Category: Market Action

Market Action

February 26, 2024

HIMIPref™ Preferred Indices
These values reflect the December 2008 revision of the HIMIPref™ Indices
Values are provisional and are finalized monthly
Index Mean
Current
Yield
(at bid)		 Median
YTW		 Median
Average
Trading
Value		 Median
Mod Dur
(YTW)		 Issues Day’s Perf. Index Value
Ratchet 0.00 % 0.00 % 0 0.00 0 0.2459 % 2,363.5
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.2459 % 4,533.1
Floater 10.30 % 10.54 % 46,900 9.02 2 0.2459 % 2,612.5
OpRet 0.00 % 0.00 % 0 0.00 0 0.2131 % 3,378.8
SplitShare 4.98 % 7.46 % 48,743 1.89 7 0.2131 % 4,034.9
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.2131 % 3,148.2
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 -0.1819 % 2,640.2
Perpetual-Discount 6.51 % 6.72 % 46,593 12.89 33 -0.1819 % 2,879.0
FixedReset Disc 5.63 % 7.68 % 115,363 12.12 59 0.1666 % 2,355.5
Insurance Straight 6.36 % 6.54 % 60,942 13.08 21 -0.6382 % 2,851.3
FloatingReset 10.00 % 10.21 % 36,355 9.30 3 0.0379 % 2,589.1
FixedReset Prem 6.99 % 6.98 % 165,525 3.24 1 0.6000 % 2,499.4
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 0.1666 % 2,407.8
FixedReset Ins Non 5.47 % 7.24 % 81,748 12.29 14 0.2121 % 2,599.0
Performance Highlights
Issue Index Change Notes
IFC.PR.E Insurance Straight -10.45 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-26
Maturity Price : 18.50
Evaluated at bid price : 18.50
Bid-YTW : 7.18 %
BN.PR.X FixedReset Disc -2.48 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-26
Maturity Price : 15.75
Evaluated at bid price : 15.75
Bid-YTW : 8.46 %
GWO.PR.S Insurance Straight -2.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-26
Maturity Price : 20.02
Evaluated at bid price : 20.02
Bid-YTW : 6.69 %
BN.PF.I FixedReset Disc -1.91 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-26
Maturity Price : 20.01
Evaluated at bid price : 20.01
Bid-YTW : 8.90 %
FTS.PR.J Perpetual-Discount -1.81 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-26
Maturity Price : 19.00
Evaluated at bid price : 19.00
Bid-YTW : 6.29 %
RY.PR.N Perpetual-Discount -1.43 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-26
Maturity Price : 21.71
Evaluated at bid price : 22.00
Bid-YTW : 5.59 %
FTS.PR.F Perpetual-Discount -1.33 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-26
Maturity Price : 20.00
Evaluated at bid price : 20.00
Bid-YTW : 6.17 %
CCS.PR.C Insurance Straight -1.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-26
Maturity Price : 18.78
Evaluated at bid price : 18.78
Bid-YTW : 6.79 %
MFC.PR.M FixedReset Ins Non -1.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-26
Maturity Price : 19.13
Evaluated at bid price : 19.13
Bid-YTW : 7.82 %
CU.PR.H Perpetual-Discount 1.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-26
Maturity Price : 21.01
Evaluated at bid price : 21.01
Bid-YTW : 6.29 %
SLF.PR.D Insurance Straight 1.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-26
Maturity Price : 19.04
Evaluated at bid price : 19.04
Bid-YTW : 5.95 %
IFC.PR.G FixedReset Ins Non 1.44 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-26
Maturity Price : 21.53
Evaluated at bid price : 21.81
Bid-YTW : 7.15 %
GWO.PR.N FixedReset Ins Non 1.45 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-26
Maturity Price : 13.95
Evaluated at bid price : 13.95
Bid-YTW : 8.17 %
BIP.PR.A FixedReset Disc 2.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-26
Maturity Price : 18.15
Evaluated at bid price : 18.15
Bid-YTW : 9.61 %
MFC.PR.Q FixedReset Ins Non 2.84 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-26
Maturity Price : 21.48
Evaluated at bid price : 21.75
Bid-YTW : 7.16 %
BMO.PR.S FixedReset Disc 3.83 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-26
Maturity Price : 21.40
Evaluated at bid price : 21.40
Bid-YTW : 7.00 %
CU.PR.C FixedReset Disc 6.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-26
Maturity Price : 18.95
Evaluated at bid price : 18.95
Bid-YTW : 7.75 %
Volume Highlights
Issue Index Shares
Traded		 Notes
POW.PR.G Perpetual-Discount 68,850 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-26
Maturity Price : 21.05
Evaluated at bid price : 21.05
Bid-YTW : 6.77 %
BN.PR.N Perpetual-Discount 61,800 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-26
Maturity Price : 17.25
Evaluated at bid price : 17.25
Bid-YTW : 7.03 %
BMO.PR.S FixedReset Disc 31,759 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-26
Maturity Price : 21.40
Evaluated at bid price : 21.40
Bid-YTW : 7.00 %
RY.PR.Z FixedReset Disc 28,019 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-26
Maturity Price : 20.95
Evaluated at bid price : 20.95
Bid-YTW : 7.01 %
SLF.PR.J FloatingReset 25,900 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-26
Maturity Price : 16.25
Evaluated at bid price : 16.25
Bid-YTW : 10.21 %
NA.PR.G FixedReset Disc 24,000 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-26
Maturity Price : 22.93
Evaluated at bid price : 24.32
Bid-YTW : 6.79 %
There were 7 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
IFC.PR.E Insurance Straight Quote: 18.50 – 20.97
Spot Rate : 2.4700
Average : 1.4078

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-26
Maturity Price : 18.50
Evaluated at bid price : 18.50
Bid-YTW : 7.18 %
TD.PF.J FixedReset Disc Quote: 21.93 – 22.97
Spot Rate : 1.0400
Average : 0.6318

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-26
Maturity Price : 21.62
Evaluated at bid price : 21.93
Bid-YTW : 7.10 %
BN.PF.B FixedReset Disc Quote: 19.35 – 19.92
Spot Rate : 0.5700
Average : 0.3559

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-26
Maturity Price : 19.35
Evaluated at bid price : 19.35
Bid-YTW : 8.26 %
BN.PR.X FixedReset Disc Quote: 15.75 – 16.24
Spot Rate : 0.4900
Average : 0.3036

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-26
Maturity Price : 15.75
Evaluated at bid price : 15.75
Bid-YTW : 8.46 %
GWO.PR.S Insurance Straight Quote: 20.02 – 20.50
Spot Rate : 0.4800
Average : 0.3138

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-26
Maturity Price : 20.02
Evaluated at bid price : 20.02
Bid-YTW : 6.69 %
TD.PF.D FixedReset Disc Quote: 19.83 – 20.69
Spot Rate : 0.8600
Average : 0.6988

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-26
Maturity Price : 19.83
Evaluated at bid price : 19.83
Bid-YTW : 7.78 %
Market Action

