Category: Market Action

Market Action

January 16, 2024

Inflation isn’t quite dead yet:

Some closely watched measures of consumer price growth unexpectedly rose at an accelerated rate in December, showing that inflation is proving tough to tame and potentially complicating matters for the Bank of Canada as it considers when to lower interest rates.

The Consumer Price Index (CPI) rose at an annual pace of 3.4 per cent last month, up from 3.1 per cent in November, Statistics Canada said Tuesday in a report. This result was heavily influenced by what economists refer to as base effects: a tumble in gasoline prices a year ago created an unflattering base for year-over-year comparisons – hence the increase in the annual inflation rate.

Although this uptick was in line with expectations on Bay Street, several measures of core inflation – which strip out volatile movements in the CPI – raised eyebrows among financial analysts. The Bank of Canada’s preferred measures rose at an average annual rate of 3.65 per cent, from 3.55 per cent in November. Analysts were expecting a reading of 3.35 per cent.

In particular, housing prices continue to be a source of financial strain. They rose 6 per cent in December from a year earlier. Rents are generating lots of inflationary pressure, as people – including a surge of international students and other temporary residents – vie for units in short supply.

Shock and consternation followed:
Pre-inflation-announcement market:

Post-inflation-announcement market:

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 0.5727 % 2,206.0
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.5727 % 4,231.1
Floater 11.04 % 11.23 % 42,216 8.64 2 0.5727 % 2,438.4
OpRet 0.00 % 0.00 % 0 0.00 0 -0.1143 % 3,410.2
SplitShare 4.94 % 7.44 % 47,794 1.98 7 -0.1143 % 4,072.5
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.1143 % 3,177.5
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 0.0163 % 2,672.5
Perpetual-Discount 6.43 % 6.54 % 52,282 13.16 34 0.0163 % 2,914.2
FixedReset Disc 5.67 % 7.37 % 109,999 12.34 59 0.4584 % 2,313.5
Insurance Straight 6.29 % 6.46 % 71,061 13.26 20 0.2580 % 2,880.8
FloatingReset 10.61 % 10.88 % 33,721 8.84 5 -0.7478 % 2,555.2
FixedReset Prem 5.89 % 6.38 % 145,654 3.36 2 0.0000 % 2,529.2
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 0.4584 % 2,364.8
FixedReset Ins Non 5.52 % 7.08 % 93,461 12.64 14 -0.0300 % 2,573.9
Performance Highlights
Issue Index Change Notes
FFH.PR.C FixedReset Disc -3.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-16
Maturity Price : 19.56
Evaluated at bid price : 19.56
Bid-YTW : 8.23 %
BN.PF.I FixedReset Disc -2.98 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-16
Maturity Price : 19.55
Evaluated at bid price : 19.55
Bid-YTW : 8.73 %
FFH.PR.F FloatingReset -2.88 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-16
Maturity Price : 16.51
Evaluated at bid price : 16.51
Bid-YTW : 11.33 %
GWO.PR.N FixedReset Ins Non -1.34 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-16
Maturity Price : 14.01
Evaluated at bid price : 14.01
Bid-YTW : 7.62 %
IFC.PR.G FixedReset Ins Non -1.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-16
Maturity Price : 21.45
Evaluated at bid price : 21.45
Bid-YTW : 6.96 %
FFH.PR.G FixedReset Disc -1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-16
Maturity Price : 16.23
Evaluated at bid price : 16.23
Bid-YTW : 8.59 %
FFH.PR.D FloatingReset -1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-16
Maturity Price : 20.30
Evaluated at bid price : 20.30
Bid-YTW : 10.44 %
MFC.PR.J FixedReset Ins Non 1.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-16
Maturity Price : 22.18
Evaluated at bid price : 22.75
Bid-YTW : 6.64 %
FTS.PR.M FixedReset Disc 1.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-16
Maturity Price : 18.35
Evaluated at bid price : 18.35
Bid-YTW : 7.89 %
BMO.PR.T FixedReset Disc 1.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-16
Maturity Price : 19.37
Evaluated at bid price : 19.37
Bid-YTW : 7.21 %
BN.PR.K Floater 1.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-16
Maturity Price : 11.43
Evaluated at bid price : 11.43
Bid-YTW : 11.23 %
PWF.PR.Z Perpetual-Discount 1.18 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-16
Maturity Price : 19.80
Evaluated at bid price : 19.80
Bid-YTW : 6.54 %
SLF.PR.H FixedReset Ins Non 1.19 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-16
Maturity Price : 18.68
Evaluated at bid price : 18.68
Bid-YTW : 6.81 %
CCS.PR.C Insurance Straight 1.30 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-16
Maturity Price : 19.50
Evaluated at bid price : 19.50
Bid-YTW : 6.48 %
CM.PR.O FixedReset Disc 1.31 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-16
Maturity Price : 19.31
Evaluated at bid price : 19.31
Bid-YTW : 7.23 %
TD.PF.C FixedReset Disc 1.48 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-16
Maturity Price : 19.14
Evaluated at bid price : 19.14
Bid-YTW : 7.17 %
PWF.PR.P FixedReset Disc 1.55 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-16
Maturity Price : 14.37
Evaluated at bid price : 14.37
Bid-YTW : 7.87 %
TD.PF.A FixedReset Disc 1.58 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-16
Maturity Price : 19.96
Evaluated at bid price : 19.96
Bid-YTW : 6.89 %
TD.PF.B FixedReset Disc 1.82 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-16
Maturity Price : 20.70
Evaluated at bid price : 20.70
Bid-YTW : 6.73 %
RY.PR.H FixedReset Disc 3.28 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-16
Maturity Price : 19.83
Evaluated at bid price : 19.83
Bid-YTW : 7.06 %
CU.PR.I FixedReset Disc 3.29 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-16
Maturity Price : 22.56
Evaluated at bid price : 22.90
Bid-YTW : 7.40 %
TD.PF.E FixedReset Disc 4.74 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-16
Maturity Price : 19.90
Evaluated at bid price : 19.90
Bid-YTW : 7.37 %
BMO.PR.W FixedReset Disc 5.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-16
Maturity Price : 18.90
Evaluated at bid price : 18.90
Bid-YTW : 7.33 %
Volume Highlights
Issue Index Shares
Traded		 Notes
TD.PF.B FixedReset Disc 262,917 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-16
Maturity Price : 20.70
Evaluated at bid price : 20.70
Bid-YTW : 6.73 %
TD.PF.A FixedReset Disc 144,306 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-16
Maturity Price : 19.96
Evaluated at bid price : 19.96
Bid-YTW : 6.89 %
TD.PF.L FixedReset Disc 51,550 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-16
Maturity Price : 23.75
Evaluated at bid price : 24.60
Bid-YTW : 6.68 %
BN.PF.G FixedReset Disc 45,630 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-16
Maturity Price : 16.67
Evaluated at bid price : 16.67
Bid-YTW : 8.87 %
PWF.PR.T FixedReset Disc 44,000 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-16
Maturity Price : 20.02
Evaluated at bid price : 20.02
Bid-YTW : 7.13 %
PWF.PR.P FixedReset Disc 40,929 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-16
Maturity Price : 14.37
Evaluated at bid price : 14.37
Bid-YTW : 7.87 %
There were 16 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
BMO.PR.W FixedReset Disc Quote: 18.90 – 24.50
Spot Rate : 5.6000
Average : 3.2885

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-16
Maturity Price : 18.90
Evaluated at bid price : 18.90
Bid-YTW : 7.33 %
CU.PR.E Perpetual-Discount Quote: 19.76 – 22.12
Spot Rate : 2.3600
Average : 1.3369

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-16
Maturity Price : 19.76
Evaluated at bid price : 19.76
Bid-YTW : 6.31 %
FFH.PR.D FloatingReset Quote: 20.30 – 22.61
Spot Rate : 2.3100
Average : 1.3080

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-16
Maturity Price : 20.30
Evaluated at bid price : 20.30
Bid-YTW : 10.44 %
GWO.PR.S Insurance Straight Quote: 20.56 – 21.78
Spot Rate : 1.2200
Average : 0.7631

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-16
Maturity Price : 20.56
Evaluated at bid price : 20.56
Bid-YTW : 6.46 %
RY.PR.H FixedReset Disc Quote: 19.83 – 20.99
Spot Rate : 1.1600
Average : 0.7645

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-16
Maturity Price : 19.83
Evaluated at bid price : 19.83
Bid-YTW : 7.06 %
BN.PF.I FixedReset Disc Quote: 19.55 – 20.38
Spot Rate : 0.8300
Average : 0.5650

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-16
Maturity Price : 19.55
Evaluated at bid price : 19.55
Bid-YTW : 8.73 %
Market Action

January 15, 2024

HIMIPref™ Preferred Indices
These values reflect the December 2008 revision of the HIMIPref™ Indices
Values are provisional and are finalized monthly
Index Mean
Current
Yield
(at bid)		 Median
YTW		 Median
Average
Trading
Value		 Median
Mod Dur
(YTW)		 Issues Day’s Perf. Index Value
Ratchet 0.00 % 0.00 % 0 0.00 0 0.6206 % 2,193.4
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.6206 % 4,207.0
Floater 11.10 % 11.26 % 49,853 8.63 2 0.6206 % 2,424.5
OpRet 0.00 % 0.00 % 0 0.00 0 0.5077 % 3,414.1
SplitShare 4.93 % 7.41 % 47,663 1.98 7 0.5077 % 4,077.1
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.5077 % 3,181.1
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 -0.0547 % 2,672.0
Perpetual-Discount 6.43 % 6.53 % 52,625 13.19 34 -0.0547 % 2,913.7
FixedReset Disc 5.70 % 7.45 % 111,197 12.28 59 0.2455 % 2,302.9
Insurance Straight 6.30 % 6.48 % 70,398 13.23 20 0.3936 % 2,873.4
FloatingReset 10.54 % 10.91 % 34,004 8.84 5 -0.3325 % 2,574.5
FixedReset Prem 5.89 % 6.38 % 145,224 3.36 2 0.1988 % 2,529.2
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 0.2455 % 2,354.0
FixedReset Ins Non 5.52 % 7.08 % 92,453 12.64 14 -0.1423 % 2,574.7
Performance Highlights
Issue Index Change Notes
TD.PF.E FixedReset Disc -3.55 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-15
Maturity Price : 19.00
Evaluated at bid price : 19.00
Bid-YTW : 7.71 %
IFC.PR.I Insurance Straight -2.55 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-15
Maturity Price : 21.00
Evaluated at bid price : 21.00
Bid-YTW : 6.50 %
BMO.PR.W FixedReset Disc -2.17 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-15
Maturity Price : 18.00
Evaluated at bid price : 18.00
Bid-YTW : 7.70 %
PWF.PR.G Perpetual-Discount -2.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-15
Maturity Price : 22.05
Evaluated at bid price : 22.34
Bid-YTW : 6.62 %
PWF.PF.A Perpetual-Discount -1.93 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-15
Maturity Price : 17.27
Evaluated at bid price : 17.27
Bid-YTW : 6.55 %
RY.PR.N Perpetual-Discount -1.40 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-15
Maturity Price : 22.21
Evaluated at bid price : 22.55
Bid-YTW : 5.50 %
MFC.PR.C Insurance Straight -1.39 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-15
Maturity Price : 18.40
Evaluated at bid price : 18.40
Bid-YTW : 6.19 %
MFC.PR.J FixedReset Ins Non -1.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-15
Maturity Price : 22.03
Evaluated at bid price : 22.51
Bid-YTW : 6.72 %
FFH.PR.F FloatingReset -1.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-15
Maturity Price : 17.00
Evaluated at bid price : 17.00
Bid-YTW : 10.99 %
BIP.PR.F FixedReset Disc 1.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-15
Maturity Price : 20.00
Evaluated at bid price : 20.00
Bid-YTW : 7.99 %
FFH.PR.K FixedReset Disc 1.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-15
Maturity Price : 19.60
Evaluated at bid price : 19.60
Bid-YTW : 8.28 %
PWF.PR.P FixedReset Disc 1.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-15
Maturity Price : 14.15
Evaluated at bid price : 14.15
Bid-YTW : 7.99 %
BMO.PR.S FixedReset Disc 1.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-15
Maturity Price : 20.44
Evaluated at bid price : 20.44
Bid-YTW : 6.99 %
BN.PF.H FixedReset Disc 1.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-15
Maturity Price : 21.40
Evaluated at bid price : 21.40
Bid-YTW : 8.43 %
RY.PR.Z FixedReset Disc 1.21 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-15
Maturity Price : 20.10
Evaluated at bid price : 20.10
Bid-YTW : 6.95 %
BIK.PR.A FixedReset Disc 1.33 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-15
Maturity Price : 22.15
Evaluated at bid price : 22.80
Bid-YTW : 8.06 %
RY.PR.O Perpetual-Discount 1.35 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-15
Maturity Price : 22.21
Evaluated at bid price : 22.55
Bid-YTW : 5.50 %
TD.PF.D FixedReset Disc 1.49 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-15
Maturity Price : 19.81
Evaluated at bid price : 19.81
Bid-YTW : 7.37 %
GWO.PR.P Insurance Straight 1.69 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-15
Maturity Price : 21.00
Evaluated at bid price : 21.00
Bid-YTW : 6.50 %
CU.PR.I FixedReset Disc 1.93 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-15
Maturity Price : 21.71
Evaluated at bid price : 22.17
Bid-YTW : 7.63 %
PVS.PR.H SplitShare 2.81 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2027-02-28
Maturity Price : 25.00
Evaluated at bid price : 23.75
Bid-YTW : 6.72 %
IFC.PR.F Insurance Straight 9.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-15
Maturity Price : 20.67
Evaluated at bid price : 20.67
Bid-YTW : 6.48 %
Volume Highlights
Issue Index Shares
Traded		 Notes
BN.PF.G FixedReset Disc 101,000 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-15
Maturity Price : 16.52
Evaluated at bid price : 16.52
Bid-YTW : 8.95 %
BN.PF.E FixedReset Disc 95,500 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-15
Maturity Price : 15.81
Evaluated at bid price : 15.81
Bid-YTW : 9.07 %
BN.PR.X FixedReset Disc 63,600 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-15
Maturity Price : 15.30
Evaluated at bid price : 15.30
Bid-YTW : 8.25 %
RY.PR.Z FixedReset Disc 39,600 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-15
Maturity Price : 20.10
Evaluated at bid price : 20.10
Bid-YTW : 6.95 %
BMO.PR.S FixedReset Disc 29,200 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-15
Maturity Price : 20.44
Evaluated at bid price : 20.44
Bid-YTW : 6.99 %
TD.PF.A FixedReset Disc 26,900 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-15
Maturity Price : 19.65
Evaluated at bid price : 19.65
Bid-YTW : 7.00 %
There were 10 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
PVS.PR.G SplitShare Quote: 24.14 – 25.43
Spot Rate : 1.2900
Average : 0.7942

