Category: Market Action

Market Action

August 18, 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 0.0431 % 2,242.7
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.0431 % 4,301.5
Floater 10.86 % 11.16 % 40,887 8.61 2 0.0431 % 2,479.0
OpRet 0.00 % 0.00 % 0 0.00 0 -0.7810 % 3,348.1
SplitShare 5.03 % 7.82 % 43,667 2.04 8 -0.7810 % 3,998.3
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.7810 % 3,119.6
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 -0.3008 % 2,503.3
Perpetual-Discount 6.85 % 7.05 % 46,409 12.48 31 -0.3008 % 2,729.7
FixedReset Disc 5.92 % 8.79 % 92,408 10.85 56 -0.5515 % 2,114.3
Insurance Straight 6.73 % 6.84 % 50,335 12.66 18 0.3174 % 2,674.6
FloatingReset 10.60 % 10.90 % 38,477 8.79 1 1.5686 % 2,499.5
FixedReset Prem 7.03 % 7.10 % 225,169 3.64 1 0.0000 % 2,299.8
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 -0.5515 % 2,161.2
FixedReset Ins Non 6.44 % 8.28 % 82,797 11.27 10 -1.2140 % 2,294.9
Performance Highlights
Issue Index Change Notes
MFC.PR.L FixedReset Ins Non -7.99 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-18
Maturity Price : 16.01
Evaluated at bid price : 16.01
Bid-YTW : 9.67 %
PVS.PR.K SplitShare -4.20 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2029-05-31
Maturity Price : 25.00
Evaluated at bid price : 20.52
Bid-YTW : 8.70 %
PVS.PR.J SplitShare -3.59 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2028-02-29
Maturity Price : 25.00
Evaluated at bid price : 21.50
Bid-YTW : 8.46 %
PWF.PR.G Perpetual-Discount -2.63 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-18
Maturity Price : 20.75
Evaluated at bid price : 20.75
Bid-YTW : 7.20 %
BIP.PR.E FixedReset Disc -2.34 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-18
Maturity Price : 20.02
Evaluated at bid price : 20.02
Bid-YTW : 8.81 %
BN.PF.I FixedReset Disc -2.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-18
Maturity Price : 18.30
Evaluated at bid price : 18.30
Bid-YTW : 9.93 %
GWO.PR.Q Insurance Straight -1.95 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-18
Maturity Price : 18.63
Evaluated at bid price : 18.63
Bid-YTW : 7.04 %
BN.PF.H FixedReset Disc -1.76 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-18
Maturity Price : 19.55
Evaluated at bid price : 19.55
Bid-YTW : 9.82 %
RY.PR.N Perpetual-Discount -1.61 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-18
Maturity Price : 20.76
Evaluated at bid price : 20.76
Bid-YTW : 5.94 %
BN.PF.J FixedReset Disc -1.57 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-18
Maturity Price : 18.75
Evaluated at bid price : 18.75
Bid-YTW : 9.31 %
BN.PF.B FixedReset Disc -1.41 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-18
Maturity Price : 16.76
Evaluated at bid price : 16.76
Bid-YTW : 9.95 %
BN.PF.F FixedReset Disc -1.36 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-18
Maturity Price : 15.93
Evaluated at bid price : 15.93
Bid-YTW : 10.65 %
RY.PR.J FixedReset Disc -1.35 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-18
Maturity Price : 18.25
Evaluated at bid price : 18.25
Bid-YTW : 8.72 %
CM.PR.O FixedReset Disc -1.29 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-18
Maturity Price : 17.60
Evaluated at bid price : 17.60
Bid-YTW : 8.84 %
GWO.PR.H Insurance Straight -1.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-18
Maturity Price : 17.63
Evaluated at bid price : 17.63
Bid-YTW : 7.01 %
FTS.PR.M FixedReset Disc -1.21 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-18
Maturity Price : 16.55
Evaluated at bid price : 16.55
Bid-YTW : 9.55 %
TD.PF.M FixedReset Disc -1.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-18
Maturity Price : 23.20
Evaluated at bid price : 23.77
Bid-YTW : 7.92 %
IFC.PR.G FixedReset Ins Non -1.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-18
Maturity Price : 19.72
Evaluated at bid price : 19.72
Bid-YTW : 8.28 %
BMO.PR.E FixedReset Disc -1.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-18
Maturity Price : 21.44
Evaluated at bid price : 21.74
Bid-YTW : 7.77 %
FTS.PR.H FixedReset Disc -1.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-18
Maturity Price : 12.55
Evaluated at bid price : 12.55
Bid-YTW : 9.97 %
CM.PR.Y FixedReset Disc -1.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-18
Maturity Price : 22.93
Evaluated at bid price : 23.50
Bid-YTW : 8.02 %
PWF.PF.A Perpetual-Discount -1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-18
Maturity Price : 16.13
Evaluated at bid price : 16.13
Bid-YTW : 7.06 %
PVS.PR.F SplitShare -1.01 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2024-09-30
Maturity Price : 25.00
Evaluated at bid price : 24.45
Bid-YTW : 7.82 %
BNS.PR.I FixedReset Disc 1.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-18
Maturity Price : 20.60
Evaluated at bid price : 20.60
Bid-YTW : 7.93 %
PVS.PR.G SplitShare 1.47 % YTW SCENARIO
Maturity Type : Option Certainty
Maturity Date : 2026-02-28
Maturity Price : 25.00
Evaluated at bid price : 24.10
Bid-YTW : 6.93 %
SLF.PR.J FloatingReset 1.57 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-18
Maturity Price : 15.54
Evaluated at bid price : 15.54
Bid-YTW : 10.90 %
FTS.PR.F Perpetual-Discount 1.69 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-18
Maturity Price : 19.38
Evaluated at bid price : 19.38
Bid-YTW : 6.35 %
TD.PF.E FixedReset Disc 2.17 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-18
Maturity Price : 18.40
Evaluated at bid price : 18.40
Bid-YTW : 8.67 %
GWO.PR.I Insurance Straight 9.67 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-18
Maturity Price : 16.78
Evaluated at bid price : 16.78
Bid-YTW : 6.83 %
Volume Highlights
Issue Index Shares
Traded		 Notes
NA.PR.S FixedReset Disc 59,678 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-18
Maturity Price : 18.01
Evaluated at bid price : 18.01
Bid-YTW : 8.89 %
IFC.PR.C FixedReset Disc 33,585 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-18
Maturity Price : 17.60
Evaluated at bid price : 17.60
Bid-YTW : 8.59 %
RY.PR.J FixedReset Disc 26,883 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-18
Maturity Price : 18.25
Evaluated at bid price : 18.25
Bid-YTW : 8.72 %
BMO.PR.T FixedReset Disc 25,700 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-18
Maturity Price : 17.10
Evaluated at bid price : 17.10
Bid-YTW : 8.99 %
PWF.PF.A Perpetual-Discount 25,524 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-18
Maturity Price : 16.13
Evaluated at bid price : 16.13
Bid-YTW : 7.06 %
BN.PR.Z FixedReset Disc 22,839 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-18
Maturity Price : 18.20
Evaluated at bid price : 18.20
Bid-YTW : 9.39 %
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.L FixedReset Ins Non Quote: 16.01 – 17.80
Spot Rate : 1.7900
Average : 1.1180

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-18
Maturity Price : 16.01
Evaluated at bid price : 16.01
Bid-YTW : 9.67 %
CU.PR.I FixedReset Disc Quote: 20.80 – 22.00
Spot Rate : 1.2000
Average : 0.8109

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-18
Maturity Price : 20.80
Evaluated at bid price : 20.80
Bid-YTW : 8.69 %
PVS.PR.K SplitShare Quote: 20.52 – 21.40
Spot Rate : 0.8800
Average : 0.5752

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2029-05-31
Maturity Price : 25.00
Evaluated at bid price : 20.52
Bid-YTW : 8.70 %
TD.PF.L FixedReset Disc Quote: 23.04 – 23.96
Spot Rate : 0.9200
Average : 0.6235

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-18
Maturity Price : 22.27
Evaluated at bid price : 23.04
Bid-YTW : 7.91 %
RY.PR.J FixedReset Disc Quote: 18.25 – 19.45
Spot Rate : 1.2000
Average : 0.9427

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-18
Maturity Price : 18.25
Evaluated at bid price : 18.25
Bid-YTW : 8.72 %
IFC.PR.F Insurance Straight Quote: 19.75 – 20.50
Spot Rate : 0.7500
Average : 0.5308

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-18
Maturity Price : 19.75
Evaluated at bid price : 19.75
Bid-YTW : 6.84 %
Market Action

August 17, 2023

TXPR closed at 523.14, down 0.64% on the day. Volume today was 1.53-million, fourth-highest of the past 21 trading days.

CPD closed at 10.45, down 0.38% on the day. Volume was 55,720, above the median of the past 21 trading days.

ZPR closed at 8.80, down 0.23% on the day. Volume was 51,850, second-lowest of the past 21 trading days.

Five-year Canada yields were up to 4.16%.

