTW : 9.11 %
MFC.PR.F FixedReset Ins Non -4.62 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-23
Maturity Price : 15.50
Evaluated at bid price : 15.50
Bid-YTW : 6.72 %
IFC.PR.A FixedReset Ins Non -2.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-23
Maturity Price : 18.70
Evaluated at bid price : 18.70
Bid-YTW : 6.48 %
BN.PF.D Perpetual-Discount 1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-23
Maturity Price : 19.86
Evaluated at bid price : 19.86
Bid-YTW : 6.28 %
BN.PF.I FixedReset Disc 1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-23
Maturity Price : 22.91
Evaluated at bid price : 23.75
Bid-YTW : 7.02 %
BIP.PR.B FixedReset Disc 1.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-23
Maturity Price : 24.12
Evaluated at bid price : 24.50
Bid-YTW : 7.60 %
ENB.PF.K FixedReset Disc 1.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-23
Maturity Price : 22.79
Evaluated at bid price : 23.75
Bid-YTW : 6.51 %
FTS.PR.J Perpetual-Discount 1.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-23
Maturity Price : 20.71
Evaluated at bid price : 20.71
Bid-YTW : 5.77 %
PWF.PR.T FixedReset Disc 1.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-23
Maturity Price : 21.78
Evaluated at bid price : 22.17
Bid-YTW : 6.19 %
MFC.PR.I FixedReset Ins Non 1.32 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-23
Maturity Price : 23.24
Evaluated at bid price : 24.65
Bid-YTW : 5.92 %
ENB.PR.F FixedReset Disc 1.35 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-23
Maturity Price : 18.80
Evaluated at bid price : 18.80
Bid-YTW : 7.40 %
BN.PF.B FixedReset Disc 1.45 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-23
Maturity Price : 21.34
Evaluated at bid price : 21.63
Bid-YTW : 6.82 %
FFH.PR.E FixedReset Disc 1.57 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-23
Maturity Price : 17.50
Evaluated at bid price : 17.50
Bid-YTW : 7.37 %
GWO.PR.I Insurance Straight 1.77 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-23
Maturity Price : 19.60
Evaluated at bid price : 19.60
Bid-YTW : 5.84 %
ENB.PR.A Perpetual-Discount 1.83 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-23
Maturity Price : 22.60
Evaluated at bid price : 22.85
Bid-YTW : 6.04 %
PVS.PR.J SplitShare 1.91 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2028-02-29
Maturity Price : 25.00
Evaluated at bid price : 24.00
Bid-YTW : 5.65 %
ENB.PF.G FixedReset Disc 2.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-23
Maturity Price : 17.67
Evaluated at bid price : 17.67
Bid-YTW : 7.80 %
FFH.PR.K FixedReset Disc 2.18 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-23
Maturity Price : 22.14
Evaluated at bid price : 22.48
Bid-YTW : 7.05 %
SLF.PR.H FixedReset Ins Non 2.42 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-23
Maturity Price : 19.46
Evaluated at bid price : 19.46
Bid-YTW : 6.33 %
GWO.PR.Q Insurance Straight 3.74 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-23
Maturity Price : 21.65
Evaluated at bid price : 21.90
Bid-YTW : 5.97 %
PWF.PR.Z Perpetual-Discount 4.43 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-23
Maturity Price : 21.20
Evaluated at bid price : 21.20
Bid-YTW : 6.15 %
MFC.PR.L FixedReset Ins Non 5.84 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-23
Maturity Price : 22.30
Evaluated at bid price : 23.02
Bid-YTW : 5.78 %
IFC.PR.I Insurance Straight 7.55 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-23
Maturity Price : 23.04
Evaluated at bid price : 23.50
Bid-YTW : 5.82 %
Volume Highlights
Issue Index Shares
Traded		 Notes
BN.PF.E FixedReset Disc 82,199 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-23
Maturity Price : 18.47
Evaluated at bid price : 18.47
Bid-YTW : 7.52 %
SLF.PR.G FixedReset Ins Non 61,084 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-23
Maturity Price : 16.38
Evaluated at bid price : 16.38
Bid-YTW : 6.58 %
ENB.PR.F FixedReset Disc 36,419 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-23
Maturity Price : 18.80
Evaluated at bid price : 18.80
Bid-YTW : 7.40 %
POW.PR.G Perpetual-Discount 34,233 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-23
Maturity Price : 22.63
Evaluated at bid price : 22.88
Bid-YTW : 6.20 %
TD.PF.D FixedReset Disc 31,515 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-23
Maturity Price : 23.27
Evaluated at bid price : 23.84
Bid-YTW : 5.93 %
ENB.PR.T FixedReset Disc 29,426 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-23
Maturity Price : 20.23
Evaluated at bid price : 20.23
Bid-YTW : 7.18 %
There were 66 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
BN.PF.G FixedReset Disc Quote: 15.80 – 19.35
Spot Rate : 3.5500
Average : 1.9865

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-23
Maturity Price : 15.80
Evaluated at bid price : 15.80
Bid-YTW : 9.11 %
ENB.PF.C FixedReset Disc Quote: 17.99 – 19.61
Spot Rate : 1.6200
Average : 0.9259

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-23
Maturity Price : 17.99
Evaluated at bid price : 17.99
Bid-YTW : 7.81 %
GWO.PR.H Insurance Straight Quote: 20.63 – 22.00
Spot Rate : 1.3700
Average : 0.7670

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-23
Maturity Price : 20.63
Evaluated at bid price : 20.63
Bid-YTW : 5.98 %
IFC.PR.E Insurance Straight Quote: 22.46 – 23.64
Spot Rate : 1.1800
Average : 0.7235

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-23
Maturity Price : 22.18
Evaluated at bid price : 22.46
Bid-YTW : 5.87 %
NA.PR.S FixedReset Disc Quote: 25.10 – 26.10
Spot Rate : 1.0000
Average : 0.5517

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-23
Maturity Price : 23.21
Evaluated at bid price : 25.10
Bid-YTW : 5.56 %
MFC.PR.N FixedReset Ins Non Quote: 21.20 – 22.50
Spot Rate : 1.3000
Average : 0.8533

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-23
Maturity Price : 21.20
Evaluated at bid price : 21.20
Bid-YTW : 6.21 %