YTW SCENARIO
Maturity Type : Option Certainty
Maturity Date : 2026-02-28
Maturity Price : 25.00
Evaluated at bid price : 24.14
Bid-YTW : 6.98 %
RY.PR.J FixedReset Disc Quote: 19.90 – 21.00
Spot Rate : 1.1000
Average : 0.6766

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-15
Maturity Price : 19.90
Evaluated at bid price : 19.90
Bid-YTW : 7.40 %
TD.PF.E FixedReset Disc Quote: 19.00 – 20.30
Spot Rate : 1.3000
Average : 0.9518

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-15
Maturity Price : 19.00
Evaluated at bid price : 19.00
Bid-YTW : 7.71 %
IFC.PR.I Insurance Straight Quote: 21.00 – 21.95
Spot Rate : 0.9500
Average : 0.6612

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-15
Maturity Price : 21.00
Evaluated at bid price : 21.00
Bid-YTW : 6.50 %
BMO.PR.Y FixedReset Disc Quote: 19.20 – 20.20
Spot Rate : 1.0000
Average : 0.7418

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-15
Maturity Price : 19.20
Evaluated at bid price : 19.20
Bid-YTW : 7.53 %
NA.PR.E FixedReset Disc Quote: 21.30 – 21.90
Spot Rate : 0.6000
Average : 0.4065

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-15
Maturity Price : 21.30
Evaluated at bid price : 21.30
Bid-YTW : 6.90 %
Market Action

January 12, 2024

HIMIPref™ Preferred Indices
These values reflect the December 2008 revision of the HIMIPref™ Indices
Values are provisional and are finalized monthly
Index Mean
Current
Yield
(at bid)		 Median
YTW		 Median
Average
Trading
Value		 Median
Mod Dur
(YTW)		 Issues Day’s Perf. Index Value
Ratchet 0.00 % 0.00 % 0 0.00 0 0.4900 % 2,179.9
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.4900 % 4,181.0
Floater 11.17 % 11.35 % 51,639 8.57 2 0.4900 % 2,409.5
OpRet 0.00 % 0.00 % 0 0.00 0 -0.1569 % 3,396.8
SplitShare 4.96 % 7.49 % 47,536 1.99 7 -0.1569 % 4,056.5
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.1569 % 3,165.1
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 0.5964 % 2,673.5
Perpetual-Discount 6.42 % 6.52 % 54,338 13.20 34 0.5964 % 2,915.3
FixedReset Disc 5.71 % 7.47 % 110,952 12.26 59 0.1725 % 2,297.3
Insurance Straight 6.33 % 6.46 % 71,180 13.26 20 0.8450 % 2,862.2
FloatingReset 10.50 % 10.85 % 35,301 8.91 5 1.1365 % 2,583.1
FixedReset Prem 5.90 % 6.47 % 150,482 3.37 2 0.4995 % 2,524.2
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 0.1725 % 2,348.3
FixedReset Ins Non 5.51 % 7.02 % 90,566 12.65 14 0.3418 % 2,578.3
Performance Highlights
Issue Index Change Notes
BN.PF.H FixedReset Disc -1.81 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-12
Maturity Price : 21.16
Evaluated at bid price : 21.16
Bid-YTW : 8.52 %
FFH.PR.K FixedReset Disc -1.77 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-12
Maturity Price : 19.40
Evaluated at bid price : 19.40
Bid-YTW : 8.35 %
TD.PF.D FixedReset Disc -1.51 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-12
Maturity Price : 19.52
Evaluated at bid price : 19.52
Bid-YTW : 7.48 %
BN.PF.I FixedReset Disc -1.48 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-12
Maturity Price : 20.00
Evaluated at bid price : 20.00
Bid-YTW : 8.53 %
PVS.PR.K SplitShare -1.33 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2029-05-31
Maturity Price : 25.00
Evaluated at bid price : 22.25
Bid-YTW : 7.08 %
IFC.PR.G FixedReset Ins Non -1.28 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-12
Maturity Price : 21.35
Evaluated at bid price : 21.65
Bid-YTW : 6.88 %
RY.PR.M FixedReset Disc -1.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-12
Maturity Price : 18.73
Evaluated at bid price : 18.73
Bid-YTW : 7.53 %
SLF.PR.D Insurance Straight 1.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-12
Maturity Price : 18.80
Evaluated at bid price : 18.80
Bid-YTW : 5.98 %
BMO.PR.Y FixedReset Disc 1.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-12
Maturity Price : 19.20
Evaluated at bid price : 19.20
Bid-YTW : 7.53 %
BIP.PR.B FixedReset Disc 1.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-12
Maturity Price : 22.43
Evaluated at bid price : 22.75
Bid-YTW : 8.34 %
BIK.PR.A FixedReset Disc 1.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-12
Maturity Price : 21.97
Evaluated at bid price : 22.50
Bid-YTW : 8.16 %
GWO.PR.I Insurance Straight 1.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-12
Maturity Price : 18.00
Evaluated at bid price : 18.00
Bid-YTW : 6.31 %
PWF.PR.Z Perpetual-Discount 1.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-12
Maturity Price : 19.75
Evaluated at bid price : 19.75
Bid-YTW : 6.55 %
PWF.PF.A Perpetual-Discount 1.21 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-12
Maturity Price : 17.61
Evaluated at bid price : 17.61
Bid-YTW : 6.41 %
TD.PF.C FixedReset Disc 1.34 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-12
Maturity Price : 18.86
Evaluated at bid price : 18.86
Bid-YTW : 7.27 %
PWF.PR.G Perpetual-Discount 1.42 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-12
Maturity Price : 22.55
Evaluated at bid price : 22.80
Bid-YTW : 6.48 %
BN.PR.Z FixedReset Disc 1.50 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-12
Maturity Price : 18.90
Evaluated at bid price : 18.90
Bid-YTW : 8.33 %
BMO.PR.T FixedReset Disc 1.54 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-12
Maturity Price : 19.15
Evaluated at bid price : 19.15
Bid-YTW : 7.28 %
MIC.PR.A Perpetual-Discount 1.63 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-12
Maturity Price : 18.66
Evaluated at bid price : 18.66
Bid-YTW : 7.32 %
CU.PR.C FixedReset Disc 1.73 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-12
Maturity Price : 19.43
Evaluated at bid price : 19.43
Bid-YTW : 7.32 %
FTS.PR.I FloatingReset 1.76 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-12
Maturity Price : 15.60
Evaluated at bid price : 15.60
Bid-YTW : 10.90 %
PWF.PR.T FixedReset Disc 1.77 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-12
Maturity Price : 20.15
Evaluated at bid price : 20.15
Bid-YTW : 7.08 %
CIU.PR.A Perpetual-Discount 1.78 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-12
Maturity Price : 17.75
Evaluated at bid price : 17.75
Bid-YTW : 6.59 %
MFC.PR.F FixedReset Ins Non 1.82 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-12
Maturity Price : 14.56
Evaluated at bid price : 14.56
Bid-YTW : 7.51 %
MFC.PR.C Insurance Straight 1.97 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-12
Maturity Price : 18.66
Evaluated at bid price : 18.66
Bid-YTW : 6.10 %
POW.PR.C Perpetual-Discount 2.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-12
Maturity Price : 22.71
Evaluated at bid price : 23.00
Bid-YTW : 6.34 %
SLF.PR.J FloatingReset 2.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-12
Maturity Price : 15.81
Evaluated at bid price : 15.81
Bid-YTW : 10.59 %
TD.PF.E FixedReset Disc 2.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-12
Maturity Price : 19.70
Evaluated at bid price : 19.70
Bid-YTW : 7.44 %
SLF.PR.E Insurance Straight 2.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-12
Maturity Price : 18.90
Evaluated at bid price : 18.90
Bid-YTW : 6.01 %
FFH.PR.F FloatingReset 2.38 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-12
Maturity Price : 17.20
Evaluated at bid price : 17.20
Bid-YTW : 10.85 %
CCS.PR.C Insurance Straight 2.62 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-12
Maturity Price : 19.20
Evaluated at bid price : 19.20
Bid-YTW : 6.58 %
IFC.PR.I Insurance Straight 2.62 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-12
Maturity Price : 21.55
Evaluated at bid price : 21.55
Bid-YTW : 6.33 %
RY.PR.N Perpetual-Discount 2.79 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-12
Maturity Price : 22.58
Evaluated at bid price : 22.87
Bid-YTW : 5.42 %
SLF.PR.C Insurance Straight 2.84 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-12
Maturity Price : 18.80
Evaluated at bid price : 18.80
Bid-YTW : 5.98 %
GWO.PR.N FixedReset Ins Non 3.65 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-12
Maturity Price : 14.20
Evaluated at bid price : 14.20
Bid-YTW : 7.52 %
NA.PR.W FixedReset Disc 5.63 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-12
Maturity Price : 18.38
Evaluated at bid price : 18.38
Bid-YTW : 7.43 %
Volume Highlights
Issue Index Shares
Traded		 Notes
TD.PF.B FixedReset Disc 273,047 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-12
Maturity Price : 20.23
Evaluated at bid price : 20.23
Bid-YTW : 6.88 %
BMO.PR.T FixedReset Disc 102,800 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-12
Maturity Price : 19.15
Evaluated at bid price : 19.15
Bid-YTW : 7.28 %
GWO.PR.G Insurance Straight 50,025 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-12
Maturity Price : 20.03
Evaluated at bid price : 20.03
Bid-YTW : 6.56 %
RY.PR.H FixedReset Disc 43,872 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-12
Maturity Price : 19.06
Evaluated at bid price : 19.06
Bid-YTW : 7.35 %
GWO.PR.H Insurance Straight 36,300 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-12
Maturity Price : 18.89
Evaluated at bid price : 18.89
Bid-YTW : 6.49 %
MFC.PR.F FixedReset Ins Non 32,200 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-12
Maturity Price : 14.56
Evaluated at bid price : 14.56
Bid-YTW : 7.51 %
There were 13 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: 14.56 – 19.38
Spot Rate : 4.8200
Average : 3.8585

