Category: Market Action

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 %
Market Action

January 2, 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 -0.3615 % 2,130.6
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.3615 % 4,086.5
Floater 11.43 % 11.57 % 44,972 8.45 2 -0.3615 % 2,355.1
OpRet 0.00 % 0.00 % 0 0.00 0 0.1094 % 3,381.8
SplitShare 4.98 % 7.76 % 53,179 2.01 7 0.1094 % 4,038.6
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.1094 % 3,151.1
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 0.9069 % 2,586.1
Perpetual-Discount 6.64 % 6.79 % 57,910 12.81 34 0.9069 % 2,820.0
FixedReset Disc 5.84 % 7.66 % 117,624 12.02 59 0.5918 % 2,246.9
Insurance Straight 6.51 % 6.68 % 76,680 12.99 20 0.6304 % 2,784.3
FloatingReset 10.69 % 10.87 % 36,444 8.93 5 0.8076 % 2,514.1
FixedReset Prem 5.86 % 6.47 % 164,650 3.34 2 -0.0789 % 2,542.3
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 0.5918 % 2,296.8
FixedReset Ins Non 5.66 % 7.21 % 83,294 12.50 14 0.4014 % 2,511.3
Performance Highlights
Issue Index Change Notes
CCS.PR.C Insurance Straight -4.53 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-02
Maturity Price : 17.90
Evaluated at bid price : 17.90
Bid-YTW : 7.05 %
CU.PR.H Perpetual-Discount -2.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-02
Maturity Price : 19.68
Evaluated at bid price : 19.68
Bid-YTW : 6.77 %
IFC.PR.F Insurance Straight -2.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-02
Maturity Price : 19.48
Evaluated at bid price : 19.48
Bid-YTW : 6.86 %
BIP.PR.A FixedReset Disc -1.88 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-02
Maturity Price : 16.69
Evaluated at bid price : 16.69
Bid-YTW : 9.85 %
BN.PF.I FixedReset Disc -1.30 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-02
Maturity Price : 19.00
Evaluated at bid price : 19.00
Bid-YTW : 8.91 %
PWF.PR.P FixedReset Disc -1.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-02
Maturity Price : 13.05
Evaluated at bid price : 13.05
Bid-YTW : 8.63 %
PVS.PR.G SplitShare -1.05 % YTW SCENARIO
Maturity Type : Option Certainty
Maturity Date : 2026-02-28
Maturity Price : 25.00
Evaluated at bid price : 23.65
Bid-YTW : 7.89 %
BNS.PR.I FixedReset Prem -1.03 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-02-26
Maturity Price : 25.00
Evaluated at bid price : 24.91
Bid-YTW : 5.10 %
PWF.PR.T FixedReset Disc 1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-02
Maturity Price : 19.81
Evaluated at bid price : 19.81
Bid-YTW : 7.29 %
FFH.PR.H FloatingReset 1.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-02
Maturity Price : 17.89
Evaluated at bid price : 17.89
Bid-YTW : 10.87 %
CU.PR.C FixedReset Disc 1.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-02
Maturity Price : 18.51
Evaluated at bid price : 18.51
Bid-YTW : 7.64 %
MFC.PR.C Insurance Straight 1.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-02
Maturity Price : 18.30
Evaluated at bid price : 18.30
Bid-YTW : 6.21 %
RY.PR.S FixedReset Disc 1.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-02
Maturity Price : 21.94
Evaluated at bid price : 22.45
Bid-YTW : 6.37 %
BN.PR.N Perpetual-Discount 1.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-02
Maturity Price : 16.90
Evaluated at bid price : 16.90
Bid-YTW : 7.09 %
CM.PR.O FixedReset Disc 1.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-02
Maturity Price : 18.36
Evaluated at bid price : 18.36
Bid-YTW : 7.54 %
BN.PF.C Perpetual-Discount 1.19 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-02
Maturity Price : 17.00
Evaluated at bid price : 17.00
Bid-YTW : 7.20 %
BMO.PR.E FixedReset Disc 1.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-02
Maturity Price : 22.99
Evaluated at bid price : 24.50
Bid-YTW : 6.38 %
BN.PF.G FixedReset Disc 1.21 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-02
Maturity Price : 16.70
Evaluated at bid price : 16.70
Bid-YTW : 8.79 %
GWO.PR.I Insurance Straight 1.21 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-02
Maturity Price : 17.51
Evaluated at bid price : 17.51
Bid-YTW : 6.48 %
SLF.PR.D Insurance Straight 1.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-02
Maturity Price : 18.18
Evaluated at bid price : 18.18
Bid-YTW : 6.17 %
POW.PR.G Perpetual-Discount 1.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-02
Maturity Price : 20.60
Evaluated at bid price : 20.60
Bid-YTW : 6.84 %
FFH.PR.G FixedReset Disc 1.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-02
Maturity Price : 15.60
Evaluated at bid price : 15.60
Bid-YTW : 8.85 %
PWF.PR.E Perpetual-Discount 1.24 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-02
Maturity Price : 20.46
Evaluated at bid price : 20.46
Bid-YTW : 6.87 %
BN.PR.Z FixedReset Disc 1.26 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-02
Maturity Price : 18.51
Evaluated at bid price : 18.51
Bid-YTW : 8.46 %
SLF.PR.E Insurance Straight 1.27 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-02
Maturity Price : 18.35
Evaluated at bid price : 18.35
Bid-YTW : 6.18 %
POW.PR.B Perpetual-Discount 1.28 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-02
Maturity Price : 19.85
Evaluated at bid price : 19.85
Bid-YTW : 6.78 %
IFC.PR.C FixedReset Ins Non 1.28 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-02
Maturity Price : 18.13
Evaluated at bid price : 18.13
Bid-YTW : 7.61 %
CU.PR.J Perpetual-Discount 1.29 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-02
Maturity Price : 18.00
Evaluated at bid price : 18.00
Bid-YTW : 6.70 %
NA.PR.E FixedReset Disc 1.30 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-02
Maturity Price : 21.56
Evaluated at bid price : 21.85
Bid-YTW : 6.80 %
PWF.PR.O Perpetual-Discount 1.35 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-02
Maturity Price : 21.49
Evaluated at bid price : 21.75
Bid-YTW : 6.80 %
GWO.PR.Q Insurance Straight 1.36 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-02
Maturity Price : 19.43
Evaluated at bid price : 19.43
Bid-YTW : 6.68 %
GWO.PR.T Insurance Straight 1.36 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-02
Maturity Price : 19.40
Evaluated at bid price : 19.40
Bid-YTW : 6.69 %
CIU.PR.A Perpetual-Discount 1.46 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-02
Maturity Price : 17.43
Evaluated at bid price : 17.43
Bid-YTW : 6.70 %
BN.PF.F FixedReset Disc 1.47 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-02
Maturity Price : 17.31
Evaluated at bid price : 17.31
Bid-YTW : 8.83 %
SLF.PR.C Insurance Straight 1.49 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-02
Maturity Price : 18.41
Evaluated at bid price : 18.41
Bid-YTW : 6.09 %
POW.PR.D Perpetual-Discount 1.53 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-02
Maturity Price : 18.53
Evaluated at bid price : 18.53
Bid-YTW : 6.78 %
PWF.PF.A Perpetual-Discount 1.56 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-02
Maturity Price : 16.91
Evaluated at bid price : 16.91
Bid-YTW : 6.80 %
TD.PF.C FixedReset Disc 1.61 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-02
Maturity Price : 18.25
Evaluated at bid price : 18.25
Bid-YTW : 7.57 %
TD.PF.E FixedReset Disc 1.62 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-02
Maturity Price : 19.50
Evaluated at bid price : 19.50
Bid-YTW : 7.55 %
PWF.PR.R Perpetual-Discount 1.73 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-02
Maturity Price : 20.56
Evaluated at bid price : 20.56
Bid-YTW : 6.83 %
TD.PF.D FixedReset Disc 1.74 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-02
Maturity Price : 19.25
Evaluated at bid price : 19.25
Bid-YTW : 7.61 %
PWF.PR.K Perpetual-Discount 1.75 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-02
Maturity Price : 18.62
Evaluated at bid price : 18.62
Bid-YTW : 6.79 %
PWF.PR.G Perpetual-Discount 1.77 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-02
Maturity Price : 22.11
Evaluated at bid price : 22.39
Bid-YTW : 6.72 %
PVS.PR.J SplitShare 1.80 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2028-02-29
Maturity Price : 25.00
Evaluated at bid price : 22.60
Bid-YTW : 7.24 %
MFC.PR.B Insurance Straight 1.88 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-02
Maturity Price : 19.00
Evaluated at bid price : 19.00
Bid-YTW : 6.18 %
FFH.PR.F FloatingReset 1.89 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-02
Maturity Price : 16.71
Evaluated at bid price : 16.71
Bid-YTW : 11.03 %
TD.PF.B FixedReset Disc 1.91 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-02
Maturity Price : 19.70
Evaluated at bid price : 19.70
Bid-YTW : 7.10 %
GWO.PR.Y Insurance Straight 1.92 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-02
Maturity Price : 17.50
Evaluated at bid price : 17.50
Bid-YTW : 6.48 %
RY.PR.H FixedReset Disc 2.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-02
Maturity Price : 18.55
Evaluated at bid price : 18.55
Bid-YTW : 7.49 %
PWF.PR.H Perpetual-Discount 2.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-02
Maturity Price : 21.33
Evaluated at bid price : 21.60
Bid-YTW : 6.79 %
CM.PR.P FixedReset Disc 2.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-02
Maturity Price : 17.69
Evaluated at bid price : 17.69
Bid-YTW : 7.64 %
BMO.PR.S FixedReset Disc 2.19 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-02
Maturity Price : 19.60
Evaluated at bid price : 19.60
Bid-YTW : 7.23 %
FFH.PR.K FixedReset Disc 2.24 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-02
Maturity Price : 18.71
Evaluated at bid price : 18.71
Bid-YTW : 8.60 %
CU.PR.E Perpetual-Discount 2.35 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-02
Maturity Price : 18.70
Evaluated at bid price : 18.70
Bid-YTW : 6.65 %
TD.PF.A FixedReset Disc 2.45 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-02
Maturity Price : 18.83
Evaluated at bid price : 18.83
Bid-YTW : 7.34 %
SLF.PR.H FixedReset Ins Non 2.47 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-02
Maturity Price : 17.85
Evaluated at bid price : 17.85
Bid-YTW : 7.06 %
IFC.PR.I Insurance Straight 2.58 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-02
Maturity Price : 20.70
Evaluated at bid price : 20.70
Bid-YTW : 6.58 %
BMO.PR.T FixedReset Disc 2.78 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-02
Maturity Price : 18.50
Evaluated at bid price : 18.50
Bid-YTW : 7.48 %
Volume Highlights
Issue Index Shares
Traded		 Notes
RY.PR.H FixedReset Disc 68,720 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-02
Maturity Price : 18.55
Evaluated at bid price : 18.55
Bid-YTW : 7.49 %
BMO.PR.S FixedReset Disc 58,065 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-02
Maturity Price : 19.60
Evaluated at bid price : 19.60
Bid-YTW : 7.23 %
IFC.PR.C FixedReset Ins Non 55,000 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-02
Maturity Price : 18.13
Evaluated at bid price : 18.13
Bid-YTW : 7.61 %
CM.PR.T FixedReset Disc 51,800 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-02
Maturity Price : 23.36
Evaluated at bid price : 24.25
Bid-YTW : 6.74 %
BNS.PR.I FixedReset Prem 49,900 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-02-26
Maturity Price : 25.00
Evaluated at bid price : 24.91
Bid-YTW : 5.10 %
SLF.PR.H FixedReset Ins Non 46,304 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-02
Maturity Price : 17.85
Evaluated at bid price : 17.85
Bid-YTW : 7.06 %
There were 5 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
MFC.PR.Q FixedReset Ins Non Quote: 22.28 – 23.46
Spot Rate : 1.1800
Average : 0.6874

