Category: Market Action

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):

Market Action

August 20, 2024

So, Canadian inflation fell:

Canada’s headline inflation rate is continuing to slow, bringing consumer price growth closer to the Bank of Canada’s 2-per-cent target.

The Consumer Price Index rose at an annual rate of 2.5 per cent in July, down from 2.7 per cent in June, Statistics Canada said Tuesday. It was the lowest inflation rate since March, 2021, and matched analyst expectations.

Statscan said the deceleration was broad-based, with price declines seen for travel tours, cars and electricity. Adjusted for seasonality, consumer prices rose 0.3 per cent in July.

While shelter is a financial headwind for many households, those costs are moderating slightly. They rose at an annual 5.7 per cent in July, down from 6.2 per cent in June. Mortgage interest costs were up 21 per cent from a year ago, although this is slower than peak increases of roughly 30 per cent.

… and the markets are expecting steady cuts in the policy rate:


2024-8-19, ‘Late in day’

Post Inflation Announcement
HIMIPref™ Preferred Indices
These values reflect the December 2008 revision of the HIMIPref™ Indices
Values are provisional and are finalized monthly
Index Mean
Current
Yield
(at bid)		 Median
YTW		 Median
Average
Trading
Value		 Median
Mod Dur
(YTW)		 Issues Day’s Perf. Index Value
Ratchet 0.00 % 0.00 % 0 0.00 0 0.2575 % 2,227.6
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.2575 % 4,272.5
Floater 10.04 % 10.30 % 33,845 9.23 2 0.2575 % 2,462.3
OpRet 0.00 % 0.00 % 0 0.00 0 -0.2021 % 3,570.7
SplitShare 4.66 % 5.62 % 29,995 1.14 4 -0.2021 % 4,264.2
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.2021 % 3,327.1
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 0.0409 % 2,859.1
Perpetual-Discount 6.02 % 6.15 % 54,448 13.66 31 0.0409 % 3,117.7
FixedReset Disc 5.42 % 6.85 % 137,515 12.63 62 -0.0978 % 2,653.3
Insurance Straight 5.85 % 5.97 % 67,491 13.86 21 0.0959 % 3,096.0
FloatingReset 8.75 % 8.75 % 24,805 10.56 3 0.0350 % 2,758.5
FixedReset Prem 6.69 % 5.68 % 236,503 12.06 5 0.4497 % 2,575.7
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 -0.0978 % 2,712.2
FixedReset Ins Non 5.29 % 6.22 % 98,318 13.57 14 -1.0805 % 2,774.9
Performance Highlights
Issue Index Change Notes
SLF.PR.H FixedReset Ins Non -24.96 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-20
Maturity Price : 14.67
Evaluated at bid price : 14.67
Bid-YTW : 8.32 %
BN.PF.E FixedReset Disc -5.72 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-20
Maturity Price : 17.30
Evaluated at bid price : 17.30
Bid-YTW : 8.03 %
BIP.PR.A FixedReset Disc -3.45 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-20
Maturity Price : 21.00
Evaluated at bid price : 21.00
Bid-YTW : 7.73 %
CM.PR.Q FixedReset Disc -2.92 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-20
Maturity Price : 22.70
Evaluated at bid price : 23.25
Bid-YTW : 6.08 %
CU.PR.C FixedReset Disc -2.81 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-20
Maturity Price : 19.70
Evaluated at bid price : 19.70
Bid-YTW : 6.85 %
PWF.PR.K Perpetual-Discount -1.72 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-20
Maturity Price : 20.01
Evaluated at bid price : 20.01
Bid-YTW : 6.26 %
BN.PF.B FixedReset Disc -1.50 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-20
Maturity Price : 20.95
Evaluated at bid price : 20.95
Bid-YTW : 7.06 %
BN.PR.Z FixedReset Disc -1.40 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-20
Maturity Price : 21.20
Evaluated at bid price : 21.20
Bid-YTW : 7.22 %
CU.PR.J Perpetual-Discount -1.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-20
Maturity Price : 20.00
Evaluated at bid price : 20.00
Bid-YTW : 5.97 %
PWF.PR.Z Perpetual-Discount 1.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-20
Maturity Price : 21.15
Evaluated at bid price : 21.15
Bid-YTW : 6.16 %
MFC.PR.Q FixedReset Ins Non 1.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-20
Maturity Price : 22.91
Evaluated at bid price : 24.08
Bid-YTW : 5.93 %
FTS.PR.M FixedReset Disc 1.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-20
Maturity Price : 20.15
Evaluated at bid price : 20.15
Bid-YTW : 6.81 %
NA.PR.E FixedReset Disc 1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-20
Maturity Price : 23.17
Evaluated at bid price : 24.70
Bid-YTW : 5.68 %
BN.PF.H FixedReset Disc 1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-20
Maturity Price : 23.89
Evaluated at bid price : 24.30
Bid-YTW : 7.26 %
MFC.PR.M FixedReset Ins Non 1.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-20
Maturity Price : 21.43
Evaluated at bid price : 21.43
Bid-YTW : 6.32 %
TD.PF.I FixedReset Prem 1.37 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2027-10-31
Maturity Price : 25.00
Evaluated at bid price : 25.87
Bid-YTW : 5.26 %
BN.PF.I FixedReset Disc 1.42 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-20
Maturity Price : 22.85
Evaluated at bid price : 23.63
Bid-YTW : 7.05 %
FTS.PR.K FixedReset Disc 1.45 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-20
Maturity Price : 20.02
Evaluated at bid price : 20.02
Bid-YTW : 6.51 %
FTS.PR.H FixedReset Disc 1.58 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-20
Maturity Price : 14.98
Evaluated at bid price : 14.98
Bid-YTW : 7.23 %
CU.PR.F Perpetual-Discount 1.66 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-20
Maturity Price : 19.01
Evaluated at bid price : 19.01
Bid-YTW : 5.95 %
PWF.PR.P FixedReset Disc 2.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-20
Maturity Price : 15.02
Evaluated at bid price : 15.02
Bid-YTW : 7.27 %
IFC.PR.A FixedReset Ins Non 2.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-20
Maturity Price : 19.10
Evaluated at bid price : 19.10
Bid-YTW : 6.34 %
POW.PR.C Perpetual-Discount 2.39 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-20
Maturity Price : 23.69
Evaluated at bid price : 23.96
Bid-YTW : 6.13 %
Volume Highlights
Issue Index Shares
Traded		 Notes
ENB.PR.D FixedReset Disc 131,478 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-20
Maturity Price : 18.01
Evaluated at bid price : 18.01
Bid-YTW : 7.53 %
TD.PF.I FixedReset Prem 86,892 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2027-10-31
Maturity Price : 25.00
Evaluated at bid price : 25.87
Bid-YTW : 5.26 %
MFC.PR.F FixedReset Ins Non 76,949 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-20
Maturity Price : 16.00
Evaluated at bid price : 16.00
Bid-YTW : 6.58 %
ENB.PR.B FixedReset Disc 57,003 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-20
Maturity Price : 17.57
Evaluated at bid price : 17.57
Bid-YTW : 7.69 %
MFC.PR.M FixedReset Ins Non 55,400 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-20
Maturity Price : 21.43
Evaluated at bid price : 21.43
Bid-YTW : 6.32 %
ENB.PR.F FixedReset Disc 54,672 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-20
Maturity Price : 18.49
Evaluated at bid price : 18.49
Bid-YTW : 7.52 %
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: 14.67 – 20.35
Spot Rate : 5.6800
Average : 4.2633