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-12
Maturity Price : 14.56
Evaluated at bid price : 14.56
Bid-YTW : 7.51 %
CU.PR.D Perpetual-Discount Quote: 19.67 – 20.95
Spot Rate : 1.2800
Average : 0.7969

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-12
Maturity Price : 19.67
Evaluated at bid price : 19.67
Bid-YTW : 6.33 %
CU.PR.I FixedReset Disc Quote: 21.75 – 23.75
Spot Rate : 2.0000
Average : 1.5606

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-12
Maturity Price : 21.42
Evaluated at bid price : 21.75
Bid-YTW : 7.78 %
MFC.PR.M FixedReset Ins Non Quote: 18.96 – 19.96
Spot Rate : 1.0000
Average : 0.6056

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-12
Maturity Price : 18.96
Evaluated at bid price : 18.96
Bid-YTW : 7.43 %
IFC.PR.F Insurance Straight Quote: 18.96 – 20.75
Spot Rate : 1.7900
Average : 1.5481

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-12
Maturity Price : 18.96
Evaluated at bid price : 18.96
Bid-YTW : 7.07 %
BIK.PR.A FixedReset Disc Quote: 22.50 – 23.15
Spot Rate : 0.6500
Average : 0.4756

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-12
Maturity Price : 21.97
Evaluated at bid price : 22.50
Bid-YTW : 8.16 %
Market Action

January 11, 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 0.4025 % 2,169.3
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.4025 % 4,160.6
Floater 11.22 % 11.38 % 53,463 8.56 2 0.4025 % 2,397.8
OpRet 0.00 % 0.00 % 0 0.00 0 0.2541 % 3,402.2
SplitShare 4.95 % 7.65 % 49,389 1.99 7 0.2541 % 4,062.9
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.2541 % 3,170.0
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 -0.1025 % 2,657.6
Perpetual-Discount 6.46 % 6.56 % 56,218 13.15 34 -0.1025 % 2,898.0
FixedReset Disc 5.72 % 7.49 % 113,214 12.21 59 -0.0333 % 2,293.3
Insurance Straight 6.38 % 6.50 % 74,022 13.22 20 -0.8606 % 2,838.2
FloatingReset 10.52 % 10.89 % 35,699 8.89 5 -1.0557 % 2,554.0
FixedReset Prem 5.93 % 6.73 % 150,491 12.73 2 -0.3584 % 2,511.6
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 -0.0333 % 2,344.2
FixedReset Ins Non 5.53 % 7.06 % 88,684 12.68 14 0.0902 % 2,569.6
Performance Highlights
Issue Index Change Notes
IFC.PR.F Insurance Straight -6.37 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-11
Maturity Price : 18.96
Evaluated at bid price : 18.96
Bid-YTW : 7.07 %
CU.PR.I FixedReset Disc -4.94 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-11
Maturity Price : 21.42
Evaluated at bid price : 21.75
Bid-YTW : 7.80 %
SLF.PR.J FloatingReset -4.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-11
Maturity Price : 15.50
Evaluated at bid price : 15.50
Bid-YTW : 10.69 %
SLF.PR.C Insurance Straight -3.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-11
Maturity Price : 18.28
Evaluated at bid price : 18.28
Bid-YTW : 6.15 %
PWF.PR.G Perpetual-Discount -2.26 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-11
Maturity Price : 22.21
Evaluated at bid price : 22.48
Bid-YTW : 6.57 %
BN.PR.R FixedReset Disc -2.18 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-11
Maturity Price : 14.35
Evaluated at bid price : 14.35
Bid-YTW : 9.12 %
BN.PR.Z FixedReset Disc -2.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-11
Maturity Price : 18.62
Evaluated at bid price : 18.62
Bid-YTW : 8.48 %
POW.PR.C Perpetual-Discount -1.96 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-11
Maturity Price : 22.28
Evaluated at bid price : 22.55
Bid-YTW : 6.46 %
MFC.PR.F FixedReset Ins Non -1.92 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-11
Maturity Price : 14.30
Evaluated at bid price : 14.30
Bid-YTW : 7.67 %
MFC.PR.C Insurance Straight -1.88 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-11
Maturity Price : 18.30
Evaluated at bid price : 18.30
Bid-YTW : 6.22 %
GWO.PR.N FixedReset Ins Non -1.79 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-11
Maturity Price : 13.70
Evaluated at bid price : 13.70
Bid-YTW : 7.81 %
BN.PR.M Perpetual-Discount -1.62 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-11
Maturity Price : 17.57
Evaluated at bid price : 17.57
Bid-YTW : 6.83 %
BN.PF.E FixedReset Disc -1.45 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-11
Maturity Price : 15.68
Evaluated at bid price : 15.68
Bid-YTW : 9.16 %
SLF.PR.E Insurance Straight -1.33 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-11
Maturity Price : 18.51
Evaluated at bid price : 18.51
Bid-YTW : 6.14 %
SLF.PR.H FixedReset Ins Non -1.29 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-11
Maturity Price : 18.40
Evaluated at bid price : 18.40
Bid-YTW : 6.93 %
CU.PR.J Perpetual-Discount -1.28 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-11
Maturity Price : 18.50
Evaluated at bid price : 18.50
Bid-YTW : 6.53 %
TD.PF.C FixedReset Disc -1.27 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-11
Maturity Price : 18.61
Evaluated at bid price : 18.61
Bid-YTW : 7.39 %
BMO.PR.T FixedReset Disc -1.26 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-11
Maturity Price : 18.86
Evaluated at bid price : 18.86
Bid-YTW : 7.42 %
FFH.PR.F FloatingReset -1.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-11
Maturity Price : 16.80
Evaluated at bid price : 16.80
Bid-YTW : 11.00 %
FTS.PR.J Perpetual-Discount -1.19 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-11
Maturity Price : 19.05
Evaluated at bid price : 19.05
Bid-YTW : 6.34 %
FTS.PR.I FloatingReset -1.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-11
Maturity Price : 15.33
Evaluated at bid price : 15.33
Bid-YTW : 10.97 %
SLF.PR.D Insurance Straight -1.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-11
Maturity Price : 18.60
Evaluated at bid price : 18.60
Bid-YTW : 6.04 %
FFH.PR.K FixedReset Disc 1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-11
Maturity Price : 19.75
Evaluated at bid price : 19.75
Bid-YTW : 8.23 %
RY.PR.N Perpetual-Discount 1.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-11
Maturity Price : 21.94
Evaluated at bid price : 22.25
Bid-YTW : 5.57 %
IFC.PR.E Insurance Straight 1.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-11
Maturity Price : 20.45
Evaluated at bid price : 20.45
Bid-YTW : 6.42 %
FFH.PR.I FixedReset Disc 1.25 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-11
Maturity Price : 17.01
Evaluated at bid price : 17.01
Bid-YTW : 8.57 %
PVS.PR.J SplitShare 1.35 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2028-02-29
Maturity Price : 25.00
Evaluated at bid price : 22.60
Bid-YTW : 7.29 %
BN.PF.I FixedReset Disc 1.40 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-11
Maturity Price : 20.30
Evaluated at bid price : 20.30
Bid-YTW : 8.42 %
MFC.PR.J FixedReset Ins Non 1.51 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-11
Maturity Price : 22.24
Evaluated at bid price : 22.85
Bid-YTW : 6.62 %
RY.PR.O Perpetual-Discount 1.55 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-11
Maturity Price : 21.94
Evaluated at bid price : 22.25
Bid-YTW : 5.57 %
TD.PF.E FixedReset Disc 1.58 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-11
Maturity Price : 19.30
Evaluated at bid price : 19.30
Bid-YTW : 7.61 %
BN.PF.H FixedReset Disc 1.89 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-11
Maturity Price : 21.27
Evaluated at bid price : 21.55
Bid-YTW : 8.37 %
IFC.PR.G FixedReset Ins Non 2.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-11
Maturity Price : 21.61
Evaluated at bid price : 21.93
Bid-YTW : 6.80 %
BMO.PR.W FixedReset Disc 2.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-11
Maturity Price : 18.40
Evaluated at bid price : 18.40
Bid-YTW : 7.55 %
BN.PR.X FixedReset Disc 3.60 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-11
Maturity Price : 15.25
Evaluated at bid price : 15.25
Bid-YTW : 8.30 %
Volume Highlights
Issue Index Shares
Traded		 Notes
MFC.PR.F FixedReset Ins Non 57,902 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-11
Maturity Price : 14.30
Evaluated at bid price : 14.30
Bid-YTW : 7.67 %
BMO.PR.S FixedReset Disc 51,762 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-11
Maturity Price : 20.10
Evaluated at bid price : 20.10
Bid-YTW : 7.13 %
SLF.PR.H FixedReset Ins Non 29,118 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-11
Maturity Price : 18.40
Evaluated at bid price : 18.40
Bid-YTW : 6.93 %
IFC.PR.C FixedReset Ins Non 25,902 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-11
Maturity Price : 18.74
Evaluated at bid price : 18.74
Bid-YTW : 7.44 %
TD.PF.E FixedReset Disc 25,400 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-11
Maturity Price : 19.30
Evaluated at bid price : 19.30
Bid-YTW : 7.61 %
BNS.PR.I FixedReset Prem 18,300 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-02-26
Maturity Price : 25.00
Evaluated at bid price : 24.94
Bid-YTW : 5.13 %
There were 7 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: 14.30 – 19.38
Spot Rate : 5.0800
Average : 2.8043

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-11
Maturity Price : 14.30
Evaluated at bid price : 14.30
Bid-YTW : 7.67 %
BN.PF.E FixedReset Disc Quote: 15.68 – 19.49
Spot Rate : 3.8100
Average : 2.6170

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-11
Maturity Price : 15.68
Evaluated at bid price : 15.68
Bid-YTW : 9.16 %
IFC.PR.F Insurance Straight Quote: 18.96 – 20.86
Spot Rate : 1.9000
Average : 1.2829

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-11
Maturity Price : 18.96
Evaluated at bid price : 18.96
Bid-YTW : 7.07 %
SLF.PR.J FloatingReset Quote: 15.50 – 16.60
Spot Rate : 1.1000
Average : 0.6594

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-11
Maturity Price : 15.50
Evaluated at bid price : 15.50
Bid-YTW : 10.69 %
GWO.PR.S Insurance Straight Quote: 20.45 – 21.48
Spot Rate : 1.0300
Average : 0.5987

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-11
Maturity Price : 20.45
Evaluated at bid price : 20.45
Bid-YTW : 6.48 %
BN.PR.X FixedReset Disc Quote: 15.25 – 16.30
Spot Rate : 1.0500
Average : 0.7067

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-11
Maturity Price : 15.25
Evaluated at bid price : 15.25
Bid-YTW : 8.30 %
Market Action

January 10, 2024

PerpetualDiscounts now yield 6.56%, equivalent to 8.53% interest at the standard equivalency factor of 1.3x. Long corporates yielded 4.99% on 2024-1-5 and since then the closing price has changed from 15.23 to 15.18, a decline of 33bp in price, with a Duration (BMO doesn’t specify Modified or Macaulay – I will assume the former) of 12.38 implying an increase of 3bp in yield to 5.02%, so the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) has narrowed sharply (for the second successive week) to 350bp from the 374bp reported January 3.

