Category: Market Action

Market Action

February 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 0.5955 % 2,285.2
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.5955 % 4,383.0
Floater 10.66 % 10.90 % 51,329 8.80 2 0.5955 % 2,526.0
OpRet 0.00 % 0.00 % 0 0.00 0 0.1020 % 3,426.0
SplitShare 4.91 % 7.12 % 46,473 1.91 7 0.1020 % 4,091.3
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.1020 % 3,192.2
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 -0.1760 % 2,623.5
Perpetual-Discount 6.55 % 6.71 % 47,746 12.92 34 -0.1760 % 2,860.8
FixedReset Disc 5.62 % 7.77 % 116,948 11.95 59 0.0641 % 2,353.6
Insurance Straight 6.31 % 6.53 % 71,118 13.11 20 0.4607 % 2,868.7
FloatingReset 10.01 % 10.29 % 36,083 9.21 3 -0.2252 % 2,604.3
FixedReset Prem 6.94 % 6.69 % 169,108 3.29 1 0.5964 % 2,514.4
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 0.0641 % 2,405.9
FixedReset Ins Non 5.42 % 7.23 % 97,157 12.44 14 0.1438 % 2,621.0
Performance Highlights
Issue Index Change Notes
CU.PR.D Perpetual-Discount -14.91 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-09
Maturity Price : 16.38
Evaluated at bid price : 16.38
Bid-YTW : 7.51 %
PWF.PR.P FixedReset Disc -6.89 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-09
Maturity Price : 13.10
Evaluated at bid price : 13.10
Bid-YTW : 9.24 %
GWO.PR.Y Insurance Straight -3.66 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-09
Maturity Price : 17.10
Evaluated at bid price : 17.10
Bid-YTW : 6.69 %
MIC.PR.A Perpetual-Discount -3.17 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-09
Maturity Price : 18.30
Evaluated at bid price : 18.30
Bid-YTW : 7.51 %
BN.PF.I FixedReset Disc -1.72 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-09
Maturity Price : 20.00
Evaluated at bid price : 20.00
Bid-YTW : 8.94 %
PWF.PR.T FixedReset Disc -1.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-09
Maturity Price : 19.92
Evaluated at bid price : 19.92
Bid-YTW : 7.69 %
BN.PR.Z FixedReset Disc -1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-09
Maturity Price : 19.45
Evaluated at bid price : 19.45
Bid-YTW : 8.51 %
FFH.PR.I FixedReset Disc 1.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-09
Maturity Price : 16.90
Evaluated at bid price : 16.90
Bid-YTW : 9.13 %
NA.PR.S FixedReset Disc 1.33 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-09
Maturity Price : 20.55
Evaluated at bid price : 20.55
Bid-YTW : 7.46 %
SLF.PR.H FixedReset Ins Non 1.35 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-09
Maturity Price : 18.75
Evaluated at bid price : 18.75
Bid-YTW : 7.23 %
FFH.PR.G FixedReset Disc 1.43 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-09
Maturity Price : 16.30
Evaluated at bid price : 16.30
Bid-YTW : 9.10 %
CIU.PR.A Perpetual-Discount 1.52 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-09
Maturity Price : 17.31
Evaluated at bid price : 17.31
Bid-YTW : 6.67 %
IFC.PR.A FixedReset Ins Non 1.64 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-09
Maturity Price : 19.20
Evaluated at bid price : 19.20
Bid-YTW : 6.97 %
BN.PR.N Perpetual-Discount 1.69 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-09
Maturity Price : 17.42
Evaluated at bid price : 17.42
Bid-YTW : 6.93 %
BIP.PR.E FixedReset Disc 1.89 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-09
Maturity Price : 21.31
Evaluated at bid price : 21.60
Bid-YTW : 7.86 %
CM.PR.Q FixedReset Disc 2.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-09
Maturity Price : 19.75
Evaluated at bid price : 19.75
Bid-YTW : 7.79 %
POW.PR.C Perpetual-Discount 2.27 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-09
Maturity Price : 22.22
Evaluated at bid price : 22.50
Bid-YTW : 6.52 %
BMO.PR.Y FixedReset Disc 2.63 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-09
Maturity Price : 19.50
Evaluated at bid price : 19.50
Bid-YTW : 7.81 %
PWF.PR.H Perpetual-Discount 2.76 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-09
Maturity Price : 21.31
Evaluated at bid price : 21.58
Bid-YTW : 6.72 %
BIP.PR.A FixedReset Disc 3.25 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-09
Maturity Price : 17.81
Evaluated at bid price : 17.81
Bid-YTW : 9.85 %
GWO.PR.I Insurance Straight 4.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-09
Maturity Price : 17.80
Evaluated at bid price : 17.80
Bid-YTW : 6.42 %
SLF.PR.C Insurance Straight 6.63 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-09
Maturity Price : 19.30
Evaluated at bid price : 19.30
Bid-YTW : 5.85 %
Volume Highlights
Issue Index Shares
Traded		 Notes
RY.PR.J FixedReset Disc 80,150 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-09
Maturity Price : 19.68
Evaluated at bid price : 19.68
Bid-YTW : 7.87 %
GWO.PR.N FixedReset Ins Non 50,400 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-09
Maturity Price : 13.83
Evaluated at bid price : 13.83
Bid-YTW : 8.33 %
CU.PR.I FixedReset Disc 50,100 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-09
Maturity Price : 22.64
Evaluated at bid price : 23.00
Bid-YTW : 7.66 %
RY.PR.Z FixedReset Disc 41,152 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-09
Maturity Price : 20.88
Evaluated at bid price : 20.88
Bid-YTW : 7.10 %
IFC.PR.C FixedReset Ins Non 26,900 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-09
Maturity Price : 19.35
Evaluated at bid price : 19.35
Bid-YTW : 7.63 %
FFH.PR.I FixedReset Disc 25,394 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-09
Maturity Price : 16.90
Evaluated at bid price : 16.90
Bid-YTW : 9.13 %
There were 5 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: 16.38 – 19.24
Spot Rate : 2.8600
Average : 1.6066

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-09
Maturity Price : 16.38
Evaluated at bid price : 16.38
Bid-YTW : 7.51 %
MFC.PR.L FixedReset Ins Non Quote: 19.51 – 24.06
Spot Rate : 4.5500
Average : 3.8162

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-09
Maturity Price : 19.51
Evaluated at bid price : 19.51
Bid-YTW : 7.60 %
MIC.PR.A Perpetual-Discount Quote: 18.30 – 19.60
Spot Rate : 1.3000
Average : 0.8277

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-09
Maturity Price : 18.30
Evaluated at bid price : 18.30
Bid-YTW : 7.51 %
PWF.PR.P FixedReset Disc Quote: 13.10 – 14.55
Spot Rate : 1.4500
Average : 0.9935

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-09
Maturity Price : 13.10
Evaluated at bid price : 13.10
Bid-YTW : 9.24 %
GWO.PR.Y Insurance Straight Quote: 17.10 – 18.10
Spot Rate : 1.0000
Average : 0.6947

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-09
Maturity Price : 17.10
Evaluated at bid price : 17.10
Bid-YTW : 6.69 %
PVS.PR.K SplitShare Quote: 22.40 – 23.15
Spot Rate : 0.7500
Average : 0.4575

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2029-05-31
Maturity Price : 25.00
Evaluated at bid price : 22.40
Bid-YTW : 7.05 %
Market Action

February 8, 2024

TXPR closed at 565.92, down 0.50% on the day. Volume today was 1.82-million, near the median of the past 21 trading days.

CPD closed at 11.24, down 0.44% on the day. Volume was 99,110, second-highest of the past 21 trading days.

ZPR closed at 9.58, down 0.72% on the day. Volume was 45,590, second-lowest of the past 21 trading days.

Five-year Canada yields were up to 3.68%.