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-02
Maturity Price : 21.86
Evaluated at bid price : 22.28
Bid-YTW : 6.63 %
TD.PF.J FixedReset Disc Quote: 22.40 – 23.72
Spot Rate : 1.3200
Average : 1.0101

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-02
Maturity Price : 21.95
Evaluated at bid price : 22.40
Bid-YTW : 6.72 %
BMO.PR.W FixedReset Disc Quote: 17.50 – 18.50
Spot Rate : 1.0000
Average : 0.7004

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-02
Maturity Price : 17.50
Evaluated at bid price : 17.50
Bid-YTW : 7.85 %
BMO.PR.Y FixedReset Disc Quote: 18.70 – 19.70
Spot Rate : 1.0000
Average : 0.7111

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-02
Maturity Price : 18.70
Evaluated at bid price : 18.70
Bid-YTW : 7.67 %
IFC.PR.F Insurance Straight Quote: 19.48 – 20.29
Spot Rate : 0.8100
Average : 0.5693

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-02
Maturity Price : 19.48
Evaluated at bid price : 19.48
Bid-YTW : 6.86 %
CCS.PR.C Insurance Straight Quote: 17.90 – 19.10
Spot Rate : 1.2000
Average : 0.9636

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-02
Maturity Price : 17.90
Evaluated at bid price : 17.90
Bid-YTW : 7.05 %
Market Action

December 29, 2023

TXPR closed at 540.41, up 1.07% on the day. Volume today was 1.63-million, fourth-lowest of the past 21 trading days.

CPD closed at 10.76, up 0.66% on the day. Volume was 104,520, below the median of the past 21 trading days.

ZPR closed at 9.12, up 0.88% on the day. Volume was 71,900, second-lowest of the past 21 trading days.

Five-year Canada yields were down to 3.19%.

It was a valiant effort on the last trading day of the year, but the TXPR price index closed below the 2022-12-30 value of 544.36. Still, it’s well above the year’s low close on 2023-10-30 of 487.48, so that counts for something.

Not much else happened:

Canada’s main stock index ended higher on the final trading day of the year, wrapping 2023 with gains, powered by a boost in energy and financial stocks.

The Toronto Stock Exchange’s S&P/TSX composite index was up 29.06 points, or 0.14%, at 20,958.44, a third consecutive weekly gain.

Although battling inflationary winds, Canadian stocks snapped last year’s declines to climb 8% in the year, entering 2024 with fresh hopes of an interest rate cut by the Bank of Canada.
…
U.S. stocks closed modestly lower on the last trading day of 2023 and capped a robust year-end rally as investors eyed easier monetary policy in the year ahead.

Happy New Year, everybody!