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-20
Maturity Price : 14.67
Evaluated at bid price : 14.67
Bid-YTW : 8.32 %
IFC.PR.C FixedReset Ins Non Quote: 21.00 – 22.50
Spot Rate : 1.5000
Average : 0.8907

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-20
Maturity Price : 21.00
Evaluated at bid price : 21.00
Bid-YTW : 6.46 %
BIP.PR.A FixedReset Disc Quote: 21.00 – 22.60
Spot Rate : 1.6000
Average : 1.1773

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-20
Maturity Price : 21.00
Evaluated at bid price : 21.00
Bid-YTW : 7.73 %
GWO.PR.S Insurance Straight Quote: 21.80 – 22.67
Spot Rate : 0.8700
Average : 0.5030

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-20
Maturity Price : 21.54
Evaluated at bid price : 21.80
Bid-YTW : 6.11 %
CM.PR.Q FixedReset Disc Quote: 23.25 – 24.00
Spot Rate : 0.7500
Average : 0.4928

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-20
Maturity Price : 22.70
Evaluated at bid price : 23.25
Bid-YTW : 6.08 %
BN.PF.E FixedReset Disc Quote: 17.30 – 18.35
Spot Rate : 1.0500
Average : 0.8211

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-20
Maturity Price : 17.30
Evaluated at bid price : 17.30
Bid-YTW : 8.03 %
Market Action

August 19, 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 -0.0858 % 2,221.9
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.0858 % 4,261.5
Floater 10.06 % 10.29 % 31,340 9.24 2 -0.0858 % 2,455.9
OpRet 0.00 % 0.00 % 0 0.00 0 0.7740 % 3,578.0
SplitShare 4.65 % 5.61 % 29,901 1.15 4 0.7740 % 4,272.9
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.7740 % 3,333.9
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 0.5834 % 2,858.0
Perpetual-Discount 6.02 % 6.15 % 56,612 13.66 31 0.5834 % 3,116.5
FixedReset Disc 5.41 % 6.84 % 136,278 12.57 62 0.4685 % 2,655.9
Insurance Straight 5.85 % 5.99 % 66,268 13.85 21 0.4887 % 3,093.1
FloatingReset 8.75 % 8.74 % 24,676 10.57 3 0.1576 % 2,757.5
FixedReset Prem 6.72 % 5.74 % 233,858 12.07 5 -0.0078 % 2,564.1
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 0.4685 % 2,714.9
FixedReset Ins Non 5.24 % 6.25 % 101,508 13.54 14 1.7435 % 2,805.2
Performance Highlights
Issue Index Change Notes
POW.PR.C Perpetual-Discount -1.89 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-19
Maturity Price : 23.14
Evaluated at bid price : 23.40
Bid-YTW : 6.28 %
MFC.PR.F FixedReset Ins Non -1.54 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-19
Maturity Price : 16.00
Evaluated at bid price : 16.00
Bid-YTW : 6.58 %
TD.PF.I FixedReset Prem -1.20 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2027-10-31
Maturity Price : 25.00
Evaluated at bid price : 25.52
Bid-YTW : 5.74 %
BN.PF.A FixedReset Disc 1.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-19
Maturity Price : 22.63
Evaluated at bid price : 23.55
Bid-YTW : 6.60 %
NA.PR.S FixedReset Disc 1.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-19
Maturity Price : 23.17
Evaluated at bid price : 24.98
Bid-YTW : 5.58 %
BN.PF.J FixedReset Disc 1.19 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-19
Maturity Price : 22.81
Evaluated at bid price : 23.75
Bid-YTW : 6.54 %
CCS.PR.C Insurance Straight 1.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-19
Maturity Price : 20.75
Evaluated at bid price : 20.75
Bid-YTW : 6.13 %
BN.PF.F FixedReset Disc 1.31 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-19
Maturity Price : 20.12
Evaluated at bid price : 20.12
Bid-YTW : 7.40 %
CU.PR.G Perpetual-Discount 1.51 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-19
Maturity Price : 18.79
Evaluated at bid price : 18.79
Bid-YTW : 6.02 %
BN.PF.G FixedReset Disc 1.65 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-19
Maturity Price : 18.50
Evaluated at bid price : 18.50
Bid-YTW : 7.78 %
BN.PR.X FixedReset Disc 1.85 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-19
Maturity Price : 16.55
Evaluated at bid price : 16.55
Bid-YTW : 7.34 %
CU.PR.C FixedReset Disc 1.86 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-19
Maturity Price : 20.27
Evaluated at bid price : 20.27
Bid-YTW : 6.66 %
ENB.PF.G FixedReset Disc 2.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-19
Maturity Price : 17.25
Evaluated at bid price : 17.25
Bid-YTW : 7.97 %
PVS.PR.J SplitShare 2.30 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2028-02-29
Maturity Price : 25.00
Evaluated at bid price : 24.50
Bid-YTW : 5.34 %
IFC.PR.K Insurance Straight 4.60 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-19
Maturity Price : 22.36
Evaluated at bid price : 22.75
Bid-YTW : 5.85 %
BN.PF.E FixedReset Disc 6.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-19
Maturity Price : 18.35
Evaluated at bid price : 18.35
Bid-YTW : 7.56 %
CU.PR.J Perpetual-Discount 13.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-19
Maturity Price : 20.25
Evaluated at bid price : 20.25
Bid-YTW : 5.89 %
SLF.PR.H FixedReset Ins Non 33.27 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-19
Maturity Price : 19.55
Evaluated at bid price : 19.55
Bid-YTW : 6.30 %
Volume Highlights
Issue Index Shares
Traded		 Notes
BMO.PR.T FixedReset Disc 457,000 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-19
Maturity Price : 23.92
Evaluated at bid price : 24.96
Bid-YTW : 5.23 %
BN.PF.D Perpetual-Discount 114,000 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-19
Maturity Price : 19.70
Evaluated at bid price : 19.70
Bid-YTW : 6.33 %
MFC.PR.N FixedReset Ins Non 50,100 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-19
Maturity Price : 21.30
Evaluated at bid price : 21.30
Bid-YTW : 6.25 %
GWO.PR.S Insurance Straight 47,200 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-19
Maturity Price : 21.59
Evaluated at bid price : 21.85
Bid-YTW : 6.10 %
PWF.PR.H Perpetual-Discount 46,900 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-19
Maturity Price : 23.09
Evaluated at bid price : 23.35
Bid-YTW : 6.21 %
GWO.PR.Y Insurance Straight 32,000 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-19
Maturity Price : 19.25
Evaluated at bid price : 19.25
Bid-YTW : 5.94 %
There were 15 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
BIK.PR.A FixedReset Prem Quote: 25.50 – 26.50
Spot Rate : 1.0000
Average : 0.6240

