Category: Market Action

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 %
Market Action

August 9, 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 -0.4689 % 2,226.6
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.4689 % 4,270.7
Floater 10.04 % 10.28 % 86,253 9.27 2 -0.4689 % 2,461.2
OpRet 0.00 % 0.00 % 0 0.00 0 0.2864 % 3,545.4
SplitShare 4.69 % 6.07 % 30,067 1.17 4 0.2864 % 4,234.0
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.2864 % 3,303.5
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 0.1245 % 2,820.2
Perpetual-Discount 6.10 % 6.22 % 59,228 13.59 31 0.1245 % 3,075.3
FixedReset Disc 5.48 % 7.04 % 135,784 12.44 62 0.1298 % 2,624.5
Insurance Straight 5.95 % 6.11 % 63,409 13.70 21 0.1702 % 3,045.0
FloatingReset 8.91 % 8.99 % 26,174 10.36 3 0.1062 % 2,727.6
FixedReset Prem 6.77 % 5.92 % 254,505 11.98 5 -0.1170 % 2,544.9
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 0.1298 % 2,682.8
FixedReset Ins Non 5.29 % 6.41 % 109,317 13.51 14 -0.4673 % 2,775.4
Performance Highlights
Issue Index Change Notes
CU.PR.J Perpetual-Discount -6.92 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-09
Maturity Price : 17.90
Evaluated at bid price : 17.90
Bid-YTW : 6.66 %
MFC.PR.L FixedReset Ins Non -5.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-09
Maturity Price : 21.05
Evaluated at bid price : 21.05
Bid-YTW : 6.51 %
CU.PR.G Perpetual-Discount -2.96 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-09
Maturity Price : 18.00
Evaluated at bid price : 18.00
Bid-YTW : 6.27 %
PWF.PR.Z Perpetual-Discount -1.92 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-09
Maturity Price : 20.40
Evaluated at bid price : 20.40
Bid-YTW : 6.37 %
SLF.PR.H FixedReset Ins Non -1.49 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-09
Maturity Price : 19.23
Evaluated at bid price : 19.23
Bid-YTW : 6.42 %
MFC.PR.F FixedReset Ins Non -1.35 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-09
Maturity Price : 16.10
Evaluated at bid price : 16.10
Bid-YTW : 6.57 %
BIP.PR.A FixedReset Disc -1.17 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-09
Maturity Price : 21.05
Evaluated at bid price : 21.05
Bid-YTW : 7.73 %
TD.PF.I FixedReset Prem 1.02 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2027-10-31
Maturity Price : 25.00
Evaluated at bid price : 25.76
Bid-YTW : 5.36 %
FTS.PR.G FixedReset Disc 1.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-09
Maturity Price : 21.41
Evaluated at bid price : 21.74
Bid-YTW : 6.37 %
GWO.PR.Y Insurance Straight 1.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-09
Maturity Price : 18.81
Evaluated at bid price : 18.81
Bid-YTW : 6.07 %
ENB.PF.C FixedReset Disc 1.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-09
Maturity Price : 17.85
Evaluated at bid price : 17.85
Bid-YTW : 8.01 %
POW.PR.A Perpetual-Discount 1.19 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-09
Maturity Price : 22.68
Evaluated at bid price : 22.97
Bid-YTW : 6.16 %
FFH.PR.I FixedReset Disc 1.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-09
Maturity Price : 18.22
Evaluated at bid price : 18.22
Bid-YTW : 7.80 %
MIC.PR.A Perpetual-Discount 1.26 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-09
Maturity Price : 20.15
Evaluated at bid price : 20.15
Bid-YTW : 6.81 %
GWO.PR.R Insurance Straight 1.43 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-09
Maturity Price : 19.88
Evaluated at bid price : 19.88
Bid-YTW : 6.13 %
CM.PR.Q FixedReset Disc 1.72 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-09
Maturity Price : 23.08
Evaluated at bid price : 23.65
Bid-YTW : 6.00 %
PWF.PR.L Perpetual-Discount 1.86 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-09
Maturity Price : 20.78
Evaluated at bid price : 20.78
Bid-YTW : 6.19 %
CU.PR.D Perpetual-Discount 2.34 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-09
Maturity Price : 20.15
Evaluated at bid price : 20.15
Bid-YTW : 6.10 %
BN.PF.D Perpetual-Discount 7.45 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-09
Maturity Price : 19.61
Evaluated at bid price : 19.61
Bid-YTW : 6.35 %
Volume Highlights
Issue Index Shares
Traded		 Notes
BMO.PR.E FixedReset Prem 220,300 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-09
Maturity Price : 23.44
Evaluated at bid price : 25.71
Bid-YTW : 5.75 %
PWF.PR.L Perpetual-Discount 137,400 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-09
Maturity Price : 20.78
Evaluated at bid price : 20.78
Bid-YTW : 6.19 %
BMO.PR.T FixedReset Disc 111,800 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-09
Maturity Price : 23.97
Evaluated at bid price : 24.94
Bid-YTW : 5.26 %
ENB.PR.T FixedReset Disc 89,405 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-09
Maturity Price : 20.21
Evaluated at bid price : 20.21
Bid-YTW : 7.36 %
NA.PR.E FixedReset Disc 55,500 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-09
Maturity Price : 23.08
Evaluated at bid price : 24.48
Bid-YTW : 5.75 %
RY.PR.S FixedReset Disc 32,100 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-09
Maturity Price : 23.25
Evaluated at bid price : 25.15
Bid-YTW : 5.43 %
There were 5 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
GWO.PR.G Insurance Straight Quote: 21.69 – 23.64
Spot Rate : 1.9500
Average : 1.2190