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 0.0905 % 2,138.3
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.0905 % 4,101.3
Floater 11.39 % 11.49 % 52,102 8.49 2 0.0905 % 2,363.6
OpRet 0.00 % 0.00 % 0 0.00 0 0.0529 % 3,378.1
SplitShare 4.97 % 7.44 % 53,267 1.73 8 0.0529 % 4,034.2
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0529 % 3,147.7
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 0.6101 % 2,562.8
Perpetual-Discount 6.71 % 6.86 % 63,854 12.72 33 0.6101 % 2,794.6
FixedReset Disc 5.83 % 7.65 % 121,914 11.97 60 0.4879 % 2,233.6
Insurance Straight 6.54 % 6.70 % 79,216 12.97 19 0.7884 % 2,766.9
FloatingReset 10.62 % 10.83 % 38,947 8.94 3 0.4932 % 2,493.9
FixedReset Prem 6.88 % 6.62 % 165,907 12.66 1 0.4723 % 2,544.3
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 0.4879 % 2,283.2
FixedReset Ins Non 5.68 % 7.15 % 86,630 12.50 14 0.0425 % 2,501.2
Performance Highlights
Issue Index Change Notes
BIP.PR.E FixedReset Disc -1.72 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-12-29
Maturity Price : 20.00
Evaluated at bid price : 20.00
Bid-YTW : 8.00 %
MFC.PR.M FixedReset Ins Non -1.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-12-29
Maturity Price : 18.34
Evaluated at bid price : 18.34
Bid-YTW : 7.53 %
MFC.PR.L FixedReset Ins Non -1.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-12-29
Maturity Price : 18.66
Evaluated at bid price : 18.66
Bid-YTW : 7.23 %
TD.PF.E FixedReset Disc 1.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-12-29
Maturity Price : 19.19
Evaluated at bid price : 19.19
Bid-YTW : 7.58 %
GWO.PR.T Insurance Straight 1.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-12-29
Maturity Price : 19.14
Evaluated at bid price : 19.14
Bid-YTW : 6.78 %
RY.PR.J FixedReset Disc 1.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-12-29
Maturity Price : 18.94
Evaluated at bid price : 18.94
Bid-YTW : 7.62 %
BN.PR.T FixedReset Disc 1.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-12-29
Maturity Price : 14.25
Evaluated at bid price : 14.25
Bid-YTW : 9.04 %
PWF.PR.L Perpetual-Discount 1.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-12-29
Maturity Price : 18.85
Evaluated at bid price : 18.85
Bid-YTW : 6.91 %
BNS.PR.I FixedReset Disc 1.08 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-02-26
Maturity Price : 25.00
Evaluated at bid price : 25.17
Bid-YTW : -1.73 %
TD.PF.J FixedReset Disc 1.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-12-29
Maturity Price : 21.94
Evaluated at bid price : 22.40
Bid-YTW : 6.66 %
FTS.PR.J Perpetual-Discount 1.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-12-29
Maturity Price : 18.66
Evaluated at bid price : 18.66
Bid-YTW : 6.45 %
CU.PR.F Perpetual-Discount 1.35 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-12-29
Maturity Price : 17.25
Evaluated at bid price : 17.25
Bid-YTW : 6.61 %
GWO.PR.G Insurance Straight 1.35 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-12-29
Maturity Price : 19.46
Evaluated at bid price : 19.46
Bid-YTW : 6.73 %
CU.PR.D Perpetual-Discount 1.43 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-12-29
Maturity Price : 18.50
Evaluated at bid price : 18.50
Bid-YTW : 6.72 %
NA.PR.S FixedReset Disc 1.44 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-12-29
Maturity Price : 19.02
Evaluated at bid price : 19.02
Bid-YTW : 7.47 %
BN.PF.B FixedReset Disc 1.45 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-12-29
Maturity Price : 17.52
Evaluated at bid price : 17.52
Bid-YTW : 8.41 %
GWO.PR.R Insurance Straight 1.46 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-12-29
Maturity Price : 18.05
Evaluated at bid price : 18.05
Bid-YTW : 6.70 %
PWF.PR.P FixedReset Disc 1.54 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-12-29
Maturity Price : 13.20
Evaluated at bid price : 13.20
Bid-YTW : 8.43 %
BN.PF.I FixedReset Disc 1.58 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-12-29
Maturity Price : 19.25
Evaluated at bid price : 19.25
Bid-YTW : 8.72 %
IFC.PR.A FixedReset Ins Non 1.76 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-12-29
Maturity Price : 17.30
Evaluated at bid price : 17.30
Bid-YTW : 7.15 %
BN.PR.R FixedReset Disc 1.96 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-12-29
Maturity Price : 14.07
Evaluated at bid price : 14.07
Bid-YTW : 9.09 %
FTS.PR.F Perpetual-Discount 2.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-12-29
Maturity Price : 19.28
Evaluated at bid price : 19.28
Bid-YTW : 6.44 %
SLF.PR.C Insurance Straight 2.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-12-29
Maturity Price : 18.14
Evaluated at bid price : 18.14
Bid-YTW : 6.18 %
BN.PF.H FixedReset Disc 2.46 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-12-29
Maturity Price : 20.38
Evaluated at bid price : 20.38
Bid-YTW : 8.70 %
CU.PR.C FixedReset Disc 2.52 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-12-29
Maturity Price : 18.31
Evaluated at bid price : 18.31
Bid-YTW : 7.64 %
BN.PF.E FixedReset Disc 2.58 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-12-29
Maturity Price : 15.49
Evaluated at bid price : 15.49
Bid-YTW : 9.06 %
BIP.PR.A FixedReset Disc 2.72 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-12-29
Maturity Price : 17.01
Evaluated at bid price : 17.01
Bid-YTW : 9.57 %
CCS.PR.C Insurance Straight 3.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-12-29
Maturity Price : 18.75
Evaluated at bid price : 18.75
Bid-YTW : 6.72 %
RY.PR.N Perpetual-Discount 3.19 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-12-29
Maturity Price : 21.37
Evaluated at bid price : 21.67
Bid-YTW : 5.71 %
BN.PF.G FixedReset Disc 3.38 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-12-29
Maturity Price : 16.50
Evaluated at bid price : 16.50
Bid-YTW : 8.78 %
Volume Highlights
Issue Index Shares
Traded		 Notes
BNS.PR.I FixedReset Disc 249,812 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-02-26
Maturity Price : 25.00
Evaluated at bid price : 25.17
Bid-YTW : -1.73 %
RY.PR.M FixedReset Disc 52,429 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-12-29
Maturity Price : 18.09
Evaluated at bid price : 18.09
Bid-YTW : 7.65 %
BN.PF.E FixedReset Disc 30,925 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-12-29
Maturity Price : 15.49
Evaluated at bid price : 15.49
Bid-YTW : 9.06 %
TD.PF.E FixedReset Disc 23,302 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-12-29
Maturity Price : 19.19
Evaluated at bid price : 19.19
Bid-YTW : 7.58 %
CM.PR.O FixedReset Disc 15,996 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-12-29
Maturity Price : 18.15
Evaluated at bid price : 18.15
Bid-YTW : 7.53 %
BN.PF.G FixedReset Disc 13,824 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-12-29
Maturity Price : 16.50
Evaluated at bid price : 16.50
Bid-YTW : 8.78 %
There were 3 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: 13.98 – 23.80
Spot Rate : 9.8200
Average : 5.8655

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-12-29
Maturity Price : 13.98
Evaluated at bid price : 13.98
Bid-YTW : 7.65 %
BN.PF.E FixedReset Disc Quote: 15.49 – 19.50
Spot Rate : 4.0100
Average : 2.2406

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-12-29
Maturity Price : 15.49
Evaluated at bid price : 15.49
Bid-YTW : 9.06 %
GWO.PR.P Insurance Straight Quote: 20.20 – 21.45
Spot Rate : 1.2500
Average : 0.8163

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-12-29
Maturity Price : 20.20
Evaluated at bid price : 20.20
Bid-YTW : 6.74 %
NA.PR.E FixedReset Disc Quote: 21.57 – 22.30
Spot Rate : 0.7300
Average : 0.4288

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-12-29
Maturity Price : 21.29
Evaluated at bid price : 21.57
Bid-YTW : 6.83 %
PWF.PR.O Perpetual-Discount Quote: 21.46 – 22.90
Spot Rate : 1.4400
Average : 1.1406

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-12-29
Maturity Price : 21.46
Evaluated at bid price : 21.46
Bid-YTW : 6.90 %
BN.PF.F FixedReset Disc Quote: 17.06 – 18.20
Spot Rate : 1.1400
Average : 0.8523

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-12-29
Maturity Price : 17.06
Evaluated at bid price : 17.06
Bid-YTW : 8.84 %
Market Action

December 28, 2023

There was a decent little pop in the market today, as the end of tax-loss selling season reduced a certain amount of selling pressure. I think. You can never be sure!

