Category: Market Action

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 %
Market Action

August 22, 2024

The C.D. Howe Institute has taken a very ill-advised leap into bond market commentary with its publication Cancel the RRB Cancellation by William B.P. Robson and Alexandre Laurin. The basic thesis is similar to that of all welfare bums: the goal of government financing policy should be to provide interesting products to investors:

The government’s cancellation of the RRB program means that Canadian savers will have less access to a uniquely valuable tool to protect themselves from inflation. The pension funds and other institutions that invest on individual Canadians’ behalf will lose a key tool to help them deliver on their promises.

To their credit, they acknowledge the liquidity problem with RRBs, but their prescription – basically, mirror the nominal market in terms of term diversification, increase issue sizes – has a major hole in it: it ignores the fact that any dummy can eliminate the excess liquidity premium paid on RRBs, instantly, certainly and cheaply by … issuing nominals instead. Bang. Done. Did.

The case for issuing RRBs in the first place rests on a decomposition of nominal yields into three basic parts (there are, of course, lots more influences, but three will suffice for now):

  • Real Yield
  • Inflation Compensation
  • Inflation Compensation Risk (the risk that you’ll be wrong when assessing how much inflation compensation you need)

The presumed attractiveness of RRBs is that by offering certainty on the Inflation Compensation part, the government can capture the Inflation Compensation Risk part and thereby reduce its financing costs. RRBs are not my field, but I don’t believe that this has ever happened with any such programme anywhere – if I’ve got this wrong, let me know in the comments, and let the BoC in on it too, as they’ll be happy to learn something new.

RRBs cost more to issue due to a liquidity premium on yield relative to nominals. Since the Inflation Compensation Risk Premium does not exist, or cannot be captured, or is captured to such a tiny extent that it’s not measurable, there’s no point in issuing RRBs. QED.