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-09
Maturity Price : 21.43
Evaluated at bid price : 21.69
Bid-YTW : 6.07 %
CU.PR.J Perpetual-Discount Quote: 17.90 – 19.69
Spot Rate : 1.7900
Average : 1.1464

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-09
Maturity Price : 17.90
Evaluated at bid price : 17.90
Bid-YTW : 6.66 %
MFC.PR.L FixedReset Ins Non Quote: 21.05 – 22.57
Spot Rate : 1.5200
Average : 0.9600

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-09
Maturity Price : 21.05
Evaluated at bid price : 21.05
Bid-YTW : 6.51 %
IFC.PR.C FixedReset Ins Non Quote: 20.55 – 22.50
Spot Rate : 1.9500
Average : 1.6470

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-09
Maturity Price : 20.55
Evaluated at bid price : 20.55
Bid-YTW : 6.61 %
PWF.PR.Z Perpetual-Discount Quote: 20.40 – 21.30
Spot Rate : 0.9000
Average : 0.6733

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-09
Maturity Price : 20.40
Evaluated at bid price : 20.40
Bid-YTW : 6.37 %
CU.PR.G Perpetual-Discount Quote: 18.00 – 18.65
Spot Rate : 0.6500
Average : 0.4296

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-09
Maturity Price : 18.00
Evaluated at bid price : 18.00
Bid-YTW : 6.27 %
Market Action