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 -0.0904 % 2,136.4
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.0904 % 4,097.6
Floater 11.40 % 11.49 % 54,144 8.50 2 -0.0904 % 2,361.5
OpRet 0.00 % 0.00 % 0 0.00 0 0.0954 % 3,376.3
SplitShare 4.98 % 7.68 % 55,052 1.73 8 0.0954 % 4,032.1
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0954 % 3,146.0
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 0.3794 % 2,547.3
Perpetual-Discount 6.75 % 6.90 % 64,551 12.71 33 0.3794 % 2,777.7
FixedReset Disc 5.85 % 7.68 % 123,245 11.95 60 0.3139 % 2,222.8
Insurance Straight 6.59 % 6.73 % 80,018 12.93 19 0.4296 % 2,745.2
FloatingReset 10.67 % 10.90 % 36,770 8.89 3 0.0380 % 2,481.7
FixedReset Prem 6.91 % 6.66 % 167,475 12.62 1 0.2367 % 2,532.3
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 0.3139 % 2,272.2
FixedReset Ins Non 5.68 % 7.15 % 86,107 12.49 14 -0.0733 % 2,500.2
Performance Highlights
Issue Index Change Notes
BIP.PR.A FixedReset Disc -2.36 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-12-28
Maturity Price : 16.56
Evaluated at bid price : 16.56
Bid-YTW : 9.82 %
CU.PR.C FixedReset Disc -1.92 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-12-28
Maturity Price : 17.86
Evaluated at bid price : 17.86
Bid-YTW : 7.83 %
IFC.PR.A FixedReset Ins Non -1.73 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-12-28
Maturity Price : 17.00
Evaluated at bid price : 17.00
Bid-YTW : 7.28 %
RY.PR.N Perpetual-Discount -1.69 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-12-28
Maturity Price : 21.00
Evaluated at bid price : 21.00
Bid-YTW : 5.91 %
BN.PF.G FixedReset Disc -1.42 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-12-28
Maturity Price : 15.96
Evaluated at bid price : 15.96
Bid-YTW : 9.07 %
IFC.PR.C FixedReset Ins Non -1.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-12-28
Maturity Price : 17.80
Evaluated at bid price : 17.80
Bid-YTW : 7.66 %
SLF.PR.C Insurance Straight -1.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-12-28
Maturity Price : 17.78
Evaluated at bid price : 17.78
Bid-YTW : 6.30 %
BMO.PR.Y FixedReset Disc 1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-12-28
Maturity Price : 18.50
Evaluated at bid price : 18.50
Bid-YTW : 7.66 %
RY.PR.J FixedReset Disc 1.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-12-28
Maturity Price : 18.75
Evaluated at bid price : 18.75
Bid-YTW : 7.69 %
BMO.PR.S FixedReset Disc 1.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-12-28
Maturity Price : 19.27
Evaluated at bid price : 19.27
Bid-YTW : 7.26 %
PWF.PR.O Perpetual-Discount 1.18 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-12-28
Maturity Price : 21.50
Evaluated at bid price : 21.50
Bid-YTW : 6.89 %
POW.PR.A Perpetual-Discount 1.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-12-28
Maturity Price : 20.50
Evaluated at bid price : 20.50
Bid-YTW : 6.86 %
GWO.PR.P Insurance Straight 1.26 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-12-28
Maturity Price : 20.10
Evaluated at bid price : 20.10
Bid-YTW : 6.77 %
BN.PF.H FixedReset Disc 1.38 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-12-28
Maturity Price : 19.89
Evaluated at bid price : 19.89
Bid-YTW : 8.91 %
IFC.PR.F Insurance Straight 1.48 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-12-28
Maturity Price : 19.84
Evaluated at bid price : 19.84
Bid-YTW : 6.73 %
ELF.PR.H Perpetual-Discount 1.51 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-12-28
Maturity Price : 20.10
Evaluated at bid price : 20.10
Bid-YTW : 6.87 %
NA.PR.W FixedReset Disc 1.52 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-12-28
Maturity Price : 17.40
Evaluated at bid price : 17.40
Bid-YTW : 7.80 %
MFC.PR.K FixedReset Ins Non 1.55 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-12-28
Maturity Price : 21.88
Evaluated at bid price : 22.34
Bid-YTW : 6.42 %
FTS.PR.K FixedReset Disc 1.65 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-12-28
Maturity Price : 17.20
Evaluated at bid price : 17.20
Bid-YTW : 7.77 %
CM.PR.P FixedReset Disc 1.70 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-12-28
Maturity Price : 17.36
Evaluated at bid price : 17.36
Bid-YTW : 7.68 %
BMO.PR.W FixedReset Disc 1.75 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-12-28
Maturity Price : 17.45
Evaluated at bid price : 17.45
Bid-YTW : 7.77 %
RY.PR.M FixedReset Disc 1.97 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-12-28
Maturity Price : 18.10
Evaluated at bid price : 18.10
Bid-YTW : 7.64 %
TD.PF.E FixedReset Disc 2.21 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-12-28
Maturity Price : 19.00
Evaluated at bid price : 19.00
Bid-YTW : 7.65 %
CCS.PR.C Insurance Straight 2.25 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-12-28
Maturity Price : 18.20
Evaluated at bid price : 18.20
Bid-YTW : 6.92 %
Volume Highlights
Issue Index Shares
Traded		 Notes
FFH.PR.I FixedReset Disc 103,300 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-12-28
Maturity Price : 16.15
Evaluated at bid price : 16.15
Bid-YTW : 8.82 %
CM.PR.P FixedReset Disc 44,000 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-12-28
Maturity Price : 17.36
Evaluated at bid price : 17.36
Bid-YTW : 7.68 %
TD.PF.C FixedReset Disc 43,400 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-12-28
Maturity Price : 17.95
Evaluated at bid price : 17.95
Bid-YTW : 7.59 %
TD.PF.B FixedReset Disc 41,800 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-12-28
Maturity Price : 19.45
Evaluated at bid price : 19.45
Bid-YTW : 7.10 %
BN.PF.G FixedReset Disc 34,442 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-12-28
Maturity Price : 15.96
Evaluated at bid price : 15.96
Bid-YTW : 9.07 %
BNS.PR.I FixedReset Disc 17,440 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-01-27
Maturity Price : 25.00
Evaluated at bid price : 25.20
Bid-YTW : 5.14 %
There were 1 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
CU.PR.C FixedReset Disc Quote: 17.86 – 19.75
Spot Rate : 1.8900
Average : 1.2796

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-12-28
Maturity Price : 17.86
Evaluated at bid price : 17.86
Bid-YTW : 7.83 %
PWF.PR.O Perpetual-Discount Quote: 21.50 – 22.90
Spot Rate : 1.4000
Average : 0.8123

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-12-28
Maturity Price : 21.50
Evaluated at bid price : 21.50
Bid-YTW : 6.89 %
MFC.PR.J FixedReset Ins Non Quote: 22.70 – 23.50
Spot Rate : 0.8000
Average : 0.4704

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-12-28
Maturity Price : 22.14
Evaluated at bid price : 22.70
Bid-YTW : 6.55 %
MFC.PR.L FixedReset Ins Non Quote: 18.87 – 19.78
Spot Rate : 0.9100
Average : 0.5896

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-12-28
Maturity Price : 18.87
Evaluated at bid price : 18.87
Bid-YTW : 7.15 %
BN.PF.G FixedReset Disc Quote: 15.96 – 16.70
Spot Rate : 0.7400
Average : 0.5080

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-12-28
Maturity Price : 15.96
Evaluated at bid price : 15.96
Bid-YTW : 9.07 %
PWF.PR.G Perpetual-Discount Quote: 22.14 – 22.70
Spot Rate : 0.5600
Average : 0.3573

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-12-28
Maturity Price : 21.90
Evaluated at bid price : 22.14
Bid-YTW : 6.79 %
Market Action

December 27, 2023

PerpetualDiscounts now yield 6.96%, equivalent to 9.05% 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 15.70, a decline of 69bp in price, with a Duration (BMO doesn’t specify Modified or Macaulay – I will assume the former) of 12.60 implying an increase of 5bp in yield to 4.77%, so the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) has narrowed to 430bp from the 440bp reported December 20.