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 -0.1699 % 2,271.7
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.1699 % 4,357.1
Floater 10.72 % 10.95 % 52,066 8.78 2 -0.1699 % 2,511.0
OpRet 0.00 % 0.00 % 0 0.00 0 0.1803 % 3,422.5
SplitShare 4.92 % 7.27 % 48,279 1.92 7 0.1803 % 4,087.2
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.1803 % 3,189.0
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 -1.9987 % 2,628.1
Perpetual-Discount 6.54 % 6.71 % 49,429 12.92 34 -1.9987 % 2,865.8
FixedReset Disc 5.62 % 7.62 % 118,820 12.05 59 -0.3617 % 2,352.1
Insurance Straight 6.34 % 6.53 % 74,004 13.12 20 -0.8479 % 2,855.5
FloatingReset 10.00 % 10.30 % 36,174 9.25 3 -2.8624 % 2,610.2
FixedReset Prem 6.99 % 6.87 % 174,807 3.29 1 -0.3960 % 2,499.4
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 -0.3617 % 2,404.4
FixedReset Ins Non 5.43 % 7.23 % 100,565 12.51 14 -0.3858 % 2,617.2
Performance Highlights
Issue Index Change Notes
POW.PR.A Perpetual-Discount -6.68 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-08
Maturity Price : 20.25
Evaluated at bid price : 20.25
Bid-YTW : 7.01 %
FFH.PR.D FloatingReset -5.96 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-08
Maturity Price : 20.50
Evaluated at bid price : 20.50
Bid-YTW : 10.30 %
FFH.PR.G FixedReset Disc -5.47 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-08
Maturity Price : 16.07
Evaluated at bid price : 16.07
Bid-YTW : 9.12 %
GWO.PR.I Insurance Straight -5.37 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-08
Maturity Price : 17.10
Evaluated at bid price : 17.10
Bid-YTW : 6.69 %
BN.PR.N Perpetual-Discount -5.36 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-08
Maturity Price : 17.13
Evaluated at bid price : 17.13
Bid-YTW : 7.05 %
FFH.PR.I FixedReset Disc -4.84 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-08
Maturity Price : 16.70
Evaluated at bid price : 16.70
Bid-YTW : 9.13 %
CCS.PR.C Insurance Straight -4.78 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-08
Maturity Price : 18.52
Evaluated at bid price : 18.52
Bid-YTW : 6.86 %
FFH.PR.K FixedReset Disc -4.49 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-08
Maturity Price : 19.15
Evaluated at bid price : 19.15
Bid-YTW : 8.81 %
FFH.PR.C FixedReset Disc -3.78 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-08
Maturity Price : 20.11
Evaluated at bid price : 20.11
Bid-YTW : 8.40 %
PWF.PR.H Perpetual-Discount -3.71 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-08
Maturity Price : 21.00
Evaluated at bid price : 21.00
Bid-YTW : 6.92 %
BN.PR.M Perpetual-Discount -3.65 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-08
Maturity Price : 17.70
Evaluated at bid price : 17.70
Bid-YTW : 6.82 %
MIC.PR.A Perpetual-Discount -3.32 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-08
Maturity Price : 18.90
Evaluated at bid price : 18.90
Bid-YTW : 7.27 %
POW.PR.C Perpetual-Discount -3.30 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-08
Maturity Price : 21.75
Evaluated at bid price : 22.00
Bid-YTW : 6.67 %
CIU.PR.A Perpetual-Discount -3.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-08
Maturity Price : 17.05
Evaluated at bid price : 17.05
Bid-YTW : 6.77 %
BN.PF.D Perpetual-Discount -2.87 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-08
Maturity Price : 17.92
Evaluated at bid price : 17.92
Bid-YTW : 6.95 %
BIP.PR.E FixedReset Disc -2.62 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-08
Maturity Price : 21.20
Evaluated at bid price : 21.20
Bid-YTW : 7.96 %
IFC.PR.K Perpetual-Discount -2.55 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-08
Maturity Price : 20.28
Evaluated at bid price : 20.28
Bid-YTW : 6.58 %
BMO.PR.Y FixedReset Disc -2.31 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-08
Maturity Price : 19.00
Evaluated at bid price : 19.00
Bid-YTW : 7.92 %
PWF.PR.F Perpetual-Discount -2.24 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-08
Maturity Price : 19.66
Evaluated at bid price : 19.66
Bid-YTW : 6.74 %
PWF.PR.R Perpetual-Discount -2.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-08
Maturity Price : 20.47
Evaluated at bid price : 20.47
Bid-YTW : 6.79 %
PWF.PR.Z Perpetual-Discount -2.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-08
Maturity Price : 19.15
Evaluated at bid price : 19.15
Bid-YTW : 6.79 %
IFC.PR.A FixedReset Ins Non -2.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-08
Maturity Price : 18.89
Evaluated at bid price : 18.89
Bid-YTW : 7.00 %
PWF.PR.K Perpetual-Discount -2.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-08
Maturity Price : 18.46
Evaluated at bid price : 18.46
Bid-YTW : 6.77 %
PWF.PR.E Perpetual-Discount -2.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-08
Maturity Price : 20.62
Evaluated at bid price : 20.62
Bid-YTW : 6.74 %
POW.PR.G Perpetual-Discount -2.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-08
Maturity Price : 20.93
Evaluated at bid price : 20.93
Bid-YTW : 6.78 %
PWF.PR.L Perpetual-Discount -1.96 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-08
Maturity Price : 19.00
Evaluated at bid price : 19.00
Bid-YTW : 6.78 %
POW.PR.D Perpetual-Discount -1.92 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-08
Maturity Price : 18.95
Evaluated at bid price : 18.95
Bid-YTW : 6.68 %
MFC.PR.Q FixedReset Ins Non -1.86 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-08
Maturity Price : 21.77
Evaluated at bid price : 22.15
Bid-YTW : 7.00 %
POW.PR.B Perpetual-Discount -1.70 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-08
Maturity Price : 20.20
Evaluated at bid price : 20.20
Bid-YTW : 6.71 %
GWO.PR.Y Insurance Straight -1.66 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-08
Maturity Price : 17.75
Evaluated at bid price : 17.75
Bid-YTW : 6.44 %
NA.PR.S FixedReset Disc -1.60 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-08
Maturity Price : 20.28
Evaluated at bid price : 20.28
Bid-YTW : 7.46 %
PWF.PR.O Perpetual-Discount -1.59 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-08
Maturity Price : 21.44
Evaluated at bid price : 21.70
Bid-YTW : 6.74 %
PWF.PR.S Perpetual-Discount -1.58 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-08
Maturity Price : 18.01
Evaluated at bid price : 18.01
Bid-YTW : 6.73 %
CU.PR.F Perpetual-Discount -1.57 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-08
Maturity Price : 17.52
Evaluated at bid price : 17.52
Bid-YTW : 6.44 %
FTS.PR.J Perpetual-Discount -1.55 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-08
Maturity Price : 19.72
Evaluated at bid price : 19.72
Bid-YTW : 6.15 %
IFC.PR.F Insurance Straight -1.55 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-08
Maturity Price : 20.38
Evaluated at bid price : 20.38
Bid-YTW : 6.61 %
BIP.PR.A FixedReset Disc -1.48 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-08
Maturity Price : 17.25
Evaluated at bid price : 17.25
Bid-YTW : 10.06 %
MFC.PR.L FixedReset Ins Non -1.46 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-08
Maturity Price : 19.56
Evaluated at bid price : 19.56
Bid-YTW : 7.47 %
FFH.PR.M FixedReset Disc -1.45 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-08
Maturity Price : 21.87
Evaluated at bid price : 22.40
Bid-YTW : 8.37 %
RY.PR.O Perpetual-Discount -1.45 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-08
Maturity Price : 21.44
Evaluated at bid price : 21.73
Bid-YTW : 5.64 %
CU.PR.E Perpetual-Discount -1.35 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-08
Maturity Price : 19.00
Evaluated at bid price : 19.00
Bid-YTW : 6.47 %
FTS.PR.F Perpetual-Discount -1.34 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-08
Maturity Price : 20.60
Evaluated at bid price : 20.60
Bid-YTW : 6.07 %
CU.PR.J Perpetual-Discount -1.34 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-08
Maturity Price : 18.41
Evaluated at bid price : 18.41
Bid-YTW : 6.47 %
CM.PR.Q FixedReset Disc -1.28 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-08
Maturity Price : 19.35
Evaluated at bid price : 19.35
Bid-YTW : 7.85 %
ELF.PR.H Perpetual-Discount -1.19 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-08
Maturity Price : 21.31
Evaluated at bid price : 21.58
Bid-YTW : 6.44 %
MFC.PR.K FixedReset Ins Non -1.18 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-08
Maturity Price : 22.03
Evaluated at bid price : 22.55
Bid-YTW : 6.74 %
BN.PF.C Perpetual-Discount -1.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-08
Maturity Price : 17.75
Evaluated at bid price : 17.75
Bid-YTW : 6.95 %
CU.PR.C FixedReset Disc -1.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-08
Maturity Price : 19.05
Evaluated at bid price : 19.05
Bid-YTW : 7.68 %
MFC.PR.J FixedReset Ins Non -1.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-08
Maturity Price : 22.18
Evaluated at bid price : 22.75
Bid-YTW : 6.93 %
BN.PF.E FixedReset Disc -1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-08
Maturity Price : 16.25
Evaluated at bid price : 16.25
Bid-YTW : 9.30 %
FTS.PR.I FloatingReset -1.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-08
Maturity Price : 16.38
Evaluated at bid price : 16.38
Bid-YTW : 10.32 %
BMO.PR.E FixedReset Disc -1.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-08
Maturity Price : 23.05
Evaluated at bid price : 24.65
Bid-YTW : 6.50 %
GWO.PR.Q Insurance Straight -1.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-08
Maturity Price : 19.80
Evaluated at bid price : 19.80
Bid-YTW : 6.61 %
BN.PF.H FixedReset Disc 1.35 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-08
Maturity Price : 21.45
Evaluated at bid price : 21.80
Bid-YTW : 8.61 %
BN.PF.G FixedReset Disc 3.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-08
Maturity Price : 17.05
Evaluated at bid price : 17.05
Bid-YTW : 9.12 %
BN.PF.F FixedReset Disc 3.93 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-08
Maturity Price : 18.76
Evaluated at bid price : 18.76
Bid-YTW : 8.65 %
SLF.PR.H FixedReset Ins Non 5.71 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-08
Maturity Price : 18.50
Evaluated at bid price : 18.50
Bid-YTW : 7.23 %
BN.PR.R FixedReset Disc 9.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-08
Maturity Price : 15.05
Evaluated at bid price : 15.05
Bid-YTW : 9.14 %
Volume Highlights
Issue Index Shares
Traded		 Notes
BMO.PR.F FixedReset Disc 221,513 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-08
Maturity Price : 23.88
Evaluated at bid price : 24.69
Bid-YTW : 7.21 %
NA.PR.W FixedReset Disc 51,824 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-08
Maturity Price : 19.01
Evaluated at bid price : 19.01
Bid-YTW : 7.60 %
FFH.PR.K FixedReset Disc 34,433 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-08
Maturity Price : 19.15
Evaluated at bid price : 19.15
Bid-YTW : 8.81 %
FFH.PR.D FloatingReset 28,753 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-08
Maturity Price : 20.50
Evaluated at bid price : 20.50
Bid-YTW : 10.30 %
NA.PR.E FixedReset Disc 28,700 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-08
Maturity Price : 21.67
Evaluated at bid price : 22.00
Bid-YTW : 6.95 %
PWF.PR.E Perpetual-Discount 28,292 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-08
Maturity Price : 20.62
Evaluated at bid price : 20.62
Bid-YTW : 6.74 %
There were 20 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: 19.56 – 24.06
Spot Rate : 4.5000
Average : 3.0116

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-08
Maturity Price : 19.56
Evaluated at bid price : 19.56
Bid-YTW : 7.47 %
BN.PF.F FixedReset Disc Quote: 18.76 – 22.00
Spot Rate : 3.2400
Average : 1.9893

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-08
Maturity Price : 18.76
Evaluated at bid price : 18.76
Bid-YTW : 8.65 %
CM.PR.O FixedReset Disc Quote: 20.45 – 22.15
Spot Rate : 1.7000
Average : 1.0676

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-08
Maturity Price : 20.45
Evaluated at bid price : 20.45
Bid-YTW : 7.22 %
POW.PR.A Perpetual-Discount Quote: 20.25 – 21.52
Spot Rate : 1.2700
Average : 0.7384

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-08
Maturity Price : 20.25
Evaluated at bid price : 20.25
Bid-YTW : 7.01 %
FFH.PR.I FixedReset Disc Quote: 16.70 – 17.90
Spot Rate : 1.2000
Average : 0.7173

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-08
Maturity Price : 16.70
Evaluated at bid price : 16.70
Bid-YTW : 9.13 %
CCS.PR.C Insurance Straight Quote: 18.52 – 19.48
Spot Rate : 0.9600
Average : 0.5961

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-08
Maturity Price : 18.52
Evaluated at bid price : 18.52
Bid-YTW : 6.86 %
Market Action