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-19
Maturity Price : 23.35
Evaluated at bid price : 25.50
Bid-YTW : 7.04 %
PVS.PR.K SplitShare Quote: 24.30 – 25.20
Spot Rate : 0.9000
Average : 0.5289

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2029-05-31
Maturity Price : 25.00
Evaluated at bid price : 24.30
Bid-YTW : 5.37 %
GWO.PR.N FixedReset Ins Non Quote: 14.20 – 15.65
Spot Rate : 1.4500
Average : 1.1492

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-19
Maturity Price : 14.20
Evaluated at bid price : 14.20
Bid-YTW : 7.21 %
IFC.PR.I Insurance Straight Quote: 21.85 – 23.39
Spot Rate : 1.5400
Average : 1.2769

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-19
Maturity Price : 21.55
Evaluated at bid price : 21.85
Bid-YTW : 6.27 %
BN.PF.I FixedReset Disc Quote: 23.30 – 23.75
Spot Rate : 0.4500
Average : 0.2885

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-19
Maturity Price : 22.67
Evaluated at bid price : 23.30
Bid-YTW : 7.16 %
FTS.PR.M FixedReset Disc Quote: 20.19 – 20.64
Spot Rate : 0.4500
Average : 0.2922

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-19
Maturity Price : 20.19
Evaluated at bid price : 20.19
Bid-YTW : 6.90 %
Market Action

August 16, 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 0.0429 % 2,223.8
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.0429 % 4,265.2
Floater 10.06 % 10.30 % 29,019 9.24 2 0.0429 % 2,458.0
OpRet 0.00 % 0.00 % 0 0.00 0 0.0306 % 3,550.5
SplitShare 4.68 % 6.04 % 30,844 1.15 4 0.0306 % 4,240.0
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0306 % 3,308.3
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 -0.1035 % 2,841.4
Perpetual-Discount 6.06 % 6.16 % 54,840 13.63 31 -0.1035 % 3,098.4
FixedReset Disc 5.44 % 6.89 % 143,703 12.53 62 0.1427 % 2,643.5
Insurance Straight 5.88 % 6.04 % 62,688 13.80 21 -0.2750 % 3,078.0
FloatingReset 8.83 % 8.78 % 24,843 10.54 3 0.1754 % 2,753.2
FixedReset Prem 6.72 % 5.73 % 237,513 12.06 5 -0.3861 % 2,564.3
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 0.1427 % 2,702.2
FixedReset Ins Non 5.33 % 6.27 % 105,674 13.47 14 0.8260 % 2,757.1
Performance Highlights
Issue Index Change Notes
CU.PR.J Perpetual-Discount -9.82 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-16
Maturity Price : 17.90
Evaluated at bid price : 17.90
Bid-YTW : 6.67 %
IFC.PR.I Insurance Straight -5.62 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-16
Maturity Price : 21.54
Evaluated at bid price : 21.85
Bid-YTW : 6.27 %
IFC.PR.K Insurance Straight -4.40 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-16
Maturity Price : 21.42
Evaluated at bid price : 21.75
Bid-YTW : 6.12 %
BN.PF.G FixedReset Disc -3.65 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-16
Maturity Price : 18.20
Evaluated at bid price : 18.20
Bid-YTW : 7.94 %
TD.PF.E FixedReset Disc -1.46 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-16
Maturity Price : 23.06
Evaluated at bid price : 23.56
Bid-YTW : 6.06 %
FTS.PR.J Perpetual-Discount -1.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-16
Maturity Price : 20.25
Evaluated at bid price : 20.25
Bid-YTW : 6.00 %
CU.PR.H Perpetual-Discount -1.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-16
Maturity Price : 21.34
Evaluated at bid price : 21.61
Bid-YTW : 6.09 %
MFC.PR.L FixedReset Ins Non 1.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-16
Maturity Price : 22.11
Evaluated at bid price : 22.70
Bid-YTW : 6.00 %
ENB.PF.C FixedReset Disc 1.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-16
Maturity Price : 17.75
Evaluated at bid price : 17.75
Bid-YTW : 7.94 %
BN.PF.J FixedReset Disc 1.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-16
Maturity Price : 22.66
Evaluated at bid price : 23.47
Bid-YTW : 6.64 %
IFC.PR.C FixedReset Ins Non 1.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-16
Maturity Price : 20.80
Evaluated at bid price : 20.80
Bid-YTW : 6.54 %
RY.PR.N Perpetual-Discount 1.26 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-16
Maturity Price : 23.95
Evaluated at bid price : 24.20
Bid-YTW : 5.07 %
BN.PR.Z FixedReset Disc 1.37 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-16
Maturity Price : 21.49
Evaluated at bid price : 21.49
Bid-YTW : 7.14 %
PWF.PR.K Perpetual-Discount 1.40 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-16
Maturity Price : 20.33
Evaluated at bid price : 20.33
Bid-YTW : 6.15 %
CU.PR.D Perpetual-Discount 1.44 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-16
Maturity Price : 20.45
Evaluated at bid price : 20.45
Bid-YTW : 6.02 %
SLF.PR.C Insurance Straight 1.45 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-16
Maturity Price : 20.29
Evaluated at bid price : 20.29
Bid-YTW : 5.57 %
MFC.PR.Q FixedReset Ins Non 1.58 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-16
Maturity Price : 22.79
Evaluated at bid price : 23.82
Bid-YTW : 6.02 %
ENB.PR.B FixedReset Disc 1.63 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-16
Maturity Price : 17.45
Evaluated at bid price : 17.45
Bid-YTW : 7.77 %
GWO.PR.Q Insurance Straight 1.85 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-16
Maturity Price : 21.50
Evaluated at bid price : 21.50
Bid-YTW : 6.09 %
MFC.PR.N FixedReset Ins Non 2.55 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-16
Maturity Price : 21.33
Evaluated at bid price : 21.33
Bid-YTW : 6.27 %
ENB.PF.E FixedReset Disc 3.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-16
Maturity Price : 17.70
Evaluated at bid price : 17.70
Bid-YTW : 7.86 %
MFC.PR.F FixedReset Ins Non 4.84 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-16
Maturity Price : 16.25
Evaluated at bid price : 16.25
Bid-YTW : 6.52 %
Volume Highlights
Issue Index Shares
Traded		 Notes
BMO.PR.T FixedReset Disc 230,700 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-16
Maturity Price : 23.95
Evaluated at bid price : 24.96
Bid-YTW : 5.26 %
BN.PR.N Perpetual-Discount 75,030 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-16
Maturity Price : 19.40
Evaluated at bid price : 19.40
Bid-YTW : 6.23 %
SLF.PR.G FixedReset Ins Non 70,000 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-16
Maturity Price : 16.16
Evaluated at bid price : 16.16
Bid-YTW : 6.70 %
FTS.PR.M FixedReset Disc 68,999 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-16
Maturity Price : 20.05
Evaluated at bid price : 20.05
Bid-YTW : 6.98 %
FTS.PR.K FixedReset Disc 54,950 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-16
Maturity Price : 20.00
Evaluated at bid price : 20.00
Bid-YTW : 6.67 %
BIP.PR.E FixedReset Disc 50,000 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-16
Maturity Price : 22.54
Evaluated at bid price : 23.30
Bid-YTW : 6.73 %
There were 20 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
CU.PR.J Perpetual-Discount Quote: 17.90 – 20.30
Spot Rate : 2.4000
Average : 1.4626