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 -0.9843 % 2,138.3
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.9843 % 4,101.3
Floater 11.39 % 11.49 % 54,802 8.50 2 -0.9843 % 2,363.6
OpRet 0.00 % 0.00 % 0 0.00 0 -0.1323 % 3,373.1
SplitShare 4.98 % 7.51 % 57,319 1.74 8 -0.1323 % 4,028.2
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.1323 % 3,143.0
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 -0.0883 % 2,537.6
Perpetual-Discount 6.77 % 6.96 % 65,253 12.66 33 -0.0883 % 2,767.2
FixedReset Disc 5.87 % 7.77 % 124,507 11.91 60 0.2123 % 2,215.8
Insurance Straight 6.62 % 6.79 % 82,579 12.85 19 0.1800 % 2,733.5
FloatingReset 10.68 % 10.91 % 36,977 8.89 3 0.2854 % 2,480.7
FixedReset Prem 6.93 % 6.67 % 169,807 12.61 1 -0.2361 % 2,526.3
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 0.2123 % 2,265.0
FixedReset Ins Non 5.68 % 7.15 % 89,551 12.53 14 0.4573 % 2,502.0
Performance Highlights
Issue Index Change Notes
CCS.PR.C Insurance Straight -3.84 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-12-27
Maturity Price : 17.80
Evaluated at bid price : 17.80
Bid-YTW : 7.08 %
MIC.PR.A Perpetual-Discount -2.90 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-12-27
Maturity Price : 17.76
Evaluated at bid price : 17.76
Bid-YTW : 7.67 %
BIP.PR.E FixedReset Disc -2.41 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-12-27
Maturity Price : 20.25
Evaluated at bid price : 20.25
Bid-YTW : 7.89 %
CU.PR.F Perpetual-Discount -2.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-12-27
Maturity Price : 16.94
Evaluated at bid price : 16.94
Bid-YTW : 6.73 %
FTS.PR.G FixedReset Disc -1.46 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-12-27
Maturity Price : 20.25
Evaluated at bid price : 20.25
Bid-YTW : 6.99 %
RY.PR.M FixedReset Disc -1.39 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-12-27
Maturity Price : 17.75
Evaluated at bid price : 17.75
Bid-YTW : 7.79 %
FTS.PR.M FixedReset Disc -1.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-12-27
Maturity Price : 17.35
Evaluated at bid price : 17.35
Bid-YTW : 8.17 %
RY.PR.S FixedReset Disc -1.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-12-27
Maturity Price : 21.70
Evaluated at bid price : 22.10
Bid-YTW : 6.39 %
CU.PR.C FixedReset Disc -1.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-12-27
Maturity Price : 18.21
Evaluated at bid price : 18.21
Bid-YTW : 7.68 %
BN.PR.K Floater -1.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-12-27
Maturity Price : 11.03
Evaluated at bid price : 11.03
Bid-YTW : 11.56 %
SLF.PR.G FixedReset Ins Non -1.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-12-27
Maturity Price : 13.41
Evaluated at bid price : 13.41
Bid-YTW : 8.13 %
MFC.PR.C Insurance Straight 1.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-12-27
Maturity Price : 18.00
Evaluated at bid price : 18.00
Bid-YTW : 6.31 %
CM.PR.S FixedReset Disc 1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-12-27
Maturity Price : 21.20
Evaluated at bid price : 21.20
Bid-YTW : 6.76 %
MFC.PR.N FixedReset Ins Non 1.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-12-27
Maturity Price : 18.04
Evaluated at bid price : 18.04
Bid-YTW : 7.52 %
CU.PR.I FixedReset Disc 1.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-12-27
Maturity Price : 20.80
Evaluated at bid price : 20.80
Bid-YTW : 8.01 %
MFC.PR.L FixedReset Ins Non 1.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-12-27
Maturity Price : 18.75
Evaluated at bid price : 18.75
Bid-YTW : 7.19 %
CM.PR.T FixedReset Disc 1.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-12-27
Maturity Price : 23.23
Evaluated at bid price : 24.11
Bid-YTW : 6.70 %
RY.PR.N Perpetual-Discount 1.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-12-27
Maturity Price : 21.36
Evaluated at bid price : 21.36
Bid-YTW : 5.81 %
FFH.PR.I FixedReset Disc 1.26 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-12-27
Maturity Price : 16.05
Evaluated at bid price : 16.05
Bid-YTW : 8.87 %
IFC.PR.G FixedReset Ins Non 1.31 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-12-27
Maturity Price : 21.34
Evaluated at bid price : 21.63
Bid-YTW : 6.78 %
CM.PR.Y FixedReset Disc 1.40 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-12-27
Maturity Price : 23.86
Evaluated at bid price : 24.50
Bid-YTW : 6.89 %
BIP.PR.A FixedReset Disc 1.44 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-12-27
Maturity Price : 16.96
Evaluated at bid price : 16.96
Bid-YTW : 9.59 %
BN.PF.G FixedReset Disc 1.50 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-12-27
Maturity Price : 16.19
Evaluated at bid price : 16.19
Bid-YTW : 8.94 %
BN.PF.B FixedReset Disc 1.53 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-12-27
Maturity Price : 17.21
Evaluated at bid price : 17.21
Bid-YTW : 8.56 %
BN.PF.E FixedReset Disc 1.55 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-12-27
Maturity Price : 15.03
Evaluated at bid price : 15.03
Bid-YTW : 9.33 %
TD.PF.D FixedReset Disc 1.61 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-12-27
Maturity Price : 18.90
Evaluated at bid price : 18.90
Bid-YTW : 7.66 %
CM.PR.Q FixedReset Disc 1.65 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-12-27
Maturity Price : 18.11
Evaluated at bid price : 18.11
Bid-YTW : 7.82 %
PWF.PR.G Perpetual-Discount 1.75 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-12-27
Maturity Price : 21.90
Evaluated at bid price : 22.14
Bid-YTW : 6.79 %
IFC.PR.A FixedReset Ins Non 1.76 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-12-27
Maturity Price : 17.30
Evaluated at bid price : 17.30
Bid-YTW : 7.15 %
PWF.PR.T FixedReset Disc 2.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-12-27
Maturity Price : 19.45
Evaluated at bid price : 19.45
Bid-YTW : 7.33 %
FFH.PR.G FixedReset Disc 2.57 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-12-27
Maturity Price : 15.55
Evaluated at bid price : 15.55
Bid-YTW : 8.76 %
BN.PF.F FixedReset Disc 5.26 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-12-27
Maturity Price : 17.00
Evaluated at bid price : 17.00
Bid-YTW : 8.87 %
Volume Highlights
Issue Index Shares
Traded		 Notes
POW.PR.D Perpetual-Discount 142,000 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-12-27
Maturity Price : 18.11
Evaluated at bid price : 18.11
Bid-YTW : 6.93 %
RY.PR.Z FixedReset Disc 28,000 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-12-27
Maturity Price : 18.90
Evaluated at bid price : 18.90
Bid-YTW : 7.24 %
PWF.PR.S Perpetual-Discount 25,600 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-12-27
Maturity Price : 17.65
Evaluated at bid price : 17.65
Bid-YTW : 6.94 %
BN.PF.H FixedReset Disc 25,100 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-12-27
Maturity Price : 19.62
Evaluated at bid price : 19.62
Bid-YTW : 9.02 %
RY.PR.O Perpetual-Discount 15,200 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-12-27
Maturity Price : 21.40
Evaluated at bid price : 21.40
Bid-YTW : 5.80 %
BIK.PR.A FixedReset Disc 14,600 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-12-27
Maturity Price : 21.43
Evaluated at bid price : 21.73
Bid-YTW : 8.31 %
There were 12 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: 13.95 – 19.79
Spot Rate : 5.8400
Average : 3.1629

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-12-27
Maturity Price : 13.95
Evaluated at bid price : 13.95
Bid-YTW : 7.66 %
BMO.PR.W FixedReset Disc Quote: 17.15 – 18.50
Spot Rate : 1.3500
Average : 0.9262

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-12-27
Maturity Price : 17.15
Evaluated at bid price : 17.15
Bid-YTW : 7.90 %
CCS.PR.C Insurance Straight Quote: 17.80 – 19.18
Spot Rate : 1.3800
Average : 1.0333

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-12-27
Maturity Price : 17.80
Evaluated at bid price : 17.80
Bid-YTW : 7.08 %
TD.PF.E FixedReset Disc Quote: 18.59 – 19.95
Spot Rate : 1.3600
Average : 1.0624

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-12-27
Maturity Price : 18.59
Evaluated at bid price : 18.59
Bid-YTW : 7.82 %
TD.PF.A FixedReset Disc Quote: 18.50 – 19.18
Spot Rate : 0.6800
Average : 0.4508

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-12-27
Maturity Price : 18.50
Evaluated at bid price : 18.50
Bid-YTW : 7.38 %
GWO.PR.N FixedReset Ins Non Quote: 13.09 – 14.30
Spot Rate : 1.2100
Average : 0.9846

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-12-27
Maturity Price : 13.09
Evaluated at bid price : 13.09
Bid-YTW : 7.93 %
Market Action

December 22, 2023

A bit of good news on US inflation:

The Federal Reserve’s preferred measure of prices fell last month, another sign that inflation is easing and that Americans should benefit from reduced interest rates and get relief from painful price shocks in 2024.

Friday’s report from the Commerce Department showed that U.S. consumer prices slid 0.1 per cent last month from October and rose 2.6 per cent from November, 2022. The month-over-month drop was the largest since April, 2020, when the economy was reeling from the COVID-19 pandemic.

Excluding volatile food and energy prices, so-called core inflation last month rose 0.1 per cent from October and 3.2 per cent from a year earlier.

The numbers show somewhat more progress against inflation than economists had expected. Inflation is steadily moving down to the Fed’s year-over-year target of 2 per cent and appears to be clearing the way for Fed rate cuts in 2024. That, in turn, could translate into lower rates on everything from mortgages to credit cards.

… and Merry Christmas, everyone!