February 23, 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 0.1231 % 2,357.7
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.1231 % 4,522.0
Floater 10.33 % 10.58 % 46,653 9.00 2 0.1231 % 2,606.1
OpRet 0.00 % 0.00 % 0 0.00 0 -0.2914 % 3,371.6
SplitShare 4.99 % 7.50 % 49,206 1.90 7 -0.2914 % 4,026.4
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.2914 % 3,141.5
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 0.1050 % 2,645.0
Perpetual-Discount 6.50 % 6.71 % 46,128 12.90 33 0.1050 % 2,884.2
FixedReset Disc 5.61 % 7.66 % 116,839 12.15 59 -0.3973 % 2,351.5
Insurance Straight 6.32 % 6.48 % 60,767 13.13 21 -0.3337 % 2,869.6
FloatingReset 10.06 % 10.26 % 35,824 9.28 3 0.0568 % 2,588.1
FixedReset Prem 7.03 % 7.03 % 165,836 12.36 1 -0.6359 % 2,484.5
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 -0.3973 % 2,403.8
FixedReset Ins Non 5.48 % 7.36 % 81,381 12.22 14 -0.9475 % 2,593.5
Performance Highlights
Issue Index Change Notes
CU.PR.C FixedReset Disc -7.75 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-23
Maturity Price : 17.85
Evaluated at bid price : 17.85
Bid-YTW : 8.19 %
MFC.PR.Q FixedReset Ins Non -3.86 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-23
Maturity Price : 21.15
Evaluated at bid price : 21.15
Bid-YTW : 7.36 %
BMO.PR.S FixedReset Disc -3.47 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-23
Maturity Price : 20.61
Evaluated at bid price : 20.61
Bid-YTW : 7.24 %
IFC.PR.G FixedReset Ins Non -2.93 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-23
Maturity Price : 21.50
Evaluated at bid price : 21.50
Bid-YTW : 7.25 %
MFC.PR.C Insurance Straight -2.58 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-23
Maturity Price : 18.85
Evaluated at bid price : 18.85
Bid-YTW : 6.09 %
SLF.PR.H FixedReset Ins Non -2.40 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-23
Maturity Price : 18.70
Evaluated at bid price : 18.70
Bid-YTW : 7.16 %
TD.PF.A FixedReset Disc -2.38 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-23
Maturity Price : 20.50
Evaluated at bid price : 20.50
Bid-YTW : 7.10 %
BIP.PR.A FixedReset Disc -2.26 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-23
Maturity Price : 17.77
Evaluated at bid price : 17.77
Bid-YTW : 9.78 %
MFC.PR.B Insurance Straight -2.18 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-23
Maturity Price : 19.32
Evaluated at bid price : 19.32
Bid-YTW : 6.14 %
SLF.PR.E Insurance Straight -2.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-23
Maturity Price : 18.91
Evaluated at bid price : 18.91
Bid-YTW : 6.06 %
NA.PR.G FixedReset Disc -1.82 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-23
Maturity Price : 22.90
Evaluated at bid price : 24.25
Bid-YTW : 6.79 %
SLF.PR.D Insurance Straight -1.62 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-23
Maturity Price : 18.81
Evaluated at bid price : 18.81
Bid-YTW : 6.02 %
POW.PR.A Perpetual-Discount -1.55 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-23
Maturity Price : 20.90
Evaluated at bid price : 20.90
Bid-YTW : 6.81 %
FTS.PR.K FixedReset Disc -1.33 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-23
Maturity Price : 18.60
Evaluated at bid price : 18.60
Bid-YTW : 7.63 %
PVS.PR.K SplitShare -1.27 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2029-05-31
Maturity Price : 25.00
Evaluated at bid price : 21.75
Bid-YTW : 7.49 %
FFH.PR.K FixedReset Disc -1.27 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-23
Maturity Price : 19.50
Evaluated at bid price : 19.50
Bid-YTW : 8.67 %
TD.PF.I FixedReset Disc -1.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-23
Maturity Price : 23.00
Evaluated at bid price : 24.26
Bid-YTW : 6.76 %
IFC.PR.A FixedReset Ins Non -1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-23
Maturity Price : 19.00
Evaluated at bid price : 19.00
Bid-YTW : 6.97 %
PWF.PR.G Perpetual-Discount 1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-23
Maturity Price : 22.12
Evaluated at bid price : 22.40
Bid-YTW : 6.66 %
BIK.PR.A FixedReset Disc 1.26 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-23
Maturity Price : 22.84
Evaluated at bid price : 24.15
Bid-YTW : 7.95 %
CIU.PR.A Perpetual-Discount 3.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-23
Maturity Price : 17.60
Evaluated at bid price : 17.60
Bid-YTW : 6.58 %
Volume Highlights
Issue Index Shares
Traded		 Notes
BMO.PR.S FixedReset Disc 189,457 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-23
Maturity Price : 20.61
Evaluated at bid price : 20.61
Bid-YTW : 7.24 %
RY.PR.M FixedReset Disc 101,617 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-23
Maturity Price : 19.18
Evaluated at bid price : 19.18
Bid-YTW : 7.66 %
CM.PR.O FixedReset Disc 48,819 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-23
Maturity Price : 20.66
Evaluated at bid price : 20.66
Bid-YTW : 7.15 %
TD.PF.B FixedReset Disc 47,361 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-23
Maturity Price : 21.50
Evaluated at bid price : 21.50
Bid-YTW : 6.85 %
CM.PR.P FixedReset Disc 45,300 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-23
Maturity Price : 18.80
Evaluated at bid price : 18.80
Bid-YTW : 7.66 %
PVS.PR.K SplitShare 43,557 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2029-05-31
Maturity Price : 25.00
Evaluated at bid price : 21.75
Bid-YTW : 7.49 %
There were 14 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
CU.PR.C FixedReset Disc Quote: 17.85 – 19.64
Spot Rate : 1.7900
Average : 1.0509

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-23
Maturity Price : 17.85
Evaluated at bid price : 17.85
Bid-YTW : 8.19 %
BN.PF.F FixedReset Disc Quote: 18.88 – 20.00
Spot Rate : 1.1200
Average : 0.6866

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-23
Maturity Price : 18.88
Evaluated at bid price : 18.88
Bid-YTW : 8.60 %
MFC.PR.Q FixedReset Ins Non Quote: 21.15 – 22.15
Spot Rate : 1.0000
Average : 0.6569

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-23
Maturity Price : 21.15
Evaluated at bid price : 21.15
Bid-YTW : 7.36 %
IFC.PR.G FixedReset Ins Non Quote: 21.50 – 22.63
Spot Rate : 1.1300
Average : 0.7891

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-23
Maturity Price : 21.50
Evaluated at bid price : 21.50
Bid-YTW : 7.25 %
BMO.PR.S FixedReset Disc Quote: 20.61 – 21.46
Spot Rate : 0.8500
Average : 0.5106

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-23
Maturity Price : 20.61
Evaluated at bid price : 20.61
Bid-YTW : 7.24 %
CU.PR.D Perpetual-Discount Quote: 19.30 – 20.60
Spot Rate : 1.3000
Average : 1.0484

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-23
Maturity Price : 19.30
Evaluated at bid price : 19.30
Bid-YTW : 6.39 %
Market Action

February 22, 2024

HIMIPref™ Preferred Indices
These values reflect the December 2008 revision of the HIMIPref™ Indices
Values are provisional and are finalized monthly
Index Mean
Current
Yield
(at bid)		 Median
YTW		 Median
Average
Trading
Value		 Median
Mod Dur
(YTW)		 Issues Day’s Perf. Index Value
Ratchet 0.00 % 0.00 % 0 0.00 0 2.2232 % 2,354.8
FixedFloater 0.00 % 0.00 % 0 0.00 0 2.2232 % 4,516.5
Floater 10.34 % 10.62 % 28,224 8.97 2 2.2232 % 2,602.9
OpRet 0.00 % 0.00 % 0 0.00 0 -0.8667 % 3,381.4
SplitShare 4.98 % 7.39 % 49,253 1.90 7 -0.8667 % 4,038.1
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.8667 % 3,150.7
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 -0.2555 % 2,642.2
Perpetual-Discount 6.50 % 6.71 % 45,798 12.89 33 -0.2555 % 2,881.2
FixedReset Disc 5.59 % 7.66 % 112,146 12.16 59 0.1055 % 2,360.9
Insurance Straight 6.30 % 6.48 % 61,497 13.13 21 -0.1127 % 2,879.2
FloatingReset 10.06 % 10.26 % 36,227 9.27 3 -0.2079 % 2,586.7
FixedReset Prem 6.98 % 6.94 % 153,592 3.25 1 -0.4353 % 2,500.4
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 0.1055 % 2,413.3
FixedReset Ins Non 5.43 % 7.13 % 82,431 12.41 14 0.0996 % 2,618.3
Performance Highlights
Issue Index Change Notes
SLF.PR.C Insurance Straight -5.26 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-22
Maturity Price : 18.00
Evaluated at bid price : 18.00
Bid-YTW : 6.30 %
CIU.PR.A Perpetual-Discount -2.51 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-22
Maturity Price : 17.07
Evaluated at bid price : 17.07
Bid-YTW : 6.78 %
PVS.PR.J SplitShare -1.96 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2028-02-29
Maturity Price : 25.00
Evaluated at bid price : 22.50
Bid-YTW : 7.31 %
IFC.PR.I Insurance Straight -1.77 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-22
Maturity Price : 21.07
Evaluated at bid price : 21.07
Bid-YTW : 6.53 %
BIP.PR.F FixedReset Disc -1.62 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-22
Maturity Price : 20.71
Evaluated at bid price : 20.71
Bid-YTW : 8.01 %
RY.PR.H FixedReset Disc -1.49 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-22
Maturity Price : 19.82
Evaluated at bid price : 19.82
Bid-YTW : 7.38 %
PVS.PR.G SplitShare -1.41 % YTW SCENARIO
Maturity Type : Option Certainty
Maturity Date : 2026-02-28
Maturity Price : 25.00
Evaluated at bid price : 23.72
Bid-YTW : 7.63 %
BN.PF.H FixedReset Disc -1.38 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-22
Maturity Price : 21.50
Evaluated at bid price : 21.50
Bid-YTW : 8.75 %
RY.PR.O Perpetual-Discount -1.35 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-22
Maturity Price : 21.71
Evaluated at bid price : 22.00
Bid-YTW : 5.59 %
PVS.PR.I SplitShare -1.08 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-10-31
Maturity Price : 25.00
Evaluated at bid price : 23.71
Bid-YTW : 8.00 %
PWF.PR.G Perpetual-Discount -1.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-22
Maturity Price : 21.94
Evaluated at bid price : 22.17
Bid-YTW : 6.73 %
MFC.PR.M FixedReset Ins Non 1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-22
Maturity Price : 19.40
Evaluated at bid price : 19.40
Bid-YTW : 7.68 %
BN.PF.I FixedReset Disc 1.34 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-22
Maturity Price : 20.42
Evaluated at bid price : 20.42
Bid-YTW : 8.70 %
BN.PR.B Floater 1.50 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-22
Maturity Price : 12.17
Evaluated at bid price : 12.17
Bid-YTW : 10.65 %
GWO.PR.Y Insurance Straight 1.83 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-22
Maturity Price : 17.85
Evaluated at bid price : 17.85
Bid-YTW : 6.42 %
BN.PR.K Floater 2.95 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-22
Maturity Price : 12.20
Evaluated at bid price : 12.20
Bid-YTW : 10.62 %
FTS.PR.M FixedReset Disc 22.69 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-22
Maturity Price : 18.71
Evaluated at bid price : 18.71
Bid-YTW : 8.04 %
Volume Highlights
Issue Index Shares
Traded		 Notes
RY.PR.S FixedReset Disc 161,950 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-22
Maturity Price : 21.87
Evaluated at bid price : 22.34
Bid-YTW : 6.71 %
SLF.PR.J FloatingReset 125,100 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-22
Maturity Price : 16.25
Evaluated at bid price : 16.25
Bid-YTW : 10.26 %
FTS.PR.I FloatingReset 68,000 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-22
Maturity Price : 15.85
Evaluated at bid price : 15.85
Bid-YTW : 10.39 %
BN.PF.G FixedReset Disc 57,500 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-22
Maturity Price : 17.05
Evaluated at bid price : 17.05
Bid-YTW : 9.12 %
MFC.PR.M FixedReset Ins Non 55,000 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-22
Maturity Price : 19.40
Evaluated at bid price : 19.40
Bid-YTW : 7.68 %
FTS.PR.M FixedReset Disc 50,000 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-22
Maturity Price : 18.71
Evaluated at bid price : 18.71
Bid-YTW : 8.04 %
There were 10 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
CU.PR.D Perpetual-Discount Quote: 19.30 – 20.60
Spot Rate : 1.3000
Average : 0.7726