August 8, 2024

HIMIPref™ Preferred Indices
These values reflect the December 2008 revision of the HIMIPref™ Indices
Values are provisional and are finalized monthly
Index Mean
Current
Yield
(at bid)		 Median
YTW		 Median
Average
Trading
Value		 Median
Mod Dur
(YTW)		 Issues Day’s Perf. Index Value
Ratchet 0.00 % 0.00 % 0 0.00 0 -0.1702 % 2,237.1
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.1702 % 4,290.8
Floater 10.00 % 10.19 % 87,404 9.34 2 -0.1702 % 2,472.8
OpRet 0.00 % 0.00 % 0 0.00 0 -0.4277 % 3,535.3
SplitShare 4.70 % 6.16 % 30,005 1.17 4 -0.4277 % 4,221.9
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.4277 % 3,294.1
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 -0.2667 % 2,816.7
Perpetual-Discount 6.11 % 6.22 % 61,028 13.59 31 -0.2667 % 3,071.4
FixedReset Disc 5.48 % 6.94 % 140,284 12.46 62 0.2959 % 2,621.1
Insurance Straight 5.96 % 6.11 % 64,134 13.67 21 0.2343 % 3,039.9
FloatingReset 8.94 % 9.05 % 25,818 10.31 3 -0.5281 % 2,724.7
FixedReset Prem 6.76 % 5.74 % 256,923 12.05 5 0.0234 % 2,547.8
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 0.2959 % 2,679.3
FixedReset Ins Non 5.27 % 6.25 % 112,609 13.51 14 0.1838 % 2,788.4
Performance Highlights
Issue Index Change Notes
BN.PF.D Perpetual-Discount -5.29 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-08
Maturity Price : 18.25
Evaluated at bid price : 18.25
Bid-YTW : 6.82 %
PWF.PR.L Perpetual-Discount -1.45 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-08
Maturity Price : 20.40
Evaluated at bid price : 20.40
Bid-YTW : 6.31 %
FFH.PR.D FloatingReset -1.40 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-08
Maturity Price : 21.20
Evaluated at bid price : 21.20
Bid-YTW : 9.05 %
BN.PR.X FixedReset Disc -1.32 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-08
Maturity Price : 15.70
Evaluated at bid price : 15.70
Bid-YTW : 7.71 %
MFC.PR.J FixedReset Ins Non -1.27 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-08
Maturity Price : 22.92
Evaluated at bid price : 24.05
Bid-YTW : 6.01 %
PVS.PR.J SplitShare -1.24 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2028-02-29
Maturity Price : 25.00
Evaluated at bid price : 23.85
Bid-YTW : 6.13 %
GWO.PR.R Insurance Straight -1.21 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-08
Maturity Price : 19.60
Evaluated at bid price : 19.60
Bid-YTW : 6.22 %
FFH.PR.E FixedReset Disc -1.17 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-08
Maturity Price : 16.90
Evaluated at bid price : 16.90
Bid-YTW : 7.59 %
CU.PR.D Perpetual-Discount -1.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-08
Maturity Price : 19.69
Evaluated at bid price : 19.69
Bid-YTW : 6.24 %
CU.PR.G Perpetual-Discount 1.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-08
Maturity Price : 18.55
Evaluated at bid price : 18.55
Bid-YTW : 6.08 %
IFC.PR.A FixedReset Ins Non 1.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-08
Maturity Price : 18.41
Evaluated at bid price : 18.41
Bid-YTW : 6.55 %
BN.PF.G FixedReset Disc 1.30 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-08
Maturity Price : 18.64
Evaluated at bid price : 18.64
Bid-YTW : 7.69 %
BN.PF.H FixedReset Disc 1.71 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-08
Maturity Price : 23.30
Evaluated at bid price : 23.75
Bid-YTW : 7.39 %
IFC.PR.G FixedReset Ins Non 1.72 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-08
Maturity Price : 22.35
Evaluated at bid price : 23.00
Bid-YTW : 6.22 %
CU.PR.E Perpetual-Discount 1.78 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-08
Maturity Price : 20.10
Evaluated at bid price : 20.10
Bid-YTW : 6.11 %
IFC.PR.C FixedReset Ins Non 2.40 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-08
Maturity Price : 20.50
Evaluated at bid price : 20.50
Bid-YTW : 6.58 %
PWF.PR.S Perpetual-Discount 2.77 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-08
Maturity Price : 20.06
Evaluated at bid price : 20.06
Bid-YTW : 6.04 %
PWF.PR.P FixedReset Disc 3.34 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-08
Maturity Price : 14.55
Evaluated at bid price : 14.55
Bid-YTW : 7.46 %
IFC.PR.F Insurance Straight 3.53 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-08
Maturity Price : 22.00
Evaluated at bid price : 22.00
Bid-YTW : 6.11 %
FFH.PR.K FixedReset Disc 8.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-08
Maturity Price : 21.23
Evaluated at bid price : 21.23
Bid-YTW : 7.44 %
Volume Highlights
Issue Index Shares
Traded		 Notes
RY.PR.H FixedReset Disc 2,601,101 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-08
Maturity Price : 23.97
Evaluated at bid price : 24.94
Bid-YTW : 5.24 %
BMO.PR.T FixedReset Disc 829,262 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-08
Maturity Price : 23.98
Evaluated at bid price : 24.94
Bid-YTW : 5.22 %
FFH.PR.C FixedReset Disc 109,600 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-08
Maturity Price : 20.87
Evaluated at bid price : 20.87
Bid-YTW : 7.43 %
NA.PR.W FixedReset Disc 54,748 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-08
Maturity Price : 21.69
Evaluated at bid price : 22.10
Bid-YTW : 5.90 %
PWF.PR.L Perpetual-Discount 50,804 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-08
Maturity Price : 20.40
Evaluated at bid price : 20.40
Bid-YTW : 6.31 %
ENB.PR.D FixedReset Disc 48,643 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-08
Maturity Price : 18.06
Evaluated at bid price : 18.06
Bid-YTW : 7.64 %
There were 17 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
IFC.PR.E Insurance Straight Quote: 21.75 – 23.64
Spot Rate : 1.8900
Average : 1.1044

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-08
Maturity Price : 21.75
Evaluated at bid price : 21.75
Bid-YTW : 6.07 %
GWO.PR.R Insurance Straight Quote: 19.60 – 21.50
Spot Rate : 1.9000
Average : 1.1784

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-08
Maturity Price : 19.60
Evaluated at bid price : 19.60
Bid-YTW : 6.22 %
IFC.PR.C FixedReset Ins Non Quote: 20.50 – 22.50
Spot Rate : 2.0000
Average : 1.3148