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 -0.4454 % 2,159.6
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.4454 % 4,142.1
Floater 11.28 % 11.37 % 55,015 8.60 2 -0.4454 % 2,387.1
OpRet 0.00 % 0.00 % 0 0.00 0 0.0106 % 3,377.6
SplitShare 4.97 % 7.46 % 57,583 1.75 8 0.0106 % 4,033.6
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0106 % 3,147.2
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 0.2415 % 2,539.9
Perpetual-Discount 6.77 % 6.96 % 63,928 12.58 33 0.2415 % 2,769.6
FixedReset Disc 5.89 % 7.86 % 126,418 11.71 60 0.3112 % 2,211.1
Insurance Straight 6.63 % 6.80 % 80,815 12.85 19 0.3019 % 2,728.6
FloatingReset 10.68 % 10.86 % 37,503 8.93 3 0.0952 % 2,473.7
FixedReset Prem 6.91 % 6.73 % 176,229 12.57 1 -0.1964 % 2,532.3
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 0.3112 % 2,260.2
FixedReset Ins Non 5.71 % 7.38 % 90,316 12.37 14 0.6986 % 2,490.6
Performance Highlights
Issue Index Change Notes
CCS.PR.C Insurance Straight -3.44 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-12-22
Maturity Price : 18.51
Evaluated at bid price : 18.51
Bid-YTW : 6.80 %
SLF.PR.G FixedReset Ins Non -2.87 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-12-22
Maturity Price : 13.55
Evaluated at bid price : 13.55
Bid-YTW : 8.22 %
BN.PF.E FixedReset Disc -1.99 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-12-22
Maturity Price : 14.80
Evaluated at bid price : 14.80
Bid-YTW : 9.63 %
TD.PF.D FixedReset Disc -1.59 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-12-22
Maturity Price : 18.60
Evaluated at bid price : 18.60
Bid-YTW : 7.90 %
PVS.PR.K SplitShare -1.57 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2029-05-31
Maturity Price : 25.00
Evaluated at bid price : 22.00
Bid-YTW : 7.24 %
RY.PR.N Perpetual-Discount -1.36 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-12-22
Maturity Price : 21.10
Evaluated at bid price : 21.10
Bid-YTW : 5.88 %
CM.PR.S FixedReset Disc -1.25 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-12-22
Maturity Price : 21.35
Evaluated at bid price : 21.35
Bid-YTW : 6.93 %
BIP.PR.F FixedReset Disc -1.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-12-22
Maturity Price : 19.26
Evaluated at bid price : 19.26
Bid-YTW : 8.16 %
PWF.PR.G Perpetual-Discount -1.18 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-12-22
Maturity Price : 21.50
Evaluated at bid price : 21.76
Bid-YTW : 6.90 %
MFC.PR.K FixedReset Ins Non -1.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-12-22
Maturity Price : 21.65
Evaluated at bid price : 22.00
Bid-YTW : 6.61 %
BN.PF.H FixedReset Disc -1.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-12-22
Maturity Price : 19.75
Evaluated at bid price : 19.75
Bid-YTW : 9.07 %
CU.PR.I FixedReset Disc 1.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-12-22
Maturity Price : 20.58
Evaluated at bid price : 20.58
Bid-YTW : 8.20 %
BN.PF.J FixedReset Disc 1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-12-22
Maturity Price : 19.50
Evaluated at bid price : 19.50
Bid-YTW : 8.23 %
GWO.PR.L Insurance Straight 1.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-12-22
Maturity Price : 20.80
Evaluated at bid price : 20.80
Bid-YTW : 6.84 %
GWO.PR.T Insurance Straight 1.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-12-22
Maturity Price : 18.97
Evaluated at bid price : 18.97
Bid-YTW : 6.83 %
CU.PR.F Perpetual-Discount 1.17 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-12-22
Maturity Price : 17.30
Evaluated at bid price : 17.30
Bid-YTW : 6.58 %
NA.PR.E FixedReset Disc 1.24 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-12-22
Maturity Price : 21.26
Evaluated at bid price : 21.26
Bid-YTW : 7.02 %
CIU.PR.A Perpetual-Discount 1.25 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-12-22
Maturity Price : 17.01
Evaluated at bid price : 17.01
Bid-YTW : 6.85 %
FTS.PR.F Perpetual-Discount 1.29 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-12-22
Maturity Price : 18.90
Evaluated at bid price : 18.90
Bid-YTW : 6.56 %
MFC.PR.I FixedReset Ins Non 1.36 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-12-22
Maturity Price : 21.91
Evaluated at bid price : 22.30
Bid-YTW : 6.92 %
SLF.PR.C Insurance Straight 1.52 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-12-22
Maturity Price : 18.07
Evaluated at bid price : 18.07
Bid-YTW : 6.19 %
PWF.PF.A Perpetual-Discount 1.55 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-12-22
Maturity Price : 16.37
Evaluated at bid price : 16.37
Bid-YTW : 7.01 %
CU.PR.G Perpetual-Discount 1.66 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-12-22
Maturity Price : 17.18
Evaluated at bid price : 17.18
Bid-YTW : 6.63 %
FTS.PR.G FixedReset Disc 1.73 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-12-22
Maturity Price : 20.55
Evaluated at bid price : 20.55
Bid-YTW : 6.97 %
MFC.PR.F FixedReset Ins Non 1.82 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-12-22
Maturity Price : 13.95
Evaluated at bid price : 13.95
Bid-YTW : 7.81 %
CU.PR.C FixedReset Disc 1.99 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-12-22
Maturity Price : 18.41
Evaluated at bid price : 18.41
Bid-YTW : 7.70 %
GWO.PR.R Insurance Straight 2.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-12-22
Maturity Price : 17.72
Evaluated at bid price : 17.72
Bid-YTW : 6.82 %
BIP.PR.A FixedReset Disc 2.26 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-12-22
Maturity Price : 16.72
Evaluated at bid price : 16.72
Bid-YTW : 9.85 %
BN.PR.Z FixedReset Disc 2.88 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-12-22
Maturity Price : 18.20
Evaluated at bid price : 18.20
Bid-YTW : 8.62 %
BN.PR.X FixedReset Disc 3.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-12-22
Maturity Price : 14.50
Evaluated at bid price : 14.50
Bid-YTW : 8.67 %
SLF.PR.H FixedReset Ins Non 12.39 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-12-22
Maturity Price : 17.42
Evaluated at bid price : 17.42
Bid-YTW : 7.25 %
Volume Highlights
Issue Index Shares
Traded		 Notes
FFH.PR.G FixedReset Disc 187,700 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-12-22
Maturity Price : 15.16
Evaluated at bid price : 15.16
Bid-YTW : 9.12 %
BN.PF.J FixedReset Disc 36,743 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-12-22
Maturity Price : 19.50
Evaluated at bid price : 19.50
Bid-YTW : 8.23 %
MFC.PR.N FixedReset Ins Non 29,900 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-12-22
Maturity Price : 17.85
Evaluated at bid price : 17.85
Bid-YTW : 7.73 %
CU.PR.I FixedReset Disc 25,100 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-12-22
Maturity Price : 20.58
Evaluated at bid price : 20.58
Bid-YTW : 8.20 %
CU.PR.J Perpetual-Discount 20,696 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-12-22
Maturity Price : 17.66
Evaluated at bid price : 17.66
Bid-YTW : 6.81 %
IFC.PR.F Insurance Straight 15,200 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-12-22
Maturity Price : 19.36
Evaluated at bid price : 19.36
Bid-YTW : 6.89 %
There were 12 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: 17.30 – 20.00
Spot Rate : 2.7000
Average : 1.4985

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-12-22
Maturity Price : 17.30
Evaluated at bid price : 17.30
Bid-YTW : 6.58 %
TD.PF.J FixedReset Disc Quote: 21.90 – 23.12
Spot Rate : 1.2200
Average : 0.7291

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-12-22
Maturity Price : 21.59
Evaluated at bid price : 21.90
Bid-YTW : 6.90 %
CCS.PR.C Insurance Straight Quote: 18.51 – 19.40
Spot Rate : 0.8900
Average : 0.6532

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-12-22
Maturity Price : 18.51
Evaluated at bid price : 18.51
Bid-YTW : 6.80 %
TD.PF.D FixedReset Disc Quote: 18.60 – 19.24
Spot Rate : 0.6400
Average : 0.4557

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-12-22
Maturity Price : 18.60
Evaluated at bid price : 18.60
Bid-YTW : 7.90 %
CU.PR.C FixedReset Disc Quote: 18.41 – 19.16
Spot Rate : 0.7500
Average : 0.5667

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-12-22
Maturity Price : 18.41
Evaluated at bid price : 18.41
Bid-YTW : 7.70 %
TD.PF.E FixedReset Disc Quote: 18.60 – 19.49
Spot Rate : 0.8900
Average : 0.7361

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-12-22
Maturity Price : 18.60
Evaluated at bid price : 18.60
Bid-YTW : 7.93 %
Market Action