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-22
Maturity Price : 19.30
Evaluated at bid price : 19.30
Bid-YTW : 6.39 %
SLF.PR.C Insurance Straight Quote: 18.00 – 19.52
Spot Rate : 1.5200
Average : 1.0060

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-22
Maturity Price : 18.00
Evaluated at bid price : 18.00
Bid-YTW : 6.30 %
CU.PR.H Perpetual-Discount Quote: 20.80 – 22.00
Spot Rate : 1.2000
Average : 0.8712

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-22
Maturity Price : 20.80
Evaluated at bid price : 20.80
Bid-YTW : 6.35 %
CIU.PR.A Perpetual-Discount Quote: 17.07 – 17.85
Spot Rate : 0.7800
Average : 0.5032

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-22
Maturity Price : 17.07
Evaluated at bid price : 17.07
Bid-YTW : 6.78 %
PVS.PR.H SplitShare Quote: 23.31 – 24.16
Spot Rate : 0.8500
Average : 0.6080

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2027-02-28
Maturity Price : 25.00
Evaluated at bid price : 23.31
Bid-YTW : 7.21 %
CU.PR.E Perpetual-Discount Quote: 19.20 – 20.70
Spot Rate : 1.5000
Average : 1.2956

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-22
Maturity Price : 19.20
Evaluated at bid price : 19.20
Bid-YTW : 6.42 %
Market Action

February 21, 2024

PerpetualDiscounts now yield 6.70%, equivalent to 8.71% interest at the standard equivalency factor of 1.3x. Long corporates yielded 5.12% on 2024-2-20 and since then the closing price has changed from 15.06 to 15.03, a decline of 20bp with a duration (BMO doesn’t specify Macaulay or Modified; I will assume Modified) of 12.36, which implies an increase in yield fo 2bp, to 5.14%. Therefore, the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) has widened slightly (and perhaps spuriously) to 360bp from the 355bp reported February 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 0.2523 % 2,303.6
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.2523 % 4,418.2
Floater 10.57 % 10.81 % 48,271 8.84 2 0.2523 % 2,546.3
OpRet 0.00 % 0.00 % 0 0.00 0 -0.7289 % 3,411.0
SplitShare 4.94 % 6.98 % 49,348 1.91 7 -0.7289 % 4,073.4
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.7289 % 3,178.3
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 0.0216 % 2,649.0
Perpetual-Discount 6.49 % 6.70 % 46,390 12.92 33 0.0216 % 2,888.6
FixedReset Disc 5.60 % 7.61 % 111,381 12.17 59 0.0033 % 2,358.4
Insurance Straight 6.29 % 6.50 % 62,181 13.13 21 -0.1986 % 2,882.5
FloatingReset 10.04 % 10.21 % 33,517 9.28 3 0.0757 % 2,592.1
FixedReset Prem 6.95 % 6.80 % 155,505 3.26 1 -0.3156 % 2,511.4
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 0.0033 % 2,410.8
FixedReset Ins Non 5.43 % 7.09 % 85,668 12.44 14 -0.0848 % 2,615.7
Performance Highlights
Issue Index Change Notes
FTS.PR.M FixedReset Disc -18.49 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-21
Maturity Price : 15.25
Evaluated at bid price : 15.25
Bid-YTW : 9.86 %
IFC.PR.E Insurance Straight -1.44 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-21
Maturity Price : 20.50
Evaluated at bid price : 20.50
Bid-YTW : 6.46 %
GWO.PR.P Insurance Straight -1.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-21
Maturity Price : 20.60
Evaluated at bid price : 20.60
Bid-YTW : 6.68 %
MFC.PR.L FixedReset Ins Non -1.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-21
Maturity Price : 19.49
Evaluated at bid price : 19.49
Bid-YTW : 7.50 %
SLF.PR.C Insurance Straight -1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-21
Maturity Price : 19.00
Evaluated at bid price : 19.00
Bid-YTW : 5.96 %
BN.PR.B Floater 1.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-21
Maturity Price : 11.99
Evaluated at bid price : 11.99
Bid-YTW : 10.81 %
BIP.PR.E FixedReset Disc 1.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-21
Maturity Price : 21.43
Evaluated at bid price : 21.43
Bid-YTW : 7.88 %
RY.PR.S FixedReset Disc 1.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-21
Maturity Price : 21.98
Evaluated at bid price : 22.50
Bid-YTW : 6.66 %
TD.PF.E FixedReset Disc 1.35 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-21
Maturity Price : 20.27
Evaluated at bid price : 20.27
Bid-YTW : 7.60 %
RY.PR.J FixedReset Disc 1.38 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-21
Maturity Price : 19.82
Evaluated at bid price : 19.82
Bid-YTW : 7.72 %
RY.PR.O Perpetual-Discount 1.59 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-21
Maturity Price : 22.00
Evaluated at bid price : 22.30
Bid-YTW : 5.51 %
CU.PR.J Perpetual-Discount 1.66 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-21
Maturity Price : 18.40
Evaluated at bid price : 18.40
Bid-YTW : 6.49 %
CU.PR.C FixedReset Disc 2.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-21
Maturity Price : 19.33
Evaluated at bid price : 19.33
Bid-YTW : 7.57 %
PWF.PR.P FixedReset Disc 2.27 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-21
Maturity Price : 14.40
Evaluated at bid price : 14.40
Bid-YTW : 8.33 %
TD.PF.A FixedReset Disc 2.33 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-21
Maturity Price : 21.08
Evaluated at bid price : 21.08
Bid-YTW : 6.90 %
BN.PF.G FixedReset Disc 2.72 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-21
Maturity Price : 17.00
Evaluated at bid price : 17.00
Bid-YTW : 9.15 %
Volume Highlights
Issue Index Shares
Traded		 Notes
NA.PR.S FixedReset Disc 55,600 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-21
Maturity Price : 20.75
Evaluated at bid price : 20.75
Bid-YTW : 7.29 %
TD.PF.J FixedReset Disc 43,800 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-21
Maturity Price : 21.70
Evaluated at bid price : 22.04
Bid-YTW : 7.04 %
TD.PF.A FixedReset Disc 32,900 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-21
Maturity Price : 21.08
Evaluated at bid price : 21.08
Bid-YTW : 6.90 %
TD.PF.C FixedReset Disc 25,800 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-21
Maturity Price : 19.70
Evaluated at bid price : 19.70
Bid-YTW : 7.36 %
BN.PR.X FixedReset Disc 24,500 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-21
Maturity Price : 16.15
Evaluated at bid price : 16.15
Bid-YTW : 8.22 %
PWF.PR.F Perpetual-Discount 23,600 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-21
Maturity Price : 19.80
Evaluated at bid price : 19.80
Bid-YTW : 6.71 %
There were 12 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
FTS.PR.M FixedReset Disc Quote: 15.25 – 19.38
Spot Rate : 4.1300
Average : 2.2306

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-21
Maturity Price : 15.25
Evaluated at bid price : 15.25
Bid-YTW : 9.86 %
CU.PR.E Perpetual-Discount Quote: 19.20 – 20.75
Spot Rate : 1.5500
Average : 1.0716

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-21
Maturity Price : 19.20
Evaluated at bid price : 19.20
Bid-YTW : 6.42 %
MFC.PR.N FixedReset Ins Non Quote: 19.06 – 19.98
Spot Rate : 0.9200
Average : 0.6061

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-21
Maturity Price : 19.06
Evaluated at bid price : 19.06
Bid-YTW : 7.67 %
BN.PR.R FixedReset Disc Quote: 14.80 – 15.70
Spot Rate : 0.9000
Average : 0.6437

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-21
Maturity Price : 14.80
Evaluated at bid price : 14.80
Bid-YTW : 9.29 %
GWO.PR.P Insurance Straight Quote: 20.60 – 21.10
Spot Rate : 0.5000
Average : 0.3118

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-21
Maturity Price : 20.60
Evaluated at bid price : 20.60
Bid-YTW : 6.68 %
GWO.PR.Y Insurance Straight Quote: 17.53 – 18.35
Spot Rate : 0.8200
Average : 0.6790

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-21
Maturity Price : 17.53
Evaluated at bid price : 17.53
Bid-YTW : 6.54 %
Market Action

February 20, 2024

January’s inflation number was promising, but one swallow doesn’t make a summer!

Canada’s inflation rate fell far enough in January to place it within the Bank of Canada’s target range, surprising analysts and reigniting speculation about a potential interest-rate cut this spring.

The Consumer Price Index rose 2.9 per cent in January on an annual basis, down from 3.4 per cent in December, Statistics Canada said Tuesday in a report. Financial analysts were expecting a slight easing to 3.3 per cent.