February 7, 2024

PerpetualDiscounts now yield 6.55%, equivalent to 8.52% interest at the standard equivalency factor of 1.3x. Long corporates yielded 5.23% on 2024-2-6 and since then the closing price has changed from 15.08 to 15.06, an increase of 13bp in price, with a Duration (BMO doesn’t specify Modified or Macaulay – I will assume the former) of 12.23 implying a decrease of 1bp in yield to 5.22%, so the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) has narrowed to 330bp from the 340bp reported January 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 0.3409 % 2,275.5
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.3409 % 4,364.5
Floater 10.70 % 10.94 % 52,383 8.78 2 0.3409 % 2,515.3
OpRet 0.00 % 0.00 % 0 0.00 0 0.0842 % 3,416.3
SplitShare 4.93 % 7.26 % 47,756 1.92 7 0.0842 % 4,079.8
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0842 % 3,183.2
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 -0.0295 % 2,681.7
Perpetual-Discount 6.40 % 6.55 % 49,096 13.12 34 -0.0295 % 2,924.3
FixedReset Disc 5.60 % 7.59 % 119,071 12.14 59 -0.4287 % 2,360.7
Insurance Straight 6.29 % 6.49 % 73,925 13.18 20 0.2682 % 2,880.0
FloatingReset 9.71 % 10.09 % 36,424 9.41 3 0.3109 % 2,687.1
FixedReset Prem 6.96 % 6.74 % 177,027 3.30 1 -0.5906 % 2,509.4
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 -0.4287 % 2,413.1
FixedReset Ins Non 5.41 % 7.36 % 97,856 12.52 14 -0.5735 % 2,627.4
Performance Highlights
Issue Index Change Notes
BN.PR.R FixedReset Disc -9.80 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-07
Maturity Price : 13.80
Evaluated at bid price : 13.80
Bid-YTW : 9.93 %
SLF.PR.H FixedReset Ins Non -7.89 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-07
Maturity Price : 17.50
Evaluated at bid price : 17.50
Bid-YTW : 7.62 %
SLF.PR.C Insurance Straight -5.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-07
Maturity Price : 18.00
Evaluated at bid price : 18.00
Bid-YTW : 6.28 %
BN.PF.G FixedReset Disc -4.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-07
Maturity Price : 16.53
Evaluated at bid price : 16.53
Bid-YTW : 9.40 %
BN.PF.H FixedReset Disc -3.97 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-07
Maturity Price : 21.51
Evaluated at bid price : 21.51
Bid-YTW : 8.73 %
CU.PR.H Perpetual-Discount -3.36 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-07
Maturity Price : 20.40
Evaluated at bid price : 20.40
Bid-YTW : 6.45 %
BN.PF.I FixedReset Disc -3.29 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-07
Maturity Price : 20.31
Evaluated at bid price : 20.31
Bid-YTW : 8.73 %
PWF.PR.P FixedReset Disc -2.35 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-07
Maturity Price : 14.11
Evaluated at bid price : 14.11
Bid-YTW : 8.49 %
GWO.PR.N FixedReset Ins Non -2.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-07
Maturity Price : 14.00
Evaluated at bid price : 14.00
Bid-YTW : 8.11 %
BN.PF.F FixedReset Disc -1.80 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-07
Maturity Price : 18.05
Evaluated at bid price : 18.05
Bid-YTW : 8.99 %
FTS.PR.M FixedReset Disc -1.51 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-07
Maturity Price : 18.86
Evaluated at bid price : 18.86
Bid-YTW : 8.09 %
BN.PR.T FixedReset Disc -1.41 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-07
Maturity Price : 15.35
Evaluated at bid price : 15.35
Bid-YTW : 8.98 %
FFH.PR.I FixedReset Disc -1.40 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-07
Maturity Price : 17.55
Evaluated at bid price : 17.55
Bid-YTW : 8.70 %
GWO.PR.T Insurance Straight -1.24 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-07
Maturity Price : 19.85
Evaluated at bid price : 19.85
Bid-YTW : 6.59 %
PWF.PF.A Perpetual-Discount -1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-07
Maturity Price : 17.40
Evaluated at bid price : 17.40
Bid-YTW : 6.53 %
TD.PF.B FixedReset Disc 1.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-07
Maturity Price : 21.48
Evaluated at bid price : 21.48
Bid-YTW : 6.86 %
BN.PF.A FixedReset Disc 1.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-07
Maturity Price : 21.28
Evaluated at bid price : 21.28
Bid-YTW : 7.88 %
BN.PF.D Perpetual-Discount 1.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-07
Maturity Price : 18.45
Evaluated at bid price : 18.45
Bid-YTW : 6.75 %
BN.PR.M Perpetual-Discount 1.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-07
Maturity Price : 18.37
Evaluated at bid price : 18.37
Bid-YTW : 6.57 %
FTS.PR.F Perpetual-Discount 1.36 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-07
Maturity Price : 20.88
Evaluated at bid price : 20.88
Bid-YTW : 5.99 %
CIU.PR.A Perpetual-Discount 1.56 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-07
Maturity Price : 17.62
Evaluated at bid price : 17.62
Bid-YTW : 6.55 %
IFC.PR.A FixedReset Ins Non 2.77 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-07
Maturity Price : 19.30
Evaluated at bid price : 19.30
Bid-YTW : 6.85 %
GWO.PR.Y Insurance Straight 5.56 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-07
Maturity Price : 18.05
Evaluated at bid price : 18.05
Bid-YTW : 6.33 %
GWO.PR.I Insurance Straight 5.67 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-07
Maturity Price : 18.07
Evaluated at bid price : 18.07
Bid-YTW : 6.32 %
Volume Highlights
Issue Index Shares
Traded		 Notes
PWF.PR.T FixedReset Disc 88,300 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-07
Maturity Price : 20.25
Evaluated at bid price : 20.25
Bid-YTW : 7.46 %
BN.PR.M Perpetual-Discount 73,400 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-07
Maturity Price : 18.37
Evaluated at bid price : 18.37
Bid-YTW : 6.57 %
SLF.PR.G FixedReset Ins Non 73,100 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-07
Maturity Price : 15.17
Evaluated at bid price : 15.17
Bid-YTW : 7.88 %
MFC.PR.K FixedReset Ins Non 63,200 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-07
Maturity Price : 22.19
Evaluated at bid price : 22.82
Bid-YTW : 6.65 %
BMO.PR.E FixedReset Disc 54,690 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-07
Maturity Price : 23.14
Evaluated at bid price : 24.90
Bid-YTW : 6.42 %
IFC.PR.A FixedReset Ins Non 53,700 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-07
Maturity Price : 19.30
Evaluated at bid price : 19.30
Bid-YTW : 6.85 %
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: 17.50 – 19.24
Spot Rate : 1.7400
Average : 1.0821

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-07
Maturity Price : 17.50
Evaluated at bid price : 17.50
Bid-YTW : 7.62 %
BN.PR.R FixedReset Disc Quote: 13.80 – 15.65
Spot Rate : 1.8500
Average : 1.3387

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-07
Maturity Price : 13.80
Evaluated at bid price : 13.80
Bid-YTW : 9.93 %
SLF.PR.C Insurance Straight Quote: 18.00 – 19.50
Spot Rate : 1.5000
Average : 1.0026

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-07
Maturity Price : 18.00
Evaluated at bid price : 18.00
Bid-YTW : 6.28 %
BN.PF.H FixedReset Disc Quote: 21.51 – 22.60
Spot Rate : 1.0900
Average : 0.7367

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-07
Maturity Price : 21.51
Evaluated at bid price : 21.51
Bid-YTW : 8.73 %
CU.PR.E Perpetual-Discount Quote: 19.26 – 20.95
Spot Rate : 1.6900
Average : 1.4188

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-07
Maturity Price : 19.26
Evaluated at bid price : 19.26
Bid-YTW : 6.38 %
BN.PF.G FixedReset Disc Quote: 16.53 – 17.69
Spot Rate : 1.1600
Average : 0.9274

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-07
Maturity Price : 16.53
Evaluated at bid price : 16.53
Bid-YTW : 9.40 %
Market Action

February 6, 2024

HIMIPref™ Preferred Indices
These values reflect the December 2008 revision of the HIMIPref™ Indices
Values are provisional and are finalized monthly
Index Mean
Current
Yield
(at bid)		 Median
YTW		 Median
Average
Trading
Value		 Median
Mod Dur
(YTW)		 Issues Day’s Perf. Index Value
Ratchet 0.00 % 0.00 % 0 0.00 0 -0.3397 % 2,267.8
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.3397 % 4,349.7
Floater 10.74 % 10.95 % 54,207 8.78 2 -0.3397 % 2,506.7
OpRet 0.00 % 0.00 % 0 0.00 0 0.1265 % 3,413.4
SplitShare 4.93 % 7.29 % 48,363 1.92 7 0.1265 % 4,076.4
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.1265 % 3,180.6
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 -0.3334 % 2,682.5
Perpetual-Discount 6.40 % 6.58 % 50,849 13.09 34 -0.3334 % 2,925.1
FixedReset Disc 5.57 % 7.65 % 117,619 12.09 59 -0.1625 % 2,370.8
Insurance Straight 6.31 % 6.52 % 69,516 13.14 20 -0.8356 % 2,872.3
FloatingReset 9.74 % 10.14 % 36,092 9.38 3 0.9788 % 2,678.8
FixedReset Prem 6.92 % 6.55 % 177,227 3.30 1 -0.1180 % 2,524.3
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 -0.1625 % 2,423.5
FixedReset Ins Non 5.38 % 7.05 % 101,336 12.57 14 -0.2441 % 2,642.5
Performance Highlights
Issue Index Change Notes
GWO.PR.Y Insurance Straight -5.94 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-06
Maturity Price : 17.10
Evaluated at bid price : 17.10
Bid-YTW : 6.69 %
GWO.PR.I Insurance Straight -5.52 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-06
Maturity Price : 17.10
Evaluated at bid price : 17.10
Bid-YTW : 6.69 %
BIP.PR.A FixedReset Disc -3.33 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-06
Maturity Price : 17.40
Evaluated at bid price : 17.40
Bid-YTW : 9.97 %
CIU.PR.A Perpetual-Discount -2.91 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-06
Maturity Price : 17.35
Evaluated at bid price : 17.35
Bid-YTW : 6.65 %
BN.PF.A FixedReset Disc -2.18 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-06
Maturity Price : 21.05
Evaluated at bid price : 21.05
Bid-YTW : 7.97 %
CU.PR.C FixedReset Disc -2.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-06
Maturity Price : 19.10
Evaluated at bid price : 19.10
Bid-YTW : 7.65 %
BIP.PR.F FixedReset Disc -2.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-06
Maturity Price : 20.56
Evaluated at bid price : 20.56
Bid-YTW : 8.05 %
BN.PR.R FixedReset Disc -1.92 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-06
Maturity Price : 15.30
Evaluated at bid price : 15.30
Bid-YTW : 8.99 %
BN.PR.M Perpetual-Discount -1.89 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-06
Maturity Price : 18.16
Evaluated at bid price : 18.16
Bid-YTW : 6.64 %
PWF.PR.S Perpetual-Discount -1.78 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-06
Maturity Price : 18.20
Evaluated at bid price : 18.20
Bid-YTW : 6.66 %
IFC.PR.C FixedReset Ins Non -1.67 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-06
Maturity Price : 19.42
Evaluated at bid price : 19.42
Bid-YTW : 7.52 %
TD.PF.B FixedReset Disc -1.62 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-06
Maturity Price : 21.25
Evaluated at bid price : 21.25
Bid-YTW : 6.94 %
BMO.PR.Y FixedReset Disc -1.51 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-06
Maturity Price : 19.60
Evaluated at bid price : 19.60
Bid-YTW : 7.68 %
CU.PR.D Perpetual-Discount -1.38 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-06
Maturity Price : 19.25
Evaluated at bid price : 19.25
Bid-YTW : 6.38 %
RY.PR.J FixedReset Disc -1.34 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-06
Maturity Price : 19.83
Evaluated at bid price : 19.83
Bid-YTW : 7.72 %
RY.PR.M FixedReset Disc -1.24 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-06
Maturity Price : 19.11
Evaluated at bid price : 19.11
Bid-YTW : 7.68 %
TD.PF.E FixedReset Disc -1.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-06
Maturity Price : 20.10
Evaluated at bid price : 20.10
Bid-YTW : 7.66 %
GWO.PR.S Insurance Straight -1.21 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-06
Maturity Price : 20.34
Evaluated at bid price : 20.34
Bid-YTW : 6.56 %
CU.PR.F Perpetual-Discount -1.17 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-06
Maturity Price : 17.80
Evaluated at bid price : 17.80
Bid-YTW : 6.34 %
FTS.PR.G FixedReset Disc -1.17 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-06
Maturity Price : 21.20
Evaluated at bid price : 21.20
Bid-YTW : 7.07 %
BN.PF.C Perpetual-Discount -1.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-06
Maturity Price : 18.05
Evaluated at bid price : 18.05
Bid-YTW : 6.83 %
POW.PR.C Perpetual-Discount -1.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-06
Maturity Price : 22.49
Evaluated at bid price : 22.75
Bid-YTW : 6.44 %
BN.PR.Z FixedReset Disc -1.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-06
Maturity Price : 19.61
Evaluated at bid price : 19.61
Bid-YTW : 8.36 %
BN.PR.K Floater -1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-06
Maturity Price : 11.68
Evaluated at bid price : 11.68
Bid-YTW : 11.06 %
PVS.PR.K SplitShare 1.10 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2029-05-31
Maturity Price : 25.00
Evaluated at bid price : 22.15
Bid-YTW : 7.29 %
MFC.PR.L FixedReset Ins Non 1.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-06
Maturity Price : 19.85
Evaluated at bid price : 19.85
Bid-YTW : 7.36 %
RY.PR.O Perpetual-Discount 1.24 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-06
Maturity Price : 21.71
Evaluated at bid price : 22.00
Bid-YTW : 5.57 %
BN.PF.I FixedReset Disc 1.40 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-06
Maturity Price : 21.00
Evaluated at bid price : 21.00
Bid-YTW : 8.45 %
NA.PR.S FixedReset Disc 1.58 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-06
Maturity Price : 20.60
Evaluated at bid price : 20.60
Bid-YTW : 7.34 %
FTS.PR.I FloatingReset 1.91 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-06
Maturity Price : 16.56
Evaluated at bid price : 16.56
Bid-YTW : 10.20 %
PWF.PR.P FixedReset Disc 2.70 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-06
Maturity Price : 14.45
Evaluated at bid price : 14.45
Bid-YTW : 8.30 %
CU.PR.H Perpetual-Discount 3.48 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-06
Maturity Price : 21.11
Evaluated at bid price : 21.11
Bid-YTW : 6.23 %
BN.PR.X FixedReset Disc 7.31 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-06
Maturity Price : 16.00
Evaluated at bid price : 16.00
Bid-YTW : 8.29 %
Volume Highlights
Issue Index Shares
Traded		 Notes
TD.PF.C FixedReset Disc 82,542 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-06
Maturity Price : 19.80
Evaluated at bid price : 19.80
Bid-YTW : 7.33 %
RY.PR.S FixedReset Disc 75,901 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-06
Maturity Price : 22.01
Evaluated at bid price : 22.55
Bid-YTW : 6.64 %
MFC.PR.N FixedReset Ins Non 70,689 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-06
Maturity Price : 19.16
Evaluated at bid price : 19.16
Bid-YTW : 7.63 %
SLF.PR.G FixedReset Ins Non 60,100 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-06
Maturity Price : 15.16
Evaluated at bid price : 15.16
Bid-YTW : 7.88 %
TD.PF.L FixedReset Disc 58,516 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-06
Maturity Price : 23.91
Evaluated at bid price : 24.77
Bid-YTW : 6.98 %
RY.PR.Z FixedReset Disc 57,257 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-06
Maturity Price : 20.70
Evaluated at bid price : 20.70
Bid-YTW : 7.06 %
There were 25 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: 19.85 – 24.06
Spot Rate : 4.2100
Average : 2.7936