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-16
Maturity Price : 17.90
Evaluated at bid price : 17.90
Bid-YTW : 6.67 %
IFC.PR.I Insurance Straight Quote: 21.85 – 23.45
Spot Rate : 1.6000
Average : 0.9884

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-16
Maturity Price : 21.54
Evaluated at bid price : 21.85
Bid-YTW : 6.27 %
SLF.PR.H FixedReset Ins Non Quote: 14.67 – 19.99
Spot Rate : 5.3200
Average : 4.8041

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-16
Maturity Price : 14.67
Evaluated at bid price : 14.67
Bid-YTW : 8.36 %
IFC.PR.K Insurance Straight Quote: 21.75 – 23.70
Spot Rate : 1.9500
Average : 1.4462

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-16
Maturity Price : 21.42
Evaluated at bid price : 21.75
Bid-YTW : 6.12 %
BN.PF.G FixedReset Disc Quote: 18.20 – 19.23
Spot Rate : 1.0300
Average : 0.6555

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-16
Maturity Price : 18.20
Evaluated at bid price : 18.20
Bid-YTW : 7.94 %
BIP.PR.A FixedReset Disc Quote: 21.65 – 22.50
Spot Rate : 0.8500
Average : 0.5643

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-16
Maturity Price : 21.36
Evaluated at bid price : 21.65
Bid-YTW : 7.51 %
Market Action

August 15, 2024

HIMIPref™ Preferred Indices
These values reflect the December 2008 revision of the HIMIPref™ Indices
Values are provisional and are finalized monthly
Index Mean
Current
Yield
(at bid)		 Median
YTW		 Median
Average
Trading
Value		 Median
Mod Dur
(YTW)		 Issues Day’s Perf. Index Value
Ratchet 0.00 % 0.00 % 0 0.00 0 1.4802 % 2,222.8
FixedFloater 0.00 % 0.00 % 0 0.00 0 1.4802 % 4,263.4
Floater 10.06 % 10.28 % 76,391 9.26 2 1.4802 % 2,457.0
OpRet 0.00 % 0.00 % 0 0.00 0 -0.2236 % 3,549.4
SplitShare 4.69 % 6.01 % 31,167 1.16 4 -0.2236 % 4,238.8
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.2236 % 3,307.2
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 0.0731 % 2,844.3
Perpetual-Discount 6.05 % 6.17 % 57,038 13.62 31 0.0731 % 3,101.6
FixedReset Disc 5.45 % 6.88 % 138,392 12.49 62 -0.0808 % 2,639.8
Insurance Straight 5.87 % 6.01 % 63,247 13.82 21 0.0940 % 3,086.5
FloatingReset 8.85 % 8.82 % 25,878 10.50 3 0.9743 % 2,748.3
FixedReset Prem 6.69 % 5.71 % 245,610 12.07 5 0.5435 % 2,574.3
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 -0.0808 % 2,698.4
FixedReset Ins Non 5.37 % 6.41 % 107,357 13.38 14 -0.0705 % 2,734.5
Performance Highlights
Issue Index Change Notes
MFC.PR.N FixedReset Ins Non -1.84 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-15
Maturity Price : 20.80
Evaluated at bid price : 20.80
Bid-YTW : 6.43 %
BIP.PR.B FixedReset Disc -1.66 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-15
Maturity Price : 23.84
Evaluated at bid price : 24.25
Bid-YTW : 7.69 %
PWF.PR.K Perpetual-Discount -1.47 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-15
Maturity Price : 20.05
Evaluated at bid price : 20.05
Bid-YTW : 6.24 %
ENB.PF.G FixedReset Disc -1.45 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-15
Maturity Price : 17.06
Evaluated at bid price : 17.06
Bid-YTW : 8.09 %
SLF.PR.C Insurance Straight -1.43 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-15
Maturity Price : 20.00
Evaluated at bid price : 20.00
Bid-YTW : 5.65 %
BN.PF.D Perpetual-Discount -1.37 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-15
Maturity Price : 19.47
Evaluated at bid price : 19.47
Bid-YTW : 6.40 %
CU.PR.D Perpetual-Discount -1.32 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-15
Maturity Price : 20.16
Evaluated at bid price : 20.16
Bid-YTW : 6.10 %
MFC.PR.Q FixedReset Ins Non -1.26 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-15
Maturity Price : 22.60
Evaluated at bid price : 23.45
Bid-YTW : 6.13 %
GWO.PR.G Insurance Straight -1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-15
Maturity Price : 21.72
Evaluated at bid price : 21.97
Bid-YTW : 6.00 %
ENB.PR.N FixedReset Disc 1.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-15
Maturity Price : 21.35
Evaluated at bid price : 21.35
Bid-YTW : 7.04 %
ENB.PR.H FixedReset Disc 1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-15
Maturity Price : 19.27
Evaluated at bid price : 19.27
Bid-YTW : 7.07 %
ENB.PR.P FixedReset Disc 1.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-15
Maturity Price : 19.10
Evaluated at bid price : 19.10
Bid-YTW : 7.45 %
PWF.PR.G Perpetual-Discount 1.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-15
Maturity Price : 23.37
Evaluated at bid price : 23.66
Bid-YTW : 6.29 %
ENB.PR.T FixedReset Disc 1.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-15
Maturity Price : 20.03
Evaluated at bid price : 20.03
Bid-YTW : 7.27 %
ENB.PR.J FixedReset Disc 1.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-15
Maturity Price : 19.30
Evaluated at bid price : 19.30
Bid-YTW : 7.46 %
BN.PR.T FixedReset Disc 1.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-15
Maturity Price : 16.60
Evaluated at bid price : 16.60
Bid-YTW : 7.74 %
ENB.PF.C FixedReset Disc 1.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-15
Maturity Price : 17.55
Evaluated at bid price : 17.55
Bid-YTW : 8.03 %
TD.PF.I FixedReset Prem 1.25 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2027-10-31
Maturity Price : 25.00
Evaluated at bid price : 25.84
Bid-YTW : 5.28 %
MFC.PR.F FixedReset Ins Non 1.31 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-15
Maturity Price : 15.50
Evaluated at bid price : 15.50
Bid-YTW : 6.82 %
IFC.PR.F Insurance Straight 1.36 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-15
Maturity Price : 22.11
Evaluated at bid price : 22.36
Bid-YTW : 6.01 %
FFH.PR.E FixedReset Disc 1.37 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-15
Maturity Price : 16.96
Evaluated at bid price : 16.96
Bid-YTW : 7.63 %
FFH.PR.G FixedReset Disc 1.45 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-15
Maturity Price : 17.55
Evaluated at bid price : 17.55
Bid-YTW : 7.75 %
PWF.PR.F Perpetual-Discount 1.46 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-15
Maturity Price : 21.50
Evaluated at bid price : 21.50
Bid-YTW : 6.17 %
ENB.PR.A Perpetual-Discount 1.53 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-15
Maturity Price : 22.22
Evaluated at bid price : 22.50
Bid-YTW : 6.12 %
FFH.PR.K FixedReset Disc 1.57 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-15
Maturity Price : 21.55
Evaluated at bid price : 21.94
Bid-YTW : 7.24 %
FFH.PR.I FixedReset Disc 1.65 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-15
Maturity Price : 18.50
Evaluated at bid price : 18.50
Bid-YTW : 7.70 %
MIC.PR.A Perpetual-Discount 1.85 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-15
Maturity Price : 20.37
Evaluated at bid price : 20.37
Bid-YTW : 6.75 %
BN.PR.B Floater 2.18 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-15
Maturity Price : 11.70
Evaluated at bid price : 11.70
Bid-YTW : 10.28 %
FFH.PR.D FloatingReset 2.35 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-15
Maturity Price : 21.80
Evaluated at bid price : 21.80
Bid-YTW : 8.80 %
Volume Highlights
Issue Index Shares
Traded		 Notes
ENB.PR.N FixedReset Disc 124,700 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-15
Maturity Price : 21.35
Evaluated at bid price : 21.35
Bid-YTW : 7.04 %
ENB.PR.D FixedReset Disc 65,910 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-15
Maturity Price : 17.95
Evaluated at bid price : 17.95
Bid-YTW : 7.58 %
FTS.PR.G FixedReset Disc 57,459 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-15
Maturity Price : 21.41
Evaluated at bid price : 21.74
Bid-YTW : 6.38 %
CM.PR.S FixedReset Disc 51,099 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-15
Maturity Price : 24.95
Evaluated at bid price : 24.95
Bid-YTW : 5.64 %
FTS.PR.M FixedReset Disc 49,069 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-15
Maturity Price : 19.87
Evaluated at bid price : 19.87
Bid-YTW : 7.04 %
ENB.PR.F FixedReset Disc 48,601 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-15
Maturity Price : 18.25
Evaluated at bid price : 18.25
Bid-YTW : 7.64 %
There were 21 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: 14.67 – 20.35
Spot Rate : 5.6800
Average : 4.2385