December 21, 2023

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 0.2232 % 2,169.3
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.2232 % 4,160.6
Floater 11.22 % 11.26 % 53,417 8.67 2 0.2232 % 2,397.8
OpRet 0.00 % 0.00 % 0 0.00 0 0.1803 % 3,377.2
SplitShare 4.97 % 7.56 % 59,772 1.75 8 0.1803 % 4,033.1
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.1803 % 3,146.8
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 0.0161 % 2,533.8
Perpetual-Discount 6.78 % 6.95 % 62,577 12.62 33 0.0161 % 2,762.9
FixedReset Disc 5.90 % 7.87 % 127,924 11.70 60 0.0139 % 2,204.3
Insurance Straight 6.65 % 6.84 % 81,756 12.81 19 0.2404 % 2,720.4
FloatingReset 10.69 % 10.93 % 34,693 8.89 3 0.3824 % 2,471.3
FixedReset Prem 6.90 % 6.72 % 178,570 12.59 1 0.6324 % 2,537.3
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 0.0139 % 2,253.2
FixedReset Ins Non 5.75 % 7.44 % 105,997 12.41 14 0.5178 % 2,473.3
Performance Highlights
Issue Index Change Notes
BN.PR.Z FixedReset Disc -3.86 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-12-21
Maturity Price : 17.69
Evaluated at bid price : 17.69
Bid-YTW : 8.87 %
TD.PF.E FixedReset Disc -2.37 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-12-21
Maturity Price : 18.55
Evaluated at bid price : 18.55
Bid-YTW : 7.95 %
BIP.PR.A FixedReset Disc -2.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-12-21
Maturity Price : 16.35
Evaluated at bid price : 16.35
Bid-YTW : 10.07 %
BN.PF.B FixedReset Disc -1.96 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-12-21
Maturity Price : 17.01
Evaluated at bid price : 17.01
Bid-YTW : 8.81 %
GWO.PR.P Insurance Straight -1.84 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-12-21
Maturity Price : 19.75
Evaluated at bid price : 19.75
Bid-YTW : 6.88 %
BMO.PR.Y FixedReset Disc -1.80 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-12-21
Maturity Price : 18.00
Evaluated at bid price : 18.00
Bid-YTW : 7.99 %
GWO.PR.R Insurance Straight -1.64 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-12-21
Maturity Price : 17.36
Evaluated at bid price : 17.36
Bid-YTW : 6.96 %
PWF.PF.A Perpetual-Discount -1.35 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-12-21
Maturity Price : 16.12
Evaluated at bid price : 16.12
Bid-YTW : 7.12 %
BIP.PR.E FixedReset Disc -1.19 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-12-21
Maturity Price : 20.75
Evaluated at bid price : 20.75
Bid-YTW : 7.79 %
BN.PR.X FixedReset Disc -1.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-12-21
Maturity Price : 14.05
Evaluated at bid price : 14.05
Bid-YTW : 8.94 %
CM.PR.S FixedReset Disc 1.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-12-21
Maturity Price : 21.62
Evaluated at bid price : 21.62
Bid-YTW : 6.84 %
PVS.PR.K SplitShare 1.09 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2029-05-31
Maturity Price : 25.00
Evaluated at bid price : 22.35
Bid-YTW : 6.90 %
BN.PF.A FixedReset Disc 1.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-12-21
Maturity Price : 20.45
Evaluated at bid price : 20.45
Bid-YTW : 7.87 %
MFC.PR.K FixedReset Ins Non 1.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-12-21
Maturity Price : 21.82
Evaluated at bid price : 22.25
Bid-YTW : 6.53 %
MIC.PR.A Perpetual-Discount 1.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-12-21
Maturity Price : 18.26
Evaluated at bid price : 18.26
Bid-YTW : 7.44 %
GWO.PR.Y Insurance Straight 1.19 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-12-21
Maturity Price : 17.00
Evaluated at bid price : 17.00
Bid-YTW : 6.66 %
CCS.PR.C Insurance Straight 1.21 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-12-21
Maturity Price : 19.17
Evaluated at bid price : 19.17
Bid-YTW : 6.56 %
SLF.PR.E Insurance Straight 1.24 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-12-21
Maturity Price : 18.00
Evaluated at bid price : 18.00
Bid-YTW : 6.29 %
PWF.PR.G Perpetual-Discount 1.24 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-12-21
Maturity Price : 21.78
Evaluated at bid price : 22.02
Bid-YTW : 6.82 %
MFC.PR.C Insurance Straight 1.25 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-12-21
Maturity Price : 17.82
Evaluated at bid price : 17.82
Bid-YTW : 6.37 %
MFC.PR.M FixedReset Ins Non 1.26 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-12-21
Maturity Price : 18.51
Evaluated at bid price : 18.51
Bid-YTW : 7.59 %
FFH.PR.D FloatingReset 1.27 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-12-21
Maturity Price : 19.95
Evaluated at bid price : 19.95
Bid-YTW : 10.44 %
TD.PF.C FixedReset Disc 1.48 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-12-21
Maturity Price : 17.81
Evaluated at bid price : 17.81
Bid-YTW : 7.79 %
BN.PF.I FixedReset Disc 1.56 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-12-21
Maturity Price : 18.89
Evaluated at bid price : 18.89
Bid-YTW : 8.97 %
SLF.PR.C Insurance Straight 1.71 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-12-21
Maturity Price : 17.80
Evaluated at bid price : 17.80
Bid-YTW : 6.29 %
BN.PF.H FixedReset Disc 1.79 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-12-21
Maturity Price : 19.95
Evaluated at bid price : 19.95
Bid-YTW : 8.98 %
IFC.PR.A FixedReset Ins Non 1.80 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-12-21
Maturity Price : 17.00
Evaluated at bid price : 17.00
Bid-YTW : 7.38 %
SLF.PR.G FixedReset Ins Non 1.82 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-12-21
Maturity Price : 13.95
Evaluated at bid price : 13.95
Bid-YTW : 7.99 %
BIK.PR.A FixedReset Disc 2.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-12-21
Maturity Price : 21.60
Evaluated at bid price : 21.60
Bid-YTW : 8.49 %
BN.PF.J FixedReset Disc 2.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-12-21
Maturity Price : 19.30
Evaluated at bid price : 19.30
Bid-YTW : 8.31 %
CU.PR.F Perpetual-Discount 2.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-12-21
Maturity Price : 17.10
Evaluated at bid price : 17.10
Bid-YTW : 6.66 %
FTS.PR.G FixedReset Disc 2.54 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-12-21
Maturity Price : 20.20
Evaluated at bid price : 20.20
Bid-YTW : 7.09 %
FTS.PR.M FixedReset Disc 3.41 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-12-21
Maturity Price : 17.60
Evaluated at bid price : 17.60
Bid-YTW : 8.19 %
Volume Highlights
Issue Index Shares
Traded		 Notes
MFC.PR.F FixedReset Ins Non 150,300 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-12-21
Maturity Price : 13.70
Evaluated at bid price : 13.70
Bid-YTW : 7.94 %
BNS.PR.I FixedReset Disc 65,343 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-01-27
Maturity Price : 25.00
Evaluated at bid price : 25.18
Bid-YTW : 4.96 %
IFC.PR.G FixedReset Ins Non 51,000 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-12-21
Maturity Price : 21.50
Evaluated at bid price : 21.50
Bid-YTW : 6.92 %
GWO.PR.R Insurance Straight 43,702 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-12-21
Maturity Price : 17.36
Evaluated at bid price : 17.36
Bid-YTW : 6.96 %
MFC.PR.N FixedReset Ins Non 41,679 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-12-21
Maturity Price : 17.70
Evaluated at bid price : 17.70
Bid-YTW : 7.79 %
PWF.PF.A Perpetual-Discount 34,521 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-12-21
Maturity Price : 16.12
Evaluated at bid price : 16.12
Bid-YTW : 7.12 %
There were 27 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
GWO.PR.Q Insurance Straight Quote: 18.85 – 20.20
Spot Rate : 1.3500
Average : 0.7657

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-12-21
Maturity Price : 18.85
Evaluated at bid price : 18.85
Bid-YTW : 6.87 %
CU.PR.J Perpetual-Discount Quote: 17.49 – 18.58
Spot Rate : 1.0900
Average : 0.6562

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-12-21
Maturity Price : 17.49
Evaluated at bid price : 17.49
Bid-YTW : 6.88 %
BN.PR.M Perpetual-Discount Quote: 16.61 – 17.69
Spot Rate : 1.0800
Average : 0.6618

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-12-21
Maturity Price : 16.61
Evaluated at bid price : 16.61
Bid-YTW : 7.20 %
GWO.PR.N FixedReset Ins Non Quote: 13.05 – 14.30
Spot Rate : 1.2500
Average : 0.9432

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-12-21
Maturity Price : 13.05
Evaluated at bid price : 13.05
Bid-YTW : 8.12 %
TD.PF.E FixedReset Disc Quote: 18.55 – 19.40
Spot Rate : 0.8500
Average : 0.5673

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-12-21
Maturity Price : 18.55
Evaluated at bid price : 18.55
Bid-YTW : 7.95 %
BN.PR.Z FixedReset Disc Quote: 17.69 – 18.49
Spot Rate : 0.8000
Average : 0.5258

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-12-21
Maturity Price : 17.69
Evaluated at bid price : 17.69
Bid-YTW : 8.87 %
Market Action

December 20, 2023

We might be getting a new SplitShare fund:

Ninepoint Partners LP (“Ninepoint”) is pleased to announce that Canadian Large Cap Leaders Split Corp. (the “Company”) has filed a preliminary prospectus dated December 19, 2023 in connection with an initial public offering of preferred shares (“Preferred Shares”) and class A shares (“Class A Shares”). A receipt for the preliminary prospectus has been issued by the securities regulatory authorities in each of the provinces and territories of Canada.