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-06
Maturity Price : 19.85
Evaluated at bid price : 19.85
Bid-YTW : 7.36 %
CU.PR.E Perpetual-Discount Quote: 19.45 – 20.95
Spot Rate : 1.5000
Average : 1.1214

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-06
Maturity Price : 19.45
Evaluated at bid price : 19.45
Bid-YTW : 6.32 %
GWO.PR.I Insurance Straight Quote: 17.10 – 18.30
Spot Rate : 1.2000
Average : 0.8936

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-06
Maturity Price : 17.10
Evaluated at bid price : 17.10
Bid-YTW : 6.69 %
GWO.PR.Y Insurance Straight Quote: 17.10 – 18.10
Spot Rate : 1.0000
Average : 0.7228

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-06
Maturity Price : 17.10
Evaluated at bid price : 17.10
Bid-YTW : 6.69 %
CIU.PR.A Perpetual-Discount Quote: 17.35 – 17.99
Spot Rate : 0.6400
Average : 0.4101

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-06
Maturity Price : 17.35
Evaluated at bid price : 17.35
Bid-YTW : 6.65 %
BN.PR.M Perpetual-Discount Quote: 18.16 – 19.00
Spot Rate : 0.8400
Average : 0.6296

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-06
Maturity Price : 18.16
Evaluated at bid price : 18.16
Bid-YTW : 6.64 %
Market Action

February 5, 2024

Bonds got hammered again:

In an interview aired on Sunday, Powell said more evidence on a sustainable downtrend in inflation was needed to warrant lower rates, while Minneapolis Fed President Neel Kashkari wrote in an essay published on Monday that a resilient economy could defer rate cuts for some time.

Fresh data from the Institute for Supply Management showed the U.S. services sector’s growth picked up in January, with a measure of input prices rising to an 11-month high.

This added to doubts about rate cuts, already kindled by Friday’s data, which signaled the labour market’s resilience in the face of tight credit conditions.

Adding pressure was the Treasury market, with both U.S. and Canadian 10-year yields up sharply for a second straight trading day and hitting their highest level since late January.

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 % 2,275.5
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.0000 % 4,364.5
Floater 10.70 % 10.94 % 34,239 8.79 2 0.0000 % 2,515.3
OpRet 0.00 % 0.00 % 0 0.00 0 -0.2343 % 3,409.1
SplitShare 4.94 % 7.32 % 50,343 1.92 7 -0.2343 % 4,071.2
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.2343 % 3,176.5
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 -0.0367 % 2,691.5
Perpetual-Discount 6.38 % 6.54 % 51,424 13.14 34 -0.0367 % 2,934.9
FixedReset Disc 5.56 % 7.57 % 119,372 12.19 59 0.1751 % 2,374.7
Insurance Straight 6.25 % 6.46 % 69,760 13.23 20 0.0226 % 2,896.5
FloatingReset 9.84 % 10.21 % 36,573 9.32 3 -0.6604 % 2,652.8
FixedReset Prem 6.91 % 6.51 % 175,660 3.31 1 -0.2745 % 2,527.3
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 0.1751 % 2,427.4
FixedReset Ins Non 5.36 % 7.05 % 102,551 12.57 14 0.0401 % 2,649.0
Performance Highlights
Issue Index Change Notes
CU.PR.H Perpetual-Discount -4.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-05
Maturity Price : 20.40
Evaluated at bid price : 20.40
Bid-YTW : 6.45 %
IFC.PR.I Insurance Straight -3.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-05
Maturity Price : 21.00
Evaluated at bid price : 21.00
Bid-YTW : 6.53 %
BN.PF.I FixedReset Disc -2.54 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-05
Maturity Price : 20.71
Evaluated at bid price : 20.71
Bid-YTW : 8.56 %
GWO.PR.G Insurance Straight -2.18 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-05
Maturity Price : 20.20
Evaluated at bid price : 20.20
Bid-YTW : 6.54 %
CM.PR.Q FixedReset Disc -2.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-05
Maturity Price : 19.60
Evaluated at bid price : 19.60
Bid-YTW : 7.75 %
NA.PR.S FixedReset Disc -1.93 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-05
Maturity Price : 20.28
Evaluated at bid price : 20.28
Bid-YTW : 7.46 %
PVS.PR.K SplitShare -1.84 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2029-05-31
Maturity Price : 25.00
Evaluated at bid price : 21.91
Bid-YTW : 7.53 %
TD.PF.D FixedReset Disc -1.66 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-05
Maturity Price : 20.11
Evaluated at bid price : 20.11
Bid-YTW : 7.64 %
FTS.PR.I FloatingReset -1.57 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-05
Maturity Price : 16.25
Evaluated at bid price : 16.25
Bid-YTW : 10.40 %
IFC.PR.A FixedReset Ins Non -1.51 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-05
Maturity Price : 18.96
Evaluated at bid price : 18.96
Bid-YTW : 6.97 %
BN.PF.C Perpetual-Discount -1.35 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-05
Maturity Price : 18.26
Evaluated at bid price : 18.26
Bid-YTW : 6.75 %
BIP.PR.F FixedReset Disc 1.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-05
Maturity Price : 21.00
Evaluated at bid price : 21.00
Bid-YTW : 7.72 %
FTS.PR.F Perpetual-Discount 1.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-05
Maturity Price : 20.65
Evaluated at bid price : 20.65
Bid-YTW : 6.05 %
FFH.PR.K FixedReset Disc 1.25 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-05
Maturity Price : 20.25
Evaluated at bid price : 20.25
Bid-YTW : 8.34 %
SLF.PR.G FixedReset Ins Non 1.27 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-05
Maturity Price : 15.14
Evaluated at bid price : 15.14
Bid-YTW : 7.89 %
MFC.PR.N FixedReset Ins Non 1.32 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-05
Maturity Price : 19.20
Evaluated at bid price : 19.20
Bid-YTW : 7.61 %
TD.PF.A FixedReset Disc 1.33 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-05
Maturity Price : 20.55
Evaluated at bid price : 20.55
Bid-YTW : 7.08 %
CU.PR.D Perpetual-Discount 1.40 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-05
Maturity Price : 19.52
Evaluated at bid price : 19.52
Bid-YTW : 6.29 %
RY.PR.N Perpetual-Discount 2.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-05
Maturity Price : 21.71
Evaluated at bid price : 22.00
Bid-YTW : 5.57 %
BN.PR.R FixedReset Disc 2.97 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-05
Maturity Price : 15.60
Evaluated at bid price : 15.60
Bid-YTW : 8.83 %
BIP.PR.A FixedReset Disc 3.45 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-05
Maturity Price : 18.00
Evaluated at bid price : 18.00
Bid-YTW : 9.64 %
GWO.PR.I Insurance Straight 5.85 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-05
Maturity Price : 18.10
Evaluated at bid price : 18.10
Bid-YTW : 6.31 %
BN.PF.H FixedReset Disc 6.77 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-05
Maturity Price : 22.24
Evaluated at bid price : 22.55
Bid-YTW : 8.32 %
Volume Highlights
Issue Index Shares
Traded		 Notes
BMO.PR.S FixedReset Disc 145,000 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-05
Maturity Price : 21.17
Evaluated at bid price : 21.17
Bid-YTW : 7.04 %
FTS.PR.J Perpetual-Discount 97,900 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-05
Maturity Price : 19.95
Evaluated at bid price : 19.95
Bid-YTW : 6.08 %
BMO.PR.W FixedReset Disc 95,000 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-05
Maturity Price : 19.25
Evaluated at bid price : 19.25
Bid-YTW : 7.50 %
TD.PF.A FixedReset Disc 78,900 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-05
Maturity Price : 20.55
Evaluated at bid price : 20.55
Bid-YTW : 7.08 %
NA.PR.W FixedReset Disc 76,700 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-05
Maturity Price : 18.95
Evaluated at bid price : 18.95
Bid-YTW : 7.62 %
RY.PR.Z FixedReset Disc 70,300 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-05
Maturity Price : 20.55
Evaluated at bid price : 20.55
Bid-YTW : 7.11 %
There were 23 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
CM.PR.O FixedReset Disc Quote: 20.35 – 22.15
Spot Rate : 1.8000
Average : 1.0031

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-05
Maturity Price : 20.35
Evaluated at bid price : 20.35
Bid-YTW : 7.25 %
BN.PR.R FixedReset Disc Quote: 15.60 – 17.50
Spot Rate : 1.9000
Average : 1.2476

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-05
Maturity Price : 15.60
Evaluated at bid price : 15.60
Bid-YTW : 8.83 %
PWF.PR.Z Perpetual-Discount Quote: 19.61 – 20.70
Spot Rate : 1.0900
Average : 0.6583

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-05
Maturity Price : 19.61
Evaluated at bid price : 19.61
Bid-YTW : 6.63 %
IFC.PR.I Insurance Straight Quote: 21.00 – 21.95
Spot Rate : 0.9500
Average : 0.6786

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-05
Maturity Price : 21.00
Evaluated at bid price : 21.00
Bid-YTW : 6.53 %
CU.PR.H Perpetual-Discount Quote: 20.40 – 21.66
Spot Rate : 1.2600
Average : 0.9970

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-05
Maturity Price : 20.40
Evaluated at bid price : 20.40
Bid-YTW : 6.45 %
NA.PR.S FixedReset Disc Quote: 20.28 – 20.90
Spot Rate : 0.6200
Average : 0.3732

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-05
Maturity Price : 20.28
Evaluated at bid price : 20.28
Bid-YTW : 7.46 %
Market Action

February 2, 2024

Jobs, jobs, jobs!:

The United States produced an unexpectedly sizable batch of jobs last month, a boon for American workers that shows the labor market retains remarkable strength after three years of expansion.