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-15
Maturity Price : 14.67
Evaluated at bid price : 14.67
Bid-YTW : 8.35 %
GWO.PR.N FixedReset Ins Non Quote: 14.19 – 15.65
Spot Rate : 1.4600
Average : 0.9502

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-15
Maturity Price : 14.19
Evaluated at bid price : 14.19
Bid-YTW : 7.26 %
PVS.PR.I SplitShare Quote: 24.94 – 25.94
Spot Rate : 1.0000
Average : 0.5537

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-10-31
Maturity Price : 25.00
Evaluated at bid price : 24.94
Bid-YTW : 5.77 %
CU.PR.I FixedReset Disc Quote: 23.75 – 24.95
Spot Rate : 1.2000
Average : 0.8155

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-15
Maturity Price : 23.28
Evaluated at bid price : 23.75
Bid-YTW : 6.88 %
POW.PR.C Perpetual-Discount Quote: 23.87 – 24.95
Spot Rate : 1.0800
Average : 0.7223

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-15
Maturity Price : 23.60
Evaluated at bid price : 23.87
Bid-YTW : 6.14 %
BN.PR.R FixedReset Disc Quote: 16.45 – 17.40
Spot Rate : 0.9500
Average : 0.6734

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-15
Maturity Price : 16.45
Evaluated at bid price : 16.45
Bid-YTW : 7.77 %
Market Action

August 14, 2024

PerpetualDiscounts now yield 6.19%, equivalent to 8.05% interest at the standard equivalency factor of 1.3x. Long corporates yielded 4.91% on 2024-7-31 and since then the closing price of ZLC has changed from 15.24 to 15.47, an increase of 138bp in price, implying a decrease of yields of 11bp (BMO reports a duration of 12.43, but don’t disclose whether this is Macaulay or Modified; I will assume Modified) to 4.80%. Therefore, the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) has widened to 325bp from the 315bp reported August 7.