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-08
Maturity Price : 20.50
Evaluated at bid price : 20.50
Bid-YTW : 6.58 %
BN.PF.D Perpetual-Discount Quote: 18.25 – 19.94
Spot Rate : 1.6900
Average : 1.1900

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-08
Maturity Price : 18.25
Evaluated at bid price : 18.25
Bid-YTW : 6.82 %
CU.PR.C FixedReset Disc Quote: 19.39 – 21.00
Spot Rate : 1.6100
Average : 1.1408

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-08
Maturity Price : 19.39
Evaluated at bid price : 19.39
Bid-YTW : 6.93 %
ENB.PF.A FixedReset Disc Quote: 18.54 – 19.50
Spot Rate : 0.9600
Average : 0.6328

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-08
Maturity Price : 18.54
Evaluated at bid price : 18.54
Bid-YTW : 7.74 %
Market Action

August 7, 2024

PerpetualDiscounts now yield 6.22%, equivalent to 8.09% 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 15.21, a decrease of 20bp in price, implying an increase of yields of 2bp (BMO reports a duration of 12.43, but don’t disclose whether this is Macaulay or Modified; I will assume Modified) to 4.93%. Therefore, the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) has narrowed to 315bp from the 325bp reported July 31.

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 1.3805 % 2,240.9
FixedFloater 0.00 % 0.00 % 0 0.00 0 1.3805 % 4,298.1
Floater 9.98 % 10.14 % 88,685 9.38 2 1.3805 % 2,477.0
OpRet 0.00 % 0.00 % 0 0.00 0 0.4604 % 3,550.5
SplitShare 4.68 % 5.97 % 30,261 1.18 4 0.4604 % 4,240.0
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.4604 % 3,308.3
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 0.1166 % 2,824.2
Perpetual-Discount 6.09 % 6.22 % 59,431 13.55 31 0.1166 % 3,079.6
FixedReset Disc 5.50 % 7.01 % 139,555 12.43 62 0.3115 % 2,613.4
Insurance Straight 5.97 % 6.12 % 65,015 13.67 21 0.2280 % 3,032.8
FloatingReset 8.89 % 8.91 % 26,745 10.43 3 -0.0704 % 2,739.2
FixedReset Prem 6.77 % 5.73 % 259,513 12.00 5 0.7074 % 2,547.2
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 0.3115 % 2,671.4
FixedReset Ins Non 5.28 % 6.29 % 106,855 13.47 14 0.2016 % 2,783.3
Performance Highlights
Issue Index Change Notes
FFH.PR.K FixedReset Disc -7.75 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-07
Maturity Price : 19.65
Evaluated at bid price : 19.65
Bid-YTW : 8.03 %
CM.PR.Q FixedReset Disc -2.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-07
Maturity Price : 22.71
Evaluated at bid price : 23.25
Bid-YTW : 6.06 %
BN.PF.H FixedReset Disc -1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-07
Maturity Price : 22.90
Evaluated at bid price : 23.35
Bid-YTW : 7.52 %
CU.PR.D Perpetual-Discount 1.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-07
Maturity Price : 20.20
Evaluated at bid price : 20.20
Bid-YTW : 6.19 %
FFH.PR.I FixedReset Disc 1.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-07
Maturity Price : 18.00
Evaluated at bid price : 18.00
Bid-YTW : 7.84 %
CM.PR.P FixedReset Disc 1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-07
Maturity Price : 23.08
Evaluated at bid price : 23.86
Bid-YTW : 5.45 %
TD.PF.C FixedReset Disc 1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-07
Maturity Price : 22.97
Evaluated at bid price : 23.75
Bid-YTW : 5.48 %
ENB.PF.A FixedReset Disc 1.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-07
Maturity Price : 18.59
Evaluated at bid price : 18.59
Bid-YTW : 7.71 %
SLF.PR.G FixedReset Ins Non 1.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-07
Maturity Price : 16.35
Evaluated at bid price : 16.35
Bid-YTW : 6.56 %
BN.PR.Z FixedReset Disc 1.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-07
Maturity Price : 20.83
Evaluated at bid price : 20.83
Bid-YTW : 7.32 %
FTS.PR.G FixedReset Disc 1.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-07
Maturity Price : 21.36
Evaluated at bid price : 21.67
Bid-YTW : 6.35 %
MFC.PR.K FixedReset Ins Non 1.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-07
Maturity Price : 22.82
Evaluated at bid price : 23.94
Bid-YTW : 5.80 %
BN.PF.E FixedReset Disc 1.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-07
Maturity Price : 17.30
Evaluated at bid price : 17.30
Bid-YTW : 7.99 %
BMO.PR.E FixedReset Prem 1.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-07
Maturity Price : 23.43
Evaluated at bid price : 25.70
Bid-YTW : 5.72 %
ENB.PR.F FixedReset Disc 1.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-07
Maturity Price : 18.31
Evaluated at bid price : 18.31
Bid-YTW : 7.72 %
PVS.PR.J SplitShare 1.26 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2028-02-29
Maturity Price : 25.00
Evaluated at bid price : 24.15
Bid-YTW : 5.73 %
FTS.PR.H FixedReset Disc 1.29 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-07
Maturity Price : 14.88
Evaluated at bid price : 14.88
Bid-YTW : 7.30 %
FTS.PR.K FixedReset Disc 1.48 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-07
Maturity Price : 19.83
Evaluated at bid price : 19.83
Bid-YTW : 6.68 %
ENB.PF.K FixedReset Disc 1.58 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-07
Maturity Price : 22.49
Evaluated at bid price : 23.20
Bid-YTW : 6.78 %
BN.PF.A FixedReset Disc 1.70 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-07
Maturity Price : 22.21
Evaluated at bid price : 22.79
Bid-YTW : 6.82 %
CU.PR.I FixedReset Disc 1.83 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-07
Maturity Price : 23.52
Evaluated at bid price : 23.97
Bid-YTW : 6.86 %
GWO.PR.I Insurance Straight 2.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-07
Maturity Price : 19.10
Evaluated at bid price : 19.10
Bid-YTW : 5.98 %
BN.PF.F FixedReset Disc 2.32 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-07
Maturity Price : 19.86
Evaluated at bid price : 19.86
Bid-YTW : 7.46 %
BN.PR.B Floater 2.78 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-07
Maturity Price : 11.83
Evaluated at bid price : 11.83
Bid-YTW : 10.14 %
BN.PF.G FixedReset Disc 16.46 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-07
Maturity Price : 18.40
Evaluated at bid price : 18.40
Bid-YTW : 7.79 %
Volume Highlights
Issue Index Shares
Traded		 Notes
RY.PR.H FixedReset Disc 334,592 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-07
Maturity Price : 23.96
Evaluated at bid price : 24.93
Bid-YTW : 5.24 %
BMO.PR.T FixedReset Disc 307,266 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-07
Maturity Price : 23.97
Evaluated at bid price : 24.93
Bid-YTW : 5.22 %
ENB.PF.K FixedReset Disc 110,300 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-07
Maturity Price : 22.49
Evaluated at bid price : 23.20
Bid-YTW : 6.78 %
PWF.PR.L Perpetual-Discount 109,276 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-07
Maturity Price : 20.70
Evaluated at bid price : 20.70
Bid-YTW : 6.21 %
PWF.PR.T FixedReset Disc 106,900 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-07
Maturity Price : 21.65
Evaluated at bid price : 21.99
Bid-YTW : 6.22 %
GWO.PR.L Insurance Straight 86,700 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-07
Maturity Price : 22.82
Evaluated at bid price : 23.10
Bid-YTW : 6.19 %
There were 20 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
FFH.PR.K FixedReset Disc Quote: 19.65 – 21.10
Spot Rate : 1.4500
Average : 0.8316