With that result, the headline inflation rate has fallen back within the Bank of Canada’s target range of 1 per cent to 3 per cent, for only the second time since consumer prices began to flare up in 2021. (The central bank aims for 2 per cent, the midpoint of that range.) Inflation is also tracking lower than the bank’s estimate for this quarter.
…
Meanwhile, inflation continues to be a pressing concern in the housing market. Shelter prices rose 6.2 per cent from a year earlier, picking up from December’s 6-per-cent pace. Rents accelerated to a 7.9-per-cent increase, from 7.7 per cent.

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 0.3376 % 2,297.8
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.3376 % 4,407.1
Floater 10.60 % 10.88 % 30,281 8.79 2 0.3376 % 2,539.8
OpRet 0.00 % 0.00 % 0 0.00 0 0.1976 % 3,436.0
SplitShare 4.90 % 7.19 % 49,436 1.88 7 0.1976 % 4,103.3
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.1976 % 3,201.6
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 0.1774 % 2,648.4
Perpetual-Discount 6.49 % 6.68 % 46,720 12.93 33 0.1774 % 2,888.0
FixedReset Disc 5.60 % 7.68 % 112,990 12.12 59 -0.1865 % 2,358.4
Insurance Straight 6.28 % 6.50 % 62,420 13.14 21 0.2663 % 2,888.2
FloatingReset 10.05 % 10.20 % 33,829 9.30 3 -0.2641 % 2,590.1
FixedReset Prem 6.93 % 6.69 % 156,911 3.26 1 0.0000 % 2,519.3
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 -0.1865 % 2,410.7
FixedReset Ins Non 5.43 % 7.08 % 85,245 12.45 14 -0.2611 % 2,617.9
Performance Highlights
Issue Index Change Notes
BN.PF.G FixedReset Disc -2.82 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-20
Maturity Price : 16.55
Evaluated at bid price : 16.55
Bid-YTW : 9.39 %
RY.PR.J FixedReset Disc -2.25 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-20
Maturity Price : 19.55
Evaluated at bid price : 19.55
Bid-YTW : 7.83 %
FTS.PR.I FloatingReset -2.17 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-20
Maturity Price : 15.75
Evaluated at bid price : 15.75
Bid-YTW : 10.45 %
PWF.PR.P FixedReset Disc -2.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-20
Maturity Price : 14.08
Evaluated at bid price : 14.08
Bid-YTW : 8.51 %
MFC.PR.M FixedReset Ins Non -1.65 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-20
Maturity Price : 19.10
Evaluated at bid price : 19.10
Bid-YTW : 7.80 %
NA.PR.S FixedReset Disc -1.58 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-20
Maturity Price : 20.55
Evaluated at bid price : 20.55
Bid-YTW : 7.36 %
IFC.PR.C FixedReset Ins Non -1.53 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-20
Maturity Price : 19.30
Evaluated at bid price : 19.30
Bid-YTW : 7.56 %
CU.PR.G Perpetual-Discount -1.52 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-20
Maturity Price : 17.50
Evaluated at bid price : 17.50
Bid-YTW : 6.47 %
FTS.PR.M FixedReset Disc -1.47 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-20
Maturity Price : 18.71
Evaluated at bid price : 18.71
Bid-YTW : 8.04 %
FTS.PR.K FixedReset Disc -1.31 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-20
Maturity Price : 18.85
Evaluated at bid price : 18.85
Bid-YTW : 7.53 %
BMO.PR.S FixedReset Disc -1.30 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-20
Maturity Price : 21.27
Evaluated at bid price : 21.27
Bid-YTW : 7.01 %
BIP.PR.B FixedReset Disc -1.29 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-20
Maturity Price : 21.67
Evaluated at bid price : 22.11
Bid-YTW : 8.93 %
POW.PR.D Perpetual-Discount -1.29 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-20
Maturity Price : 19.20
Evaluated at bid price : 19.20
Bid-YTW : 6.61 %
FFH.PR.C FixedReset Disc -1.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-20
Maturity Price : 20.15
Evaluated at bid price : 20.15
Bid-YTW : 8.39 %
CU.PR.J Perpetual-Discount -1.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-20
Maturity Price : 18.10
Evaluated at bid price : 18.10
Bid-YTW : 6.60 %
GWO.PR.N FixedReset Ins Non -1.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-20
Maturity Price : 13.75
Evaluated at bid price : 13.75
Bid-YTW : 8.24 %
BN.PR.X FixedReset Disc 1.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-20
Maturity Price : 16.10
Evaluated at bid price : 16.10
Bid-YTW : 8.24 %
SLF.PR.C Insurance Straight 1.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-20
Maturity Price : 19.20
Evaluated at bid price : 19.20
Bid-YTW : 5.89 %
PWF.PR.S Perpetual-Discount 1.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-20
Maturity Price : 18.20
Evaluated at bid price : 18.20
Bid-YTW : 6.68 %
PWF.PR.O Perpetual-Discount 1.35 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-20
Maturity Price : 21.54
Evaluated at bid price : 21.80
Bid-YTW : 6.72 %
CM.PR.P FixedReset Disc 1.36 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-20
Maturity Price : 18.65
Evaluated at bid price : 18.65
Bid-YTW : 7.72 %
TD.PF.B FixedReset Disc 1.44 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-20
Maturity Price : 21.49
Evaluated at bid price : 21.81
Bid-YTW : 6.74 %
SLF.PR.J FloatingReset 1.49 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-20
Maturity Price : 16.40
Evaluated at bid price : 16.40
Bid-YTW : 10.16 %
TD.PF.C FixedReset Disc 1.49 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-20
Maturity Price : 19.80
Evaluated at bid price : 19.80
Bid-YTW : 7.32 %
BN.PR.M Perpetual-Discount 1.49 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-20
Maturity Price : 17.75
Evaluated at bid price : 17.75
Bid-YTW : 6.82 %
CU.PR.H Perpetual-Discount 1.68 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-20
Maturity Price : 21.15
Evaluated at bid price : 21.15
Bid-YTW : 6.24 %
PVS.PR.J SplitShare 1.99 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2028-02-29
Maturity Price : 25.00
Evaluated at bid price : 23.10
Bid-YTW : 6.89 %
MFC.PR.B Insurance Straight 2.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-20
Maturity Price : 19.75
Evaluated at bid price : 19.75
Bid-YTW : 6.00 %
RY.PR.N Perpetual-Discount 2.52 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-20
Maturity Price : 22.04
Evaluated at bid price : 22.35
Bid-YTW : 5.50 %
Volume Highlights
Issue Index Shares
Traded		 Notes
CM.PR.P FixedReset Disc 100,623 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-20
Maturity Price : 18.65
Evaluated at bid price : 18.65
Bid-YTW : 7.72 %
TD.PF.B FixedReset Disc 36,373 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-20
Maturity Price : 21.49
Evaluated at bid price : 21.81
Bid-YTW : 6.74 %
GWO.PR.I Insurance Straight 30,625 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-20
Maturity Price : 17.95
Evaluated at bid price : 17.95
Bid-YTW : 6.38 %
TD.PF.J FixedReset Disc 27,867 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-20
Maturity Price : 21.65
Evaluated at bid price : 21.97
Bid-YTW : 7.06 %
CM.PR.O FixedReset Disc 24,914 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-20
Maturity Price : 20.76
Evaluated at bid price : 20.76
Bid-YTW : 7.11 %
RY.PR.Z FixedReset Disc 23,719 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-20
Maturity Price : 21.06
Evaluated at bid price : 21.06
Bid-YTW : 6.93 %
There were 11 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
MFC.PR.L FixedReset Ins Non Quote: 19.70 – 24.06
Spot Rate : 4.3600
Average : 3.3330

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-20
Maturity Price : 19.70
Evaluated at bid price : 19.70
Bid-YTW : 7.41 %
IFC.PR.K Insurance Straight Quote: 20.75 – 25.00
Spot Rate : 4.2500
Average : 3.3352

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-20
Maturity Price : 20.75
Evaluated at bid price : 20.75
Bid-YTW : 6.44 %
TD.PF.A FixedReset Disc Quote: 20.60 – 22.00
Spot Rate : 1.4000
Average : 0.8753

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-20
Maturity Price : 20.60
Evaluated at bid price : 20.60
Bid-YTW : 7.06 %
GWO.PR.G Insurance Straight Quote: 20.15 – 20.94
Spot Rate : 0.7900
Average : 0.4703

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-20
Maturity Price : 20.15
Evaluated at bid price : 20.15
Bid-YTW : 6.57 %
IFC.PR.I Insurance Straight Quote: 21.45 – 23.25
Spot Rate : 1.8000
Average : 1.4972

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-20
Maturity Price : 21.45
Evaluated at bid price : 21.45
Bid-YTW : 6.41 %
FFH.PR.G FixedReset Disc Quote: 16.50 – 17.41
Spot Rate : 0.9100
Average : 0.6252

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-20
Maturity Price : 16.50
Evaluated at bid price : 16.50
Bid-YTW : 8.89 %
Market Action

February 16, 2024

US PPI came out hotter than expected today:

Wholesale inflation, as measured by the Producer Price Index, rose more than expected in January, adding to a disappointing inflation picture for the month.

The Producer Price Index rose 0.3% last month, resulting in an annual increase of 0.9%, according to Bureau of Labor Statistics data released Friday. Despite coming in hotter than economists had expected (a projected 0.7% annual gain, according to FactSet), the annual rate is in line with what was seen during the last quarter of 2023.

When stripping out the food and energy categories, which tend to be volatile, core PPI jumped 0.5% for the month, bringing the yearly increase to 2%, a hotter reading than December’s 1.7%.