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 -1.2468 % 2,190.4
FixedFloater 0.00 % 0.00 % 0 0.00 0 -1.2468 % 4,201.2
Floater 10.21 % 10.44 % 29,137 9.14 2 -1.2468 % 2,421.2
OpRet 0.00 % 0.00 % 0 0.00 0 0.1017 % 3,557.4
SplitShare 4.68 % 5.75 % 29,736 1.16 4 0.1017 % 4,248.3
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.1017 % 3,314.7
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 0.3561 % 2,842.2
Perpetual-Discount 6.06 % 6.19 % 57,400 13.62 31 0.3561 % 3,099.3
FixedReset Disc 5.44 % 6.89 % 142,679 12.46 62 0.3657 % 2,641.9
Insurance Straight 5.87 % 5.98 % 65,507 13.89 21 0.5128 % 3,083.6
FloatingReset 8.93 % 9.00 % 25,956 10.33 3 -0.2826 % 2,721.8
FixedReset Prem 6.73 % 5.73 % 248,237 12.04 5 0.0933 % 2,560.4
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 0.3657 % 2,700.6
FixedReset Ins Non 5.37 % 6.31 % 107,288 13.40 14 -1.7672 % 2,736.5
Performance Highlights
Issue Index Change Notes
SLF.PR.H FixedReset Ins Non -24.46 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-14
Maturity Price : 14.67
Evaluated at bid price : 14.67
Bid-YTW : 8.35 %
MFC.PR.F FixedReset Ins Non -4.97 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-14
Maturity Price : 15.30
Evaluated at bid price : 15.30
Bid-YTW : 6.91 %
BN.PR.B Floater -2.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-14
Maturity Price : 11.45
Evaluated at bid price : 11.45
Bid-YTW : 10.51 %
MIC.PR.A Perpetual-Discount -1.96 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-14
Maturity Price : 20.00
Evaluated at bid price : 20.00
Bid-YTW : 6.87 %
POW.PR.D Perpetual-Discount -1.54 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-14
Maturity Price : 20.48
Evaluated at bid price : 20.48
Bid-YTW : 6.19 %
PWF.PR.G Perpetual-Discount -1.47 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-14
Maturity Price : 23.14
Evaluated at bid price : 23.40
Bid-YTW : 6.36 %
FTS.PR.J Perpetual-Discount 1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-14
Maturity Price : 20.46
Evaluated at bid price : 20.46
Bid-YTW : 5.93 %
CU.PR.H Perpetual-Discount 1.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-14
Maturity Price : 21.38
Evaluated at bid price : 21.65
Bid-YTW : 6.07 %
GWO.PR.G Insurance Straight 1.19 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-14
Maturity Price : 21.97
Evaluated at bid price : 22.20
Bid-YTW : 5.94 %
FFH.PR.K FixedReset Disc 1.31 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-14
Maturity Price : 21.30
Evaluated at bid price : 21.60
Bid-YTW : 7.35 %
FFH.PR.C FixedReset Disc 1.32 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-14
Maturity Price : 21.45
Evaluated at bid price : 21.45
Bid-YTW : 7.28 %
CU.PR.D Perpetual-Discount 1.34 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-14
Maturity Price : 20.43
Evaluated at bid price : 20.43
Bid-YTW : 6.02 %
SLF.PR.C Insurance Straight 1.45 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-14
Maturity Price : 20.29
Evaluated at bid price : 20.29
Bid-YTW : 5.57 %
TD.PF.J FixedReset Disc 1.45 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2028-04-30
Maturity Price : 25.00
Evaluated at bid price : 25.16
Bid-YTW : 5.66 %
BN.PR.R FixedReset Disc 1.67 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-14
Maturity Price : 16.40
Evaluated at bid price : 16.40
Bid-YTW : 7.79 %
BIP.PR.B FixedReset Disc 1.69 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-12-31
Maturity Price : 25.00
Evaluated at bid price : 24.66
Bid-YTW : 7.11 %
POW.PR.C Perpetual-Discount 1.71 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-14
Maturity Price : 23.53
Evaluated at bid price : 23.80
Bid-YTW : 6.16 %
PWF.PR.P FixedReset Disc 1.72 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-14
Maturity Price : 14.80
Evaluated at bid price : 14.80
Bid-YTW : 7.41 %
MFC.PR.N FixedReset Ins Non 1.88 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-14
Maturity Price : 21.19
Evaluated at bid price : 21.19
Bid-YTW : 6.31 %
CCS.PR.C Insurance Straight 1.89 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-14
Maturity Price : 20.50
Evaluated at bid price : 20.50
Bid-YTW : 6.20 %
ENB.PF.G FixedReset Disc 2.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-14
Maturity Price : 17.50
Evaluated at bid price : 17.50
Bid-YTW : 7.98 %
IFC.PR.E Insurance Straight 2.78 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-14
Maturity Price : 22.20
Evaluated at bid price : 22.20
Bid-YTW : 5.95 %
BN.PR.Z FixedReset Disc 5.69 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-14
Maturity Price : 21.35
Evaluated at bid price : 21.35
Bid-YTW : 7.18 %
CU.PR.J Perpetual-Discount 10.61 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-14
Maturity Price : 19.80
Evaluated at bid price : 19.80
Bid-YTW : 6.02 %
Volume Highlights
Issue Index Shares
Traded		 Notes
BN.PF.F FixedReset Disc 182,684 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-14
Maturity Price : 19.86
Evaluated at bid price : 19.86
Bid-YTW : 7.52 %
ENB.PF.K FixedReset Disc 145,324 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-14
Maturity Price : 22.66
Evaluated at bid price : 23.50
Bid-YTW : 6.73 %
ENB.PR.D FixedReset Disc 114,204 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-14
Maturity Price : 18.15
Evaluated at bid price : 18.15
Bid-YTW : 7.65 %
RY.PR.H FixedReset Disc 68,440 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-14
Maturity Price : 23.94
Evaluated at bid price : 24.95
Bid-YTW : 5.28 %
TD.PF.C FixedReset Disc 58,700 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-14
Maturity Price : 23.13
Evaluated at bid price : 23.92
Bid-YTW : 5.49 %
TD.PF.A FixedReset Disc 56,258 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-14
Maturity Price : 23.28
Evaluated at bid price : 24.30
Bid-YTW : 5.40 %
There were 26 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: 14.67 – 19.45
Spot Rate : 4.7800
Average : 2.6579

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-14
Maturity Price : 14.67
Evaluated at bid price : 14.67
Bid-YTW : 8.35 %
RY.PR.M FixedReset Disc Quote: 23.63 – 25.00
Spot Rate : 1.3700
Average : 0.8258

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-14
Maturity Price : 23.15
Evaluated at bid price : 23.63
Bid-YTW : 5.76 %
MFC.PR.F FixedReset Ins Non Quote: 15.30 – 16.30
Spot Rate : 1.0000
Average : 0.6663

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-14
Maturity Price : 15.30
Evaluated at bid price : 15.30
Bid-YTW : 6.91 %
PWF.PR.E Perpetual-Discount Quote: 22.45 – 23.45
Spot Rate : 1.0000
Average : 0.6665

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-14
Maturity Price : 22.17
Evaluated at bid price : 22.45
Bid-YTW : 6.17 %
PWF.PR.G Perpetual-Discount Quote: 23.40 – 24.00
Spot Rate : 0.6000
Average : 0.4002

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-14
Maturity Price : 23.14
Evaluated at bid price : 23.40
Bid-YTW : 6.36 %
MFC.PR.N FixedReset Ins Non Quote: 21.19 – 22.50
Spot Rate : 1.3100
Average : 1.1154

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-14
Maturity Price : 21.19
Evaluated at bid price : 21.19
Bid-YTW : 6.31 %
Market Action