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 -0.0428 % 2,229.5
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.0428 % 4,276.2
Floater 10.03 % 10.29 % 68,958 9.23 2 -0.0428 % 2,464.4
OpRet 0.00 % 0.00 % 0 0.00 0 -1.8018 % 3,507.8
SplitShare 4.74 % 5.60 % 30,638 1.15 4 -1.8018 % 4,189.1
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -1.8018 % 3,268.5
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 -0.2579 % 2,862.2
Perpetual-Discount 6.01 % 6.15 % 56,232 13.66 31 -0.2579 % 3,121.0
FixedReset Disc 5.39 % 6.83 % 138,195 12.63 62 0.1203 % 2,665.9
Insurance Straight 5.84 % 5.94 % 65,626 13.91 21 -0.0067 % 3,099.7
FloatingReset 8.68 % 8.63 % 25,445 10.66 3 0.3132 % 2,780.2
FixedReset Prem 6.71 % 5.75 % 232,079 12.07 5 -0.0310 % 2,566.7
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 0.1203 % 2,725.1
FixedReset Ins Non 5.25 % 6.24 % 103,724 13.74 14 0.0862 % 2,800.4
Performance Highlights
Issue Index Change Notes
PWF.PR.Z Perpetual-Discount -4.25 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-22
Maturity Price : 20.30
Evaluated at bid price : 20.30
Bid-YTW : 6.42 %
MFC.PR.L FixedReset Ins Non -3.33 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-22
Maturity Price : 21.46
Evaluated at bid price : 21.75
Bid-YTW : 6.15 %
PVS.PR.J SplitShare -2.76 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2028-02-29
Maturity Price : 25.00
Evaluated at bid price : 23.55
Bid-YTW : 6.24 %
CU.PR.G Perpetual-Discount -2.58 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-22
Maturity Price : 18.51
Evaluated at bid price : 18.51
Bid-YTW : 6.11 %
BIP.PR.A FixedReset Disc -2.55 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-22
Maturity Price : 21.00
Evaluated at bid price : 21.00
Bid-YTW : 7.74 %
BN.PF.F FixedReset Disc -1.93 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-22
Maturity Price : 19.86
Evaluated at bid price : 19.86
Bid-YTW : 7.50 %
PWF.PF.A Perpetual-Discount -1.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-22
Maturity Price : 18.58
Evaluated at bid price : 18.58
Bid-YTW : 6.13 %
RY.PR.M FixedReset Disc -1.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-22
Maturity Price : 22.92
Evaluated at bid price : 23.40
Bid-YTW : 5.79 %
MIC.PR.A Perpetual-Discount 1.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-22
Maturity Price : 20.60
Evaluated at bid price : 20.60
Bid-YTW : 6.68 %
FFH.PR.D FloatingReset 1.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-22
Maturity Price : 21.83
Evaluated at bid price : 22.10
Bid-YTW : 8.62 %
ENB.PF.C FixedReset Disc 1.35 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-22
Maturity Price : 17.99
Evaluated at bid price : 17.99
Bid-YTW : 7.81 %
BN.PR.X FixedReset Disc 1.48 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-22
Maturity Price : 17.15
Evaluated at bid price : 17.15
Bid-YTW : 7.09 %
IFC.PR.K Insurance Straight 1.77 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-22
Maturity Price : 22.70
Evaluated at bid price : 23.00
Bid-YTW : 5.79 %
BN.PF.H FixedReset Disc 1.84 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-22
Maturity Price : 24.01
Evaluated at bid price : 24.40
Bid-YTW : 7.23 %
BIP.PR.E FixedReset Disc 2.17 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-22
Maturity Price : 22.65
Evaluated at bid price : 23.50
Bid-YTW : 6.65 %
ENB.PF.G FixedReset Disc 2.43 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-22
Maturity Price : 17.30
Evaluated at bid price : 17.30
Bid-YTW : 7.96 %
SLF.PR.H FixedReset Ins Non 5.56 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-22
Maturity Price : 19.00
Evaluated at bid price : 19.00
Bid-YTW : 6.48 %
Volume Highlights
Issue Index Shares
Traded		 Notes
ENB.PR.D FixedReset Disc 155,460 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-22
Maturity Price : 18.12
Evaluated at bid price : 18.12
Bid-YTW : 7.49 %
TD.PF.C FixedReset Disc 108,900 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-22
Maturity Price : 23.15
Evaluated at bid price : 23.96
Bid-YTW : 5.45 %
MFC.PR.I FixedReset Ins Non 95,321 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-22
Maturity Price : 23.11
Evaluated at bid price : 24.33
Bid-YTW : 6.00 %
FTS.PR.M FixedReset Disc 55,500 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-22
Maturity Price : 20.32
Evaluated at bid price : 20.32
Bid-YTW : 6.76 %
MFC.PR.L FixedReset Ins Non 54,700 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-22
Maturity Price : 21.46
Evaluated at bid price : 21.75
Bid-YTW : 6.15 %
TD.PF.A FixedReset Disc 50,700 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-22
Maturity Price : 23.21
Evaluated at bid price : 24.26
Bid-YTW : 5.38 %
There were 14 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
BN.PR.T FixedReset Disc Quote: 16.85 – 18.17
Spot Rate : 1.3200
Average : 0.8011

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-22
Maturity Price : 16.85
Evaluated at bid price : 16.85
Bid-YTW : 7.60 %
NA.PR.W FixedReset Disc Quote: 22.65 – 23.90
Spot Rate : 1.2500
Average : 0.7372

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-22
Maturity Price : 22.05
Evaluated at bid price : 22.65
Bid-YTW : 5.77 %
MFC.PR.L FixedReset Ins Non Quote: 21.75 – 23.01
Spot Rate : 1.2600
Average : 0.8159

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-22
Maturity Price : 21.46
Evaluated at bid price : 21.75
Bid-YTW : 6.15 %
PWF.PR.Z Perpetual-Discount Quote: 20.30 – 21.31
Spot Rate : 1.0100
Average : 0.5922

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-22
Maturity Price : 20.30
Evaluated at bid price : 20.30
Bid-YTW : 6.42 %
CU.PR.I FixedReset Disc Quote: 23.86 – 24.95
Spot Rate : 1.0900
Average : 0.7631

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-22
Maturity Price : 23.39
Evaluated at bid price : 23.86
Bid-YTW : 6.83 %
PVS.PR.J SplitShare Quote: 23.55 – 24.30
Spot Rate : 0.7500
Average : 0.4800

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2028-02-29
Maturity Price : 25.00
Evaluated at bid price : 23.55
Bid-YTW : 6.24 %
Market Action

August 21, 2024

PerpetualDiscounts now yield 6.14%, equivalent to 7.98% interest at the standard equivalency factor of 1.3x. Long corporates yielded 4.90% on 2024-8-9 and since then the closing price of ZLC has changed from 15.31 to 15.52, an increase of 137bp in price, implying a decrease of yields of 11bp (BMO reports a duration of 12.37, but don’t disclose whether this is Macaulay or Modified; I will assume Modified) to 4.79%. Therefore, the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) has narrowed slightly (and perhaps spuriously) to 320bp from the 325bp reported August 14.