The Company will invest in an initially equally-weighted portfolio comprised primarily of equity securities of Canadian Dividend Growth Companies (as defined below), selected by the portfolio manager, that at the time of investment and immediately following each periodic reconstitution and rebalancing: (i) are listed on a Canadian exchange; (ii) pay a dividend; (iii) generally have a market capitalization of at least $10 billion; (iv) have options in respect of its equity securities that, in the opinion of the portfolio manager, are sufficiently liquid to permit the portfolio manager to write options in respect of such securities; and (v) have a history of dividend growth or, in the portfolio manager’s view have high potential for future dividend growth (“Canadian Dividend Growth Companies”).

The preferreds have been provisionally rated Pfd-3(high) by DBRS

PerpetualDiscounts now yield 6.97%, equivalent to 9.06% interest at the standard equivalency factor of 1.3x. Long corporates yielded 5.03% on 2023-12-8 and since then the closing price has changed from 15.18 to 15.86, an increase of 448bp in price, with a Duration (BMO doesn’t specify Modified or Macaulay – I will assume the former) of 12.41 implying a decrease of 36bp in yield to 4.67%, so the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) has widened to 440bp from the 430bp reported December 13.

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 % 2,164.4
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.0000 % 4,151.4
Floater 11.25 % 11.31 % 55,252 8.64 2 0.0000 % 2,392.5
OpRet 0.00 % 0.00 % 0 0.00 0 0.0796 % 3,371.2
SplitShare 4.98 % 7.61 % 58,197 1.76 8 0.0796 % 4,025.9
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0796 % 3,141.2
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 0.2470 % 2,533.4
Perpetual-Discount 6.79 % 6.97 % 62,375 12.51 33 0.2470 % 2,762.5
FixedReset Disc 5.90 % 7.89 % 132,165 11.68 60 -0.0530 % 2,204.0
Insurance Straight 6.67 % 6.79 % 82,181 12.86 19 0.2125 % 2,713.8
FloatingReset 10.73 % 10.86 % 34,696 8.94 3 0.8096 % 2,461.9
FixedReset Prem 6.94 % 6.76 % 180,292 12.54 1 0.0000 % 2,521.3
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 -0.0530 % 2,252.9
FixedReset Ins Non 5.78 % 7.49 % 104,172 12.36 14 0.3622 % 2,460.6
Performance Highlights
Issue Index Change Notes
BIK.PR.A FixedReset Disc -4.64 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-12-20
Maturity Price : 21.17
Evaluated at bid price : 21.17
Bid-YTW : 8.66 %
RY.PR.S FixedReset Disc -3.74 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-12-20
Maturity Price : 21.74
Evaluated at bid price : 22.15
Bid-YTW : 6.50 %
BN.PF.J FixedReset Disc -2.27 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-12-20
Maturity Price : 18.91
Evaluated at bid price : 18.91
Bid-YTW : 8.48 %
SLF.PR.C Insurance Straight -1.91 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-12-20
Maturity Price : 17.50
Evaluated at bid price : 17.50
Bid-YTW : 6.39 %
GWO.PR.Y Insurance Straight -1.75 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-12-20
Maturity Price : 16.80
Evaluated at bid price : 16.80
Bid-YTW : 6.74 %
PWF.PF.A Perpetual-Discount -1.63 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-12-20
Maturity Price : 16.34
Evaluated at bid price : 16.34
Bid-YTW : 7.02 %
CIU.PR.A Perpetual-Discount -1.35 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-12-20
Maturity Price : 16.77
Evaluated at bid price : 16.77
Bid-YTW : 6.95 %
TD.PF.C FixedReset Disc -1.29 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-12-20
Maturity Price : 17.55
Evaluated at bid price : 17.55
Bid-YTW : 7.90 %
FFH.PR.M FixedReset Disc -1.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-12-20
Maturity Price : 21.47
Evaluated at bid price : 21.47
Bid-YTW : 8.33 %
FTS.PR.G FixedReset Disc 1.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-12-20
Maturity Price : 19.70
Evaluated at bid price : 19.70
Bid-YTW : 7.28 %
BN.PR.Z FixedReset Disc 1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-12-20
Maturity Price : 18.40
Evaluated at bid price : 18.40
Bid-YTW : 8.52 %
MFC.PR.I FixedReset Ins Non 1.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-12-20
Maturity Price : 21.81
Evaluated at bid price : 22.15
Bid-YTW : 6.97 %
CCS.PR.C Insurance Straight 1.18 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-12-20
Maturity Price : 18.94
Evaluated at bid price : 18.94
Bid-YTW : 6.64 %
BN.PF.G FixedReset Disc 1.27 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-12-20
Maturity Price : 15.91
Evaluated at bid price : 15.91
Bid-YTW : 9.23 %
BMO.PR.Y FixedReset Disc 1.38 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-12-20
Maturity Price : 18.33
Evaluated at bid price : 18.33
Bid-YTW : 7.85 %
MFC.PR.B Insurance Straight 1.49 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-12-20
Maturity Price : 18.36
Evaluated at bid price : 18.36
Bid-YTW : 6.38 %
FFH.PR.D FloatingReset 1.55 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-12-20
Maturity Price : 19.70
Evaluated at bid price : 19.70
Bid-YTW : 10.57 %
BN.PF.E FixedReset Disc 1.90 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-12-20
Maturity Price : 15.00
Evaluated at bid price : 15.00
Bid-YTW : 9.50 %
GWO.PR.P Insurance Straight 1.93 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-12-20
Maturity Price : 20.12
Evaluated at bid price : 20.12
Bid-YTW : 6.75 %
BIP.PR.E FixedReset Disc 2.44 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-12-20
Maturity Price : 21.00
Evaluated at bid price : 21.00
Bid-YTW : 7.69 %
BN.PF.B FixedReset Disc 2.54 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-12-20
Maturity Price : 17.35
Evaluated at bid price : 17.35
Bid-YTW : 8.64 %
SLF.PR.H FixedReset Ins Non 2.58 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-12-20
Maturity Price : 15.50
Evaluated at bid price : 15.50
Bid-YTW : 8.10 %
BIP.PR.A FixedReset Disc 4.37 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-12-20
Maturity Price : 16.71
Evaluated at bid price : 16.71
Bid-YTW : 9.86 %
Volume Highlights
Issue Index Shares
Traded		 Notes
TD.PF.I FixedReset Disc 204,744 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-12-20
Maturity Price : 22.96
Evaluated at bid price : 24.20
Bid-YTW : 6.60 %
CU.PR.C FixedReset Disc 114,327 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-12-20
Maturity Price : 17.96
Evaluated at bid price : 17.96
Bid-YTW : 7.89 %
TD.PF.B FixedReset Disc 114,255 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-12-20
Maturity Price : 19.19
Evaluated at bid price : 19.19
Bid-YTW : 7.33 %
RY.PR.Z FixedReset Disc 94,755 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-12-20
Maturity Price : 18.95
Evaluated at bid price : 18.95
Bid-YTW : 7.35 %
TD.PF.A FixedReset Disc 84,709 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-12-20
Maturity Price : 18.35
Evaluated at bid price : 18.35
Bid-YTW : 7.57 %
POW.PR.D Perpetual-Discount 79,935 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-12-20
Maturity Price : 18.38
Evaluated at bid price : 18.38
Bid-YTW : 6.96 %
There were 34 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
IFC.PR.E Insurance Straight Quote: 19.25 – 20.70
Spot Rate : 1.4500
Average : 0.8879

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-12-20
Maturity Price : 19.25
Evaluated at bid price : 19.25
Bid-YTW : 6.79 %
PWF.PR.T FixedReset Disc Quote: 19.11 – 20.65
Spot Rate : 1.5400
Average : 1.0197

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-12-20
Maturity Price : 19.11
Evaluated at bid price : 19.11
Bid-YTW : 7.60 %
BN.PF.F FixedReset Disc Quote: 16.15 – 18.00
Spot Rate : 1.8500
Average : 1.4228

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-12-20
Maturity Price : 16.15
Evaluated at bid price : 16.15
Bid-YTW : 9.48 %
BMO.PR.W FixedReset Disc Quote: 17.06 – 18.50
Spot Rate : 1.4400
Average : 1.0223

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-12-20
Maturity Price : 17.06
Evaluated at bid price : 17.06
Bid-YTW : 8.09 %
SLF.PR.H FixedReset Ins Non Quote: 15.50 – 17.89
Spot Rate : 2.3900
Average : 2.0927

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-12-20
Maturity Price : 15.50
Evaluated at bid price : 15.50
Bid-YTW : 8.10 %
GWO.PR.P Insurance Straight Quote: 20.12 – 20.98
Spot Rate : 0.8600
Average : 0.5706

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-12-20
Maturity Price : 20.12
Evaluated at bid price : 20.12
Bid-YTW : 6.75 %