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 0.8511 % 2,290.0
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.8511 % 4,392.3
Floater 10.63 % 10.93 % 31,495 8.77 2 0.8511 % 2,531.3
OpRet 0.00 % 0.00 % 0 0.00 0 0.0659 % 3,429.3
SplitShare 4.91 % 7.18 % 48,891 1.89 7 0.0659 % 4,095.3
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0659 % 3,195.3
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 -0.2385 % 2,643.7
Perpetual-Discount 6.50 % 6.69 % 45,709 12.95 33 -0.2385 % 2,882.8
FixedReset Disc 5.59 % 7.76 % 114,485 12.03 59 -0.0621 % 2,362.8
Insurance Straight 6.30 % 6.50 % 63,122 13.15 21 -0.0623 % 2,880.5
FloatingReset 10.04 % 10.23 % 34,118 9.32 3 0.4358 % 2,597.0
FixedReset Prem 6.93 % 6.67 % 158,343 3.27 1 0.3960 % 2,519.3
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 -0.0621 % 2,415.2
FixedReset Ins Non 5.41 % 7.17 % 84,661 12.40 14 0.2914 % 2,624.8
Performance Highlights
Issue Index Change Notes
BN.PF.I FixedReset Disc -3.38 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-16
Maturity Price : 20.00
Evaluated at bid price : 20.00
Bid-YTW : 8.96 %
BN.PR.M Perpetual-Discount -2.35 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-16
Maturity Price : 17.49
Evaluated at bid price : 17.49
Bid-YTW : 6.92 %
GWO.PR.Y Insurance Straight -2.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-16
Maturity Price : 17.60
Evaluated at bid price : 17.60
Bid-YTW : 6.51 %
CM.PR.P FixedReset Disc -1.50 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-16
Maturity Price : 18.40
Evaluated at bid price : 18.40
Bid-YTW : 7.94 %
TD.PF.C FixedReset Disc -1.46 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-16
Maturity Price : 19.51
Evaluated at bid price : 19.51
Bid-YTW : 7.55 %
PWF.PR.Z Perpetual-Discount -1.34 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-16
Maturity Price : 19.19
Evaluated at bid price : 19.19
Bid-YTW : 6.79 %
PWF.PR.O Perpetual-Discount -1.33 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-16
Maturity Price : 21.51
Evaluated at bid price : 21.51
Bid-YTW : 6.82 %
BN.PR.B Floater -1.25 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-16
Maturity Price : 11.85
Evaluated at bid price : 11.85
Bid-YTW : 10.93 %
MFC.PR.B Insurance Straight -1.18 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-16
Maturity Price : 19.32
Evaluated at bid price : 19.32
Bid-YTW : 6.13 %
RY.PR.S FixedReset Disc -1.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-16
Maturity Price : 21.81
Evaluated at bid price : 22.25
Bid-YTW : 6.84 %
PWF.PR.G Perpetual-Discount -1.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-16
Maturity Price : 22.06
Evaluated at bid price : 22.35
Bid-YTW : 6.66 %
BN.PF.E FixedReset Disc -1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-16
Maturity Price : 16.25
Evaluated at bid price : 16.25
Bid-YTW : 9.44 %
FFH.PR.M FixedReset Disc 1.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-16
Maturity Price : 22.34
Evaluated at bid price : 22.80
Bid-YTW : 8.32 %
FFH.PR.I FixedReset Disc 1.17 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-16
Maturity Price : 17.30
Evaluated at bid price : 17.30
Bid-YTW : 8.94 %
FFH.PR.K FixedReset Disc 1.29 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-16
Maturity Price : 19.70
Evaluated at bid price : 19.70
Bid-YTW : 8.66 %
POW.PR.D Perpetual-Discount 1.30 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-16
Maturity Price : 19.45
Evaluated at bid price : 19.45
Bid-YTW : 6.52 %
IFC.PR.E Insurance Straight 1.47 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-16
Maturity Price : 20.70
Evaluated at bid price : 20.70
Bid-YTW : 6.39 %
TD.PF.B FixedReset Disc 1.65 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-16
Maturity Price : 21.50
Evaluated at bid price : 21.50
Bid-YTW : 6.96 %
CU.PR.H Perpetual-Discount 1.66 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-16
Maturity Price : 20.80
Evaluated at bid price : 20.80
Bid-YTW : 6.34 %
IFC.PR.A FixedReset Ins Non 1.70 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-16
Maturity Price : 19.17
Evaluated at bid price : 19.17
Bid-YTW : 6.99 %
BN.PR.K Floater 3.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-16
Maturity Price : 11.85
Evaluated at bid price : 11.85
Bid-YTW : 10.93 %
Volume Highlights
Issue Index Shares
Traded		 Notes
CM.PR.P FixedReset Disc 50,300 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-16
Maturity Price : 18.40
Evaluated at bid price : 18.40
Bid-YTW : 7.94 %
IFC.PR.A FixedReset Ins Non 49,241 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-16
Maturity Price : 19.17
Evaluated at bid price : 19.17
Bid-YTW : 6.99 %
RY.PR.M FixedReset Disc 15,800 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-16
Maturity Price : 19.10
Evaluated at bid price : 19.10
Bid-YTW : 7.79 %
NA.PR.S FixedReset Disc 14,130 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-16
Maturity Price : 20.88
Evaluated at bid price : 20.88
Bid-YTW : 7.36 %
RY.PR.H FixedReset Disc 10,785 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-16
Maturity Price : 20.05
Evaluated at bid price : 20.05
Bid-YTW : 7.41 %
POW.PR.D Perpetual-Discount 10,400 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-16
Maturity Price : 19.45
Evaluated at bid price : 19.45
Bid-YTW : 6.52 %
There were 2 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
IFC.PR.K Insurance Straight Quote: 20.90 – 25.15
Spot Rate : 4.2500
Average : 2.3323

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-16
Maturity Price : 20.90
Evaluated at bid price : 20.90
Bid-YTW : 6.39 %
IFC.PR.I Insurance Straight Quote: 21.45 – 23.25
Spot Rate : 1.8000
Average : 1.1652

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-16
Maturity Price : 21.45
Evaluated at bid price : 21.45
Bid-YTW : 6.40 %
MFC.PR.I FixedReset Ins Non Quote: 22.75 – 23.89
Spot Rate : 1.1400
Average : 0.6548

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-16
Maturity Price : 22.22
Evaluated at bid price : 22.75
Bid-YTW : 7.17 %
BN.PF.F FixedReset Disc Quote: 18.90 – 20.00
Spot Rate : 1.1000
Average : 0.6506

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-16
Maturity Price : 18.90
Evaluated at bid price : 18.90
Bid-YTW : 8.71 %
BN.PR.M Perpetual-Discount Quote: 17.49 – 18.75
Spot Rate : 1.2600
Average : 0.9004

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-16
Maturity Price : 17.49
Evaluated at bid price : 17.49
Bid-YTW : 6.92 %
FTS.PR.F Perpetual-Discount Quote: 20.23 – 21.00
Spot Rate : 0.7700
Average : 0.4935

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-16
Maturity Price : 20.23
Evaluated at bid price : 20.23
Bid-YTW : 6.08 %
Market Action