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 0.7207 % 2,160.6
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.7207 % 4,144.0
Floater 11.27 % 11.44 % 51,923 8.52 2 0.7207 % 2,388.2
OpRet 0.00 % 0.00 % 0 0.00 0 -0.0846 % 3,393.5
SplitShare 4.96 % 7.65 % 49,893 1.99 7 -0.0846 % 4,052.6
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.0846 % 3,162.0
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 0.3669 % 2,660.4
Perpetual-Discount 6.46 % 6.56 % 53,697 13.19 34 0.3669 % 2,901.0
FixedReset Disc 5.72 % 7.54 % 115,591 12.21 59 0.1205 % 2,294.1
Insurance Straight 6.33 % 6.48 % 74,808 13.24 20 -0.0102 % 2,862.8
FloatingReset 10.41 % 10.84 % 36,957 8.91 5 0.9148 % 2,581.3
FixedReset Prem 5.91 % 6.53 % 151,163 3.38 2 0.1595 % 2,520.7
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 0.1205 % 2,345.0
FixedReset Ins Non 5.54 % 7.10 % 91,467 12.63 14 -0.0188 % 2,567.2
Performance Highlights
Issue Index Change Notes
TD.PF.E FixedReset Disc -3.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-10
Maturity Price : 19.00
Evaluated at bid price : 19.00
Bid-YTW : 7.72 %
BN.PR.X FixedReset Disc -3.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-10
Maturity Price : 14.72
Evaluated at bid price : 14.72
Bid-YTW : 8.59 %
NA.PR.W FixedReset Disc -3.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-10
Maturity Price : 17.40
Evaluated at bid price : 17.40
Bid-YTW : 7.87 %
PWF.PR.P FixedReset Disc -2.89 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-10
Maturity Price : 13.80
Evaluated at bid price : 13.80
Bid-YTW : 8.20 %
CCS.PR.C Insurance Straight -2.60 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-10
Maturity Price : 18.70
Evaluated at bid price : 18.70
Bid-YTW : 6.75 %
BN.PF.F FixedReset Disc -2.53 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-10
Maturity Price : 17.35
Evaluated at bid price : 17.35
Bid-YTW : 8.90 %
CIU.PR.A Perpetual-Discount -1.25 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-10
Maturity Price : 17.40
Evaluated at bid price : 17.40
Bid-YTW : 6.72 %
MFC.PR.L FixedReset Ins Non -1.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-10
Maturity Price : 18.86
Evaluated at bid price : 18.86
Bid-YTW : 7.33 %
IFC.PR.G FixedReset Ins Non -1.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-10
Maturity Price : 21.50
Evaluated at bid price : 21.50
Bid-YTW : 6.96 %
SLF.PR.G FixedReset Ins Non 1.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-10
Maturity Price : 14.51
Evaluated at bid price : 14.51
Bid-YTW : 7.75 %
FFH.PR.D FloatingReset 1.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-10
Maturity Price : 20.53
Evaluated at bid price : 20.53
Bid-YTW : 10.21 %
CU.PR.J Perpetual-Discount 1.19 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-10
Maturity Price : 18.74
Evaluated at bid price : 18.74
Bid-YTW : 6.44 %
TD.PF.D FixedReset Disc 1.27 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-10
Maturity Price : 19.95
Evaluated at bid price : 19.95
Bid-YTW : 7.34 %
CM.PR.O FixedReset Disc 1.28 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-10
Maturity Price : 19.05
Evaluated at bid price : 19.05
Bid-YTW : 7.35 %
GWO.PR.N FixedReset Ins Non 1.38 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-10
Maturity Price : 13.95
Evaluated at bid price : 13.95
Bid-YTW : 7.67 %
BN.PR.M Perpetual-Discount 1.48 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-10
Maturity Price : 17.86
Evaluated at bid price : 17.86
Bid-YTW : 6.72 %
BN.PF.J FixedReset Disc 1.65 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-10
Maturity Price : 20.30
Evaluated at bid price : 20.30
Bid-YTW : 7.95 %
BN.PF.I FixedReset Disc 1.88 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-10
Maturity Price : 20.02
Evaluated at bid price : 20.02
Bid-YTW : 8.54 %
BN.PF.E FixedReset Disc 1.92 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-10
Maturity Price : 15.91
Evaluated at bid price : 15.91
Bid-YTW : 9.03 %
BN.PF.B FixedReset Disc 1.99 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-10
Maturity Price : 17.96
Evaluated at bid price : 17.96
Bid-YTW : 8.40 %
SLF.PR.J FloatingReset 4.87 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-10
Maturity Price : 16.15
Evaluated at bid price : 16.15
Bid-YTW : 10.25 %
Volume Highlights
Issue Index Shares
Traded		 Notes
TD.PF.L FixedReset Disc 106,491 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-10
Maturity Price : 23.77
Evaluated at bid price : 24.60
Bid-YTW : 6.69 %
GWO.PR.G Insurance Straight 88,300 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-10
Maturity Price : 20.20
Evaluated at bid price : 20.20
Bid-YTW : 6.50 %
BMO.PR.S FixedReset Disc 55,558 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-10
Maturity Price : 20.08
Evaluated at bid price : 20.08
Bid-YTW : 7.13 %
BN.PR.Z FixedReset Disc 54,572 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-10
Maturity Price : 19.00
Evaluated at bid price : 19.00
Bid-YTW : 8.30 %
IFC.PR.C FixedReset Ins Non 49,246 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-10
Maturity Price : 18.70
Evaluated at bid price : 18.70
Bid-YTW : 7.46 %
RY.PR.Z FixedReset Disc 35,335 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-10
Maturity Price : 19.95
Evaluated at bid price : 19.95
Bid-YTW : 7.02 %
There were 12 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
IFC.PR.G FixedReset Ins Non Quote: 21.50 – 23.50
Spot Rate : 2.0000
Average : 1.2876

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-10
Maturity Price : 21.50
Evaluated at bid price : 21.50
Bid-YTW : 6.96 %
TD.PF.J FixedReset Disc Quote: 22.10 – 23.72
Spot Rate : 1.6200
Average : 0.9568

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-10
Maturity Price : 21.74
Evaluated at bid price : 22.10
Bid-YTW : 6.74 %
SLF.PR.H FixedReset Ins Non Quote: 18.64 – 20.00
Spot Rate : 1.3600
Average : 0.8966

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-10
Maturity Price : 18.64
Evaluated at bid price : 18.64
Bid-YTW : 6.84 %
IFC.PR.C FixedReset Ins Non Quote: 18.70 – 19.70
Spot Rate : 1.0000
Average : 0.6253

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-10
Maturity Price : 18.70
Evaluated at bid price : 18.70
Bid-YTW : 7.46 %
TD.PF.B FixedReset Disc Quote: 20.20 – 21.10
Spot Rate : 0.9000
Average : 0.6222

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-10
Maturity Price : 20.20
Evaluated at bid price : 20.20
Bid-YTW : 6.91 %
BN.PF.I FixedReset Disc Quote: 20.02 – 20.90
Spot Rate : 0.8800
Average : 0.6250

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-10
Maturity Price : 20.02
Evaluated at bid price : 20.02
Bid-YTW : 8.54 %
Market Action

January 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 0.4525 % 2,145.1
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.4525 % 4,114.3
Floater 11.35 % 11.55 % 45,203 8.45 2 0.4525 % 2,371.1
OpRet 0.00 % 0.00 % 0 0.00 0 0.0000 % 3,396.4
SplitShare 4.96 % 7.65 % 51,743 1.99 7 0.0000 % 4,056.0
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0000 % 3,164.7
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 0.0507 % 2,650.6
Perpetual-Discount 6.48 % 6.58 % 54,408 13.14 34 0.0507 % 2,890.4
FixedReset Disc 5.73 % 7.50 % 116,234 12.19 59 0.0539 % 2,291.3
Insurance Straight 6.33 % 6.49 % 75,731 13.22 20 0.4565 % 2,863.1
FloatingReset 10.50 % 10.75 % 36,084 8.94 5 0.2089 % 2,557.9
FixedReset Prem 5.92 % 6.62 % 150,556 3.38 2 -0.1791 % 2,516.7
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 0.0539 % 2,342.2
FixedReset Ins Non 5.53 % 7.09 % 92,714 12.62 14 0.2941 % 2,567.7
Performance Highlights
Issue Index Change Notes
MFC.PR.J FixedReset Ins Non -2.97 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-09
Maturity Price : 22.03
Evaluated at bid price : 22.51
Bid-YTW : 6.73 %
FTS.PR.G FixedReset Disc -2.31 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-09
Maturity Price : 20.69
Evaluated at bid price : 20.69
Bid-YTW : 6.96 %
PVS.PR.H SplitShare -1.91 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2027-02-28
Maturity Price : 25.00
Evaluated at bid price : 23.10
Bid-YTW : 7.67 %
TD.PF.E FixedReset Disc -1.67 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-09
Maturity Price : 19.62
Evaluated at bid price : 19.62
Bid-YTW : 7.48 %
BN.PF.I FixedReset Disc -1.26 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-09
Maturity Price : 19.65
Evaluated at bid price : 19.65
Bid-YTW : 8.69 %
FFH.PR.F FloatingReset -1.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-09
Maturity Price : 17.01
Evaluated at bid price : 17.01
Bid-YTW : 10.86 %
CM.PR.O FixedReset Disc -1.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-09
Maturity Price : 18.81
Evaluated at bid price : 18.81
Bid-YTW : 7.44 %
PWF.PF.A Perpetual-Discount 1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-09
Maturity Price : 17.38
Evaluated at bid price : 17.38
Bid-YTW : 6.50 %
TD.PF.B FixedReset Disc 1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-09
Maturity Price : 20.09
Evaluated at bid price : 20.09
Bid-YTW : 6.94 %
MFC.PR.M FixedReset Ins Non 1.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-09
Maturity Price : 18.85
Evaluated at bid price : 18.85
Bid-YTW : 7.50 %
FTS.PR.M FixedReset Disc 1.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-09
Maturity Price : 17.86
Evaluated at bid price : 17.86
Bid-YTW : 8.12 %
BN.PR.N Perpetual-Discount 1.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-09
Maturity Price : 17.54
Evaluated at bid price : 17.54
Bid-YTW : 6.84 %
SLF.PR.D Insurance Straight 1.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-09
Maturity Price : 18.76
Evaluated at bid price : 18.76
Bid-YTW : 5.98 %
MIC.PR.A Perpetual-Discount 1.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-09
Maturity Price : 18.47
Evaluated at bid price : 18.47
Bid-YTW : 7.39 %
GWO.PR.N FixedReset Ins Non 1.18 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-09
Maturity Price : 13.76
Evaluated at bid price : 13.76
Bid-YTW : 7.77 %
MFC.PR.F FixedReset Ins Non 1.18 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-09
Maturity Price : 14.55
Evaluated at bid price : 14.55
Bid-YTW : 7.54 %
CU.PR.H Perpetual-Discount 1.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-09
Maturity Price : 20.80
Evaluated at bid price : 20.80
Bid-YTW : 6.41 %
PWF.PR.Z Perpetual-Discount 1.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-09
Maturity Price : 19.54
Evaluated at bid price : 19.54
Bid-YTW : 6.61 %
PWF.PR.P FixedReset Disc 1.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-09
Maturity Price : 14.21
Evaluated at bid price : 14.21
Bid-YTW : 7.97 %
TD.PF.A FixedReset Disc 1.33 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-09
Maturity Price : 19.55
Evaluated at bid price : 19.55
Bid-YTW : 7.05 %
BN.PR.X FixedReset Disc 1.33 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-09
Maturity Price : 15.20
Evaluated at bid price : 15.20
Bid-YTW : 8.32 %
ELF.PR.H Perpetual-Discount 1.35 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-09
Maturity Price : 21.03
Evaluated at bid price : 21.03
Bid-YTW : 6.58 %
MFC.PR.N FixedReset Ins Non 1.38 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-09
Maturity Price : 18.37
Evaluated at bid price : 18.37
Bid-YTW : 7.55 %
CU.PR.E Perpetual-Discount 1.40 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-09
Maturity Price : 19.50
Evaluated at bid price : 19.50
Bid-YTW : 6.38 %
IFC.PR.A FixedReset Ins Non 1.42 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-09
Maturity Price : 17.80
Evaluated at bid price : 17.80
Bid-YTW : 7.09 %
BIP.PR.E FixedReset Disc 1.43 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-09
Maturity Price : 20.60
Evaluated at bid price : 20.60
Bid-YTW : 7.89 %
BN.PR.M Perpetual-Discount 1.50 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-09
Maturity Price : 17.60
Evaluated at bid price : 17.60
Bid-YTW : 6.82 %
GWO.PR.P Insurance Straight 1.61 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-09
Maturity Price : 20.83
Evaluated at bid price : 20.83
Bid-YTW : 6.55 %
RY.PR.M FixedReset Disc 1.67 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-09
Maturity Price : 18.91
Evaluated at bid price : 18.91
Bid-YTW : 7.48 %
FFH.PR.H FloatingReset 1.69 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-09
Maturity Price : 18.00
Evaluated at bid price : 18.00
Bid-YTW : 10.82 %
PVS.PR.K SplitShare 1.80 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2029-05-31
Maturity Price : 25.00
Evaluated at bid price : 22.65
Bid-YTW : 6.68 %
CU.PR.D Perpetual-Discount 1.84 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-09
Maturity Price : 19.36
Evaluated at bid price : 19.36
Bid-YTW : 6.43 %
SLF.PR.H FixedReset Ins Non 1.92 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-09
Maturity Price : 18.60
Evaluated at bid price : 18.60
Bid-YTW : 6.85 %
CU.PR.C FixedReset Disc 2.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-09
Maturity Price : 19.01
Evaluated at bid price : 19.01
Bid-YTW : 7.50 %
SLF.PR.C Insurance Straight 2.57 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-09
Maturity Price : 18.75
Evaluated at bid price : 18.75
Bid-YTW : 5.99 %
SLF.PR.G FixedReset Ins Non 3.61 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-09
Maturity Price : 14.35
Evaluated at bid price : 14.35
Bid-YTW : 7.83 %
CU.PR.I FixedReset Disc 4.31 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-09
Maturity Price : 22.42
Evaluated at bid price : 22.75
Bid-YTW : 7.46 %
Volume Highlights
Issue Index Shares
Traded		 Notes
PWF.PR.P FixedReset Disc 165,742 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-09
Maturity Price : 14.21
Evaluated at bid price : 14.21
Bid-YTW : 7.97 %
EIT.PR.A SplitShare 111,351 YTW SCENARIO
Maturity Type : Soft Maturity
Maturity Date : 2024-03-14
Maturity Price : 25.00
Evaluated at bid price : 24.96
Bid-YTW : 7.65 %
BMO.PR.F FixedReset Disc 36,450 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-09
Maturity Price : 23.91
Evaluated at bid price : 24.65
Bid-YTW : 7.00 %
GWO.PR.N FixedReset Ins Non 35,440 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-09
Maturity Price : 13.76
Evaluated at bid price : 13.76
Bid-YTW : 7.77 %
MFC.PR.M FixedReset Ins Non 26,400 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-09
Maturity Price : 18.85
Evaluated at bid price : 18.85
Bid-YTW : 7.50 %
RY.PR.Z FixedReset Disc 23,400 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-09
Maturity Price : 19.99
Evaluated at bid price : 19.99
Bid-YTW : 7.01 %
There were 12 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: 17.80 – 24.00
Spot Rate : 6.2000
Average : 3.4459