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 0.0863 % 2,241.7
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.0863 % 4,299.6
Floater 10.86 % 11.17 % 40,612 8.60 2 0.0863 % 2,477.9
OpRet 0.00 % 0.00 % 0 0.00 0 -0.3705 % 3,374.4
SplitShare 4.99 % 7.52 % 43,313 2.04 8 -0.3705 % 4,029.8
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.3705 % 3,144.2
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 -0.5232 % 2,510.8
Perpetual-Discount 6.83 % 7.01 % 46,583 12.51 31 -0.5232 % 2,737.9
FixedReset Disc 5.89 % 8.75 % 90,696 10.90 56 -0.3928 % 2,126.0
Insurance Straight 6.75 % 6.90 % 51,862 12.61 18 -1.4095 % 2,666.1
FloatingReset 10.77 % 11.07 % 38,717 8.67 1 1.3245 % 2,460.9
FixedReset Prem 7.03 % 7.10 % 226,603 3.64 1 -0.1996 % 2,299.8
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 -0.3928 % 2,173.2
FixedReset Ins Non 6.37 % 8.18 % 81,578 11.32 10 0.0825 % 2,323.1
Performance Highlights
Issue Index Change Notes
GWO.PR.I Insurance Straight -10.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-17
Maturity Price : 15.30
Evaluated at bid price : 15.30
Bid-YTW : 7.50 %
GWO.PR.S Insurance Straight -2.17 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-17
Maturity Price : 18.91
Evaluated at bid price : 18.91
Bid-YTW : 7.07 %
TD.PF.E FixedReset Disc -2.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-17
Maturity Price : 18.01
Evaluated at bid price : 18.01
Bid-YTW : 8.85 %
BN.PF.J FixedReset Disc -2.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-17
Maturity Price : 19.05
Evaluated at bid price : 19.05
Bid-YTW : 9.16 %
PWF.PR.K Perpetual-Discount -1.94 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-17
Maturity Price : 17.70
Evaluated at bid price : 17.70
Bid-YTW : 7.08 %
PWF.PF.A Perpetual-Discount -1.87 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-17
Maturity Price : 16.30
Evaluated at bid price : 16.30
Bid-YTW : 6.99 %
BIK.PR.A FixedReset Disc -1.82 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-17
Maturity Price : 21.33
Evaluated at bid price : 21.60
Bid-YTW : 9.29 %
PWF.PR.H Perpetual-Discount -1.81 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-17
Maturity Price : 20.65
Evaluated at bid price : 20.65
Bid-YTW : 7.05 %
SLF.PR.D Insurance Straight -1.72 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-17
Maturity Price : 17.10
Evaluated at bid price : 17.10
Bid-YTW : 6.62 %
BNS.PR.I FixedReset Disc -1.69 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-17
Maturity Price : 20.35
Evaluated at bid price : 20.35
Bid-YTW : 8.02 %
POW.PR.D Perpetual-Discount -1.68 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-17
Maturity Price : 18.10
Evaluated at bid price : 18.10
Bid-YTW : 7.01 %
BN.PF.I FixedReset Disc -1.58 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-17
Maturity Price : 18.70
Evaluated at bid price : 18.70
Bid-YTW : 9.72 %
GWO.PR.P Insurance Straight -1.57 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-17
Maturity Price : 19.49
Evaluated at bid price : 19.49
Bid-YTW : 7.06 %
MFC.PR.C Insurance Straight -1.55 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-17
Maturity Price : 17.12
Evaluated at bid price : 17.12
Bid-YTW : 6.71 %
PWF.PR.F Perpetual-Discount -1.52 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-17
Maturity Price : 18.85
Evaluated at bid price : 18.85
Bid-YTW : 7.05 %
IFC.PR.F Insurance Straight -1.50 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-17
Maturity Price : 19.75
Evaluated at bid price : 19.75
Bid-YTW : 6.83 %
POW.PR.B Perpetual-Discount -1.48 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-17
Maturity Price : 19.31
Evaluated at bid price : 19.31
Bid-YTW : 7.04 %
GWO.PR.Y Insurance Straight -1.47 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-17
Maturity Price : 16.75
Evaluated at bid price : 16.75
Bid-YTW : 6.84 %
PVS.PR.G SplitShare -1.45 % YTW SCENARIO
Maturity Type : Option Certainty
Maturity Date : 2026-02-28
Maturity Price : 25.00
Evaluated at bid price : 23.75
Bid-YTW : 7.56 %
PWF.PR.O Perpetual-Discount -1.42 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-17
Maturity Price : 20.80
Evaluated at bid price : 20.80
Bid-YTW : 7.06 %
BN.PR.M Perpetual-Discount -1.39 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-17
Maturity Price : 17.01
Evaluated at bid price : 17.01
Bid-YTW : 7.12 %
PWF.PR.L Perpetual-Discount -1.34 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-17
Maturity Price : 18.35
Evaluated at bid price : 18.35
Bid-YTW : 7.03 %
IFC.PR.E Insurance Straight -1.26 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-17
Maturity Price : 19.55
Evaluated at bid price : 19.55
Bid-YTW : 6.77 %
PWF.PR.R Perpetual-Discount -1.25 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-17
Maturity Price : 19.80
Evaluated at bid price : 19.80
Bid-YTW : 7.03 %
TD.PF.M FixedReset Disc -1.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-17
Maturity Price : 23.50
Evaluated at bid price : 24.05
Bid-YTW : 7.82 %
PVS.PR.I SplitShare -1.21 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-10-31
Maturity Price : 25.00
Evaluated at bid price : 23.65
Bid-YTW : 7.97 %
BN.PF.D Perpetual-Discount -1.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-17
Maturity Price : 17.25
Evaluated at bid price : 17.25
Bid-YTW : 7.24 %
CU.PR.G Perpetual-Discount -1.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-17
Maturity Price : 16.45
Evaluated at bid price : 16.45
Bid-YTW : 6.88 %
FTS.PR.H FixedReset Disc -1.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-17
Maturity Price : 12.80
Evaluated at bid price : 12.80
Bid-YTW : 9.87 %
TD.PF.L FixedReset Disc -1.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-17
Maturity Price : 22.32
Evaluated at bid price : 23.13
Bid-YTW : 7.88 %
RY.PR.H FixedReset Disc -1.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-17
Maturity Price : 17.50
Evaluated at bid price : 17.50
Bid-YTW : 8.82 %
POW.PR.G Perpetual-Discount -1.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-17
Maturity Price : 20.30
Evaluated at bid price : 20.30
Bid-YTW : 7.01 %
RY.PR.J FixedReset Disc -1.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-17
Maturity Price : 18.50
Evaluated at bid price : 18.50
Bid-YTW : 8.60 %
BN.PR.N Perpetual-Discount -1.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-17
Maturity Price : 17.02
Evaluated at bid price : 17.02
Bid-YTW : 7.11 %
IFC.PR.K Perpetual-Discount -1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-17
Maturity Price : 19.47
Evaluated at bid price : 19.47
Bid-YTW : 6.87 %
POW.PR.C Perpetual-Discount -1.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-17
Maturity Price : 21.42
Evaluated at bid price : 21.68
Bid-YTW : 6.78 %
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 : 21.42
Bid-YTW : 7.80 %
CU.PR.I FixedReset Disc 1.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-17
Maturity Price : 20.60
Evaluated at bid price : 20.60
Bid-YTW : 8.77 %
SLF.PR.J FloatingReset 1.32 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-17
Maturity Price : 15.30
Evaluated at bid price : 15.30
Bid-YTW : 11.07 %
MFC.PR.K FixedReset Ins Non 1.52 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-17
Maturity Price : 20.05
Evaluated at bid price : 20.05
Bid-YTW : 7.99 %
CU.PR.D Perpetual-Discount 5.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-17
Maturity Price : 17.85
Evaluated at bid price : 17.85
Bid-YTW : 6.90 %
PWF.PR.S Perpetual-Discount 7.42 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-17
Maturity Price : 17.08
Evaluated at bid price : 17.08
Bid-YTW : 7.11 %
Volume Highlights
Issue Index Shares
Traded		 Notes
TD.PF.M FixedReset Disc 61,000 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-17
Maturity Price : 23.50
Evaluated at bid price : 24.05
Bid-YTW : 7.82 %
CM.PR.O FixedReset Disc 56,415 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-17
Maturity Price : 17.83
Evaluated at bid price : 17.83
Bid-YTW : 8.72 %
BN.PF.J FixedReset Disc 37,994 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-17
Maturity Price : 19.05
Evaluated at bid price : 19.05
Bid-YTW : 9.16 %
TD.PF.B FixedReset Disc 31,171 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-17
Maturity Price : 17.80
Evaluated at bid price : 17.80
Bid-YTW : 8.74 %
TD.PF.C FixedReset Disc 26,000 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-17
Maturity Price : 17.18
Evaluated at bid price : 17.18
Bid-YTW : 8.89 %
RY.PR.Z FixedReset Disc 23,300 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-17
Maturity Price : 17.82
Evaluated at bid price : 17.82
Bid-YTW : 8.68 %
There were 19 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
POW.PR.C Perpetual-Discount Quote: 21.68 – 24.40
Spot Rate : 2.7200
Average : 1.5009

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-17
Maturity Price : 21.42
Evaluated at bid price : 21.68
Bid-YTW : 6.78 %
MFC.PR.Q FixedReset Ins Non Quote: 20.27 – 22.22
Spot Rate : 1.9500
Average : 1.1389

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-17
Maturity Price : 20.27
Evaluated at bid price : 20.27
Bid-YTW : 8.04 %
GWO.PR.I Insurance Straight Quote: 15.30 – 17.15
Spot Rate : 1.8500
Average : 1.0828

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-17
Maturity Price : 15.30
Evaluated at bid price : 15.30
Bid-YTW : 7.50 %
GWO.PR.T Insurance Straight Quote: 19.15 – 20.19
Spot Rate : 1.0400
Average : 0.7256

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-17
Maturity Price : 19.15
Evaluated at bid price : 19.15
Bid-YTW : 6.85 %
RY.PR.J FixedReset Disc Quote: 18.50 – 19.45
Spot Rate : 0.9500
Average : 0.6606

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-17
Maturity Price : 18.50
Evaluated at bid price : 18.50
Bid-YTW : 8.60 %
MFC.PR.N FixedReset Ins Non Quote: 16.65 – 17.59
Spot Rate : 0.9400
Average : 0.6890

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-17
Maturity Price : 16.65
Evaluated at bid price : 16.65
Bid-YTW : 9.22 %
Market Action

August 16, 2023

PerpetualDiscounts now yield 6.93%, equivalent to 9.01% interest at the standard equivalency factor of 1.3x. Long corporates yielded 5.17% on 2023-7-31 (see below) and since then the closing price has changed from 14.92 to 14.32, a decrease of 402bp in price, with a Duration of 12.26 (BMO doesn’t specify whether this is Macaulay or Modified Duration; I will assume Modified) which implies an increase in yield of about 33bp since 7/31 to 5.50%, so the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) has remained steady at the 350bp reported August 9.