Employers added 353,000 jobs in January on a seasonally adjusted basis, the Labor Department reported on Friday, and the unemployment rate remained at 3.7 percent.

The report also put an even shinier gloss on job growth for 2023, including revisions that added more than 100,000 to the figure previously tallied for December. All told, employers added 3.1 million jobs last year, more than the 2.7 million initially reported.

So bonds got hammered:

The U.S. added 353,000 jobs in January, blasting past analysts’ estimates, while wage growth unexpectedly heated up, the Labor Department reported.

The added signs of economic vigor made it more likely that the U.S. central bank will delay cutting its key policy rate until much later than many had hoped. Fed Chair Jerome Powell on Wednesday pushed back against the notion of a March rate cut.

Financial markets are pricing in a 20.5% likelihood of a 25 basis point rate cut at the Fed’s March meeting, down from 69.6% a month ago, according to CME’s FedWatch tool.
…
U.S. Treasury yields surged, with the 10-year Treasury yield marking its largest one-day advance since Sept. 2022.
…
The 10-year Treasury note yield was up 16.3 basis points to 4.026%, one day after reaching a new 2024 low. On the week, however, the 10-year was still down 29.7 basis points, the largest weekly decline since the week of Dec. 11.

Canadian bond yields were also sharply higher, with the closely watched five-year bond yield up 15 basis points.
…
Implied interest rate probabilities in the swaps market, which capture bets for future monetary policy moves, now suggest only about a 25 per cent chance of a Bank of Canada rate cut at its April 10 meeting, down from 36 per cent prior the 0830 am ET jobs report. Earlier this week, prior to Canada releasing an unexpectedly strong gross domestic product reading, those odds were pegged at near 50-50.

A 69 per cent chance of a quarter-point interest rate cut is now priced in for the June 5 policy meeting, down from 82 per cent. The market is putting near-zero odds on a cut at the bank’s next meeting in March.

The market is still pricing in BoC cuts totaling nearly a full percentage point by year-end.

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 0.2128 % 2,275.5
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.2128 % 4,364.5
Floater 10.70 % 10.93 % 34,553 8.81 2 0.2128 % 2,515.3
OpRet 0.00 % 0.00 % 0 0.00 0 -0.2517 % 3,417.1
SplitShare 4.93 % 7.10 % 49,196 1.93 7 -0.2517 % 4,080.8
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.2517 % 3,184.0
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 -0.0777 % 2,692.5
Perpetual-Discount 6.38 % 6.54 % 50,916 13.15 34 -0.0777 % 2,936.0
FixedReset Disc 5.57 % 7.49 % 120,898 12.22 59 0.0083 % 2,370.5
Insurance Straight 6.26 % 6.45 % 70,295 13.24 20 -0.4448 % 2,895.8
FloatingReset 10.06 % 10.25 % 31,223 9.24 5 0.0666 % 2,670.5
FixedReset Prem 6.89 % 6.41 % 173,792 3.32 1 0.0000 % 2,534.2
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 0.0083 % 2,423.2
FixedReset Ins Non 5.37 % 7.00 % 101,367 12.59 14 0.2229 % 2,647.9
Performance Highlights
Issue Index Change Notes
GWO.PR.I Insurance Straight -5.58 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-02
Maturity Price : 17.10
Evaluated at bid price : 17.10
Bid-YTW : 6.68 %
BIP.PR.A FixedReset Disc -3.44 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-02
Maturity Price : 17.40
Evaluated at bid price : 17.40
Bid-YTW : 9.91 %
BN.PF.G FixedReset Disc -2.31 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-02
Maturity Price : 17.31
Evaluated at bid price : 17.31
Bid-YTW : 8.92 %
CU.PR.I FixedReset Disc -1.84 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-02
Maturity Price : 22.60
Evaluated at bid price : 22.95
Bid-YTW : 7.56 %
PVS.PR.K SplitShare -1.76 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2029-05-31
Maturity Price : 25.00
Evaluated at bid price : 22.32
Bid-YTW : 7.10 %
BIP.PR.F FixedReset Disc -1.66 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-02
Maturity Price : 20.75
Evaluated at bid price : 20.75
Bid-YTW : 7.94 %
BMO.PR.S FixedReset Disc -1.64 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-02
Maturity Price : 21.05
Evaluated at bid price : 21.05
Bid-YTW : 7.03 %
SLF.PR.D Insurance Straight -1.61 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-02
Maturity Price : 18.92
Evaluated at bid price : 18.92
Bid-YTW : 5.96 %
PWF.PR.G Perpetual-Discount -1.57 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-02
Maturity Price : 22.24
Evaluated at bid price : 22.51
Bid-YTW : 6.60 %
BN.PF.F FixedReset Disc -1.35 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-02
Maturity Price : 18.25
Evaluated at bid price : 18.25
Bid-YTW : 8.83 %
CU.PR.G Perpetual-Discount -1.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-02
Maturity Price : 17.93
Evaluated at bid price : 17.93
Bid-YTW : 6.29 %
FFH.PR.F FloatingReset -1.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-02
Maturity Price : 17.30
Evaluated at bid price : 17.30
Bid-YTW : 10.75 %
TD.PF.E FixedReset Disc -1.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-02
Maturity Price : 20.45
Evaluated at bid price : 20.45
Bid-YTW : 7.49 %
GWO.PR.Y Insurance Straight 1.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-02
Maturity Price : 18.10
Evaluated at bid price : 18.10
Bid-YTW : 6.31 %
SLF.PR.G FixedReset Ins Non 1.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-02
Maturity Price : 14.95
Evaluated at bid price : 14.95
Bid-YTW : 7.92 %
MFC.PR.M FixedReset Ins Non 1.25 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-02
Maturity Price : 19.45
Evaluated at bid price : 19.45
Bid-YTW : 7.60 %
BN.PR.T FixedReset Disc 1.31 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-02
Maturity Price : 15.50
Evaluated at bid price : 15.50
Bid-YTW : 8.84 %
FFH.PR.C FixedReset Disc 1.46 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-02
Maturity Price : 20.90
Evaluated at bid price : 20.90
Bid-YTW : 8.03 %
BN.PF.J FixedReset Disc 1.46 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-02
Maturity Price : 20.85
Evaluated at bid price : 20.85
Bid-YTW : 7.99 %
MIC.PR.A Perpetual-Discount 1.51 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-02
Maturity Price : 19.50
Evaluated at bid price : 19.50
Bid-YTW : 7.03 %
CM.PR.Q FixedReset Disc 1.88 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-02
Maturity Price : 20.00
Evaluated at bid price : 20.00
Bid-YTW : 7.55 %
BIP.PR.E FixedReset Disc 2.35 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-02
Maturity Price : 21.49
Evaluated at bid price : 21.75
Bid-YTW : 7.70 %
BN.PF.I FixedReset Disc 3.66 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-02
Maturity Price : 21.25
Evaluated at bid price : 21.25
Bid-YTW : 8.31 %
CU.PR.H Perpetual-Discount 4.41 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-02
Maturity Price : 21.30
Evaluated at bid price : 21.30
Bid-YTW : 6.17 %
PWF.PR.P FixedReset Disc 7.40 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-02
Maturity Price : 14.07
Evaluated at bid price : 14.07
Bid-YTW : 8.45 %
Volume Highlights
Issue Index Shares
Traded		 Notes
CM.PR.Q FixedReset Disc 124,550 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-02
Maturity Price : 20.00
Evaluated at bid price : 20.00
Bid-YTW : 7.55 %
BMO.PR.Y FixedReset Disc 111,100 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-02
Maturity Price : 19.75
Evaluated at bid price : 19.75
Bid-YTW : 7.57 %
RY.PR.J FixedReset Disc 95,800 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-02
Maturity Price : 20.00
Evaluated at bid price : 20.00
Bid-YTW : 7.60 %
SLF.PR.G FixedReset Ins Non 62,700 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-02
Maturity Price : 14.95
Evaluated at bid price : 14.95
Bid-YTW : 7.92 %
RY.PR.Z FixedReset Disc 59,580 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-02
Maturity Price : 20.43
Evaluated at bid price : 20.43
Bid-YTW : 7.10 %
FTS.PR.M FixedReset Disc 52,500 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-02
Maturity Price : 19.10
Evaluated at bid price : 19.10
Bid-YTW : 7.93 %
There were 17 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
BN.PF.F FixedReset Disc Quote: 18.25 – 22.00
Spot Rate : 3.7500
Average : 2.2416

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-02
Maturity Price : 18.25
Evaluated at bid price : 18.25
Bid-YTW : 8.83 %
GWO.PR.I Insurance Straight Quote: 17.10 – 18.40
Spot Rate : 1.3000
Average : 0.7963

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-02
Maturity Price : 17.10
Evaluated at bid price : 17.10
Bid-YTW : 6.68 %
BIP.PR.A FixedReset Disc Quote: 17.40 – 18.51
Spot Rate : 1.1100
Average : 0.6718

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-02
Maturity Price : 17.40
Evaluated at bid price : 17.40
Bid-YTW : 9.91 %
MFC.PR.L FixedReset Ins Non Quote: 19.55 – 21.00
Spot Rate : 1.4500
Average : 1.0989

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-02
Maturity Price : 19.55
Evaluated at bid price : 19.55
Bid-YTW : 7.42 %
BN.PF.H FixedReset Disc Quote: 21.12 – 22.60
Spot Rate : 1.4800
Average : 1.1471

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-02
Maturity Price : 21.12
Evaluated at bid price : 21.12
Bid-YTW : 8.84 %
GWO.PR.Q Insurance Straight Quote: 20.16 – 21.48
Spot Rate : 1.3200
Average : 1.0817

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-02
Maturity Price : 20.16
Evaluated at bid price : 20.16
Bid-YTW : 6.48 %
Market Action

February 1, 2024

TXPR closed at 573.33, up 0.86% on the day. Volume today was 3.40-million, second-highest of the past 21 trading days.

CPD closed at 11.46, up 1.33% on the day. Volume was 113,640, highest of the past 21 trading days.

ZPR closed at 9.72, up 0.41% on the day. Volume was 117,890, near the median of the past 21 trading days.

Five-year Canada yields were down to 3.38%.