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 0.1284 % 2,230.4
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.1284 % 4,278.0
Floater 10.03 % 10.28 % 71,373 9.24 2 0.1284 % 2,465.4
OpRet 0.00 % 0.00 % 0 0.00 0 0.0405 % 3,572.2
SplitShare 4.66 % 5.63 % 29,745 1.14 4 0.0405 % 4,266.0
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0405 % 3,328.5
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 0.3648 % 2,869.6
Perpetual-Discount 6.00 % 6.14 % 56,099 13.67 31 0.3648 % 3,129.1
FixedReset Disc 5.40 % 6.84 % 137,542 12.57 62 0.3529 % 2,662.7
Insurance Straight 5.84 % 5.93 % 66,544 13.94 21 0.1248 % 3,099.9
FloatingReset 8.71 % 8.73 % 25,316 10.58 3 0.4719 % 2,771.5
FixedReset Prem 6.71 % 5.75 % 235,674 12.07 5 -0.3165 % 2,567.5
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 0.3529 % 2,721.8
FixedReset Ins Non 5.25 % 6.18 % 95,951 13.79 14 0.8314 % 2,797.9
Performance Highlights
Issue Index Change Notes
PWF.PR.P FixedReset Disc -2.40 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-21
Maturity Price : 14.66
Evaluated at bid price : 14.66
Bid-YTW : 7.44 %
GWO.PR.Q Insurance Straight -2.27 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-21
Maturity Price : 21.11
Evaluated at bid price : 21.11
Bid-YTW : 6.21 %
BIP.PR.E FixedReset Disc -1.92 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-21
Maturity Price : 22.37
Evaluated at bid price : 23.00
Bid-YTW : 6.81 %
ENB.PF.G FixedReset Disc -1.52 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-21
Maturity Price : 16.89
Evaluated at bid price : 16.89
Bid-YTW : 8.14 %
BN.PF.H FixedReset Disc -1.40 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-21
Maturity Price : 23.52
Evaluated at bid price : 23.96
Bid-YTW : 7.36 %
TD.PF.I FixedReset Prem -1.35 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2027-10-31
Maturity Price : 25.00
Evaluated at bid price : 25.52
Bid-YTW : 5.75 %
CU.PR.D Perpetual-Discount 1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-21
Maturity Price : 20.80
Evaluated at bid price : 20.80
Bid-YTW : 5.92 %
FFH.PR.H FloatingReset 1.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-21
Maturity Price : 18.70
Evaluated at bid price : 18.70
Bid-YTW : 9.41 %
BN.PR.M Perpetual-Discount 1.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-21
Maturity Price : 19.55
Evaluated at bid price : 19.55
Bid-YTW : 6.18 %
GWO.PR.G Insurance Straight 1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-21
Maturity Price : 22.11
Evaluated at bid price : 22.33
Bid-YTW : 5.91 %
FTS.PR.J Perpetual-Discount 1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-21
Maturity Price : 20.36
Evaluated at bid price : 20.36
Bid-YTW : 5.86 %
BN.PF.B FixedReset Disc 1.19 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-21
Maturity Price : 21.20
Evaluated at bid price : 21.20
Bid-YTW : 6.98 %
MFC.PR.Q FixedReset Ins Non 1.21 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-21
Maturity Price : 22.87
Evaluated at bid price : 24.00
Bid-YTW : 5.84 %
CU.PR.G Perpetual-Discount 1.28 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-21
Maturity Price : 19.00
Evaluated at bid price : 19.00
Bid-YTW : 5.95 %
PWF.PR.K Perpetual-Discount 1.45 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-21
Maturity Price : 20.30
Evaluated at bid price : 20.30
Bid-YTW : 6.17 %
BN.PR.X FixedReset Disc 1.99 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-21
Maturity Price : 16.90
Evaluated at bid price : 16.90
Bid-YTW : 7.19 %
BN.PF.A FixedReset Disc 2.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-21
Maturity Price : 22.90
Evaluated at bid price : 24.13
Bid-YTW : 6.42 %
CM.PR.Q FixedReset Disc 2.37 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-21
Maturity Price : 23.23
Evaluated at bid price : 23.80
Bid-YTW : 5.94 %
MFC.PR.F FixedReset Ins Non 2.48 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-21
Maturity Price : 16.25
Evaluated at bid price : 16.25
Bid-YTW : 6.42 %
BIP.PR.A FixedReset Disc 2.62 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-21
Maturity Price : 21.55
Evaluated at bid price : 21.55
Bid-YTW : 7.54 %
CU.PR.C FixedReset Disc 2.64 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-21
Maturity Price : 20.22
Evaluated at bid price : 20.22
Bid-YTW : 6.68 %
BN.PR.Z FixedReset Disc 3.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-21
Maturity Price : 21.48
Evaluated at bid price : 21.84
Bid-YTW : 6.99 %
BN.PF.G FixedReset Disc 4.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-21
Maturity Price : 19.10
Evaluated at bid price : 19.10
Bid-YTW : 7.54 %
BN.PF.E FixedReset Disc 5.66 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-21
Maturity Price : 18.28
Evaluated at bid price : 18.28
Bid-YTW : 7.60 %
SLF.PR.H FixedReset Ins Non 22.70 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-21
Maturity Price : 18.00
Evaluated at bid price : 18.00
Bid-YTW : 6.83 %
Volume Highlights
Issue Index Shares
Traded		 Notes
BMO.PR.T FixedReset Disc 216,194 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-21
Maturity Price : 23.91
Evaluated at bid price : 24.97
Bid-YTW : 5.23 %
PWF.PR.S Perpetual-Discount 206,000 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-21
Maturity Price : 19.74
Evaluated at bid price : 19.74
Bid-YTW : 6.15 %
MFC.PR.N FixedReset Ins Non 102,500 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-21
Maturity Price : 21.28
Evaluated at bid price : 21.28
Bid-YTW : 6.18 %
SLF.PR.G FixedReset Ins Non 101,000 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-21
Maturity Price : 16.21
Evaluated at bid price : 16.21
Bid-YTW : 6.65 %
CU.PR.C FixedReset Disc 100,000 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-21
Maturity Price : 20.22
Evaluated at bid price : 20.22
Bid-YTW : 6.68 %
RY.PR.J FixedReset Disc 65,500 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-21
Maturity Price : 23.33
Evaluated at bid price : 23.97
Bid-YTW : 5.87 %
There were 25 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
BN.PF.H FixedReset Disc Quote: 23.96 – 25.00
Spot Rate : 1.0400
Average : 0.6496