I’m not too sure about BMO’s current claim that ZLC had an average yield-to-maturity of 5.17% on 2023-7-31. On August 9 I reported their claim that the average yield on that date was 5.26%.

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 0.1729 % 2,239.8
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.1729 % 4,295.9
Floater 10.87 % 11.17 % 42,291 8.60 2 0.1729 % 2,475.8
OpRet 0.00 % 0.00 % 0 0.00 0 0.4680 % 3,387.0
SplitShare 4.98 % 7.16 % 42,906 2.05 8 0.4680 % 4,044.8
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.4680 % 3,155.9
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 -0.5931 % 2,524.0
Perpetual-Discount 6.80 % 6.93 % 44,352 12.63 31 -0.5931 % 2,752.3
FixedReset Disc 5.86 % 8.72 % 90,706 10.92 56 0.1454 % 2,134.4
Insurance Straight 6.65 % 6.81 % 51,498 12.73 18 0.1402 % 2,704.2
FloatingReset 10.91 % 11.22 % 38,760 8.58 1 0.0000 % 2,428.7
FixedReset Prem 7.01 % 7.04 % 224,664 3.65 1 0.1599 % 2,304.4
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 0.1454 % 2,181.8
FixedReset Ins Non 6.37 % 8.17 % 81,709 11.29 10 0.0715 % 2,321.1
Performance Highlights
Issue Index Change Notes
PWF.PR.S Perpetual-Discount -9.92 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-16
Maturity Price : 15.90
Evaluated at bid price : 15.90
Bid-YTW : 7.65 %
CU.PR.D Perpetual-Discount -6.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-16
Maturity Price : 17.00
Evaluated at bid price : 17.00
Bid-YTW : 7.25 %
BN.PF.H FixedReset Disc -1.95 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-16
Maturity Price : 20.10
Evaluated at bid price : 20.10
Bid-YTW : 9.55 %
RY.PR.N Perpetual-Discount -1.59 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-16
Maturity Price : 21.01
Evaluated at bid price : 21.01
Bid-YTW : 5.86 %
MFC.PR.K FixedReset Ins Non -1.35 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-16
Maturity Price : 19.75
Evaluated at bid price : 19.75
Bid-YTW : 8.11 %
ELF.PR.F Perpetual-Discount -1.33 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-16
Maturity Price : 19.30
Evaluated at bid price : 19.30
Bid-YTW : 6.97 %
GWO.PR.H Insurance Straight -1.33 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-16
Maturity Price : 17.85
Evaluated at bid price : 17.85
Bid-YTW : 6.92 %
CM.PR.Y FixedReset Disc 1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-16
Maturity Price : 23.18
Evaluated at bid price : 23.75
Bid-YTW : 7.93 %
BNS.PR.I FixedReset Disc 1.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-16
Maturity Price : 20.70
Evaluated at bid price : 20.70
Bid-YTW : 7.88 %
BN.PR.M Perpetual-Discount 1.41 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-16
Maturity Price : 17.25
Evaluated at bid price : 17.25
Bid-YTW : 7.01 %
MFC.PR.L FixedReset Ins Non 1.56 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-16
Maturity Price : 17.57
Evaluated at bid price : 17.57
Bid-YTW : 8.81 %
SLF.PR.C Insurance Straight 1.63 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-16
Maturity Price : 17.43
Evaluated at bid price : 17.43
Bid-YTW : 6.50 %
NA.PR.S FixedReset Disc 2.27 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-16
Maturity Price : 18.00
Evaluated at bid price : 18.00
Bid-YTW : 8.89 %
BN.PF.I FixedReset Disc 2.65 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-16
Maturity Price : 19.00
Evaluated at bid price : 19.00
Bid-YTW : 9.57 %
Volume Highlights
Issue Index Shares
Traded		 Notes
BNS.PR.I FixedReset Disc 38,378 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-16
Maturity Price : 20.70
Evaluated at bid price : 20.70
Bid-YTW : 7.88 %
BN.PF.I FixedReset Disc 29,321 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-16
Maturity Price : 19.00
Evaluated at bid price : 19.00
Bid-YTW : 9.57 %
PVS.PR.F SplitShare 25,370 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2024-09-30
Maturity Price : 25.00
Evaluated at bid price : 24.65
Bid-YTW : 7.00 %
RY.PR.H FixedReset Disc 24,254 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-16
Maturity Price : 17.70
Evaluated at bid price : 17.70
Bid-YTW : 8.71 %
BN.PF.J FixedReset Disc 19,830 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-16
Maturity Price : 19.45
Evaluated at bid price : 19.45
Bid-YTW : 8.97 %
CM.PR.S FixedReset Disc 15,400 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-16
Maturity Price : 20.55
Evaluated at bid price : 20.55
Bid-YTW : 7.76 %
There were 3 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
PWF.PR.S Perpetual-Discount Quote: 15.90 – 17.80
Spot Rate : 1.9000
Average : 1.0889

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-16
Maturity Price : 15.90
Evaluated at bid price : 15.90
Bid-YTW : 7.65 %
CU.PR.D Perpetual-Discount Quote: 17.00 – 18.10
Spot Rate : 1.1000
Average : 0.6464

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-16
Maturity Price : 17.00
Evaluated at bid price : 17.00
Bid-YTW : 7.25 %
CU.PR.C FixedReset Disc Quote: 17.13 – 18.50
Spot Rate : 1.3700
Average : 0.9674

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-16
Maturity Price : 17.13
Evaluated at bid price : 17.13
Bid-YTW : 8.94 %
MFC.PR.K FixedReset Ins Non Quote: 19.75 – 20.38
Spot Rate : 0.6300
Average : 0.3966

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-16
Maturity Price : 19.75
Evaluated at bid price : 19.75
Bid-YTW : 8.11 %
NA.PR.W FixedReset Disc Quote: 16.65 – 17.49
Spot Rate : 0.8400
Average : 0.6736

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-16
Maturity Price : 16.65
Evaluated at bid price : 16.65
Bid-YTW : 9.13 %
PVS.PR.H SplitShare Quote: 23.40 – 23.97
Spot Rate : 0.5700
Average : 0.4040

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2027-02-28
Maturity Price : 25.00
Evaluated at bid price : 23.40
Bid-YTW : 7.11 %
Market Action