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-09
Maturity Price : 17.80
Evaluated at bid price : 17.80
Bid-YTW : 8.67 %
BN.PF.E FixedReset Disc Quote: 15.61 – 19.49
Spot Rate : 3.8800
Average : 2.3167

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-09
Maturity Price : 15.61
Evaluated at bid price : 15.61
Bid-YTW : 9.20 %
BN.PF.H FixedReset Disc Quote: 21.15 – 22.60
Spot Rate : 1.4500
Average : 0.8488

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-09
Maturity Price : 21.15
Evaluated at bid price : 21.15
Bid-YTW : 8.54 %
CU.PR.E Perpetual-Discount Quote: 19.50 – 20.85
Spot Rate : 1.3500
Average : 0.7994

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-09
Maturity Price : 19.50
Evaluated at bid price : 19.50
Bid-YTW : 6.38 %
MFC.PR.L FixedReset Ins Non Quote: 19.09 – 20.50
Spot Rate : 1.4100
Average : 0.9930

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-09
Maturity Price : 19.09
Evaluated at bid price : 19.09
Bid-YTW : 7.24 %
MFC.PR.J FixedReset Ins Non Quote: 22.51 – 23.55
Spot Rate : 1.0400
Average : 0.7170

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-09
Maturity Price : 22.03
Evaluated at bid price : 22.51
Bid-YTW : 6.73 %
Market Action

January 8, 2024

HIMIPref™ Preferred Indices
These values reflect the December 2008 revision of the HIMIPref™ Indices
Values are provisional and are finalized monthly
Index Mean
Current
Yield
(at bid)		 Median
YTW		 Median
Average
Trading
Value		 Median
Mod Dur
(YTW)		 Issues Day’s Perf. Index Value
Ratchet 0.00 % 0.00 % 0 0.00 0 0.0000 % 2,135.4
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.0000 % 4,095.8
Floater 11.40 % 11.60 % 45,464 8.43 2 0.0000 % 2,360.4
OpRet 0.00 % 0.00 % 0 0.00 0 0.0000 % 3,396.4
SplitShare 4.96 % 7.64 % 51,800 2.00 7 0.0000 % 4,056.0
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0000 % 3,164.7
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 0.1390 % 2,649.3
Perpetual-Discount 6.48 % 6.64 % 55,172 13.03 34 0.1390 % 2,888.9
FixedReset Disc 5.73 % 7.60 % 117,428 12.15 59 0.6525 % 2,290.1
Insurance Straight 6.36 % 6.49 % 75,890 13.22 20 0.6752 % 2,850.1
FloatingReset 10.52 % 10.73 % 35,899 9.01 5 -0.2777 % 2,552.6
FixedReset Prem 5.91 % 6.50 % 152,783 3.38 2 0.4197 % 2,521.2
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 0.6525 % 2,340.9
FixedReset Ins Non 5.55 % 7.18 % 85,664 12.59 14 0.5116 % 2,560.2
Performance Highlights
Issue Index Change Notes
FFH.PR.H FloatingReset -3.28 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-08
Maturity Price : 17.70
Evaluated at bid price : 17.70
Bid-YTW : 11.01 %
BN.PF.B FixedReset Disc -2.50 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-08
Maturity Price : 17.55
Evaluated at bid price : 17.55
Bid-YTW : 8.60 %
BN.PF.A FixedReset Disc -1.21 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-08
Maturity Price : 20.40
Evaluated at bid price : 20.40
Bid-YTW : 7.93 %
SLF.PR.C Insurance Straight -1.19 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-08
Maturity Price : 18.28
Evaluated at bid price : 18.28
Bid-YTW : 6.14 %
BMO.PR.W FixedReset Disc -1.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-08
Maturity Price : 18.10
Evaluated at bid price : 18.10
Bid-YTW : 7.67 %
PWF.PR.S Perpetual-Discount -1.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-08
Maturity Price : 18.46
Evaluated at bid price : 18.46
Bid-YTW : 6.65 %
SLF.PR.G FixedReset Ins Non -1.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-08
Maturity Price : 13.85
Evaluated at bid price : 13.85
Bid-YTW : 8.10 %
CU.PR.C FixedReset Disc 1.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-08
Maturity Price : 18.62
Evaluated at bid price : 18.62
Bid-YTW : 7.66 %
RY.PR.M FixedReset Disc 1.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-08
Maturity Price : 18.60
Evaluated at bid price : 18.60
Bid-YTW : 7.60 %
GWO.PR.N FixedReset Ins Non 1.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-08
Maturity Price : 13.60
Evaluated at bid price : 13.60
Bid-YTW : 7.86 %
FFH.PR.F FloatingReset 1.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-08
Maturity Price : 17.20
Evaluated at bid price : 17.20
Bid-YTW : 10.73 %
MFC.PR.K FixedReset Ins Non 1.24 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-08
Maturity Price : 22.22
Evaluated at bid price : 22.88
Bid-YTW : 6.36 %
BN.PF.I FixedReset Disc 1.27 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-08
Maturity Price : 19.90
Evaluated at bid price : 19.90
Bid-YTW : 8.58 %
FFH.PR.D FloatingReset 1.30 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-08
Maturity Price : 20.27
Evaluated at bid price : 20.27
Bid-YTW : 10.34 %
SLF.PR.D Insurance Straight 1.31 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-08
Maturity Price : 18.55
Evaluated at bid price : 18.55
Bid-YTW : 6.05 %
IFC.PR.E Insurance Straight 1.41 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-08
Maturity Price : 20.15
Evaluated at bid price : 20.15
Bid-YTW : 6.51 %
SLF.PR.E Insurance Straight 1.53 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-08
Maturity Price : 18.63
Evaluated at bid price : 18.63
Bid-YTW : 6.09 %
RY.PR.H FixedReset Disc 1.54 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-08
Maturity Price : 19.10
Evaluated at bid price : 19.10
Bid-YTW : 7.35 %
BIP.PR.B FixedReset Disc 1.60 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-08
Maturity Price : 21.73
Evaluated at bid price : 22.20
Bid-YTW : 8.55 %
TD.PF.C FixedReset Disc 1.62 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-08
Maturity Price : 18.84
Evaluated at bid price : 18.84
Bid-YTW : 7.40 %
MFC.PR.C Insurance Straight 1.64 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-08
Maturity Price : 18.60
Evaluated at bid price : 18.60
Bid-YTW : 6.12 %
BN.PR.R FixedReset Disc 1.68 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-08
Maturity Price : 14.50
Evaluated at bid price : 14.50
Bid-YTW : 9.03 %
BN.PR.X FixedReset Disc 1.69 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-08
Maturity Price : 15.00
Evaluated at bid price : 15.00
Bid-YTW : 8.43 %
BMO.PR.Y FixedReset Disc 1.81 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-08
Maturity Price : 19.14
Evaluated at bid price : 19.14
Bid-YTW : 7.57 %
PWF.PR.G Perpetual-Discount 1.84 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-08
Maturity Price : 22.96
Evaluated at bid price : 23.23
Bid-YTW : 6.48 %
SLF.PR.H FixedReset Ins Non 2.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-08
Maturity Price : 18.25
Evaluated at bid price : 18.25
Bid-YTW : 6.98 %
FFH.PR.G FixedReset Disc 2.25 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-08
Maturity Price : 16.36
Evaluated at bid price : 16.36
Bid-YTW : 8.53 %
TD.PF.E FixedReset Disc 3.28 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-08
Maturity Price : 20.16
Evaluated at bid price : 20.16
Bid-YTW : 7.37 %
IFC.PR.F Insurance Straight 3.95 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-08
Maturity Price : 20.25
Evaluated at bid price : 20.25
Bid-YTW : 6.61 %
PWF.PR.P FixedReset Disc 5.59 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-08
Maturity Price : 14.16
Evaluated at bid price : 14.16
Bid-YTW : 8.07 %
NA.PR.W FixedReset Disc 5.88 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-08
Maturity Price : 18.00
Evaluated at bid price : 18.00
Bid-YTW : 7.61 %
Volume Highlights
Issue Index Shares
Traded		 Notes
CM.PR.P FixedReset Disc 164,896 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-08
Maturity Price : 17.92
Evaluated at bid price : 17.92
Bid-YTW : 7.62 %
BMO.PR.Y FixedReset Disc 70,000 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-08
Maturity Price : 19.14
Evaluated at bid price : 19.14
Bid-YTW : 7.57 %
TD.PF.C FixedReset Disc 30,846 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-08
Maturity Price : 18.84
Evaluated at bid price : 18.84
Bid-YTW : 7.40 %
TD.PF.B FixedReset Disc 27,425 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-08
Maturity Price : 20.11
Evaluated at bid price : 20.11
Bid-YTW : 7.03 %
BNS.PR.I FixedReset Prem 26,052 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-02-26
Maturity Price : 25.00
Evaluated at bid price : 24.92
Bid-YTW : 5.42 %
PWF.PR.H Perpetual-Discount 25,053 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-08
Maturity Price : 21.63
Evaluated at bid price : 21.88
Bid-YTW : 6.71 %
There were 11 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
BMO.PR.W FixedReset Disc Quote: 18.10 – 24.50
Spot Rate : 6.4000
Average : 3.5360