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-07
Maturity Price : 19.65
Evaluated at bid price : 19.65
Bid-YTW : 8.03 %
CM.PR.Q FixedReset Disc Quote: 23.25 – 24.25
Spot Rate : 1.0000
Average : 0.6263

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-07
Maturity Price : 22.71
Evaluated at bid price : 23.25
Bid-YTW : 6.06 %
MFC.PR.N FixedReset Ins Non Quote: 21.35 – 22.96
Spot Rate : 1.6100
Average : 1.2386

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-07
Maturity Price : 21.35
Evaluated at bid price : 21.35
Bid-YTW : 6.21 %
MFC.PR.F FixedReset Ins Non Quote: 16.35 – 17.43
Spot Rate : 1.0800
Average : 0.7148

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-07
Maturity Price : 16.35
Evaluated at bid price : 16.35
Bid-YTW : 6.42 %
IFC.PR.F Insurance Straight Quote: 21.25 – 22.99
Spot Rate : 1.7400
Average : 1.3928

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-07
Maturity Price : 21.25
Evaluated at bid price : 21.25
Bid-YTW : 6.33 %
CU.PR.I FixedReset Disc Quote: 23.97 – 24.95
Spot Rate : 0.9800
Average : 0.6692

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-07
Maturity Price : 23.52
Evaluated at bid price : 23.97
Bid-YTW : 6.86 %