The G&M comments:

A raft of economic data showed rising productivity helping to cap U.S. labour costs, while an increase in announced layoffs and weekly U.S. jobless claims provided further evidence of softening in the labour market, which is viewed by the Fed as a precondition to assuring a sustainable downward path for inflation. U.S. manufacturing stabilized in January amid a rebound in new orders, while Canadian manufacturing data also offered encouragement. It showed a slowdown in the pace of contraction in the sector as inflation pressures eased and firms grew more confident about the outlook.

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 0.7719 % 2,270.7
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.7719 % 4,355.2
Floater 10.72 % 10.97 % 34,188 8.78 2 0.7719 % 2,509.9
OpRet 0.00 % 0.00 % 0 0.00 0 0.2343 % 3,425.8
SplitShare 4.91 % 7.22 % 48,879 1.93 7 0.2343 % 4,091.1
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.2343 % 3,192.0
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 0.5828 % 2,694.6
Perpetual-Discount 6.37 % 6.49 % 52,792 13.21 34 0.5828 % 2,938.3
FixedReset Disc 5.57 % 7.47 % 120,718 12.12 59 0.3441 % 2,370.3
Insurance Straight 6.23 % 6.42 % 70,847 13.29 20 0.1677 % 2,908.7
FloatingReset 10.07 % 10.35 % 29,460 9.23 5 0.1445 % 2,668.7
FixedReset Prem 6.89 % 6.41 % 175,284 3.32 1 -0.1566 % 2,534.2
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 0.3441 % 2,423.0
FixedReset Ins Non 5.38 % 7.03 % 102,564 12.60 14 0.7138 % 2,642.0
Performance Highlights
Issue Index Change Notes
PWF.PR.P FixedReset Disc -6.76 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-01
Maturity Price : 13.10
Evaluated at bid price : 13.10
Bid-YTW : 9.03 %
BN.PF.H FixedReset Disc -5.50 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-01
Maturity Price : 21.12
Evaluated at bid price : 21.12
Bid-YTW : 8.84 %
BN.PR.X FixedReset Disc -3.50 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-01
Maturity Price : 14.91
Evaluated at bid price : 14.91
Bid-YTW : 8.83 %
GWO.PR.N FixedReset Ins Non -1.73 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-01
Maturity Price : 14.16
Evaluated at bid price : 14.16
Bid-YTW : 7.95 %
FTS.PR.K FixedReset Disc -1.18 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-01
Maturity Price : 19.27
Evaluated at bid price : 19.27
Bid-YTW : 7.46 %
GWO.PR.Y Insurance Straight -1.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-01
Maturity Price : 17.92
Evaluated at bid price : 17.92
Bid-YTW : 6.37 %
PWF.PR.O Perpetual-Discount 1.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-01
Maturity Price : 21.98
Evaluated at bid price : 22.22
Bid-YTW : 6.57 %
CU.PR.G Perpetual-Discount 1.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-01
Maturity Price : 18.14
Evaluated at bid price : 18.14
Bid-YTW : 6.21 %
BMO.PR.Y FixedReset Disc 1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-01
Maturity Price : 19.76
Evaluated at bid price : 19.76
Bid-YTW : 7.56 %
MIC.PR.A Perpetual-Discount 1.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-01
Maturity Price : 19.21
Evaluated at bid price : 19.21
Bid-YTW : 7.14 %
IFC.PR.C FixedReset Ins Non 1.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-01
Maturity Price : 19.96
Evaluated at bid price : 19.96
Bid-YTW : 7.27 %
FTS.PR.M FixedReset Disc 1.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-01
Maturity Price : 19.00
Evaluated at bid price : 19.00
Bid-YTW : 7.97 %
POW.PR.D Perpetual-Discount 1.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-01
Maturity Price : 19.50
Evaluated at bid price : 19.50
Bid-YTW : 6.48 %
PWF.PR.G Perpetual-Discount 1.19 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-01
Maturity Price : 22.62
Evaluated at bid price : 22.87
Bid-YTW : 6.49 %
SLF.PR.D Insurance Straight 1.21 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-01
Maturity Price : 19.23
Evaluated at bid price : 19.23
Bid-YTW : 5.86 %
CM.PR.P FixedReset Disc 1.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-01
Maturity Price : 18.90
Evaluated at bid price : 18.90
Bid-YTW : 7.56 %
BMO.PR.T FixedReset Disc 1.27 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-01
Maturity Price : 19.97
Evaluated at bid price : 19.97
Bid-YTW : 7.24 %
BN.PR.N Perpetual-Discount 1.33 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-01
Maturity Price : 18.24
Evaluated at bid price : 18.24
Bid-YTW : 6.61 %
CU.PR.J Perpetual-Discount 1.34 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-01
Maturity Price : 18.92
Evaluated at bid price : 18.92
Bid-YTW : 6.29 %
FTS.PR.G FixedReset Disc 1.52 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-01
Maturity Price : 21.43
Evaluated at bid price : 21.43
Bid-YTW : 6.95 %
BN.PF.C Perpetual-Discount 1.64 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-01
Maturity Price : 18.55
Evaluated at bid price : 18.55
Bid-YTW : 6.63 %
BN.PF.F FixedReset Disc 1.65 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-01
Maturity Price : 18.50
Evaluated at bid price : 18.50
Bid-YTW : 8.70 %
BN.PF.D Perpetual-Discount 1.74 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-01
Maturity Price : 18.68
Evaluated at bid price : 18.68
Bid-YTW : 6.66 %
BN.PR.M Perpetual-Discount 1.80 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-01
Maturity Price : 18.68
Evaluated at bid price : 18.68
Bid-YTW : 6.45 %
CIU.PR.A Perpetual-Discount 1.99 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-01
Maturity Price : 17.95
Evaluated at bid price : 17.95
Bid-YTW : 6.42 %
CU.PR.I FixedReset Disc 2.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-01
Maturity Price : 23.01
Evaluated at bid price : 23.38
Bid-YTW : 7.42 %
BN.PF.G FixedReset Disc 2.43 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-01
Maturity Price : 17.72
Evaluated at bid price : 17.72
Bid-YTW : 8.72 %
BIP.PR.F FixedReset Disc 2.93 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-01
Maturity Price : 21.10
Evaluated at bid price : 21.10
Bid-YTW : 7.80 %
NA.PR.W FixedReset Disc 3.57 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-01
Maturity Price : 18.85
Evaluated at bid price : 18.85
Bid-YTW : 7.60 %
BMO.PR.W FixedReset Disc 7.94 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-01
Maturity Price : 19.16
Evaluated at bid price : 19.16
Bid-YTW : 7.48 %
IFC.PR.A FixedReset Ins Non 8.60 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-01
Maturity Price : 19.44
Evaluated at bid price : 19.44
Bid-YTW : 6.76 %
Volume Highlights
Issue Index Shares
Traded		 Notes
TD.PF.J FixedReset Disc 215,396 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-01
Maturity Price : 21.66
Evaluated at bid price : 21.99
Bid-YTW : 7.01 %
CM.PR.S FixedReset Disc 164,427 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-01
Maturity Price : 21.85
Evaluated at bid price : 21.85
Bid-YTW : 6.91 %
PWF.PR.P FixedReset Disc 106,100 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-01
Maturity Price : 13.10
Evaluated at bid price : 13.10
Bid-YTW : 9.03 %
RY.PR.H FixedReset Disc 90,116 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-01
Maturity Price : 19.80
Evaluated at bid price : 19.80
Bid-YTW : 7.33 %
TD.PF.B FixedReset Disc 89,300 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-01
Maturity Price : 21.45
Evaluated at bid price : 21.45
Bid-YTW : 6.81 %
TD.PF.L FixedReset Disc 86,266 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-01
Maturity Price : 23.91
Evaluated at bid price : 24.76
Bid-YTW : 6.93 %
There were 37 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
MFC.PR.F FixedReset Ins Non Quote: 15.06 – 19.38
Spot Rate : 4.3200
Average : 2.4164

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-01
Maturity Price : 15.06
Evaluated at bid price : 15.06
Bid-YTW : 7.65 %
FTS.PR.M FixedReset Disc Quote: 19.00 – 21.22
Spot Rate : 2.2200
Average : 1.2726

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-01
Maturity Price : 19.00
Evaluated at bid price : 19.00
Bid-YTW : 7.97 %
BIP.PR.E FixedReset Disc Quote: 21.25 – 22.90
Spot Rate : 1.6500
Average : 1.1011

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-01
Maturity Price : 21.25
Evaluated at bid price : 21.25
Bid-YTW : 7.89 %
BN.PF.H FixedReset Disc Quote: 21.12 – 22.45
Spot Rate : 1.3300
Average : 0.7821

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-01
Maturity Price : 21.12
Evaluated at bid price : 21.12
Bid-YTW : 8.84 %
CU.PR.H Perpetual-Discount Quote: 20.40 – 22.05
Spot Rate : 1.6500
Average : 1.1787

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-01
Maturity Price : 20.40
Evaluated at bid price : 20.40
Bid-YTW : 6.45 %
PWF.PR.P FixedReset Disc Quote: 13.10 – 14.74
Spot Rate : 1.6400
Average : 1.1730

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-01
Maturity Price : 13.10
Evaluated at bid price : 13.10
Bid-YTW : 9.03 %
Market Action

January 31, 2024

There were no surprises from the Fed:

Recent indicators suggest that economic activity has been expanding at a solid pace. Job gains have moderated since early last year but remain strong, and the unemployment rate has remained low. Inflation has eased over the past year but remains elevated.

The Committee seeks to achieve maximum employment and inflation at the rate of 2 percent over the longer run. The Committee judges that the risks to achieving its employment and inflation goals are moving into better balance. The economic outlook is uncertain, and the Committee remains highly attentive to inflation risks.

In support of its goals, the Committee decided to maintain the target range for the federal funds rate at 5-1/4 to 5-1/2 percent. In considering any adjustments to the target range for the federal funds rate, the Committee will carefully assess incoming data, the evolving outlook, and the balance of risks. The Committee does not expect it will be appropriate to reduce the target range until it has gained greater confidence that inflation is moving sustainably toward 2 percent. In addition, the Committee will continue reducing its holdings of Treasury securities and agency debt and agency mortgage-backed securities, as described in its previously announced plans. The Committee is strongly committed to returning inflation to its 2 percent objective.

In assessing the appropriate stance of monetary policy, the Committee will continue to monitor the implications of incoming information for the economic outlook. The Committee would be prepared to adjust the stance of monetary policy as appropriate if risks emerge that could impede the attainment of the Committee’s goals. The Committee’s assessments will take into account a wide range of information, including readings on labor market conditions, inflation pressures and inflation expectations, and financial and international developments.

Voting for the monetary policy action were Jerome H. Powell, Chair; John C. Williams, Vice Chair; Thomas I. Barkin; Michael S. Barr; Raphael W. Bostic; Michelle W. Bowman; Lisa D. Cook; Mary C. Daly; Philip N. Jefferson; Adriana D. Kugler; Loretta J. Mester; and Christopher J. Waller.

PerpetualDiscounts now yield 6.56%, equivalent to 8.53% interest at the standard equivalency factor of 1.3x. Long corporates yielded 5.21% on 2024-1-30 and since then the closing price has changed from 14.97 to 15.10, an increase of 87bp in price, with a Duration (BMO doesn’t specify Modified or Macaulay – I will assume the former) of 12.24 implying a decrease of 7bp in yield to 5.14%, so the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) has narrowed to 340bp from the 350bp reported January 24.