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-08
Maturity Price : 18.10
Evaluated at bid price : 18.10
Bid-YTW : 7.67 %
TD.PF.C FixedReset Disc Quote: 18.84 – 23.33
Spot Rate : 4.4900
Average : 2.4674

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-08
Maturity Price : 18.84
Evaluated at bid price : 18.84
Bid-YTW : 7.40 %
CIU.PR.A Perpetual-Discount Quote: 17.50 – 20.00
Spot Rate : 2.5000
Average : 1.3442

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-08
Maturity Price : 17.50
Evaluated at bid price : 17.50
Bid-YTW : 6.68 %
TD.PF.B FixedReset Disc Quote: 20.11 – 21.10
Spot Rate : 0.9900
Average : 0.6110

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-08
Maturity Price : 20.11
Evaluated at bid price : 20.11
Bid-YTW : 7.03 %
FFH.PR.H FloatingReset Quote: 17.70 – 18.45
Spot Rate : 0.7500
Average : 0.4990

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-08
Maturity Price : 17.70
Evaluated at bid price : 17.70
Bid-YTW : 11.01 %
TD.PF.E FixedReset Disc Quote: 20.16 – 21.45
Spot Rate : 1.2900
Average : 1.0410

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-08
Maturity Price : 20.16
Evaluated at bid price : 20.16
Bid-YTW : 7.37 %
Market Action

January 5, 2023

This rally seems to have legs – the TXPR price index was up another 0.48% today to 549.53, making a gain of 3.07% from the 533.17 close on 2023-12-27, the last day of tax-loss selling. Geez, if we annualize that …

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 % 2,135.4
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.0000 % 4,095.8
Floater 11.40 % 11.58 % 45,470 8.44 2 0.0000 % 2,360.4
OpRet 0.00 % 0.00 % 0 0.00 0 0.7061 % 3,396.4
SplitShare 4.96 % 7.40 % 52,055 2.01 7 0.7061 % 4,056.0
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.7061 % 3,164.7
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 0.6481 % 2,645.6
Perpetual-Discount 6.49 % 6.61 % 56,594 13.02 34 0.6481 % 2,884.9
FixedReset Disc 5.76 % 7.59 % 120,658 12.13 59 0.4557 % 2,275.2
Insurance Straight 6.40 % 6.53 % 76,117 13.18 20 0.5966 % 2,831.0
FloatingReset 10.50 % 10.64 % 36,080 9.08 5 1.1825 % 2,559.7
FixedReset Prem 5.94 % 6.68 % 154,730 12.79 2 -0.9111 % 2,510.6
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 0.4557 % 2,325.7
FixedReset Ins Non 5.58 % 7.15 % 86,317 12.63 14 0.2660 % 2,547.2
Performance Highlights
Issue Index Change Notes
IFC.PR.E Insurance Straight -1.63 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-05
Maturity Price : 19.87
Evaluated at bid price : 19.87
Bid-YTW : 6.60 %
MIC.PR.A Perpetual-Discount -1.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-05
Maturity Price : 18.26
Evaluated at bid price : 18.26
Bid-YTW : 7.47 %
BMO.PR.E FixedReset Disc -1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-05
Maturity Price : 22.89
Evaluated at bid price : 24.25
Bid-YTW : 6.46 %
SLF.PR.D Insurance Straight 1.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-05
Maturity Price : 18.31
Evaluated at bid price : 18.31
Bid-YTW : 6.13 %
CU.PR.E Perpetual-Discount 1.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-05
Maturity Price : 19.22
Evaluated at bid price : 19.22
Bid-YTW : 6.47 %
BMO.PR.S FixedReset Disc 1.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-05
Maturity Price : 19.97
Evaluated at bid price : 19.97
Bid-YTW : 7.10 %
CM.PR.P FixedReset Disc 1.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-05
Maturity Price : 17.81
Evaluated at bid price : 17.81
Bid-YTW : 7.59 %
BMO.PR.W FixedReset Disc 1.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-05
Maturity Price : 18.30
Evaluated at bid price : 18.30
Bid-YTW : 7.51 %
BMO.PR.T FixedReset Disc 1.18 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-05
Maturity Price : 18.82
Evaluated at bid price : 18.82
Bid-YTW : 7.36 %
CU.PR.G Perpetual-Discount 1.21 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-05
Maturity Price : 17.50
Evaluated at bid price : 17.50
Bid-YTW : 6.53 %
BN.PF.G FixedReset Disc 1.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-05
Maturity Price : 16.48
Evaluated at bid price : 16.48
Bid-YTW : 8.91 %
GWO.PR.G Insurance Straight 1.26 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-05
Maturity Price : 20.05
Evaluated at bid price : 20.05
Bid-YTW : 6.54 %
FFH.PR.I FixedReset Disc 1.27 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-05
Maturity Price : 16.75
Evaluated at bid price : 16.75
Bid-YTW : 8.63 %
SLF.PR.G FixedReset Ins Non 1.30 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-05
Maturity Price : 14.00
Evaluated at bid price : 14.00
Bid-YTW : 7.94 %
SLF.PR.C Insurance Straight 1.37 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-05
Maturity Price : 18.50
Evaluated at bid price : 18.50
Bid-YTW : 6.06 %
NA.PR.W FixedReset Disc 1.41 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-05
Maturity Price : 17.00
Evaluated at bid price : 17.00
Bid-YTW : 7.98 %
GWO.PR.I Insurance Straight 1.42 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-05
Maturity Price : 17.80
Evaluated at bid price : 17.80
Bid-YTW : 6.38 %
RY.PR.Z FixedReset Disc 1.53 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-05
Maturity Price : 19.85
Evaluated at bid price : 19.85
Bid-YTW : 6.99 %
TD.PF.A FixedReset Disc 1.68 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-05
Maturity Price : 19.42
Evaluated at bid price : 19.42
Bid-YTW : 7.12 %
CU.PR.J Perpetual-Discount 1.70 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-05
Maturity Price : 18.55
Evaluated at bid price : 18.55
Bid-YTW : 6.50 %
GWO.PR.S Insurance Straight 1.70 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-05
Maturity Price : 20.30
Evaluated at bid price : 20.30
Bid-YTW : 6.52 %
PVS.PR.H SplitShare 1.73 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2027-02-28
Maturity Price : 25.00
Evaluated at bid price : 23.50
Bid-YTW : 7.03 %
GWO.PR.H Insurance Straight 1.74 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-05
Maturity Price : 18.76
Evaluated at bid price : 18.76
Bid-YTW : 6.52 %
POW.PR.C Perpetual-Discount 1.77 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-05
Maturity Price : 22.71
Evaluated at bid price : 23.00
Bid-YTW : 6.33 %
GWO.PR.M Insurance Straight 1.79 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-05
Maturity Price : 22.44
Evaluated at bid price : 22.70
Bid-YTW : 6.43 %
FTS.PR.K FixedReset Disc 1.88 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-05
Maturity Price : 17.85
Evaluated at bid price : 17.85
Bid-YTW : 7.59 %
FTS.PR.I FloatingReset 1.90 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-05
Maturity Price : 15.55
Evaluated at bid price : 15.55
Bid-YTW : 10.80 %
PWF.PR.K Perpetual-Discount 1.92 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-05
Maturity Price : 19.15
Evaluated at bid price : 19.15
Bid-YTW : 6.60 %
PWF.PR.S Perpetual-Discount 1.97 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-05
Maturity Price : 18.66
Evaluated at bid price : 18.66
Bid-YTW : 6.57 %
MFC.PR.F FixedReset Ins Non 2.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-05
Maturity Price : 14.43
Evaluated at bid price : 14.43
Bid-YTW : 7.53 %
NA.PR.S FixedReset Disc 2.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-05
Maturity Price : 19.60
Evaluated at bid price : 19.60
Bid-YTW : 7.24 %
PVS.PR.K SplitShare 2.16 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2029-05-31
Maturity Price : 25.00
Evaluated at bid price : 22.25
Bid-YTW : 7.05 %
FTS.PR.G FixedReset Disc 2.26 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-05
Maturity Price : 21.25
Evaluated at bid price : 21.25
Bid-YTW : 6.72 %
BN.PR.Z FixedReset Disc 2.62 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-05
Maturity Price : 18.80
Evaluated at bid price : 18.80
Bid-YTW : 8.34 %
GWO.PR.T Insurance Straight 2.68 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-05
Maturity Price : 19.90
Evaluated at bid price : 19.90
Bid-YTW : 6.53 %
FFH.PR.H FloatingReset 2.81 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-05
Maturity Price : 18.30
Evaluated at bid price : 18.30
Bid-YTW : 10.63 %
BN.PF.B FixedReset Disc 2.86 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-05
Maturity Price : 18.00
Evaluated at bid price : 18.00
Bid-YTW : 8.30 %
Volume Highlights
Issue Index Shares
Traded		 Notes
TD.PF.I FixedReset Disc 140,600 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-05
Maturity Price : 23.10
Evaluated at bid price : 24.55
Bid-YTW : 6.48 %
BNS.PR.I FixedReset Prem 97,300 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-02-26
Maturity Price : 25.00
Evaluated at bid price : 24.92
Bid-YTW : 5.11 %
CM.PR.O FixedReset Disc 96,700 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-05
Maturity Price : 18.88
Evaluated at bid price : 18.88
Bid-YTW : 7.34 %
IFC.PR.C FixedReset Ins Non 93,840 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-05
Maturity Price : 18.38
Evaluated at bid price : 18.38
Bid-YTW : 7.52 %
TD.PF.B FixedReset Disc 88,032 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-05
Maturity Price : 19.92
Evaluated at bid price : 19.92
Bid-YTW : 7.03 %
BN.PF.F FixedReset Disc 82,700 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-05
Maturity Price : 17.70
Evaluated at bid price : 17.70
Bid-YTW : 8.64 %
There were 13 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
CU.PR.I FixedReset Disc Quote: 21.75 – 24.50
Spot Rate : 2.7500
Average : 1.5559

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-05
Maturity Price : 21.42
Evaluated at bid price : 21.75
Bid-YTW : 7.74 %
BN.PR.N Perpetual-Discount Quote: 17.25 – 18.29
Spot Rate : 1.0400
Average : 0.6168

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-05
Maturity Price : 17.25
Evaluated at bid price : 17.25
Bid-YTW : 6.95 %
POW.PR.B Perpetual-Discount Quote: 20.28 – 21.50
Spot Rate : 1.2200
Average : 0.8209

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-05
Maturity Price : 20.28
Evaluated at bid price : 20.28
Bid-YTW : 6.64 %
MFC.PR.M FixedReset Ins Non Quote: 18.52 – 19.52
Spot Rate : 1.0000
Average : 0.6460

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-05
Maturity Price : 18.52
Evaluated at bid price : 18.52
Bid-YTW : 7.56 %
PWF.PR.K Perpetual-Discount Quote: 19.15 – 19.97
Spot Rate : 0.8200
Average : 0.5380

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-05
Maturity Price : 19.15
Evaluated at bid price : 19.15
Bid-YTW : 6.60 %
IFC.PR.E Insurance Straight Quote: 19.87 – 20.70
Spot Rate : 0.8300
Average : 0.5757