August 15, 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 -0.2586 % 2,235.9
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.2586 % 4,288.5
Floater 10.89 % 11.18 % 41,987 8.60 2 -0.2586 % 2,471.5
OpRet 0.00 % 0.00 % 0 0.00 0 0.2399 % 3,371.2
SplitShare 5.00 % 7.32 % 42,968 2.05 8 0.2399 % 4,025.9
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.2399 % 3,141.2
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 -0.5291 % 2,539.1
Perpetual-Discount 6.76 % 6.91 % 43,143 12.67 31 -0.5291 % 2,768.7
FixedReset Disc 5.87 % 8.76 % 90,016 10.92 56 -0.3031 % 2,131.3
Insurance Straight 6.66 % 6.81 % 53,177 12.74 18 -0.9897 % 2,700.4
FloatingReset 10.91 % 11.21 % 40,346 8.58 1 0.6667 % 2,428.7
FixedReset Prem 7.02 % 7.08 % 227,478 3.65 1 -0.1597 % 2,300.8
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 -0.3031 % 2,178.6
FixedReset Ins Non 6.38 % 8.17 % 81,960 11.30 10 0.2427 % 2,319.5
Performance Highlights
Issue Index Change Notes
BN.PF.I FixedReset Disc -4.59 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-15
Maturity Price : 18.51
Evaluated at bid price : 18.51
Bid-YTW : 9.81 %
SLF.PR.C Insurance Straight -3.76 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-15
Maturity Price : 17.15
Evaluated at bid price : 17.15
Bid-YTW : 6.60 %
CU.PR.I FixedReset Disc -3.73 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-15
Maturity Price : 20.41
Evaluated at bid price : 20.41
Bid-YTW : 8.84 %
NA.PR.S FixedReset Disc -2.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-15
Maturity Price : 17.60
Evaluated at bid price : 17.60
Bid-YTW : 9.08 %
POW.PR.D Perpetual-Discount -2.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-15
Maturity Price : 18.25
Evaluated at bid price : 18.25
Bid-YTW : 6.95 %
SLF.PR.D Insurance Straight -2.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-15
Maturity Price : 17.37
Evaluated at bid price : 17.37
Bid-YTW : 6.52 %
GWO.PR.G Insurance Straight -1.75 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-15
Maturity Price : 19.05
Evaluated at bid price : 19.05
Bid-YTW : 6.95 %
SLF.PR.E Insurance Straight -1.69 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-15
Maturity Price : 17.50
Evaluated at bid price : 17.50
Bid-YTW : 6.54 %
BN.PR.X FixedReset Disc -1.68 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-15
Maturity Price : 14.01
Evaluated at bid price : 14.01
Bid-YTW : 9.95 %
BN.PR.M Perpetual-Discount -1.68 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-15
Maturity Price : 17.01
Evaluated at bid price : 17.01
Bid-YTW : 7.11 %
GWO.PR.L Insurance Straight -1.43 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-15
Maturity Price : 20.65
Evaluated at bid price : 20.65
Bid-YTW : 6.97 %
IFC.PR.C FixedReset Disc -1.42 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-15
Maturity Price : 17.40
Evaluated at bid price : 17.40
Bid-YTW : 8.68 %
CU.PR.E Perpetual-Discount -1.38 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-15
Maturity Price : 17.90
Evaluated at bid price : 17.90
Bid-YTW : 6.88 %
POW.PR.A Perpetual-Discount -1.38 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-15
Maturity Price : 20.80
Evaluated at bid price : 20.80
Bid-YTW : 6.83 %
MFC.PR.C Insurance Straight -1.37 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-15
Maturity Price : 17.31
Evaluated at bid price : 17.31
Bid-YTW : 6.63 %
FTS.PR.F Perpetual-Discount -1.37 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-15
Maturity Price : 19.51
Evaluated at bid price : 19.51
Bid-YTW : 6.43 %
BN.PR.Z FixedReset Disc -1.34 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-15
Maturity Price : 18.45
Evaluated at bid price : 18.45
Bid-YTW : 9.26 %
CM.PR.Y FixedReset Disc -1.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-15
Maturity Price : 22.94
Evaluated at bid price : 23.51
Bid-YTW : 8.01 %
IFC.PR.K Perpetual-Discount -1.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-15
Maturity Price : 19.50
Evaluated at bid price : 19.50
Bid-YTW : 6.85 %
GWO.PR.M Insurance Straight -1.19 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-15
Maturity Price : 21.27
Evaluated at bid price : 21.54
Bid-YTW : 6.84 %
BN.PR.R FixedReset Disc -1.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-15
Maturity Price : 13.40
Evaluated at bid price : 13.40
Bid-YTW : 10.60 %
RY.PR.M FixedReset Disc -1.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-15
Maturity Price : 18.10
Evaluated at bid price : 18.10
Bid-YTW : 8.42 %
BMO.PR.S FixedReset Disc -1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-15
Maturity Price : 18.06
Evaluated at bid price : 18.06
Bid-YTW : 8.72 %
POW.PR.G Perpetual-Discount -1.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-15
Maturity Price : 20.55
Evaluated at bid price : 20.55
Bid-YTW : 6.92 %
PVS.PR.G SplitShare 1.10 % YTW SCENARIO
Maturity Type : Option Certainty
Maturity Date : 2026-02-28
Maturity Price : 25.00
Evaluated at bid price : 23.97
Bid-YTW : 7.14 %
TD.PF.M FixedReset Disc 1.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-15
Maturity Price : 23.88
Evaluated at bid price : 24.38
Bid-YTW : 7.71 %
RY.PR.N Perpetual-Discount 1.62 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-15
Maturity Price : 21.35
Evaluated at bid price : 21.35
Bid-YTW : 5.77 %
MFC.PR.L FixedReset Ins Non 1.76 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-15
Maturity Price : 17.30
Evaluated at bid price : 17.30
Bid-YTW : 8.94 %
Volume Highlights
Issue Index Shares
Traded		 Notes
CM.PR.P FixedReset Disc 37,870 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-15
Maturity Price : 16.94
Evaluated at bid price : 16.94
Bid-YTW : 8.94 %
TD.PF.M FixedReset Disc 24,849 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-15
Maturity Price : 23.88
Evaluated at bid price : 24.38
Bid-YTW : 7.71 %
BN.PF.E FixedReset Disc 20,500 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-15
Maturity Price : 14.55
Evaluated at bid price : 14.55
Bid-YTW : 10.70 %
TD.PF.E FixedReset Disc 20,437 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-15
Maturity Price : 18.40
Evaluated at bid price : 18.40
Bid-YTW : 8.67 %
BMO.PR.E FixedReset Disc 14,470 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-15
Maturity Price : 21.70
Evaluated at bid price : 22.10
Bid-YTW : 7.63 %
FTS.PR.K FixedReset Disc 13,700 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-15
Maturity Price : 17.01
Evaluated at bid price : 17.01
Bid-YTW : 9.07 %
There were 11 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
BIP.PR.F FixedReset Disc Quote: 19.90 – 21.07
Spot Rate : 1.1700
Average : 0.8463

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-15
Maturity Price : 19.90
Evaluated at bid price : 19.90
Bid-YTW : 8.83 %
BN.PF.I FixedReset Disc Quote: 18.51 – 19.75
Spot Rate : 1.2400
Average : 0.9383

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-15
Maturity Price : 18.51
Evaluated at bid price : 18.51
Bid-YTW : 9.81 %
TD.PF.K FixedReset Disc Quote: 22.25 – 22.92
Spot Rate : 0.6700
Average : 0.4070

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-15
Maturity Price : 21.80
Evaluated at bid price : 22.25
Bid-YTW : 7.52 %
NA.PR.W FixedReset Disc Quote: 16.75 – 17.49
Spot Rate : 0.7400
Average : 0.4911

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-15
Maturity Price : 16.75
Evaluated at bid price : 16.75
Bid-YTW : 9.07 %
CU.PR.E Perpetual-Discount Quote: 17.90 – 18.60
Spot Rate : 0.7000
Average : 0.4706

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-15
Maturity Price : 17.90
Evaluated at bid price : 17.90
Bid-YTW : 6.88 %
BN.PF.J FixedReset Disc Quote: 19.50 – 20.19
Spot Rate : 0.6900
Average : 0.4847

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-15
Maturity Price : 19.50
Evaluated at bid price : 19.50
Bid-YTW : 8.94 %
Market Action

August 14, 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 -0.2580 % 2,241.7
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.2580 % 4,299.6
Floater 10.86 % 11.14 % 45,589 8.63 2 -0.2580 % 2,477.9
OpRet 0.00 % 0.00 % 0 0.00 0 0.1441 % 3,363.1
SplitShare 5.01 % 7.61 % 39,781 2.05 8 0.1441 % 4,016.3
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.1441 % 3,133.7
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 -0.4343 % 2,552.6
Perpetual-Discount 6.72 % 6.85 % 43,440 12.73 31 -0.4343 % 2,783.5
FixedReset Disc 5.85 % 8.73 % 91,100 10.95 56 -0.1117 % 2,137.7
Insurance Straight 6.60 % 6.75 % 54,022 12.81 18 -0.1210 % 2,727.4
FloatingReset 10.98 % 11.29 % 40,826 8.53 1 0.6711 % 2,412.6
FixedReset Prem 7.01 % 7.03 % 229,040 3.65 1 0.1599 % 2,304.4
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 -0.1117 % 2,185.2
FixedReset Ins Non 6.39 % 8.15 % 81,679 11.31 10 0.1325 % 2,313.9
Performance Highlights
Issue Index Change Notes
BN.PF.E FixedReset Disc -2.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-14
Maturity Price : 14.55
Evaluated at bid price : 14.55
Bid-YTW : 10.69 %
BN.PF.G FixedReset Disc -2.17 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-14
Maturity Price : 14.87
Evaluated at bid price : 14.87
Bid-YTW : 10.78 %
CU.PR.D Perpetual-Discount -1.91 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-14
Maturity Price : 18.00
Evaluated at bid price : 18.00
Bid-YTW : 6.84 %
TD.PF.B FixedReset Disc -1.68 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-14
Maturity Price : 17.60
Evaluated at bid price : 17.60
Bid-YTW : 8.83 %
PWF.PR.S Perpetual-Discount -1.39 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-14
Maturity Price : 17.75
Evaluated at bid price : 17.75
Bid-YTW : 6.84 %
CU.PR.G Perpetual-Discount -1.31 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-14
Maturity Price : 16.63
Evaluated at bid price : 16.63
Bid-YTW : 6.80 %
PWF.PR.T FixedReset Disc -1.27 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-14
Maturity Price : 18.61
Evaluated at bid price : 18.61
Bid-YTW : 8.66 %
MFC.PR.B Insurance Straight -1.18 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-14
Maturity Price : 17.61
Evaluated at bid price : 17.61
Bid-YTW : 6.73 %
FTS.PR.J Perpetual-Discount -1.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-14
Maturity Price : 18.85
Evaluated at bid price : 18.85
Bid-YTW : 6.45 %
POW.PR.D Perpetual-Discount -1.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-14
Maturity Price : 18.65
Evaluated at bid price : 18.65
Bid-YTW : 6.80 %
BIP.PR.E FixedReset Disc 1.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-14
Maturity Price : 20.40
Evaluated at bid price : 20.40
Bid-YTW : 8.64 %
GWO.PR.S Insurance Straight 1.19 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-14
Maturity Price : 19.55
Evaluated at bid price : 19.55
Bid-YTW : 6.83 %
MFC.PR.L FixedReset Ins Non 1.49 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-14
Maturity Price : 17.00
Evaluated at bid price : 17.00
Bid-YTW : 9.10 %
BN.PF.I FixedReset Disc 2.65 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-14
Maturity Price : 19.40
Evaluated at bid price : 19.40
Bid-YTW : 9.38 %
Volume Highlights
Issue Index Shares
Traded		 Notes
TD.PF.K FixedReset Disc 27,630 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-14
Maturity Price : 21.70
Evaluated at bid price : 22.10
Bid-YTW : 7.58 %
CU.PR.I FixedReset Disc 26,262 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-14
Maturity Price : 21.20
Evaluated at bid price : 21.20
Bid-YTW : 8.52 %
CU.PR.G Perpetual-Discount 22,990 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-14
Maturity Price : 16.63
Evaluated at bid price : 16.63
Bid-YTW : 6.80 %
SLF.PR.J FloatingReset 21,200 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-14
Maturity Price : 15.00
Evaluated at bid price : 15.00
Bid-YTW : 11.29 %
TD.PF.B FixedReset Disc 18,155 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-14
Maturity Price : 17.60
Evaluated at bid price : 17.60
Bid-YTW : 8.83 %
GWO.PR.H Insurance Straight 16,400 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-14
Maturity Price : 18.25
Evaluated at bid price : 18.25
Bid-YTW : 6.76 %
There were 5 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
GWO.PR.R Insurance Straight Quote: 17.85 – 19.00
Spot Rate : 1.1500
Average : 0.6726