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 0.2580 % 2,253.3
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.2580 % 4,321.9
Floater 10.81 % 11.05 % 34,367 8.73 2 0.2580 % 2,490.7
OpRet 0.00 % 0.00 % 0 0.00 0 0.1022 % 3,417.8
SplitShare 4.93 % 7.25 % 50,888 1.94 7 0.1022 % 4,081.5
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.1022 % 3,184.6
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 -0.0560 % 2,678.9
Perpetual-Discount 6.41 % 6.56 % 50,496 13.14 34 -0.0560 % 2,921.3
FixedReset Disc 5.59 % 7.51 % 120,807 12.23 59 -0.2712 % 2,362.2
Insurance Straight 6.24 % 6.42 % 68,690 13.29 20 0.3113 % 2,903.9
FloatingReset 10.08 % 10.43 % 29,307 9.17 5 0.0334 % 2,664.8
FixedReset Prem 6.88 % 6.35 % 174,281 3.32 1 0.1569 % 2,538.2
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 -0.2712 % 2,414.7
FixedReset Ins Non 5.42 % 7.34 % 100,613 12.51 14 -0.3228 % 2,623.3
Performance Highlights
Issue Index Change Notes
BMO.PR.W FixedReset Disc -8.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-31
Maturity Price : 17.75
Evaluated at bid price : 17.75
Bid-YTW : 8.07 %
IFC.PR.A FixedReset Ins Non -5.49 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-31
Maturity Price : 17.90
Evaluated at bid price : 17.90
Bid-YTW : 7.34 %
NA.PR.W FixedReset Disc -4.21 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-31
Maturity Price : 18.20
Evaluated at bid price : 18.20
Bid-YTW : 7.87 %
CU.PR.H Perpetual-Discount -3.28 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-31
Maturity Price : 20.40
Evaluated at bid price : 20.40
Bid-YTW : 6.44 %
TD.PF.A FixedReset Disc -1.71 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-31
Maturity Price : 20.10
Evaluated at bid price : 20.10
Bid-YTW : 7.18 %
SLF.PR.J FloatingReset -1.48 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-31
Maturity Price : 15.97
Evaluated at bid price : 15.97
Bid-YTW : 10.43 %
BMO.PR.T FixedReset Disc -1.40 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-31
Maturity Price : 19.72
Evaluated at bid price : 19.72
Bid-YTW : 7.33 %
BN.PF.I FixedReset Disc -1.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-31
Maturity Price : 20.50
Evaluated at bid price : 20.50
Bid-YTW : 8.60 %
BN.PF.H FixedReset Disc -1.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-31
Maturity Price : 22.06
Evaluated at bid price : 22.35
Bid-YTW : 8.35 %
CU.PR.G Perpetual-Discount 1.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-31
Maturity Price : 17.96
Evaluated at bid price : 17.96
Bid-YTW : 6.27 %
SLF.PR.C Insurance Straight 1.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-31
Maturity Price : 19.15
Evaluated at bid price : 19.15
Bid-YTW : 5.89 %
BMO.PR.E FixedReset Disc 1.46 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-31
Maturity Price : 23.16
Evaluated at bid price : 24.96
Bid-YTW : 6.36 %
CU.PR.F Perpetual-Discount 1.56 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-31
Maturity Price : 18.00
Evaluated at bid price : 18.00
Bid-YTW : 6.26 %
FTS.PR.I FloatingReset 2.51 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-31
Maturity Price : 16.35
Evaluated at bid price : 16.35
Bid-YTW : 10.33 %
IFC.PR.I Insurance Straight 2.86 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-31
Maturity Price : 21.60
Evaluated at bid price : 21.60
Bid-YTW : 6.34 %
CU.PR.D Perpetual-Discount 3.45 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-31
Maturity Price : 19.37
Evaluated at bid price : 19.37
Bid-YTW : 6.33 %
BN.PR.X FixedReset Disc 3.62 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-31
Maturity Price : 15.45
Evaluated at bid price : 15.45
Bid-YTW : 8.52 %
Volume Highlights
Issue Index Shares
Traded		 Notes
NA.PR.C FixedReset Prem 319,588 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2027-11-15
Maturity Price : 25.00
Evaluated at bid price : 25.54
Bid-YTW : 6.35 %
TD.PF.I FixedReset Disc 171,600 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2027-10-31
Maturity Price : 25.00
Evaluated at bid price : 24.92
Bid-YTW : 6.45 %
TD.PF.C FixedReset Disc 169,530 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-31
Maturity Price : 19.85
Evaluated at bid price : 19.85
Bid-YTW : 7.24 %
TD.PF.J FixedReset Disc 163,181 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-31
Maturity Price : 21.64
Evaluated at bid price : 21.95
Bid-YTW : 7.02 %
CM.PR.S FixedReset Disc 159,225 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-31
Maturity Price : 21.75
Evaluated at bid price : 21.75
Bid-YTW : 6.94 %
TD.PF.B FixedReset Disc 151,288 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-31
Maturity Price : 21.45
Evaluated at bid price : 21.45
Bid-YTW : 6.81 %
TD.PF.M FixedReset Disc 130,025 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-31
Maturity Price : 24.01
Evaluated at bid price : 24.66
Bid-YTW : 7.22 %
NA.PR.S FixedReset Disc 106,881 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-31
Maturity Price : 20.55
Evaluated at bid price : 20.55
Bid-YTW : 7.30 %
There were 21 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
TD.PF.A FixedReset Disc Quote: 20.10 – 23.45
Spot Rate : 3.3500
Average : 2.4753

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-31
Maturity Price : 20.10
Evaluated at bid price : 20.10
Bid-YTW : 7.18 %
BMO.PR.W FixedReset Disc Quote: 17.75 – 19.45
Spot Rate : 1.7000
Average : 1.0554

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-31
Maturity Price : 17.75
Evaluated at bid price : 17.75
Bid-YTW : 8.07 %
IFC.PR.A FixedReset Ins Non Quote: 17.90 – 19.40
Spot Rate : 1.5000
Average : 1.0220

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-31
Maturity Price : 17.90
Evaluated at bid price : 17.90
Bid-YTW : 7.34 %
BIP.PR.E FixedReset Disc Quote: 21.20 – 22.01
Spot Rate : 0.8100
Average : 0.4993

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-31
Maturity Price : 21.20
Evaluated at bid price : 21.20
Bid-YTW : 7.91 %
MIC.PR.A Perpetual-Discount Quote: 19.01 – 19.80
Spot Rate : 0.7900
Average : 0.5099

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-31
Maturity Price : 19.01
Evaluated at bid price : 19.01
Bid-YTW : 7.21 %
GWO.PR.Y Insurance Straight Quote: 18.11 – 19.00
Spot Rate : 0.8900
Average : 0.6360

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-31
Maturity Price : 18.11
Evaluated at bid price : 18.11
Bid-YTW : 6.30 %
Market Action

January 30, 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 0.1291 % 2,247.5
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.1291 % 4,310.7
Floater 10.83 % 11.05 % 34,104 8.73 2 0.1291 % 2,484.3
OpRet 0.00 % 0.00 % 0 0.00 0 -0.0180 % 3,414.3
SplitShare 4.93 % 7.27 % 50,935 1.94 7 -0.0180 % 4,077.4
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.0180 % 3,181.3
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 0.2676 % 2,680.4
Perpetual-Discount 6.41 % 6.57 % 50,353 13.11 34 0.2676 % 2,922.9
FixedReset Disc 5.54 % 7.46 % 119,103 12.13 59 0.5780 % 2,368.6
Insurance Straight 6.26 % 6.44 % 76,031 13.25 20 0.7003 % 2,894.9
FloatingReset 10.08 % 10.55 % 29,244 9.08 5 -0.0222 % 2,663.9
FixedReset Prem 6.89 % 6.40 % 161,286 3.32 1 0.1190 % 2,534.2
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 0.5780 % 2,421.2
FixedReset Ins Non 5.40 % 7.05 % 100,600 12.53 14 0.4976 % 2,631.8
Performance Highlights
Issue Index Change Notes
CU.PR.D Perpetual-Discount -2.71 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-30
Maturity Price : 19.02
Evaluated at bid price : 19.02
Bid-YTW : 6.57 %
PVS.PR.K SplitShare -1.67 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2029-05-31
Maturity Price : 25.00
Evaluated at bid price : 22.32
Bid-YTW : 7.09 %
CCS.PR.C Insurance Straight -1.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-30
Maturity Price : 19.31
Evaluated at bid price : 19.31
Bid-YTW : 6.57 %
GWO.PR.H Insurance Straight 1.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-30
Maturity Price : 19.11
Evaluated at bid price : 19.11
Bid-YTW : 6.43 %
GWO.PR.Y Insurance Straight 1.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-30
Maturity Price : 18.15
Evaluated at bid price : 18.15
Bid-YTW : 6.28 %
GWO.PR.I Insurance Straight 1.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-30
Maturity Price : 18.00
Evaluated at bid price : 18.00
Bid-YTW : 6.34 %
NA.PR.S FixedReset Disc 1.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-30
Maturity Price : 20.48
Evaluated at bid price : 20.48
Bid-YTW : 7.32 %
PWF.PF.A Perpetual-Discount 1.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-30
Maturity Price : 17.80
Evaluated at bid price : 17.80
Bid-YTW : 6.37 %
CU.PR.J Perpetual-Discount 1.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-30
Maturity Price : 18.93
Evaluated at bid price : 18.93
Bid-YTW : 6.40 %
PVS.PR.J SplitShare 1.29 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2028-02-29
Maturity Price : 25.00
Evaluated at bid price : 22.70
Bid-YTW : 7.27 %
BN.PF.H FixedReset Disc 1.35 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-30
Maturity Price : 22.29
Evaluated at bid price : 22.60
Bid-YTW : 8.25 %
TD.PF.B FixedReset Disc 1.42 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-30
Maturity Price : 21.45
Evaluated at bid price : 21.45
Bid-YTW : 6.81 %
RY.PR.N Perpetual-Discount 1.46 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-30
Maturity Price : 21.50
Evaluated at bid price : 21.50
Bid-YTW : 5.71 %
BMO.PR.S FixedReset Disc 1.47 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-30
Maturity Price : 21.38
Evaluated at bid price : 21.38
Bid-YTW : 6.92 %
SLF.PR.D Insurance Straight 1.70 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-30
Maturity Price : 19.09
Evaluated at bid price : 19.09
Bid-YTW : 5.90 %
BN.PF.F FixedReset Disc 1.72 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-30
Maturity Price : 18.31
Evaluated at bid price : 18.31
Bid-YTW : 8.79 %
BN.PF.B FixedReset Disc 1.73 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-30
Maturity Price : 19.41
Evaluated at bid price : 19.41
Bid-YTW : 8.12 %
FFH.PR.K FixedReset Disc 1.78 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-30
Maturity Price : 20.05
Evaluated at bid price : 20.05
Bid-YTW : 8.37 %
CM.PR.O FixedReset Disc 1.84 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-30
Maturity Price : 19.91
Evaluated at bid price : 19.91
Bid-YTW : 7.36 %
BMO.PR.W FixedReset Disc 1.85 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-30
Maturity Price : 19.30
Evaluated at bid price : 19.30
Bid-YTW : 7.42 %
MFC.PR.C Insurance Straight 1.88 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-30
Maturity Price : 19.00
Evaluated at bid price : 19.00
Bid-YTW : 6.01 %
GWO.PR.G Insurance Straight 2.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-30
Maturity Price : 20.60
Evaluated at bid price : 20.60
Bid-YTW : 6.40 %
BMO.PR.T FixedReset Disc 2.25 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-30
Maturity Price : 20.00
Evaluated at bid price : 20.00
Bid-YTW : 7.23 %
IFC.PR.A FixedReset Ins Non 3.50 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-30
Maturity Price : 18.94
Evaluated at bid price : 18.94
Bid-YTW : 6.93 %
NA.PR.W FixedReset Disc 4.40 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-30
Maturity Price : 19.00
Evaluated at bid price : 19.00
Bid-YTW : 7.54 %
SLF.PR.C Insurance Straight 5.52 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-30
Maturity Price : 18.92
Evaluated at bid price : 18.92
Bid-YTW : 5.96 %
Volume Highlights
Issue Index Shares
Traded		 Notes
TD.PF.J FixedReset Disc 213,600 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-30
Maturity Price : 21.65
Evaluated at bid price : 21.97
Bid-YTW : 7.01 %
CM.PR.P FixedReset Disc 101,901 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-30
Maturity Price : 18.55
Evaluated at bid price : 18.55
Bid-YTW : 7.70 %
SLF.PR.H FixedReset Ins Non 100,600 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-30
Maturity Price : 19.00
Evaluated at bid price : 19.00
Bid-YTW : 7.00 %
CM.PR.O FixedReset Disc 96,580 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-30
Maturity Price : 19.91
Evaluated at bid price : 19.91
Bid-YTW : 7.36 %
BMO.PR.W FixedReset Disc 91,900 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-30
Maturity Price : 19.30
Evaluated at bid price : 19.30
Bid-YTW : 7.42 %
RY.PR.Z FixedReset Disc 83,466 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-30
Maturity Price : 20.35
Evaluated at bid price : 20.35
Bid-YTW : 7.12 %
There were 22 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: 21.97 – 23.72
Spot Rate : 1.7500
Average : 0.9937