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-21
Maturity Price : 23.52
Evaluated at bid price : 23.96
Bid-YTW : 7.36 %
CU.PR.E Perpetual-Discount Quote: 20.79 – 21.75
Spot Rate : 0.9600
Average : 0.5703

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-21
Maturity Price : 20.79
Evaluated at bid price : 20.79
Bid-YTW : 5.92 %
MFC.PR.F FixedReset Ins Non Quote: 16.25 – 17.43
Spot Rate : 1.1800
Average : 0.8056

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-21
Maturity Price : 16.25
Evaluated at bid price : 16.25
Bid-YTW : 6.42 %
GWO.PR.Q Insurance Straight Quote: 21.11 – 21.98
Spot Rate : 0.8700
Average : 0.5856

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-21
Maturity Price : 21.11
Evaluated at bid price : 21.11
Bid-YTW : 6.21 %
BN.PR.Z FixedReset Disc Quote: 21.84 – 22.75
Spot Rate : 0.9100
Average : 0.6638

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-21
Maturity Price : 21.48
Evaluated at bid price : 21.84
Bid-YTW : 6.99 %
IFC.PR.C FixedReset Ins Non Quote: 21.10 – 22.50
Spot Rate : 1.4000
Average : 1.1571

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-21
Maturity Price : 21.10
Evaluated at bid price : 21.10
Bid-YTW : 6.43 %

Addendum (see comments):