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-14
Maturity Price : 17.85
Evaluated at bid price : 17.85
Bid-YTW : 6.84 %
IFC.PR.A FixedReset Ins Non Quote: 16.48 – 17.64
Spot Rate : 1.1600
Average : 0.7974

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-14
Maturity Price : 16.48
Evaluated at bid price : 16.48
Bid-YTW : 8.44 %
EIT.PR.B SplitShare Quote: 24.30 – 25.00
Spot Rate : 0.7000
Average : 0.4369

YTW SCENARIO
Maturity Type : Soft Maturity
Maturity Date : 2025-03-14
Maturity Price : 25.00
Evaluated at bid price : 24.30
Bid-YTW : 7.27 %
GWO.PR.I Insurance Straight Quote: 17.10 – 17.89
Spot Rate : 0.7900
Average : 0.5526

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-14
Maturity Price : 17.10
Evaluated at bid price : 17.10
Bid-YTW : 6.70 %
RY.PR.N Perpetual-Discount Quote: 21.01 – 22.00
Spot Rate : 0.9900
Average : 0.7871

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-14
Maturity Price : 21.01
Evaluated at bid price : 21.01
Bid-YTW : 5.86 %
BN.PF.G FixedReset Disc Quote: 14.87 – 15.38
Spot Rate : 0.5100
Average : 0.3488

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-14
Maturity Price : 14.87
Evaluated at bid price : 14.87
Bid-YTW : 10.78 %
Market Action

August 11, 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 0.7362 % 2,247.5
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.7362 % 4,310.7
Floater 10.83 % 11.10 % 42,925 8.67 2 0.7362 % 2,484.3
OpRet 0.00 % 0.00 % 0 0.00 0 -0.4199 % 3,358.3
SplitShare 5.02 % 7.66 % 40,105 2.06 8 -0.4199 % 4,010.5
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.4199 % 3,129.2
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 -0.0774 % 2,563.7
Perpetual-Discount 6.69 % 6.83 % 44,570 12.75 31 -0.0774 % 2,795.6
FixedReset Disc 5.87 % 8.70 % 92,349 10.95 56 -0.0596 % 2,140.1
Insurance Straight 6.59 % 6.74 % 53,681 12.84 18 0.0118 % 2,730.7
FloatingReset 11.06 % 11.35 % 37,796 8.50 1 0.2692 % 2,396.6
FixedReset Prem 7.02 % 7.06 % 237,686 3.66 1 -0.3586 % 2,300.8
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 -0.0596 % 2,187.7
FixedReset Ins Non 6.40 % 8.15 % 81,488 11.29 10 -0.0276 % 2,310.8
Performance Highlights
Issue Index Change Notes
RY.PR.N Perpetual-Discount -2.30 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-11
Maturity Price : 21.20
Evaluated at bid price : 21.20
Bid-YTW : 5.80 %
PVS.PR.J SplitShare -1.98 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2028-02-29
Maturity Price : 25.00
Evaluated at bid price : 22.30
Bid-YTW : 7.49 %
IFC.PR.C FixedReset Disc -1.68 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-11
Maturity Price : 17.60
Evaluated at bid price : 17.60
Bid-YTW : 8.58 %
MFC.PR.L FixedReset Ins Non -1.47 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-11
Maturity Price : 16.75
Evaluated at bid price : 16.75
Bid-YTW : 9.23 %
CU.PR.J Perpetual-Discount -1.37 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-11
Maturity Price : 17.26
Evaluated at bid price : 17.26
Bid-YTW : 6.91 %
PVS.PR.K SplitShare -1.36 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2029-05-31
Maturity Price : 25.00
Evaluated at bid price : 21.01
Bid-YTW : 8.18 %
CIU.PR.A Perpetual-Discount -1.35 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-11
Maturity Price : 16.76
Evaluated at bid price : 16.76
Bid-YTW : 6.89 %
FTS.PR.F Perpetual-Discount -1.26 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-11
Maturity Price : 19.60
Evaluated at bid price : 19.60
Bid-YTW : 6.39 %
BN.PF.I FixedReset Disc -1.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-11
Maturity Price : 18.90
Evaluated at bid price : 18.90
Bid-YTW : 9.61 %
GWO.PR.H Insurance Straight 1.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-11
Maturity Price : 18.25
Evaluated at bid price : 18.25
Bid-YTW : 6.76 %
BN.PR.R FixedReset Disc 1.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-11
Maturity Price : 13.50
Evaluated at bid price : 13.50
Bid-YTW : 10.52 %
BN.PR.B Floater 1.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-11
Maturity Price : 11.65
Evaluated at bid price : 11.65
Bid-YTW : 11.10 %
BN.PR.N Perpetual-Discount 1.17 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-11
Maturity Price : 17.31
Evaluated at bid price : 17.31
Bid-YTW : 6.98 %
PWF.PR.L Perpetual-Discount 1.40 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-11
Maturity Price : 18.77
Evaluated at bid price : 18.77
Bid-YTW : 6.87 %
Volume Highlights
Issue Index Shares
Traded		 Notes
TD.PF.I FixedReset Disc 62,000 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-11
Maturity Price : 22.65
Evaluated at bid price : 23.61
Bid-YTW : 7.28 %
MFC.PR.L FixedReset Ins Non 48,500 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-11
Maturity Price : 16.75
Evaluated at bid price : 16.75
Bid-YTW : 9.23 %
FTS.PR.M FixedReset Disc 40,900 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-11
Maturity Price : 17.25
Evaluated at bid price : 17.25
Bid-YTW : 9.29 %
SLF.PR.J FloatingReset 35,900 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-11
Maturity Price : 14.90
Evaluated at bid price : 14.90
Bid-YTW : 11.35 %
TD.PF.J FixedReset Disc 32,900 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-11
Maturity Price : 21.05
Evaluated at bid price : 21.05
Bid-YTW : 7.72 %
BN.PR.T FixedReset Disc 32,200 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-11
Maturity Price : 13.80
Evaluated at bid price : 13.80
Bid-YTW : 10.26 %
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.N FixedReset Ins Non Quote: 16.57 – 17.99
Spot Rate : 1.4200
Average : 0.8651

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-11
Maturity Price : 16.57
Evaluated at bid price : 16.57
Bid-YTW : 9.25 %
BIP.PR.E FixedReset Disc Quote: 20.18 – 20.98
Spot Rate : 0.8000
Average : 0.5260

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-11
Maturity Price : 20.18
Evaluated at bid price : 20.18
Bid-YTW : 8.73 %
BN.PF.I FixedReset Disc Quote: 18.90 – 19.93
Spot Rate : 1.0300
Average : 0.7801

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-11
Maturity Price : 18.90
Evaluated at bid price : 18.90
Bid-YTW : 9.61 %
RY.PR.N Perpetual-Discount Quote: 21.20 – 21.99
Spot Rate : 0.7900
Average : 0.5646

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-11
Maturity Price : 21.20
Evaluated at bid price : 21.20
Bid-YTW : 5.80 %
FTS.PR.F Perpetual-Discount Quote: 19.60 – 20.10
Spot Rate : 0.5000
Average : 0.3510

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-11
Maturity Price : 19.60
Evaluated at bid price : 19.60
Bid-YTW : 6.39 %
MFC.PR.L FixedReset Ins Non Quote: 16.75 – 17.60
Spot Rate : 0.8500
Average : 0.7185

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-11
Maturity Price : 16.75
Evaluated at bid price : 16.75
Bid-YTW : 9.23 %
Market Action