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-30
Maturity Price : 21.65
Evaluated at bid price : 21.97
Bid-YTW : 7.01 %
BN.PR.Z FixedReset Disc Quote: 19.75 – 20.84
Spot Rate : 1.0900
Average : 0.6945

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-30
Maturity Price : 19.75
Evaluated at bid price : 19.75
Bid-YTW : 8.25 %
MFC.PR.L FixedReset Ins Non Quote: 19.51 – 21.00
Spot Rate : 1.4900
Average : 1.1651

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-30
Maturity Price : 19.51
Evaluated at bid price : 19.51
Bid-YTW : 7.43 %
GWO.PR.Q Insurance Straight Quote: 20.10 – 21.28
Spot Rate : 1.1800
Average : 0.9476

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-30
Maturity Price : 20.10
Evaluated at bid price : 20.10
Bid-YTW : 6.50 %
CU.PR.D Perpetual-Discount Quote: 19.02 – 19.72
Spot Rate : 0.7000
Average : 0.5208

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-30
Maturity Price : 19.02
Evaluated at bid price : 19.02
Bid-YTW : 6.57 %
MFC.PR.Q FixedReset Ins Non Quote: 22.50 – 23.00
Spot Rate : 0.5000
Average : 0.3562

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-30
Maturity Price : 22.01
Evaluated at bid price : 22.50
Bid-YTW : 6.84 %
Market Action

January 29, 2024

TXPR closed at 569.54, up 0.51% on the day. Volume today was 1.69-million, above the median of the past 21 trading days.

CPD closed at 11.25, unchanged on the day. Volume was 84,000, above the median of the past 21 trading days.

ZPR closed at 9.64, down 0.31% on the day. Volume was 113,450, near the median of the past 21 trading days.

Five-year Canada yields were down to 3.54%.

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 -1.4007 % 2,244.6
FixedFloater 0.00 % 0.00 % 0 0.00 0 -1.4007 % 4,305.2
Floater 10.85 % 11.08 % 35,244 8.71 2 -1.4007 % 2,481.1
OpRet 0.00 % 0.00 % 0 0.00 0 0.0060 % 3,414.9
SplitShare 4.93 % 7.31 % 53,029 1.94 7 0.0060 % 4,078.1
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0060 % 3,181.9
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 -0.1226 % 2,673.3
Perpetual-Discount 6.42 % 6.55 % 51,882 13.11 34 -0.1226 % 2,915.1
FixedReset Disc 5.57 % 7.52 % 120,075 12.11 59 0.0582 % 2,355.0
Insurance Straight 6.30 % 6.48 % 69,996 13.21 20 -0.3502 % 2,874.7
FloatingReset 10.08 % 10.49 % 29,144 9.13 5 0.0890 % 2,664.5
FixedReset Prem 6.46 % 6.39 % 163,112 3.33 2 -0.0198 % 2,531.2
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 0.0582 % 2,407.3
FixedReset Ins Non 5.43 % 7.17 % 96,362 12.51 14 0.0664 % 2,618.8
Performance Highlights
Issue Index Change Notes
SLF.PR.C Insurance Straight -6.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-29
Maturity Price : 17.93
Evaluated at bid price : 17.93
Bid-YTW : 6.29 %
BN.PR.X FixedReset Disc -3.81 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-29
Maturity Price : 14.91
Evaluated at bid price : 14.91
Bid-YTW : 8.82 %
RY.PR.N Perpetual-Discount -2.93 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-29
Maturity Price : 21.19
Evaluated at bid price : 21.19
Bid-YTW : 5.80 %
PWF.PR.P FixedReset Disc -2.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-29
Maturity Price : 14.06
Evaluated at bid price : 14.06
Bid-YTW : 8.44 %
IFC.PR.A FixedReset Ins Non -1.88 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-29
Maturity Price : 18.30
Evaluated at bid price : 18.30
Bid-YTW : 7.17 %
NA.PR.W FixedReset Disc -1.62 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-29
Maturity Price : 18.20
Evaluated at bid price : 18.20
Bid-YTW : 7.87 %
BIP.PR.B FixedReset Disc -1.62 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-29
Maturity Price : 22.77
Evaluated at bid price : 23.12
Bid-YTW : 8.48 %
BN.PR.K Floater -1.44 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-29
Maturity Price : 11.63
Evaluated at bid price : 11.63
Bid-YTW : 11.08 %
BN.PR.B Floater -1.36 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-29
Maturity Price : 11.60
Evaluated at bid price : 11.60
Bid-YTW : 11.11 %
GWO.PR.G Insurance Straight -1.32 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-29
Maturity Price : 20.18
Evaluated at bid price : 20.18
Bid-YTW : 6.53 %
GWO.PR.I Insurance Straight -1.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-29
Maturity Price : 17.80
Evaluated at bid price : 17.80
Bid-YTW : 6.41 %
RY.PR.O Perpetual-Discount -1.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-29
Maturity Price : 21.31
Evaluated at bid price : 21.60
Bid-YTW : 5.67 %
CCS.PR.C Insurance Straight -1.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-29
Maturity Price : 19.55
Evaluated at bid price : 19.55
Bid-YTW : 6.48 %
RY.PR.H FixedReset Disc -1.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-29
Maturity Price : 19.70
Evaluated at bid price : 19.70
Bid-YTW : 7.36 %
BMO.PR.F FixedReset Disc 1.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-29
Maturity Price : 23.85
Evaluated at bid price : 24.65
Bid-YTW : 7.17 %
BN.PF.H FixedReset Disc 1.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-29
Maturity Price : 21.80
Evaluated at bid price : 22.30
Bid-YTW : 8.35 %
BMO.PR.S FixedReset Disc 1.24 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-29
Maturity Price : 21.07
Evaluated at bid price : 21.07
Bid-YTW : 7.02 %
BMO.PR.E FixedReset Disc 1.31 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-29
Maturity Price : 23.09
Evaluated at bid price : 24.75
Bid-YTW : 6.42 %
CU.PR.C FixedReset Disc 1.32 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-29
Maturity Price : 20.00
Evaluated at bid price : 20.00
Bid-YTW : 7.40 %
MFC.PR.B Insurance Straight 1.47 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-29
Maturity Price : 19.30
Evaluated at bid price : 19.30
Bid-YTW : 6.12 %
SLF.PR.J FloatingReset 1.56 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-29
Maturity Price : 16.26
Evaluated at bid price : 16.26
Bid-YTW : 10.23 %
CM.PR.Q FixedReset Disc 1.57 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-29
Maturity Price : 19.45
Evaluated at bid price : 19.45
Bid-YTW : 7.75 %
BMO.PR.Y FixedReset Disc 1.74 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-29
Maturity Price : 19.70
Evaluated at bid price : 19.70
Bid-YTW : 7.58 %
BN.PF.J FixedReset Disc 1.98 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-29
Maturity Price : 20.60
Evaluated at bid price : 20.60
Bid-YTW : 8.08 %
SLF.PR.H FixedReset Ins Non 2.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-29
Maturity Price : 19.00
Evaluated at bid price : 19.00
Bid-YTW : 6.99 %
Volume Highlights
Issue Index Shares
Traded		 Notes
MFC.PR.N FixedReset Ins Non 43,200 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-29
Maturity Price : 18.90
Evaluated at bid price : 18.90
Bid-YTW : 7.67 %
BMO.PR.S FixedReset Disc 36,300 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-29
Maturity Price : 21.07
Evaluated at bid price : 21.07
Bid-YTW : 7.02 %
BMO.PR.Y FixedReset Disc 28,800 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-29
Maturity Price : 19.70
Evaluated at bid price : 19.70
Bid-YTW : 7.58 %
RY.PR.Z FixedReset Disc 25,400 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-29
Maturity Price : 20.15
Evaluated at bid price : 20.15
Bid-YTW : 7.19 %
FTS.PR.G FixedReset Disc 23,300 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-29
Maturity Price : 21.15
Evaluated at bid price : 21.15
Bid-YTW : 7.04 %
PWF.PR.T FixedReset Disc 21,600 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-29
Maturity Price : 20.08
Evaluated at bid price : 20.08
Bid-YTW : 7.46 %
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.B FixedReset Disc Quote: 21.15 – 24.10
Spot Rate : 2.9500
Average : 1.6049

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-29
Maturity Price : 21.15
Evaluated at bid price : 21.15
Bid-YTW : 6.90 %
GWO.PR.Q Insurance Straight Quote: 20.05 – 21.28
Spot Rate : 1.2300
Average : 0.6927

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-29
Maturity Price : 20.05
Evaluated at bid price : 20.05
Bid-YTW : 6.51 %
SLF.PR.C Insurance Straight Quote: 17.93 – 19.32
Spot Rate : 1.3900
Average : 0.8615

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-29
Maturity Price : 17.93
Evaluated at bid price : 17.93
Bid-YTW : 6.29 %
BN.PF.F FixedReset Disc Quote: 18.00 – 19.30
Spot Rate : 1.3000
Average : 0.8368

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-29
Maturity Price : 18.00
Evaluated at bid price : 18.00
Bid-YTW : 8.94 %
BN.PF.B FixedReset Disc Quote: 19.08 – 20.00
Spot Rate : 0.9200
Average : 0.5571

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-29
Maturity Price : 19.08
Evaluated at bid price : 19.08
Bid-YTW : 8.26 %
CM.PR.Q FixedReset Disc Quote: 19.45 – 20.50
Spot Rate : 1.0500
Average : 0.7134

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-29
Maturity Price : 19.45
Evaluated at bid price : 19.45
Bid-YTW : 7.75 %