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-05
Maturity Price : 19.87
Evaluated at bid price : 19.87
Bid-YTW : 6.60 %
Market Action

January 4, 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 -0.2708 % 2,135.4
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.2708 % 4,095.8
Floater 11.40 % 11.58 % 45,785 8.45 2 -0.2708 % 2,360.4
OpRet 0.00 % 0.00 % 0 0.00 0 -0.1580 % 3,372.6
SplitShare 4.99 % 7.71 % 51,420 2.01 7 -0.1580 % 4,027.6
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.1580 % 3,142.5
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 0.7408 % 2,628.6
Perpetual-Discount 6.53 % 6.66 % 56,737 12.97 34 0.7408 % 2,866.3
FixedReset Disc 5.79 % 7.65 % 120,998 12.04 59 0.4194 % 2,264.9
Insurance Straight 6.44 % 6.58 % 77,107 13.11 20 0.4071 % 2,814.2
FloatingReset 10.62 % 10.91 % 35,733 8.89 5 0.2936 % 2,529.8
FixedReset Prem 5.88 % 6.67 % 153,656 12.60 2 0.3378 % 2,533.7
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 0.4194 % 2,315.2
FixedReset Ins Non 5.59 % 7.15 % 86,955 12.54 14 0.5963 % 2,540.4
Performance Highlights
Issue Index Change Notes
NA.PR.W FixedReset Disc -2.86 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-04
Maturity Price : 17.00
Evaluated at bid price : 17.00
Bid-YTW : 8.10 %
IFC.PR.F Insurance Straight -1.86 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-04
Maturity Price : 19.48
Evaluated at bid price : 19.48
Bid-YTW : 6.87 %
SLF.PR.D Insurance Straight -1.52 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-04
Maturity Price : 18.12
Evaluated at bid price : 18.12
Bid-YTW : 6.19 %
PVS.PR.H SplitShare -1.49 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2027-02-28
Maturity Price : 25.00
Evaluated at bid price : 23.10
Bid-YTW : 7.63 %
SLF.PR.E Insurance Straight -1.35 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-04
Maturity Price : 18.29
Evaluated at bid price : 18.29
Bid-YTW : 6.20 %
SLF.PR.C Insurance Straight -1.24 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-04
Maturity Price : 18.25
Evaluated at bid price : 18.25
Bid-YTW : 6.15 %
CU.PR.G Perpetual-Discount -1.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-04
Maturity Price : 17.29
Evaluated at bid price : 17.29
Bid-YTW : 6.61 %
PVS.PR.K SplitShare -1.04 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2029-05-31
Maturity Price : 25.00
Evaluated at bid price : 21.78
Bid-YTW : 7.51 %
IFC.PR.K Perpetual-Discount 1.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-04
Maturity Price : 20.01
Evaluated at bid price : 20.01
Bid-YTW : 6.62 %
FFH.PR.C FixedReset Disc 1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-04
Maturity Price : 19.85
Evaluated at bid price : 19.85
Bid-YTW : 8.05 %
CM.PR.P FixedReset Disc 1.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-04
Maturity Price : 17.62
Evaluated at bid price : 17.62
Bid-YTW : 7.67 %
PVS.PR.G SplitShare 1.06 % YTW SCENARIO
Maturity Type : Option Certainty
Maturity Date : 2026-02-28
Maturity Price : 25.00
Evaluated at bid price : 23.90
Bid-YTW : 7.38 %
PWF.PR.E Perpetual-Discount 1.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-04
Maturity Price : 20.92
Evaluated at bid price : 20.92
Bid-YTW : 6.72 %
GWO.PR.P Insurance Straight 1.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-04
Maturity Price : 20.70
Evaluated at bid price : 20.70
Bid-YTW : 6.58 %
GWO.PR.N FixedReset Ins Non 1.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-04
Maturity Price : 13.36
Evaluated at bid price : 13.36
Bid-YTW : 7.91 %
BN.PR.T FixedReset Disc 1.25 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-04
Maturity Price : 14.55
Evaluated at bid price : 14.55
Bid-YTW : 8.97 %
BIP.PR.B FixedReset Disc 1.26 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-04
Maturity Price : 21.40
Evaluated at bid price : 21.72
Bid-YTW : 8.68 %
FTS.PR.K FixedReset Disc 1.27 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-04
Maturity Price : 17.52
Evaluated at bid price : 17.52
Bid-YTW : 7.74 %
BIP.PR.E FixedReset Disc 1.30 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-04
Maturity Price : 20.31
Evaluated at bid price : 20.31
Bid-YTW : 7.95 %
TD.PF.A FixedReset Disc 1.33 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-04
Maturity Price : 19.10
Evaluated at bid price : 19.10
Bid-YTW : 7.24 %
IFC.PR.C FixedReset Ins Non 1.39 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-04
Maturity Price : 18.25
Evaluated at bid price : 18.25
Bid-YTW : 7.57 %
BN.PR.N Perpetual-Discount 1.41 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-04
Maturity Price : 17.31
Evaluated at bid price : 17.31
Bid-YTW : 6.93 %
CU.PR.C FixedReset Disc 1.49 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-04
Maturity Price : 18.36
Evaluated at bid price : 18.36
Bid-YTW : 7.71 %
CU.PR.E Perpetual-Discount 1.55 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-04
Maturity Price : 19.02
Evaluated at bid price : 19.02
Bid-YTW : 6.54 %
TD.PF.D FixedReset Disc 1.55 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-04
Maturity Price : 19.60
Evaluated at bid price : 19.60
Bid-YTW : 7.48 %
RY.PR.Z FixedReset Disc 1.56 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-04
Maturity Price : 19.55
Evaluated at bid price : 19.55
Bid-YTW : 7.10 %
MFC.PR.L FixedReset Ins Non 1.65 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-04
Maturity Price : 19.10
Evaluated at bid price : 19.10
Bid-YTW : 7.16 %
POW.PR.A Perpetual-Discount 1.67 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-04
Maturity Price : 21.25
Evaluated at bid price : 21.25
Bid-YTW : 6.63 %
RY.PR.N Perpetual-Discount 1.73 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-04
Maturity Price : 21.47
Evaluated at bid price : 21.77
Bid-YTW : 5.69 %
FTS.PR.I FloatingReset 1.73 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-04
Maturity Price : 15.26
Evaluated at bid price : 15.26
Bid-YTW : 11.00 %
CU.PR.D Perpetual-Discount 1.77 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-04
Maturity Price : 18.99
Evaluated at bid price : 18.99
Bid-YTW : 6.55 %
BIK.PR.A FixedReset Disc 1.99 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-04
Maturity Price : 21.67
Evaluated at bid price : 22.05
Bid-YTW : 8.29 %
POW.PR.D Perpetual-Discount 2.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-04
Maturity Price : 19.16
Evaluated at bid price : 19.16
Bid-YTW : 6.56 %
MIC.PR.A Perpetual-Discount 2.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-04
Maturity Price : 18.45
Evaluated at bid price : 18.45
Bid-YTW : 7.39 %
MFC.PR.J FixedReset Ins Non 2.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-04
Maturity Price : 22.44
Evaluated at bid price : 23.20
Bid-YTW : 6.46 %
CCS.PR.C Insurance Straight 2.59 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-04
Maturity Price : 19.01
Evaluated at bid price : 19.01
Bid-YTW : 6.64 %
BIP.PR.A FixedReset Disc 2.91 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-04
Maturity Price : 17.31
Evaluated at bid price : 17.31
Bid-YTW : 9.52 %
BMO.PR.W FixedReset Disc 3.25 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-04
Maturity Price : 18.10
Evaluated at bid price : 18.10
Bid-YTW : 7.59 %
IFC.PR.E Insurance Straight 3.27 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-04
Maturity Price : 20.20
Evaluated at bid price : 20.20
Bid-YTW : 6.49 %
IFC.PR.I Insurance Straight 3.70 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-04
Maturity Price : 21.00
Evaluated at bid price : 21.00
Bid-YTW : 6.49 %
Volume Highlights
Issue Index Shares
Traded		 Notes
TD.PF.A FixedReset Disc 109,300 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-04
Maturity Price : 19.10
Evaluated at bid price : 19.10
Bid-YTW : 7.24 %
BNS.PR.I FixedReset Prem 84,200 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-02-26
Maturity Price : 25.00
Evaluated at bid price : 24.91
Bid-YTW : 5.29 %
MFC.PR.I FixedReset Ins Non 59,500 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-04
Maturity Price : 22.11
Evaluated at bid price : 22.59
Bid-YTW : 6.81 %
TD.PF.B FixedReset Disc 52,425 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-04
Maturity Price : 19.91
Evaluated at bid price : 19.91
Bid-YTW : 7.03 %
CU.PR.C FixedReset Disc 51,150 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-04
Maturity Price : 18.36
Evaluated at bid price : 18.36
Bid-YTW : 7.71 %
CU.PR.I FixedReset Disc 50,400 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-04
Maturity Price : 21.34
Evaluated at bid price : 21.65
Bid-YTW : 7.77 %
There were 10 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
MFC.PR.F FixedReset Ins Non Quote: 14.14 – 19.38
Spot Rate : 5.2400
Average : 3.6831

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-04
Maturity Price : 14.14
Evaluated at bid price : 14.14
Bid-YTW : 7.67 %
CU.PR.F Perpetual-Discount Quote: 17.27 – 20.00
Spot Rate : 2.7300
Average : 2.2483

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-04
Maturity Price : 17.27
Evaluated at bid price : 17.27
Bid-YTW : 6.61 %
TD.PF.D FixedReset Disc Quote: 19.60 – 20.90
Spot Rate : 1.3000
Average : 0.8350

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-04
Maturity Price : 19.60
Evaluated at bid price : 19.60
Bid-YTW : 7.48 %
NA.PR.W FixedReset Disc Quote: 17.00 – 18.11
Spot Rate : 1.1100
Average : 0.7019

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-04
Maturity Price : 17.00
Evaluated at bid price : 17.00
Bid-YTW : 8.10 %
TD.PF.E FixedReset Disc Quote: 19.52 – 20.50
Spot Rate : 0.9800
Average : 0.6998

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-04
Maturity Price : 19.52
Evaluated at bid price : 19.52
Bid-YTW : 7.54 %
PVS.PR.H SplitShare Quote: 23.10 – 24.00
Spot Rate : 0.9000
Average : 0.6345

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2027-02-28
Maturity Price : 25.00
Evaluated at bid price : 23.10
Bid-YTW : 7.63 %
Market Action

January 3, 2024

TXPR closed at 544.96, up 0.64% on the day. Volume today was 1.26-million, third-lowest of the past 21 trading days.

CPD closed at 10.84, up 0.84% on the day. Volume was 119,330, slightly below the median of the past 21 trading days.

ZPR closed at 9.17, up 0.66% on the day. Volume was 54,700, lowest of the past 21 trading days.

Five-year Canada yields were up to 3.28%.

The pundits have a pat answer for today’s action in major markets:

U.S. and Canadian stock indexes ended the second session of the year down again in extended profit-taking on Wednesday after a strong finish to 2023, with minutes from the Federal Reserve’s December meeting failing to shake off the funk hanging over markets.

It was the first time the benchmark S&P 500 index has started the year with two straight declines since it kicked off 2015 with a three-session skid. It is also its worst two-day performance, on a percentage basis, since late-October.

The decline contrasts with the blistering run for all three major Wall Street benchmarks in the final two months of the year. The S&P 500 came within striking distance of its all-time closing high last week as signs of cooling inflation spurred investors to bet on an aggressive rate-cutting schedule.
…
As of Wednesday, implied probabilities in interest rate swaps markets suggest the Bank of Canada will start cutting interest rates in April, with 125 basis points of cuts priced in by the end of this year.

Definitely, “profit taking” is my favourite rationale for market movement!