August 10, 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 0.0867 % 2,231.1
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.0867 % 4,279.2
Floater 10.91 % 11.17 % 38,172 8.62 2 0.0867 % 2,466.1
OpRet 0.00 % 0.00 % 0 0.00 0 0.5936 % 3,372.5
SplitShare 5.00 % 7.46 % 41,553 2.07 8 0.5936 % 4,027.4
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.5936 % 3,142.4
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 0.0774 % 2,565.7
Perpetual-Discount 6.69 % 6.82 % 45,332 12.76 31 0.0774 % 2,797.8
FixedReset Disc 5.86 % 8.45 % 93,293 11.20 56 0.1316 % 2,141.4
Insurance Straight 6.59 % 6.73 % 54,235 12.84 18 0.3079 % 2,730.4
FloatingReset 11.07 % 11.36 % 34,996 8.49 1 0.7458 % 2,390.1
FixedReset Prem 7.00 % 6.95 % 238,980 3.66 1 0.3197 % 2,309.0
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 0.1316 % 2,189.0
FixedReset Ins Non 6.40 % 7.98 % 77,800 11.50 10 -0.2039 % 2,311.4
Performance Highlights
Issue Index Change Notes
CU.PR.I FixedReset Disc -1.86 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-10
Maturity Price : 21.10
Evaluated at bid price : 21.10
Bid-YTW : 8.37 %
CM.PR.Y FixedReset Disc -1.64 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-10
Maturity Price : 23.39
Evaluated at bid price : 23.95
Bid-YTW : 7.67 %
PWF.PR.L Perpetual-Discount -1.54 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-10
Maturity Price : 18.51
Evaluated at bid price : 18.51
Bid-YTW : 6.96 %
IFC.PR.A FixedReset Ins Non -1.43 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-10
Maturity Price : 16.56
Evaluated at bid price : 16.56
Bid-YTW : 8.20 %
CU.PR.C FixedReset Disc -1.27 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-10
Maturity Price : 17.15
Evaluated at bid price : 17.15
Bid-YTW : 8.72 %
CU.PR.E Perpetual-Discount -1.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-10
Maturity Price : 18.10
Evaluated at bid price : 18.10
Bid-YTW : 6.79 %
PVS.PR.H SplitShare 1.00 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2027-02-28
Maturity Price : 25.00
Evaluated at bid price : 23.15
Bid-YTW : 7.41 %
BN.PF.E FixedReset Disc 1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-10
Maturity Price : 14.90
Evaluated at bid price : 14.90
Bid-YTW : 10.18 %
GWO.PR.S Insurance Straight 1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-10
Maturity Price : 19.50
Evaluated at bid price : 19.50
Bid-YTW : 6.85 %
PWF.PR.H Perpetual-Discount 1.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-10
Maturity Price : 21.25
Evaluated at bid price : 21.25
Bid-YTW : 6.84 %
PWF.PR.T FixedReset Disc 1.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-10
Maturity Price : 18.80
Evaluated at bid price : 18.80
Bid-YTW : 8.32 %
BIP.PR.F FixedReset Disc 1.28 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-10
Maturity Price : 19.75
Evaluated at bid price : 19.75
Bid-YTW : 8.65 %
PVS.PR.K SplitShare 1.43 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2029-05-31
Maturity Price : 25.00
Evaluated at bid price : 21.30
Bid-YTW : 7.89 %
BN.PR.T FixedReset Disc 1.55 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-10
Maturity Price : 13.76
Evaluated at bid price : 13.76
Bid-YTW : 10.06 %
BN.PR.X FixedReset Disc 1.57 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-10
Maturity Price : 14.25
Evaluated at bid price : 14.25
Bid-YTW : 9.55 %
IFC.PR.C FixedReset Disc 1.70 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-10
Maturity Price : 17.90
Evaluated at bid price : 17.90
Bid-YTW : 8.25 %
BN.PF.H FixedReset Disc 1.85 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-10
Maturity Price : 20.42
Evaluated at bid price : 20.42
Bid-YTW : 9.22 %
PVS.PR.J SplitShare 2.02 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2028-02-29
Maturity Price : 25.00
Evaluated at bid price : 22.75
Bid-YTW : 6.98 %
RY.PR.M FixedReset Disc 2.64 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-10
Maturity Price : 18.30
Evaluated at bid price : 18.30
Bid-YTW : 8.11 %
PWF.PR.K Perpetual-Discount 4.29 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-10
Maturity Price : 18.23
Evaluated at bid price : 18.23
Bid-YTW : 6.86 %
Volume Highlights
Issue Index Shares
Traded		 Notes
TD.PF.B FixedReset Disc 31,800 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-10
Maturity Price : 17.90
Evaluated at bid price : 17.90
Bid-YTW : 8.43 %
CM.PR.Y FixedReset Disc 30,191 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-10
Maturity Price : 23.39
Evaluated at bid price : 23.95
Bid-YTW : 7.67 %
BN.PR.K Floater 24,000 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-10
Maturity Price : 11.57
Evaluated at bid price : 11.57
Bid-YTW : 11.17 %
BN.PR.T FixedReset Disc 23,729 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-10
Maturity Price : 13.76
Evaluated at bid price : 13.76
Bid-YTW : 10.06 %
BN.PR.X FixedReset Disc 19,917 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-10
Maturity Price : 14.25
Evaluated at bid price : 14.25
Bid-YTW : 9.55 %
SLF.PR.J FloatingReset 16,500 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-10
Maturity Price : 14.86
Evaluated at bid price : 14.86
Bid-YTW : 11.36 %
There were 6 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
BN.PR.X FixedReset Disc Quote: 14.25 – 15.20
Spot Rate : 0.9500
Average : 0.6233

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-10
Maturity Price : 14.25
Evaluated at bid price : 14.25
Bid-YTW : 9.55 %
CU.PR.C FixedReset Disc Quote: 17.15 – 18.60
Spot Rate : 1.4500
Average : 1.2169

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-10
Maturity Price : 17.15
Evaluated at bid price : 17.15
Bid-YTW : 8.72 %
BN.PR.R FixedReset Disc Quote: 13.35 – 14.43
Spot Rate : 1.0800
Average : 0.9524

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-10
Maturity Price : 13.35
Evaluated at bid price : 13.35
Bid-YTW : 10.37 %
MFC.PR.L FixedReset Ins Non Quote: 17.00 – 17.69
Spot Rate : 0.6900
Average : 0.5742

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-10
Maturity Price : 17.00
Evaluated at bid price : 17.00
Bid-YTW : 8.82 %
GWO.PR.L Insurance Straight Quote: 21.03 – 21.30
Spot Rate : 0.2700
Average : 0.1744

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-10
Maturity Price : 21.03
Evaluated at bid price : 21.03
Bid-YTW : 6.83 %
PWF.PR.L Perpetual-Discount Quote: 18.51 – 18.90
Spot Rate : 0.3900
Average : 0.2998

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-10
Maturity Price : 18.51
Evaluated at bid price : 18.51
Bid-YTW : 6.96 %
Market Action

August 9, 2023

PerpetualDiscounts now yield 6.84%, equivalent to 8.89% interest at the standard equivalency factor of 1.3x. Long corporates yielded 5.26% on 2023-7-31 and since then the closing price has changed from 14.92 to 14.71, a decrease of 141bp in price, with a Duration of 12.26 (BMO doesn’t specify whether this is Macaulay or Modified Duration; I will assume Modified) which implies an increase in yield of about 12bp since 7/31 to 5.38%, so the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) has remained steady at the 350bp reported August 2.