February 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 -1.0526 % 2,270.7
FixedFloater 0.00 % 0.00 % 0 0.00 0 -1.0526 % 4,355.2
Floater 10.72 % 10.78 % 49,541 8.87 2 -1.0526 % 2,509.9
OpRet 0.00 % 0.00 % 0 0.00 0 -0.3938 % 3,427.0
SplitShare 4.91 % 7.18 % 50,883 1.90 7 -0.3938 % 4,092.6
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.3938 % 3,193.2
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 0.2004 % 2,650.0
Perpetual-Discount 6.48 % 6.64 % 45,907 12.98 33 0.2004 % 2,889.7
FixedReset Disc 5.58 % 7.73 % 118,601 12.03 59 0.3166 % 2,364.2
Insurance Straight 6.29 % 6.48 % 65,237 13.16 21 0.3537 % 2,882.3
FloatingReset 10.08 % 10.28 % 35,413 9.24 3 -0.8826 % 2,585.7
FixedReset Prem 6.96 % 6.79 % 159,744 3.27 1 -0.1582 % 2,509.4
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 0.3166 % 2,416.7
FixedReset Ins Non 5.43 % 7.21 % 88,080 12.38 14 0.0037 % 2,617.1
Performance Highlights
Issue Index Change Notes
BN.PR.K Floater -3.36 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-15
Maturity Price : 11.50
Evaluated at bid price : 11.50
Bid-YTW : 11.26 %
CU.PR.H Perpetual-Discount -2.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-15
Maturity Price : 20.46
Evaluated at bid price : 20.46
Bid-YTW : 6.45 %
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 : 22.56
Bid-YTW : 7.54 %
PVS.PR.H SplitShare -1.21 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2027-02-28
Maturity Price : 25.00
Evaluated at bid price : 23.71
Bid-YTW : 6.99 %
BN.PF.G FixedReset Disc -1.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-15
Maturity Price : 16.97
Evaluated at bid price : 16.97
Bid-YTW : 9.28 %
RY.PR.J FixedReset Disc 1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-15
Maturity Price : 19.90
Evaluated at bid price : 19.90
Bid-YTW : 7.80 %
FTS.PR.J Perpetual-Discount 1.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-15
Maturity Price : 19.51
Evaluated at bid price : 19.51
Bid-YTW : 6.11 %
PWF.PR.G Perpetual-Discount 1.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-15
Maturity Price : 22.33
Evaluated at bid price : 22.60
Bid-YTW : 6.59 %
FTS.PR.K FixedReset Disc 1.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-15
Maturity Price : 18.92
Evaluated at bid price : 18.92
Bid-YTW : 7.62 %
TD.PF.C FixedReset Disc 1.18 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-15
Maturity Price : 19.80
Evaluated at bid price : 19.80
Bid-YTW : 7.44 %
BN.PF.H FixedReset Disc 1.21 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-15
Maturity Price : 21.44
Evaluated at bid price : 21.78
Bid-YTW : 8.71 %
BN.PR.B Floater 1.27 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-15
Maturity Price : 12.00
Evaluated at bid price : 12.00
Bid-YTW : 10.78 %
CCS.PR.C Insurance Straight 1.29 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-15
Maturity Price : 18.90
Evaluated at bid price : 18.90
Bid-YTW : 6.73 %
BMO.PR.S FixedReset Disc 1.42 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-15
Maturity Price : 21.45
Evaluated at bid price : 21.45
Bid-YTW : 7.06 %
BIK.PR.A FixedReset Disc 1.47 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-15
Maturity Price : 22.83
Evaluated at bid price : 24.15
Bid-YTW : 8.04 %
BN.PR.Z FixedReset Disc 1.64 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-15
Maturity Price : 19.80
Evaluated at bid price : 19.80
Bid-YTW : 8.37 %
BN.PF.I FixedReset Disc 1.77 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-15
Maturity Price : 20.70
Evaluated at bid price : 20.70
Bid-YTW : 8.66 %
FTS.PR.G FixedReset Disc 2.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-15
Maturity Price : 21.08
Evaluated at bid price : 21.08
Bid-YTW : 7.05 %
FTS.PR.F Perpetual-Discount 2.21 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-15
Maturity Price : 20.35
Evaluated at bid price : 20.35
Bid-YTW : 6.05 %
MIC.PR.A Perpetual-Discount 2.65 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-15
Maturity Price : 19.00
Evaluated at bid price : 19.00
Bid-YTW : 7.24 %
GWO.PR.Y Insurance Straight 3.45 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-15
Maturity Price : 18.00
Evaluated at bid price : 18.00
Bid-YTW : 6.36 %
Volume Highlights
Issue Index Shares
Traded		 Notes
CM.PR.O FixedReset Disc 450,886 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-15
Maturity Price : 20.65
Evaluated at bid price : 20.65
Bid-YTW : 7.26 %
BMO.PR.S FixedReset Disc 106,876 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-15
Maturity Price : 21.45
Evaluated at bid price : 21.45
Bid-YTW : 7.06 %
TD.PF.B FixedReset Disc 70,861 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-15
Maturity Price : 21.15
Evaluated at bid price : 21.15
Bid-YTW : 7.08 %
BMO.PR.W FixedReset Disc 55,289 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-15
Maturity Price : 19.10
Evaluated at bid price : 19.10
Bid-YTW : 7.68 %
NA.PR.S FixedReset Disc 41,075 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-15
Maturity Price : 20.93
Evaluated at bid price : 20.93
Bid-YTW : 7.34 %
RY.PR.Z FixedReset Disc 39,115 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-15
Maturity Price : 20.97
Evaluated at bid price : 20.97
Bid-YTW : 7.08 %
There were 5 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
TD.PF.B FixedReset Disc Quote: 21.15 – 24.10
Spot Rate : 2.9500
Average : 1.6945

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-15
Maturity Price : 21.15
Evaluated at bid price : 21.15
Bid-YTW : 7.08 %
BN.PR.M Perpetual-Discount Quote: 17.91 – 18.75
Spot Rate : 0.8400
Average : 0.5061

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-15
Maturity Price : 17.91
Evaluated at bid price : 17.91
Bid-YTW : 6.75 %
PVS.PR.J SplitShare Quote: 22.56 – 23.48
Spot Rate : 0.9200
Average : 0.7286

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2028-02-29
Maturity Price : 25.00
Evaluated at bid price : 22.56
Bid-YTW : 7.54 %
CU.PR.C FixedReset Disc Quote: 19.00 – 19.66
Spot Rate : 0.6600
Average : 0.4700

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-15
Maturity Price : 19.00
Evaluated at bid price : 19.00
Bid-YTW : 7.79 %
BN.PR.T FixedReset Disc Quote: 15.07 – 15.70
Spot Rate : 0.6300
Average : 0.4448

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-15
Maturity Price : 15.07
Evaluated at bid price : 15.07
Bid-YTW : 9.26 %
BN.PR.R FixedReset Disc Quote: 14.80 – 15.90
Spot Rate : 1.1000
Average : 0.9202

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-15
Maturity Price : 14.80
Evaluated at bid price : 14.80
Bid-YTW : 9.41 %
Market Action

February 14, 2024

PerpetualDiscounts now yield 6.66%, equivalent to 8.66% interest at the standard equivalency factor of 1.3x. Long corporates yielded 5.12% on 2024-2-14, so there is no need to adjust the figure for the timing of the measurement! The pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) has widened sharply to 355bp from the 330bp reported February 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 0.5930 % 2,294.9
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.5930 % 4,401.6
Floater 10.61 % 10.87 % 30,886 8.81 2 0.5930 % 2,536.6
OpRet 0.00 % 0.00 % 0 0.00 0 0.0418 % 3,440.5
SplitShare 4.89 % 7.15 % 50,943 1.90 7 0.0418 % 4,108.7
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0418 % 3,205.8
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 0.3404 % 2,644.7
Perpetual-Discount 6.50 % 6.66 % 47,641 12.96 33 0.3404 % 2,884.0
FixedReset Disc 5.60 % 7.78 % 117,665 12.04 59 0.0432 % 2,356.8
Insurance Straight 6.31 % 6.51 % 65,417 13.14 21 0.2944 % 2,872.2
FloatingReset 9.99 % 10.25 % 35,520 9.27 3 0.1881 % 2,608.7
FixedReset Prem 6.95 % 6.73 % 164,971 3.28 1 -0.2367 % 2,513.4
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 0.0432 % 2,409.1
FixedReset Ins Non 5.43 % 7.18 % 90,893 12.38 14 0.1922 % 2,617.0
Performance Highlights
Issue Index Change Notes
RY.PR.J FixedReset Disc -1.75 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-14
Maturity Price : 19.70
Evaluated at bid price : 19.70
Bid-YTW : 7.87 %
BN.PR.Z FixedReset Disc -1.17 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-14
Maturity Price : 19.48
Evaluated at bid price : 19.48
Bid-YTW : 8.51 %
PWF.PR.T FixedReset Disc 1.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-14
Maturity Price : 20.20
Evaluated at bid price : 20.20
Bid-YTW : 7.39 %
PVS.PR.H SplitShare 1.05 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2027-02-28
Maturity Price : 25.00
Evaluated at bid price : 24.00
Bid-YTW : 6.54 %
PWF.PR.Z Perpetual-Discount 1.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-14
Maturity Price : 19.41
Evaluated at bid price : 19.41
Bid-YTW : 6.71 %
POW.PR.A Perpetual-Discount 1.18 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-14
Maturity Price : 21.35
Evaluated at bid price : 21.35
Bid-YTW : 6.65 %
BN.PR.K Floater 1.19 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-14
Maturity Price : 11.90
Evaluated at bid price : 11.90
Bid-YTW : 10.87 %
IFC.PR.K Insurance Straight 1.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-14
Maturity Price : 20.75
Evaluated at bid price : 20.75
Bid-YTW : 6.43 %
SLF.PR.G FixedReset Ins Non 1.33 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-14
Maturity Price : 15.20
Evaluated at bid price : 15.20
Bid-YTW : 7.99 %
CU.PR.C FixedReset Disc 1.34 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-14
Maturity Price : 18.90
Evaluated at bid price : 18.90
Bid-YTW : 7.83 %
CM.PR.O FixedReset Disc 1.68 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-14
Maturity Price : 20.60
Evaluated at bid price : 20.60
Bid-YTW : 7.27 %
BN.PF.J FixedReset Disc 2.21 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-14
Maturity Price : 20.80
Evaluated at bid price : 20.80
Bid-YTW : 8.14 %
CU.PR.H Perpetual-Discount 2.50 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-14
Maturity Price : 20.91
Evaluated at bid price : 20.91
Bid-YTW : 6.30 %
GWO.PR.Y Insurance Straight 2.59 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-14
Maturity Price : 17.40
Evaluated at bid price : 17.40
Bid-YTW : 6.58 %
BMO.PR.Y FixedReset Disc 3.70 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-14
Maturity Price : 19.60
Evaluated at bid price : 19.60
Bid-YTW : 7.78 %
Volume Highlights
Issue Index Shares
Traded		 Notes
RY.PR.Z FixedReset Disc 124,376 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-14
Maturity Price : 20.92
Evaluated at bid price : 20.92
Bid-YTW : 7.09 %
BMO.PR.T FixedReset Disc 61,400 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-14
Maturity Price : 19.70
Evaluated at bid price : 19.70
Bid-YTW : 7.51 %
CM.PR.O FixedReset Disc 58,625 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-14
Maturity Price : 20.60
Evaluated at bid price : 20.60
Bid-YTW : 7.27 %
BMO.PR.W FixedReset Disc 50,725 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-14
Maturity Price : 19.00
Evaluated at bid price : 19.00
Bid-YTW : 7.71 %
TD.PF.A FixedReset Disc 47,900 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-14
Maturity Price : 20.50
Evaluated at bid price : 20.50
Bid-YTW : 7.21 %
BN.PF.B FixedReset Disc 32,418 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-14
Maturity Price : 19.40
Evaluated at bid price : 19.40
Bid-YTW : 8.32 %
There were 13 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
TD.PF.J FixedReset Disc Quote: 21.90 – 22.99
Spot Rate : 1.0900
Average : 0.6473