August 13, 2024

HIMIPref™ Preferred Indices
These values reflect the December 2008 revision of the HIMIPref™ Indices
Values are provisional and are finalized monthly
Index Mean
Current
Yield
(at bid)		 Median
YTW		 Median
Average
Trading
Value		 Median
Mod Dur
(YTW)		 Issues Day’s Perf. Index Value
Ratchet 0.00 % 0.00 % 0 0.00 0 0.0000 % 2,218.0
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.0000 % 4,254.2
Floater 10.08 % 10.28 % 80,258 9.27 2 0.0000 % 2,451.7
OpRet 0.00 % 0.00 % 0 0.00 0 0.3984 % 3,553.8
SplitShare 4.68 % 5.95 % 29,530 1.16 4 0.3984 % 4,243.9
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.3984 % 3,311.3
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 0.0550 % 2,832.2
Perpetual-Discount 6.08 % 6.21 % 56,780 13.59 31 0.0550 % 3,088.3
FixedReset Disc 5.46 % 6.90 % 133,901 12.51 62 0.0528 % 2,632.3
Insurance Straight 5.90 % 6.05 % 65,625 13.78 21 0.4655 % 3,067.9
FloatingReset 8.91 % 8.96 % 26,365 10.38 3 -0.1763 % 2,729.5
FixedReset Prem 6.74 % 5.73 % 250,615 12.01 5 0.0622 % 2,558.0
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 0.0528 % 2,690.7
FixedReset Ins Non 5.27 % 6.36 % 107,581 13.41 14 -0.2833 % 2,785.7
Performance Highlights
Issue Index Change Notes
CU.PR.J Perpetual-Discount -8.67 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-13
Maturity Price : 17.90
Evaluated at bid price : 17.90
Bid-YTW : 6.66 %
BN.PR.Z FixedReset Disc -2.93 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-13
Maturity Price : 20.20
Evaluated at bid price : 20.20
Bid-YTW : 7.60 %
MFC.PR.N FixedReset Ins Non -2.35 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-13
Maturity Price : 20.80
Evaluated at bid price : 20.80
Bid-YTW : 6.43 %
ENB.PF.G FixedReset Disc -1.72 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-13
Maturity Price : 17.15
Evaluated at bid price : 17.15
Bid-YTW : 8.14 %
ENB.PF.E FixedReset Disc -1.70 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-13
Maturity Price : 17.30
Evaluated at bid price : 17.30
Bid-YTW : 8.13 %
POW.PR.C Perpetual-Discount -1.43 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-13
Maturity Price : 23.14
Evaluated at bid price : 23.40
Bid-YTW : 6.27 %
FFH.PR.E FixedReset Disc -1.30 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-13
Maturity Price : 16.64
Evaluated at bid price : 16.64
Bid-YTW : 7.78 %
SLF.PR.J FloatingReset -1.18 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-13
Maturity Price : 16.75
Evaluated at bid price : 16.75
Bid-YTW : 8.79 %
SLF.PR.G FixedReset Ins Non -1.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-13
Maturity Price : 16.16
Evaluated at bid price : 16.16
Bid-YTW : 6.70 %
BN.PF.A FixedReset Disc 1.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-13
Maturity Price : 22.38
Evaluated at bid price : 23.08
Bid-YTW : 6.77 %
ENB.PF.A FixedReset Disc 1.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-13
Maturity Price : 18.62
Evaluated at bid price : 18.62
Bid-YTW : 7.77 %
GWO.PR.P Insurance Straight 1.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-13
Maturity Price : 22.01
Evaluated at bid price : 22.25
Bid-YTW : 6.15 %
CU.PR.C FixedReset Disc 1.37 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-13
Maturity Price : 20.00
Evaluated at bid price : 20.00
Bid-YTW : 6.77 %
PVS.PR.J SplitShare 1.42 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2028-02-29
Maturity Price : 25.00
Evaluated at bid price : 24.20
Bid-YTW : 5.70 %
BN.PF.I FixedReset Disc 1.45 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-13
Maturity Price : 22.57
Evaluated at bid price : 23.14
Bid-YTW : 7.23 %
BN.PF.J FixedReset Disc 1.53 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-13
Maturity Price : 22.51
Evaluated at bid price : 23.20
Bid-YTW : 6.72 %
GWO.PR.G Insurance Straight 1.81 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-13
Maturity Price : 21.69
Evaluated at bid price : 21.94
Bid-YTW : 6.01 %
MIC.PR.A Perpetual-Discount 3.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-13
Maturity Price : 20.40
Evaluated at bid price : 20.40
Bid-YTW : 6.73 %
IFC.PR.K Insurance Straight 3.41 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-13
Maturity Price : 22.36
Evaluated at bid price : 22.75
Bid-YTW : 5.84 %
PWF.PR.K Perpetual-Discount 3.95 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-13
Maturity Price : 20.27
Evaluated at bid price : 20.27
Bid-YTW : 6.17 %
Volume Highlights
Issue Index Shares
Traded		 Notes
RY.PR.H FixedReset Disc 165,809 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-13
Maturity Price : 23.93
Evaluated at bid price : 24.94
Bid-YTW : 5.28 %
ENB.PF.G FixedReset Disc 81,440 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-13
Maturity Price : 17.15
Evaluated at bid price : 17.15
Bid-YTW : 8.14 %
ENB.PR.Y FixedReset Disc 77,006 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-13
Maturity Price : 17.75
Evaluated at bid price : 17.75
Bid-YTW : 7.79 %
GWO.PR.T Insurance Straight 57,400 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-13
Maturity Price : 21.30
Evaluated at bid price : 21.30
Bid-YTW : 6.14 %
TD.PF.J FixedReset Disc 47,149 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-13
Maturity Price : 23.21
Evaluated at bid price : 24.80
Bid-YTW : 5.76 %
NA.PR.G FixedReset Prem 46,308 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-13
Maturity Price : 23.48
Evaluated at bid price : 25.84
Bid-YTW : 5.87 %
There were 18 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
CU.PR.J Perpetual-Discount Quote: 17.90 – 19.79
Spot Rate : 1.8900
Average : 1.2867

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-13
Maturity Price : 17.90
Evaluated at bid price : 17.90
Bid-YTW : 6.66 %
GWO.PR.G Insurance Straight Quote: 21.94 – 23.64
Spot Rate : 1.7000
Average : 1.2538

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-13
Maturity Price : 21.69
Evaluated at bid price : 21.94
Bid-YTW : 6.01 %
IFC.PR.C FixedReset Ins Non Quote: 20.60 – 22.39
Spot Rate : 1.7900
Average : 1.4232

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-13
Maturity Price : 20.60
Evaluated at bid price : 20.60
Bid-YTW : 6.60 %
BN.PR.Z FixedReset Disc Quote: 20.20 – 21.40
Spot Rate : 1.2000
Average : 0.8822

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-13
Maturity Price : 20.20
Evaluated at bid price : 20.20
Bid-YTW : 7.60 %
BN.PF.H FixedReset Disc Quote: 23.85 – 24.38
Spot Rate : 0.5300
Average : 0.3887

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-13
Maturity Price : 23.40
Evaluated at bid price : 23.85
Bid-YTW : 7.41 %
TD.PF.J FixedReset Disc Quote: 24.80 – 25.14
Spot Rate : 0.3400
Average : 0.2399

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-13
Maturity Price : 23.21
Evaluated at bid price : 24.80
Bid-YTW : 5.76 %
Market Action