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 0.1737 % 2,229.2
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.1737 % 4,275.5
Floater 10.92 % 11.19 % 35,349 8.61 2 0.1737 % 2,464.0
OpRet 0.00 % 0.00 % 0 0.00 0 -0.0588 % 3,352.6
SplitShare 5.03 % 7.73 % 41,290 2.07 8 -0.0588 % 4,003.7
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.0588 % 3,123.8
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 0.1382 % 2,563.7
Perpetual-Discount 6.69 % 6.84 % 45,486 12.77 31 0.1382 % 2,795.6
FixedReset Disc 5.87 % 8.46 % 92,297 11.20 56 -0.1919 % 2,138.6
Insurance Straight 6.61 % 6.75 % 56,046 12.83 18 0.4311 % 2,722.0
FloatingReset 11.15 % 11.45 % 32,407 8.44 1 -1.9934 % 2,372.4
FixedReset Prem 7.02 % 7.03 % 241,252 3.67 1 0.0800 % 2,301.7
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 -0.1919 % 2,186.1
FixedReset Ins Non 6.39 % 7.98 % 78,577 11.50 10 0.3594 % 2,316.2
Performance Highlights
Issue Index Change Notes
BIP.PR.F FixedReset Disc -4.92 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-09
Maturity Price : 19.50
Evaluated at bid price : 19.50
Bid-YTW : 8.76 %
PWF.PR.K Perpetual-Discount -4.48 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-09
Maturity Price : 17.48
Evaluated at bid price : 17.48
Bid-YTW : 7.16 %
RY.PR.M FixedReset Disc -2.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-09
Maturity Price : 17.83
Evaluated at bid price : 17.83
Bid-YTW : 8.32 %
SLF.PR.J FloatingReset -1.99 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-09
Maturity Price : 14.75
Evaluated at bid price : 14.75
Bid-YTW : 11.45 %
BN.PR.R FixedReset Disc -1.85 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-09
Maturity Price : 13.30
Evaluated at bid price : 13.30
Bid-YTW : 10.41 %
BN.PF.I FixedReset Disc -1.79 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-09
Maturity Price : 19.25
Evaluated at bid price : 19.25
Bid-YTW : 9.27 %
TD.PF.M FixedReset Disc -1.64 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-09
Maturity Price : 23.45
Evaluated at bid price : 24.00
Bid-YTW : 7.64 %
BN.PR.T FixedReset Disc -1.45 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-09
Maturity Price : 13.55
Evaluated at bid price : 13.55
Bid-YTW : 10.20 %
BN.PR.X FixedReset Disc -1.34 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-09
Maturity Price : 14.03
Evaluated at bid price : 14.03
Bid-YTW : 9.69 %
IFC.PR.C FixedReset Disc -1.18 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-09
Maturity Price : 17.60
Evaluated at bid price : 17.60
Bid-YTW : 8.38 %
CM.PR.O FixedReset Disc -1.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-09
Maturity Price : 17.83
Evaluated at bid price : 17.83
Bid-YTW : 8.46 %
BN.PF.F FixedReset Disc -1.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-09
Maturity Price : 16.05
Evaluated at bid price : 16.05
Bid-YTW : 10.27 %
PWF.PR.H Perpetual-Discount -1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-09
Maturity Price : 21.03
Evaluated at bid price : 21.03
Bid-YTW : 6.91 %
IFC.PR.E Insurance Straight 1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-09
Maturity Price : 19.80
Evaluated at bid price : 19.80
Bid-YTW : 6.67 %
GWO.PR.N FixedReset Ins Non 1.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-09
Maturity Price : 12.50
Evaluated at bid price : 12.50
Bid-YTW : 9.04 %
PVS.PR.J SplitShare 1.13 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2028-02-29
Maturity Price : 25.00
Evaluated at bid price : 22.30
Bid-YTW : 7.48 %
PWF.PR.L Perpetual-Discount 1.46 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-09
Maturity Price : 18.80
Evaluated at bid price : 18.80
Bid-YTW : 6.85 %
BN.PF.E FixedReset Disc 1.72 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-09
Maturity Price : 14.75
Evaluated at bid price : 14.75
Bid-YTW : 10.28 %
RY.PR.N Perpetual-Discount 1.89 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-09
Maturity Price : 21.60
Evaluated at bid price : 21.60
Bid-YTW : 5.69 %
MFC.PR.K FixedReset Ins Non 2.86 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-09
Maturity Price : 19.80
Evaluated at bid price : 19.80
Bid-YTW : 7.83 %
SLF.PR.C Insurance Straight 3.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-09
Maturity Price : 17.60
Evaluated at bid price : 17.60
Bid-YTW : 6.42 %
PWF.PR.T FixedReset Disc 5.80 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-09
Maturity Price : 18.60
Evaluated at bid price : 18.60
Bid-YTW : 8.40 %
Volume Highlights
Issue Index Shares
Traded		 Notes
TD.PF.B FixedReset Disc 72,756 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-09
Maturity Price : 17.96
Evaluated at bid price : 17.96
Bid-YTW : 8.40 %
TD.PF.J FixedReset Disc 70,069 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-09
Maturity Price : 20.84
Evaluated at bid price : 20.84
Bid-YTW : 7.63 %
RY.PR.J FixedReset Disc 66,925 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-09
Maturity Price : 18.65
Evaluated at bid price : 18.65
Bid-YTW : 8.31 %
MFC.PR.N FixedReset Ins Non 66,300 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-09
Maturity Price : 16.57
Evaluated at bid price : 16.57
Bid-YTW : 8.99 %
MFC.PR.M FixedReset Ins Non 61,900 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-09
Maturity Price : 16.80
Evaluated at bid price : 16.80
Bid-YTW : 9.05 %
MFC.PR.K FixedReset Ins Non 56,640 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-09
Maturity Price : 19.80
Evaluated at bid price : 19.80
Bid-YTW : 7.83 %
There were 48 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
PWF.PR.K Perpetual-Discount Quote: 17.48 – 18.48
Spot Rate : 1.0000
Average : 0.6102

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-09
Maturity Price : 17.48
Evaluated at bid price : 17.48
Bid-YTW : 7.16 %
BN.PR.R FixedReset Disc Quote: 13.30 – 14.43
Spot Rate : 1.1300
Average : 0.8125

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-09
Maturity Price : 13.30
Evaluated at bid price : 13.30
Bid-YTW : 10.41 %
BIP.PR.F FixedReset Disc Quote: 19.50 – 20.37
Spot Rate : 0.8700
Average : 0.5615

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-09
Maturity Price : 19.50
Evaluated at bid price : 19.50
Bid-YTW : 8.76 %
IFC.PR.A FixedReset Ins Non Quote: 16.80 – 17.64
Spot Rate : 0.8400
Average : 0.5376

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-09
Maturity Price : 16.80
Evaluated at bid price : 16.80
Bid-YTW : 8.08 %
CU.PR.C FixedReset Disc Quote: 17.37 – 18.60
Spot Rate : 1.2300
Average : 0.9614

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-09
Maturity Price : 17.37
Evaluated at bid price : 17.37
Bid-YTW : 8.61 %
TD.PF.M FixedReset Disc Quote: 24.00 – 24.57
Spot Rate : 0.5700
Average : 0.3711

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-09
Maturity Price : 23.45
Evaluated at bid price : 24.00
Bid-YTW : 7.64 %
Market Action

August 8, 2023

Another preferred fund is going down:

National Bank Investments Inc. (“NBI”) announces that, effective today, the units of all series of the NBI Canadian Preferred Equity Private Portfolio (the “Fund”) will no longer be available for purchase by new or existing unitholders, including purchases made through a pre-authorized purchase plan.

NBI was informed that a substantial portion of the Fund’s units will be redeemed progressively in the coming months. Effective immediately, the portfolio sub-advisor, Fiera Capital Corporation, will carry out a progressive and orderly liquidation of the Fund’s assets over this period in order to meet redemption requests. While care will be given to remain invested in accordance with the Fund’s investment objective and strategies, the preferred equity market presents unique challenges. As such, the Fund’s portfolio sub-advisor may, from time to time, depart from the investment objective and strategies stated in the Fund’s prospectus.

During the liquidation period, NBI will assess whether the Fund should ultimately, in the best interest of its unitholders, be terminated or merged with another NBI Fund, depending on market conditions.

The above changes will be reflected in the upcoming amendment to the simplified prospectus for the NBI Funds which will be available on the SEDAR+ website (www.sedarplus.ca) and the National Bank Investments website (www.nbinvestments.ca).

This one had assets of 152-million on 2023-3-31.

HIMIPref™ Preferred Indices
These values reflect the December 2008 revision of the HIMIPref™ Indices
Values are provisional and are finalized monthly
Index Mean
Current
Yield
(at bid)		 Median
YTW		 Median
Average
Trading
Value		 Median
Mod Dur
(YTW)		 Issues Day’s Perf. Index Value
Ratchet 0.00 % 0.00 % 0 0.00 0 -0.5184 % 2,225.3
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.5184 % 4,268.1
Floater 10.94 % 11.21 % 44,754 8.60 2 -0.5184 % 2,459.7
OpRet 0.00 % 0.00 % 0 0.00 0 0.2411 % 3,354.5
SplitShare 5.02 % 7.61 % 42,788 2.07 8 0.2411 % 4,006.0
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.2411 % 3,125.7
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 0.2908 % 2,560.2
Perpetual-Discount 6.70 % 6.82 % 46,631 12.78 31 0.2908 % 2,791.7
FixedReset Disc 5.85 % 8.45 % 86,893 11.21 56 -0.1171 % 2,142.7
Insurance Straight 6.64 % 6.75 % 55,460 12.81 18 -0.1514 % 2,710.3
FloatingReset 10.93 % 11.21 % 32,714 8.60 1 2.2418 % 2,420.7
FixedReset Prem 7.03 % 7.05 % 238,399 3.67 1 -0.0400 % 2,299.8
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 -0.1171 % 2,190.3
FixedReset Ins Non 6.41 % 8.05 % 72,686 11.48 10 -0.2977 % 2,307.9
Performance Highlights
Issue Index Change Notes
PWF.PR.T FixedReset Disc -6.74 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-08
Maturity Price : 17.58
Evaluated at bid price : 17.58
Bid-YTW : 8.89 %
BN.PF.A FixedReset Disc -2.64 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-08
Maturity Price : 19.89
Evaluated at bid price : 19.89
Bid-YTW : 8.66 %
MFC.PR.K FixedReset Ins Non -2.53 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-08
Maturity Price : 19.25
Evaluated at bid price : 19.25
Bid-YTW : 8.05 %
BIP.PR.E FixedReset Disc -2.31 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-08
Maturity Price : 20.27
Evaluated at bid price : 20.27
Bid-YTW : 8.53 %
SLF.PR.C Insurance Straight -2.29 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-08
Maturity Price : 17.05
Evaluated at bid price : 17.05
Bid-YTW : 6.63 %
BN.PR.T FixedReset Disc -1.79 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-08
Maturity Price : 13.75
Evaluated at bid price : 13.75
Bid-YTW : 10.06 %
BN.PR.X FixedReset Disc -1.73 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-08
Maturity Price : 14.22
Evaluated at bid price : 14.22
Bid-YTW : 9.56 %
BN.PR.R FixedReset Disc -1.45 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-08
Maturity Price : 13.55
Evaluated at bid price : 13.55
Bid-YTW : 10.23 %
GWO.PR.S Insurance Straight -1.28 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-08
Maturity Price : 19.25
Evaluated at bid price : 19.25
Bid-YTW : 6.93 %
BN.PR.M Perpetual-Discount 1.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-08
Maturity Price : 17.25
Evaluated at bid price : 17.25
Bid-YTW : 7.00 %
RY.PR.M FixedReset Disc 1.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-08
Maturity Price : 18.20
Evaluated at bid price : 18.20
Bid-YTW : 8.15 %
MFC.PR.B Insurance Straight 1.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-08
Maturity Price : 17.80
Evaluated at bid price : 17.80
Bid-YTW : 6.65 %
FTS.PR.K FixedReset Disc 1.49 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-08
Maturity Price : 17.00
Evaluated at bid price : 17.00
Bid-YTW : 8.78 %
POW.PR.C Perpetual-Discount 1.61 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-08
Maturity Price : 21.86
Evaluated at bid price : 22.10
Bid-YTW : 6.64 %
CU.PR.I FixedReset Disc 2.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-08
Maturity Price : 21.37
Evaluated at bid price : 21.37
Bid-YTW : 8.27 %
SLF.PR.J FloatingReset 2.24 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-08
Maturity Price : 15.05
Evaluated at bid price : 15.05
Bid-YTW : 11.21 %
Volume Highlights
Issue Index Shares
Traded		 Notes
FTS.PR.G FixedReset Disc 29,200 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-08
Maturity Price : 19.10
Evaluated at bid price : 19.10
Bid-YTW : 8.03 %
CM.PR.Q FixedReset Disc 21,300 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-08
Maturity Price : 17.73
Evaluated at bid price : 17.73
Bid-YTW : 8.64 %
FTS.PR.M FixedReset Disc 17,900 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-08
Maturity Price : 17.00
Evaluated at bid price : 17.00
Bid-YTW : 9.16 %
MFC.PR.Q FixedReset Ins Non 17,500 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-08
Maturity Price : 20.30
Evaluated at bid price : 20.30
Bid-YTW : 7.85 %
BN.PR.K Floater 12,300 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-08
Maturity Price : 11.50
Evaluated at bid price : 11.50
Bid-YTW : 11.24 %
BN.PF.F FixedReset Disc 12,100 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-08
Maturity Price : 16.22
Evaluated at bid price : 16.22
Bid-YTW : 10.16 %
There were 3 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
PWF.PR.T FixedReset Disc Quote: 17.58 – 18.84
Spot Rate : 1.2600
Average : 0.8043