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-14
Maturity Price : 21.60
Evaluated at bid price : 21.90
Bid-YTW : 7.16 %
BN.PR.R FixedReset Disc Quote: 14.80 – 15.90
Spot Rate : 1.1000
Average : 0.7231

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-14
Maturity Price : 14.80
Evaluated at bid price : 14.80
Bid-YTW : 9.41 %
PVS.PR.H SplitShare Quote: 24.00 – 25.00
Spot Rate : 1.0000
Average : 0.6341

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2027-02-28
Maturity Price : 25.00
Evaluated at bid price : 24.00
Bid-YTW : 6.54 %
BN.PF.H FixedReset Disc Quote: 21.52 – 22.35
Spot Rate : 0.8300
Average : 0.5382

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-14
Maturity Price : 21.52
Evaluated at bid price : 21.52
Bid-YTW : 8.82 %
BIP.PR.E FixedReset Disc Quote: 21.31 – 22.23
Spot Rate : 0.9200
Average : 0.6940

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-14
Maturity Price : 21.31
Evaluated at bid price : 21.31
Bid-YTW : 7.99 %
BN.PF.C Perpetual-Discount Quote: 17.65 – 18.29
Spot Rate : 0.6400
Average : 0.4153

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-14
Maturity Price : 17.65
Evaluated at bid price : 17.65
Bid-YTW : 7.00 %
Market Action

February 13, 2024

There are no magic wands in this world:

U.S. stock index futures extended losses sharply on Tuesday, as hotter-than-expected consumer inflation readings smashed market speculations of an early start to interest rate cuts this year.

A Labor Department report showed the Consumer Price Index (CPI) rose 0.3% on a monthly basis in January, above the 0.2% increase expected by economists polled by Reuters. Annually, it increased 3.1% versus the 2.9% estimated growth.

Excluding volatile food and energy components, the core figure rose 0.4% month-on-month in January, compared with the estimated 0.3% rise. Annually, it gained 3.9% versus the estimated 3.7% increase.

… and …

Interest rate swap markets, which capture traders’ views on future monetary policy, now suggest only 40 per cent odds that the bank will cut rates in June, according to Refinitiv Eikon data. That’s down from approximately 50-50 odds last Friday as Statistics Canada released a surprisingly strong jobs report, and 82 per cent odds just prior to a blowout jobs report in the U.S. on Feb. 2. The market is now pricing in only about half a percentage point decrease in the Bank of Canada key lending rate over the course of this year.

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 0.0424 % 2,281.3
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.0424 % 4,375.6
Floater 10.67 % 10.92 % 49,880 8.79 2 0.0424 % 2,521.7
OpRet 0.00 % 0.00 % 0 0.00 0 0.3354 % 3,439.1
SplitShare 4.89 % 7.12 % 49,633 1.90 7 0.3354 % 4,107.0
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.3354 % 3,204.5
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 -0.1976 % 2,635.8
Perpetual-Discount 6.52 % 6.70 % 48,230 12.93 33 -0.1976 % 2,874.2
FixedReset Disc 5.60 % 7.74 % 118,989 12.03 59 0.2509 % 2,355.8
Insurance Straight 6.33 % 6.51 % 68,095 13.13 21 -0.1927 % 2,863.7
FloatingReset 10.01 % 10.30 % 35,289 9.20 3 0.1696 % 2,603.8
FixedReset Prem 6.93 % 6.65 % 167,137 3.28 1 0.1580 % 2,519.3
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 0.2509 % 2,408.1
FixedReset Ins Non 5.44 % 7.19 % 94,540 12.37 14 -0.3058 % 2,612.0
Performance Highlights
Issue Index Change Notes
GWO.PR.Y Insurance Straight -5.25 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-13
Maturity Price : 16.96
Evaluated at bid price : 16.96
Bid-YTW : 6.75 %
BMO.PR.Y FixedReset Disc -4.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-13
Maturity Price : 18.90
Evaluated at bid price : 18.90
Bid-YTW : 8.06 %
CU.PR.H Perpetual-Discount -2.39 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-13
Maturity Price : 20.40
Evaluated at bid price : 20.40
Bid-YTW : 6.46 %
BIP.PR.B FixedReset Disc -1.99 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-13
Maturity Price : 21.67
Evaluated at bid price : 22.11
Bid-YTW : 9.01 %
MIC.PR.A Perpetual-Discount -1.54 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-13
Maturity Price : 18.51
Evaluated at bid price : 18.51
Bid-YTW : 7.43 %
CM.PR.O FixedReset Disc -1.46 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-13
Maturity Price : 20.26
Evaluated at bid price : 20.26
Bid-YTW : 7.39 %
TD.PF.I FixedReset Disc -1.33 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-13
Maturity Price : 23.10
Evaluated at bid price : 24.52
Bid-YTW : 6.75 %
CU.PR.C FixedReset Disc -1.32 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-13
Maturity Price : 18.65
Evaluated at bid price : 18.65
Bid-YTW : 7.93 %
MFC.PR.F FixedReset Ins Non -1.26 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-13
Maturity Price : 14.84
Evaluated at bid price : 14.84
Bid-YTW : 7.94 %
SLF.PR.G FixedReset Ins Non -1.19 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-13
Maturity Price : 15.00
Evaluated at bid price : 15.00
Bid-YTW : 8.09 %
GWO.PR.S Insurance Straight -1.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-13
Maturity Price : 20.12
Evaluated at bid price : 20.12
Bid-YTW : 6.64 %
MFC.PR.J FixedReset Ins Non -1.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-13
Maturity Price : 22.03
Evaluated at bid price : 22.51
Bid-YTW : 7.08 %
GWO.PR.P Insurance Straight 1.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-13
Maturity Price : 20.58
Evaluated at bid price : 20.58
Bid-YTW : 6.68 %
BN.PR.Z FixedReset Disc 1.34 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-13
Maturity Price : 19.71
Evaluated at bid price : 19.71
Bid-YTW : 8.40 %
CM.PR.S FixedReset Disc 1.44 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-13
Maturity Price : 21.91
Evaluated at bid price : 21.91
Bid-YTW : 7.01 %
FFH.PR.D FloatingReset 1.47 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-13
Maturity Price : 20.65
Evaluated at bid price : 20.65
Bid-YTW : 10.22 %
RY.PR.J FixedReset Disc 1.52 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-13
Maturity Price : 20.05
Evaluated at bid price : 20.05
Bid-YTW : 7.74 %
IFC.PR.I Insurance Straight 1.67 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-13
Maturity Price : 21.35
Evaluated at bid price : 21.35
Bid-YTW : 6.43 %
PVS.PR.J SplitShare 1.95 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2028-02-29
Maturity Price : 25.00
Evaluated at bid price : 23.00
Bid-YTW : 6.98 %
TD.PF.B FixedReset Disc 3.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-13
Maturity Price : 21.25
Evaluated at bid price : 21.25
Bid-YTW : 7.04 %
IFC.PR.F Insurance Straight 7.57 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-13
Maturity Price : 20.33
Evaluated at bid price : 20.33
Bid-YTW : 6.63 %
BIP.PR.A FixedReset Disc 18.58 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-13
Maturity Price : 18.25
Evaluated at bid price : 18.25
Bid-YTW : 9.63 %
Volume Highlights
Issue Index Shares
Traded		 Notes
TD.PF.A FixedReset Disc 158,800 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-13
Maturity Price : 20.50
Evaluated at bid price : 20.50
Bid-YTW : 7.21 %
RY.PR.M FixedReset Disc 92,500 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-13
Maturity Price : 18.97
Evaluated at bid price : 18.97
Bid-YTW : 7.84 %
CM.PR.Q FixedReset Disc 82,367 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-13
Maturity Price : 19.50
Evaluated at bid price : 19.50
Bid-YTW : 7.89 %
POW.PR.C Perpetual-Discount 41,366 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-13
Maturity Price : 22.24
Evaluated at bid price : 22.51
Bid-YTW : 6.52 %
RY.PR.H FixedReset Disc 35,327 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-13
Maturity Price : 19.81
Evaluated at bid price : 19.81
Bid-YTW : 7.50 %
BN.PF.B FixedReset Disc 34,945 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-13
Maturity Price : 19.40
Evaluated at bid price : 19.40
Bid-YTW : 8.32 %
There were 19 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
EIT.PR.A SplitShare Quote: 25.11 – 26.11
Spot Rate : 1.0000
Average : 0.5374

YTW SCENARIO
Maturity Type : Soft Maturity
Maturity Date : 2024-03-14
Maturity Price : 25.00
Evaluated at bid price : 25.11
Bid-YTW : 9.17 %
BMO.PR.Y FixedReset Disc Quote: 18.90 – 19.90
Spot Rate : 1.0000
Average : 0.6827

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-13
Maturity Price : 18.90
Evaluated at bid price : 18.90
Bid-YTW : 8.06 %
GWO.PR.Y Insurance Straight Quote: 16.96 – 17.96
Spot Rate : 1.0000
Average : 0.7310

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-13
Maturity Price : 16.96
Evaluated at bid price : 16.96
Bid-YTW : 6.75 %
BIP.PR.B FixedReset Disc Quote: 22.11 – 23.00
Spot Rate : 0.8900
Average : 0.6583

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-13
Maturity Price : 21.67
Evaluated at bid price : 22.11
Bid-YTW : 9.01 %
FFH.PR.I FixedReset Disc Quote: 17.18 – 17.89
Spot Rate : 0.7100
Average : 0.4873

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-13
Maturity Price : 17.18
Evaluated at bid price : 17.18
Bid-YTW : 9.00 %
MFC.PR.L FixedReset Ins Non Quote: 19.46 – 24.06
Spot Rate : 4.6000
Average : 4.3992

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-13
Maturity Price : 19.46
Evaluated at bid price : 19.46
Bid-YTW : 7.62 %
Market Action

February 12, 2024

Some cheery news from the Atlanta Fed honcho:

Bumpy and slow is how a top Federal Reserve official sees inflation’s trajectory this year. Translation: Don’t get your hopes up for rate cuts in the next few months.