August 12, 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 -0.3854 % 2,218.0
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.3854 % 4,254.2
Floater 10.08 % 10.27 % 83,288 9.27 2 -0.3854 % 2,451.7
OpRet 0.00 % 0.00 % 0 0.00 0 -0.1632 % 3,539.6
SplitShare 4.70 % 6.14 % 29,979 1.16 4 -0.1632 % 4,227.1
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.1632 % 3,298.1
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 0.3699 % 2,830.6
Perpetual-Discount 6.08 % 6.21 % 57,561 13.57 31 0.3699 % 3,086.6
FixedReset Disc 5.46 % 6.95 % 134,288 12.40 62 0.2425 % 2,630.9
Insurance Straight 5.93 % 6.10 % 64,013 13.72 21 0.2832 % 3,053.7
FloatingReset 8.89 % 8.96 % 25,881 10.38 3 0.2475 % 2,734.4
FixedReset Prem 6.74 % 5.74 % 251,783 12.01 5 0.4531 % 2,556.4
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 0.2425 % 2,689.3
FixedReset Ins Non 5.26 % 6.28 % 111,746 13.50 14 0.6573 % 2,793.6
Performance Highlights
Issue Index Change Notes
PWF.PR.K Perpetual-Discount -3.56 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-12
Maturity Price : 19.50
Evaluated at bid price : 19.50
Bid-YTW : 6.41 %
ENB.PF.C FixedReset Disc -1.96 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-12
Maturity Price : 17.50
Evaluated at bid price : 17.50
Bid-YTW : 8.17 %
PWF.PR.S Perpetual-Discount -1.74 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-12
Maturity Price : 19.75
Evaluated at bid price : 19.75
Bid-YTW : 6.14 %
MIC.PR.A Perpetual-Discount -1.74 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-12
Maturity Price : 19.80
Evaluated at bid price : 19.80
Bid-YTW : 6.94 %
POW.PR.A Perpetual-Discount -1.52 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-12
Maturity Price : 22.35
Evaluated at bid price : 22.62
Bid-YTW : 6.26 %
ENB.PR.Y FixedReset Disc -1.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-12
Maturity Price : 17.70
Evaluated at bid price : 17.70
Bid-YTW : 7.81 %
RY.PR.O Perpetual-Discount 1.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-12
Maturity Price : 23.54
Evaluated at bid price : 23.80
Bid-YTW : 5.15 %
IFC.PR.K Insurance Straight 1.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-12
Maturity Price : 21.68
Evaluated at bid price : 22.00
Bid-YTW : 6.04 %
SLF.PR.G FixedReset Ins Non 1.18 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-12
Maturity Price : 16.35
Evaluated at bid price : 16.35
Bid-YTW : 6.62 %
NA.PR.C FixedReset Prem 1.20 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2027-11-15
Maturity Price : 25.00
Evaluated at bid price : 26.06
Bid-YTW : 5.61 %
IFC.PR.A FixedReset Ins Non 1.30 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-12
Maturity Price : 18.65
Evaluated at bid price : 18.65
Bid-YTW : 6.51 %
SLF.PR.H FixedReset Ins Non 1.40 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-12
Maturity Price : 19.50
Evaluated at bid price : 19.50
Bid-YTW : 6.34 %
ENB.PF.E FixedReset Disc 1.68 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-12
Maturity Price : 17.60
Evaluated at bid price : 17.60
Bid-YTW : 7.99 %
ENB.PF.G FixedReset Disc 1.75 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-12
Maturity Price : 17.45
Evaluated at bid price : 17.45
Bid-YTW : 8.00 %
CU.PR.C FixedReset Disc 2.65 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-12
Maturity Price : 19.73
Evaluated at bid price : 19.73
Bid-YTW : 6.86 %
BN.PR.X FixedReset Disc 3.18 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-12
Maturity Price : 16.20
Evaluated at bid price : 16.20
Bid-YTW : 7.53 %
IFC.PR.I Insurance Straight 3.37 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-12
Maturity Price : 22.64
Evaluated at bid price : 23.00
Bid-YTW : 5.94 %
PWF.PR.Z Perpetual-Discount 3.43 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-12
Maturity Price : 21.10
Evaluated at bid price : 21.10
Bid-YTW : 6.16 %
CU.PR.G Perpetual-Discount 3.61 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-12
Maturity Price : 18.65
Evaluated at bid price : 18.65
Bid-YTW : 6.05 %
MFC.PR.L FixedReset Ins Non 4.51 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-12
Maturity Price : 21.64
Evaluated at bid price : 22.00
Bid-YTW : 6.21 %
CU.PR.J Perpetual-Discount 9.50 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-12
Maturity Price : 19.60
Evaluated at bid price : 19.60
Bid-YTW : 6.08 %
Volume Highlights
Issue Index Shares
Traded		 Notes
BMO.PR.T FixedReset Disc 204,000 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-12
Maturity Price : 23.96
Evaluated at bid price : 24.95
Bid-YTW : 5.26 %
BN.PF.I FixedReset Disc 110,000 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-12
Maturity Price : 22.36
Evaluated at bid price : 22.81
Bid-YTW : 7.33 %
GWO.PR.S Insurance Straight 75,000 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-12
Maturity Price : 21.28
Evaluated at bid price : 21.55
Bid-YTW : 6.17 %
POW.PR.G Perpetual-Discount 67,900 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-12
Maturity Price : 22.44
Evaluated at bid price : 22.70
Bid-YTW : 6.24 %
PWF.PR.G Perpetual-Discount 52,200 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-12
Maturity Price : 23.58
Evaluated at bid price : 23.85
Bid-YTW : 6.23 %
PWF.PR.E Perpetual-Discount 51,500 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-12
Maturity Price : 22.01
Evaluated at bid price : 22.24
Bid-YTW : 6.23 %
There were 10 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
MFC.PR.N FixedReset Ins Non Quote: 21.30 – 22.50
Spot Rate : 1.2000
Average : 0.8496

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-12
Maturity Price : 21.30
Evaluated at bid price : 21.30
Bid-YTW : 6.28 %
GWO.PR.Y Insurance Straight Quote: 18.85 – 19.90
Spot Rate : 1.0500
Average : 0.7559

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-12
Maturity Price : 18.85
Evaluated at bid price : 18.85
Bid-YTW : 6.06 %
CU.PR.H Perpetual-Discount Quote: 21.48 – 22.30
Spot Rate : 0.8200
Average : 0.5330

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-12
Maturity Price : 21.48
Evaluated at bid price : 21.48
Bid-YTW : 6.13 %
BN.PF.A FixedReset Disc Quote: 22.85 – 23.50
Spot Rate : 0.6500
Average : 0.3945

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-12
Maturity Price : 22.24
Evaluated at bid price : 22.85
Bid-YTW : 6.84 %
PWF.PR.K Perpetual-Discount Quote: 19.50 – 20.47
Spot Rate : 0.9700
Average : 0.7211

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-12
Maturity Price : 19.50
Evaluated at bid price : 19.50
Bid-YTW : 6.41 %
CU.PR.C FixedReset Disc Quote: 19.73 – 21.00
Spot Rate : 1.2700
Average : 1.0311

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-12
Maturity Price : 19.73
Evaluated at bid price : 19.73
Bid-YTW : 6.86 %