PerpetualDiscounts now yield 6.72%, equivalent to 8.74% interest at the standard equivalency factor of 1.3x. Long corporates yielded 4.72% on 2023-12-15 and since then the closing price has changed from 15.88 to 15.33, a decline of 346bp in price, with a Duration (BMO doesn’t specify Modified or Macaulay – I will assume the former) of 12.60 implying an increase of 27bp in yield to 4.99%, so the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) has narrowed sharply to 374bp from the 430bp reported December 27.

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 0.4989 % 2,141.2
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.4989 % 4,106.9
Floater 11.37 % 11.51 % 53,146 8.49 2 0.4989 % 2,366.8
OpRet 0.00 % 0.00 % 0 0.00 0 -0.1153 % 3,377.9
SplitShare 4.98 % 7.80 % 51,172 2.01 7 -0.1153 % 4,034.0
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.1153 % 3,147.5
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 0.8972 % 2,609.3
Perpetual-Discount 6.58 % 6.72 % 57,673 12.90 34 0.8972 % 2,845.3
FixedReset Disc 5.82 % 7.73 % 115,882 12.00 59 0.3818 % 2,255.4
Insurance Straight 6.46 % 6.63 % 76,163 13.05 20 0.6630 % 2,802.8
FloatingReset 10.65 % 10.87 % 37,177 8.92 5 0.3299 % 2,522.4
FixedReset Prem 5.90 % 6.72 % 158,677 12.55 2 -0.6711 % 2,525.2
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 0.3818 % 2,305.5
FixedReset Ins Non 5.63 % 7.17 % 80,448 12.54 14 0.5612 % 2,525.3
Performance Highlights
Issue Index Change Notes
CU.PR.C FixedReset Disc -2.27 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-03
Maturity Price : 18.09
Evaluated at bid price : 18.09
Bid-YTW : 7.82 %
IFC.PR.I Insurance Straight -2.17 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-03
Maturity Price : 20.25
Evaluated at bid price : 20.25
Bid-YTW : 6.73 %
PVS.PR.J SplitShare -1.99 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2028-02-29
Maturity Price : 25.00
Evaluated at bid price : 22.15
Bid-YTW : 7.80 %
BN.PF.G FixedReset Disc -1.98 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-03
Maturity Price : 16.37
Evaluated at bid price : 16.37
Bid-YTW : 8.96 %
RY.PR.N Perpetual-Discount -1.61 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-03
Maturity Price : 21.40
Evaluated at bid price : 21.40
Bid-YTW : 5.81 %
BN.PF.B FixedReset Disc -1.42 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-03
Maturity Price : 17.33
Evaluated at bid price : 17.33
Bid-YTW : 8.62 %
CM.PR.P FixedReset Disc -1.41 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-03
Maturity Price : 17.44
Evaluated at bid price : 17.44
Bid-YTW : 7.75 %
NA.PR.C FixedReset Prem -1.32 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-03
Maturity Price : 23.40
Evaluated at bid price : 25.41
Bid-YTW : 6.72 %
BN.PR.Z FixedReset Disc -1.24 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-03
Maturity Price : 18.28
Evaluated at bid price : 18.28
Bid-YTW : 8.57 %
BN.PR.B Floater 1.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-03
Maturity Price : 11.11
Evaluated at bid price : 11.11
Bid-YTW : 11.51 %
BN.PR.N Perpetual-Discount 1.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-03
Maturity Price : 17.07
Evaluated at bid price : 17.07
Bid-YTW : 7.02 %
SLF.PR.E Insurance Straight 1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-03
Maturity Price : 18.54
Evaluated at bid price : 18.54
Bid-YTW : 6.12 %
GWO.PR.H Insurance Straight 1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-03
Maturity Price : 18.46
Evaluated at bid price : 18.46
Bid-YTW : 6.63 %
FFH.PR.M FixedReset Disc 1.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-03
Maturity Price : 21.56
Evaluated at bid price : 21.93
Bid-YTW : 8.13 %
BN.PR.R FixedReset Disc 1.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-03
Maturity Price : 14.20
Evaluated at bid price : 14.20
Bid-YTW : 9.13 %
POW.PR.G Perpetual-Discount 1.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-03
Maturity Price : 20.82
Evaluated at bid price : 20.82
Bid-YTW : 6.76 %
FFH.PR.G FixedReset Disc 1.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-03
Maturity Price : 15.77
Evaluated at bid price : 15.77
Bid-YTW : 8.76 %
PWF.PR.S Perpetual-Discount 1.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-03
Maturity Price : 18.20
Evaluated at bid price : 18.20
Bid-YTW : 6.74 %
FFH.PR.F FloatingReset 1.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-03
Maturity Price : 16.90
Evaluated at bid price : 16.90
Bid-YTW : 10.91 %
CM.PR.O FixedReset Disc 1.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-03
Maturity Price : 18.57
Evaluated at bid price : 18.57
Bid-YTW : 7.46 %
CU.PR.G Perpetual-Discount 1.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-03
Maturity Price : 17.50
Evaluated at bid price : 17.50
Bid-YTW : 6.53 %
PWF.PR.E Perpetual-Discount 1.17 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-03
Maturity Price : 20.70
Evaluated at bid price : 20.70
Bid-YTW : 6.79 %
GWO.PR.L Insurance Straight 1.18 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-03
Maturity Price : 21.50
Evaluated at bid price : 21.50
Bid-YTW : 6.63 %
SLF.PR.D Insurance Straight 1.21 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-03
Maturity Price : 18.40
Evaluated at bid price : 18.40
Bid-YTW : 6.10 %
POW.PR.A Perpetual-Discount 1.21 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-03
Maturity Price : 20.90
Evaluated at bid price : 20.90
Bid-YTW : 6.74 %
FTS.PR.I FloatingReset 1.21 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-03
Maturity Price : 15.00
Evaluated at bid price : 15.00
Bid-YTW : 11.19 %
SLF.PR.H FixedReset Ins Non 1.29 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-03
Maturity Price : 18.08
Evaluated at bid price : 18.08
Bid-YTW : 6.98 %
PVS.PR.K SplitShare 1.29 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2029-05-31
Maturity Price : 25.00
Evaluated at bid price : 22.01
Bid-YTW : 7.28 %
POW.PR.D Perpetual-Discount 1.30 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-03
Maturity Price : 18.77
Evaluated at bid price : 18.77
Bid-YTW : 6.70 %
PWF.PR.F Perpetual-Discount 1.33 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-03
Maturity Price : 19.81
Evaluated at bid price : 19.81
Bid-YTW : 6.77 %
MFC.PR.L FixedReset Ins Non 1.35 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-03
Maturity Price : 18.79
Evaluated at bid price : 18.79
Bid-YTW : 7.28 %
BN.PR.X FixedReset Disc 1.38 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-03
Maturity Price : 14.70
Evaluated at bid price : 14.70
Bid-YTW : 8.53 %
PWF.PR.L Perpetual-Discount 1.42 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-03
Maturity Price : 19.30
Evaluated at bid price : 19.30
Bid-YTW : 6.75 %
BN.PF.F FixedReset Disc 1.68 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-03
Maturity Price : 17.60
Evaluated at bid price : 17.60
Bid-YTW : 8.69 %
PWF.PF.A Perpetual-Discount 1.71 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-03
Maturity Price : 17.20
Evaluated at bid price : 17.20
Bid-YTW : 6.68 %
BN.PF.C Perpetual-Discount 1.76 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-03
Maturity Price : 17.30
Evaluated at bid price : 17.30
Bid-YTW : 7.07 %
POW.PR.C Perpetual-Discount 1.80 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-03
Maturity Price : 22.33
Evaluated at bid price : 22.60
Bid-YTW : 6.44 %
IFC.PR.F Insurance Straight 1.90 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-03
Maturity Price : 19.85
Evaluated at bid price : 19.85
Bid-YTW : 6.74 %
BN.PF.D Perpetual-Discount 1.99 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-03
Maturity Price : 17.40
Evaluated at bid price : 17.40
Bid-YTW : 7.11 %
MFC.PR.F FixedReset Ins Non 2.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-03
Maturity Price : 14.26
Evaluated at bid price : 14.26
Bid-YTW : 7.61 %
FFH.PR.K FixedReset Disc 2.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-03
Maturity Price : 19.09
Evaluated at bid price : 19.09
Bid-YTW : 8.44 %
CU.PR.I FixedReset Disc 2.24 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-03
Maturity Price : 21.47
Evaluated at bid price : 21.47
Bid-YTW : 7.85 %
BN.PR.M Perpetual-Discount 2.37 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-03
Maturity Price : 17.25
Evaluated at bid price : 17.25
Bid-YTW : 6.95 %
PWF.PR.Z Perpetual-Discount 2.46 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-03
Maturity Price : 19.55
Evaluated at bid price : 19.55
Bid-YTW : 6.73 %
PWF.PR.P FixedReset Disc 2.61 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-03
Maturity Price : 13.39
Evaluated at bid price : 13.39
Bid-YTW : 8.43 %
BN.PF.I FixedReset Disc 2.63 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-03
Maturity Price : 19.50
Evaluated at bid price : 19.50
Bid-YTW : 8.69 %
CU.PR.H Perpetual-Discount 2.64 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-03
Maturity Price : 20.20
Evaluated at bid price : 20.20
Bid-YTW : 6.60 %
GWO.PR.M Insurance Straight 3.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-03
Maturity Price : 22.17
Evaluated at bid price : 22.45
Bid-YTW : 6.50 %
CCS.PR.C Insurance Straight 3.52 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-03
Maturity Price : 18.53
Evaluated at bid price : 18.53
Bid-YTW : 6.81 %
Volume Highlights
Issue Index Shares
Traded		 Notes
BNS.PR.I FixedReset Prem 56,809 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-02-26
Maturity Price : 25.00
Evaluated at bid price : 24.91
Bid-YTW : 5.19 %
RY.PR.Z FixedReset Disc 41,000 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-03
Maturity Price : 19.25
Evaluated at bid price : 19.25
Bid-YTW : 7.21 %
BN.PF.G FixedReset Disc 34,200 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-03
Maturity Price : 16.37
Evaluated at bid price : 16.37
Bid-YTW : 8.96 %
MFC.PR.K FixedReset Ins Non 25,635 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-03
Maturity Price : 21.92
Evaluated at bid price : 22.40
Bid-YTW : 6.46 %
GWO.PR.N FixedReset Ins Non 21,300 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-03
Maturity Price : 13.21
Evaluated at bid price : 13.21
Bid-YTW : 7.99 %
SLF.PR.H FixedReset Ins Non 20,700 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-03
Maturity Price : 18.08
Evaluated at bid price : 18.08
Bid-YTW : 6.98 %
There were 9 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
CU.PR.F Perpetual-Discount Quote: 17.27 – 20.00
Spot Rate : 2.7300
Average : 1.7201

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-03
Maturity Price : 17.27
Evaluated at bid price : 17.27
Bid-YTW : 6.61 %
BN.PR.Z FixedReset Disc Quote: 18.28 – 19.55
Spot Rate : 1.2700
Average : 0.7859

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-03
Maturity Price : 18.28
Evaluated at bid price : 18.28
Bid-YTW : 8.57 %
POW.PR.B Perpetual-Discount Quote: 20.02 – 21.02
Spot Rate : 1.0000
Average : 0.5841

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-03
Maturity Price : 20.02
Evaluated at bid price : 20.02
Bid-YTW : 6.72 %
BIK.PR.A FixedReset Disc Quote: 21.62 – 22.50
Spot Rate : 0.8800
Average : 0.5334

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-03
Maturity Price : 21.35
Evaluated at bid price : 21.62
Bid-YTW : 8.46 %
GWO.PR.I Insurance Straight Quote: 17.45 – 18.25
Spot Rate : 0.8000
Average : 0.4810

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-03
Maturity Price : 17.45
Evaluated at bid price : 17.45
Bid-YTW : 6.50 %
BN.PF.F FixedReset Disc Quote: 17.60 – 19.00
Spot Rate : 1.4000
Average : 1.1232

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-03
Maturity Price : 17.60
Evaluated at bid price : 17.60
Bid-YTW : 8.69 %