Atlanta Fed President Raphael Bostic, who is voting on the Federal Open Market Committee’s policy decisions this year, told CNN in an exclusive interview that he is anticipating the nation’s inflation rate — which currently stands at around 3% — will be near “the lower twos” by the end of 2024.

“With that outlook, I really see the first move coming sometime in the summertime,” he said, regarding lowering interest rates that currently sit at a 23-year high.

Bostic said he’s been both surprised and pleased by the strength of the labor market. January’s monthly jobs report stunned economists with the 353,000 new jobs added, which was well above expectations, leaving the unemployment rate below 4% for the 24th consecutive month.

“The question is sort of what is the underlying implication for how fast inflation can get back to 2%?” he said, adding that current economic conditions could work against Americans by helping keep prices elevated. That’s because when unemployment is low, people have more money to spend — which makes it easier for businesses to raise prices.

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 -0.2114 % 2,280.4
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.2114 % 4,373.8
Floater 10.68 % 10.96 % 32,165 8.76 2 -0.2114 % 2,520.6
OpRet 0.00 % 0.00 % 0 0.00 0 0.0479 % 3,427.6
SplitShare 4.91 % 7.13 % 49,536 1.90 7 0.0479 % 4,093.3
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0479 % 3,193.8
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 0.6668 % 2,641.0
Perpetual-Discount 6.51 % 6.69 % 50,128 12.93 33 0.6668 % 2,879.9
FixedReset Disc 5.62 % 7.74 % 116,396 12.04 59 -0.1606 % 2,349.9
Insurance Straight 6.32 % 6.48 % 63,033 13.19 21 0.0193 % 2,869.3
FloatingReset 10.03 % 10.27 % 34,772 9.21 3 -0.1881 % 2,599.4
FixedReset Prem 6.94 % 6.70 % 167,413 3.28 1 0.0395 % 2,515.3
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 -0.1606 % 2,402.0
FixedReset Ins Non 5.42 % 7.20 % 93,904 12.42 14 -0.0368 % 2,620.0
Performance Highlights
Issue Index Change Notes
BIP.PR.A FixedReset Disc -13.59 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-12
Maturity Price : 15.39
Evaluated at bid price : 15.39
Bid-YTW : 11.37 %
IFC.PR.F Insurance Straight -7.17 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-12
Maturity Price : 18.90
Evaluated at bid price : 18.90
Bid-YTW : 7.14 %
TD.PF.B FixedReset Disc -3.96 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-12
Maturity Price : 20.60
Evaluated at bid price : 20.60
Bid-YTW : 7.26 %
BN.PR.T FixedReset Disc -2.60 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-12
Maturity Price : 15.00
Evaluated at bid price : 15.00
Bid-YTW : 9.29 %
GWO.PR.P Insurance Straight -1.88 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-12
Maturity Price : 20.36
Evaluated at bid price : 20.36
Bid-YTW : 6.75 %
BIP.PR.E FixedReset Disc -1.85 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-12
Maturity Price : 21.20
Evaluated at bid price : 21.20
Bid-YTW : 8.03 %
FTS.PR.F Perpetual-Discount -1.37 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-12
Maturity Price : 20.12
Evaluated at bid price : 20.12
Bid-YTW : 6.23 %
BN.PF.J FixedReset Disc -1.26 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-12
Maturity Price : 20.30
Evaluated at bid price : 20.30
Bid-YTW : 8.33 %
BN.PR.R FixedReset Disc -1.26 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-12
Maturity Price : 14.92
Evaluated at bid price : 14.92
Bid-YTW : 9.33 %
IFC.PR.A FixedReset Ins Non -1.25 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-12
Maturity Price : 18.96
Evaluated at bid price : 18.96
Bid-YTW : 7.06 %
NA.PR.S FixedReset Disc 1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-12
Maturity Price : 20.76
Evaluated at bid price : 20.76
Bid-YTW : 7.39 %
BMO.PR.Y FixedReset Disc 1.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-12
Maturity Price : 19.70
Evaluated at bid price : 19.70
Bid-YTW : 7.74 %
CU.PR.J Perpetual-Discount 1.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-12
Maturity Price : 18.60
Evaluated at bid price : 18.60
Bid-YTW : 6.41 %
FFH.PR.I FixedReset Disc 1.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-12
Maturity Price : 17.09
Evaluated at bid price : 17.09
Bid-YTW : 9.04 %
IFC.PR.K Insurance Straight 1.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-12
Maturity Price : 20.61
Evaluated at bid price : 20.61
Bid-YTW : 6.48 %
CU.PR.F Perpetual-Discount 1.25 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-12
Maturity Price : 17.75
Evaluated at bid price : 17.75
Bid-YTW : 6.36 %
FFH.PR.C FixedReset Disc 1.64 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-12
Maturity Price : 20.43
Evaluated at bid price : 20.43
Bid-YTW : 8.37 %
SLF.PR.H FixedReset Ins Non 1.65 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-12
Maturity Price : 19.06
Evaluated at bid price : 19.06
Bid-YTW : 7.12 %
BN.PF.I FixedReset Disc 1.70 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-12
Maturity Price : 20.34
Evaluated at bid price : 20.34
Bid-YTW : 8.80 %
CU.PR.H Perpetual-Discount 2.45 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-12
Maturity Price : 20.90
Evaluated at bid price : 20.90
Bid-YTW : 6.31 %
MIC.PR.A Perpetual-Discount 2.73 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-12
Maturity Price : 18.80
Evaluated at bid price : 18.80
Bid-YTW : 7.32 %
POW.PR.A Perpetual-Discount 3.70 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-12
Maturity Price : 21.00
Evaluated at bid price : 21.00
Bid-YTW : 6.76 %
GWO.PR.Y Insurance Straight 4.68 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-12
Maturity Price : 17.90
Evaluated at bid price : 17.90
Bid-YTW : 6.39 %
PWF.PR.P FixedReset Disc 9.92 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-12
Maturity Price : 14.40
Evaluated at bid price : 14.40
Bid-YTW : 8.45 %
CU.PR.D Perpetual-Discount 16.61 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-12
Maturity Price : 19.10
Evaluated at bid price : 19.10
Bid-YTW : 6.44 %
Volume Highlights
Issue Index Shares
Traded		 Notes
SLF.PR.H FixedReset Ins Non 226,000 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-12
Maturity Price : 19.06
Evaluated at bid price : 19.06
Bid-YTW : 7.12 %
BMO.PR.S FixedReset Disc 147,000 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-12
Maturity Price : 21.12
Evaluated at bid price : 21.12
Bid-YTW : 7.17 %
RY.PR.J FixedReset Disc 123,000 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-12
Maturity Price : 19.75
Evaluated at bid price : 19.75
Bid-YTW : 7.85 %
FFH.PR.I FixedReset Disc 87,700 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-12
Maturity Price : 17.09
Evaluated at bid price : 17.09
Bid-YTW : 9.04 %
BN.PF.B FixedReset Disc 53,200 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-12
Maturity Price : 19.40
Evaluated at bid price : 19.40
Bid-YTW : 8.31 %
SLF.PR.G FixedReset Ins Non 50,000 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-12
Maturity Price : 15.18
Evaluated at bid price : 15.18
Bid-YTW : 8.00 %
There were 16 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
BIP.PR.A FixedReset Disc Quote: 15.39 – 18.80
Spot Rate : 3.4100
Average : 2.1979

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-12
Maturity Price : 15.39
Evaluated at bid price : 15.39
Bid-YTW : 11.37 %
IFC.PR.F Insurance Straight Quote: 18.90 – 20.82
Spot Rate : 1.9200
Average : 1.1276

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-12
Maturity Price : 18.90
Evaluated at bid price : 18.90
Bid-YTW : 7.14 %
TD.PF.B FixedReset Disc Quote: 20.60 – 21.48
Spot Rate : 0.8800
Average : 0.4992

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-12
Maturity Price : 20.60
Evaluated at bid price : 20.60
Bid-YTW : 7.26 %
NA.PR.E FixedReset Disc Quote: 22.05 – 22.99
Spot Rate : 0.9400
Average : 0.5679

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-12
Maturity Price : 21.71
Evaluated at bid price : 22.05
Bid-YTW : 7.01 %
MFC.PR.L FixedReset Ins Non Quote: 19.55 – 24.06
Spot Rate : 4.5100
Average : 4.1790

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-12
Maturity Price : 19.55
Evaluated at bid price : 19.55
Bid-YTW : 7.59 %
NA.PR.W FixedReset Disc Quote: 18.88 – 19.90
Spot Rate : 1.0200
Average : 0.7040

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-12
Maturity Price : 18.88
Evaluated at bid price : 18.88
Bid-YTW : 7.76 %