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-08
Maturity Price : 17.58
Evaluated at bid price : 17.58
Bid-YTW : 8.89 %
BNS.PR.I FixedReset Disc Quote: 20.25 – 21.47
Spot Rate : 1.2200
Average : 0.7825

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-08
Maturity Price : 20.25
Evaluated at bid price : 20.25
Bid-YTW : 7.81 %
PVS.PR.H SplitShare Quote: 23.00 – 23.60
Spot Rate : 0.6000
Average : 0.3756

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2027-02-28
Maturity Price : 25.00
Evaluated at bid price : 23.00
Bid-YTW : 7.61 %
MFC.PR.K FixedReset Ins Non Quote: 19.25 – 19.80
Spot Rate : 0.5500
Average : 0.3439

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-08
Maturity Price : 19.25
Evaluated at bid price : 19.25
Bid-YTW : 8.05 %
BIP.PR.E FixedReset Disc Quote: 20.27 – 21.00
Spot Rate : 0.7300
Average : 0.5691

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-08
Maturity Price : 20.27
Evaluated at bid price : 20.27
Bid-YTW : 8.53 %
SLF.PR.C Insurance Straight Quote: 17.05 – 17.74
Spot Rate : 0.6900
Average : 0.5305

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-08
Maturity Price : 17.05
Evaluated at bid price : 17.05
Bid-YTW : 6.63 %
Market Action

August 4, 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 0.1730 % 2,236.9
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.1730 % 4,290.4
Floater 10.88 % 11.14 % 46,379 8.65 1 0.1730 % 2,472.6
OpRet 0.00 % 0.00 % 0 0.00 0 0.0738 % 3,346.5
SplitShare 5.04 % 7.74 % 44,327 2.36 7 0.0738 % 3,996.4
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0738 % 3,118.1
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 0.2282 % 2,552.8
Perpetual-Discount 6.67 % 6.83 % 47,361 12.76 28 0.2282 % 2,783.6
FixedReset Disc 5.82 % 8.58 % 88,146 11.04 64 -0.1683 % 2,145.2
Insurance Straight 6.63 % 6.74 % 56,153 12.83 19 0.6962 % 2,714.5
FloatingReset 11.65 % 11.38 % 33,221 8.50 2 -0.8160 % 2,367.6
FixedReset Prem 7.02 % 7.02 % 238,421 3.68 1 0.0000 % 2,300.8
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 -0.1683 % 2,192.8
FixedReset Ins Non 6.19 % 8.08 % 71,076 11.45 11 0.0360 % 2,314.8
Performance Highlights
Issue Index Change Notes
CU.PR.I FixedReset Disc -5.55 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-04
Maturity Price : 20.92
Evaluated at bid price : 20.92
Bid-YTW : 8.55 %
GWO.PR.N FixedReset Ins Non -2.29 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-04
Maturity Price : 12.37
Evaluated at bid price : 12.37
Bid-YTW : 9.29 %
BN.PR.X FixedReset Disc -2.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-04
Maturity Price : 14.47
Evaluated at bid price : 14.47
Bid-YTW : 9.54 %
BIP.PR.F FixedReset Disc -1.63 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-04
Maturity Price : 20.51
Evaluated at bid price : 20.51
Bid-YTW : 8.46 %
SLF.PR.J FloatingReset -1.54 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-04
Maturity Price : 14.72
Evaluated at bid price : 14.72
Bid-YTW : 11.38 %
PVS.PR.J SplitShare -1.34 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2028-02-29
Maturity Price : 25.00
Evaluated at bid price : 22.05
Bid-YTW : 7.74 %
BIP.PR.E FixedReset Disc -1.19 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-04
Maturity Price : 20.75
Evaluated at bid price : 20.75
Bid-YTW : 8.41 %
BN.PF.A FixedReset Disc -1.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-04
Maturity Price : 20.43
Evaluated at bid price : 20.43
Bid-YTW : 8.57 %
BN.PR.T FixedReset Disc -1.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-04
Maturity Price : 14.00
Evaluated at bid price : 14.00
Bid-YTW : 10.02 %
PWF.PR.G Perpetual-Discount 1.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-04
Maturity Price : 21.65
Evaluated at bid price : 21.90
Bid-YTW : 6.78 %
CU.PR.G Perpetual-Discount 1.19 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-04
Maturity Price : 16.95
Evaluated at bid price : 16.95
Bid-YTW : 6.65 %
GWO.PR.G Insurance Straight 1.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-04
Maturity Price : 19.41
Evaluated at bid price : 19.41
Bid-YTW : 6.80 %
GWO.PR.S Insurance Straight 1.25 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-04
Maturity Price : 19.50
Evaluated at bid price : 19.50
Bid-YTW : 6.84 %
PWF.PF.A Perpetual-Discount 1.52 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-04
Maturity Price : 16.75
Evaluated at bid price : 16.75
Bid-YTW : 6.78 %
BNS.PR.I FixedReset Disc 1.66 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-04
Maturity Price : 20.18
Evaluated at bid price : 20.18
Bid-YTW : 7.98 %
GWO.PR.M Insurance Straight 2.30 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-04
Maturity Price : 21.58
Evaluated at bid price : 21.84
Bid-YTW : 6.73 %
SLF.PR.C Insurance Straight 2.35 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-04
Maturity Price : 17.45
Evaluated at bid price : 17.45
Bid-YTW : 6.47 %
TRP.PR.C FixedReset Disc 3.29 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-04
Maturity Price : 11.00
Evaluated at bid price : 11.00
Bid-YTW : 10.89 %
CCS.PR.C Insurance Straight 3.67 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-04
Maturity Price : 18.95
Evaluated at bid price : 18.95
Bid-YTW : 6.70 %
Volume Highlights
Issue Index Shares
Traded		 Notes
BN.PF.F FixedReset Disc 32,936 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-04
Maturity Price : 16.30
Evaluated at bid price : 16.30
Bid-YTW : 10.27 %
FTS.PR.G FixedReset Disc 25,935 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-04
Maturity Price : 19.06
Evaluated at bid price : 19.06
Bid-YTW : 8.20 %
TRP.PR.B FixedReset Disc 24,000 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-04
Maturity Price : 10.55
Evaluated at bid price : 10.55
Bid-YTW : 11.19 %
BN.PF.B FixedReset Disc 23,337 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-04
Maturity Price : 17.10
Evaluated at bid price : 17.10
Bid-YTW : 9.62 %
TRP.PR.D FixedReset Disc 21,550 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-04
Maturity Price : 15.20
Evaluated at bid price : 15.20
Bid-YTW : 10.38 %
FTS.PR.K FixedReset Disc 20,075 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-04
Maturity Price : 16.75
Evaluated at bid price : 16.75
Bid-YTW : 9.08 %
There were 6 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: 20.92 – 22.32
Spot Rate : 1.4000
Average : 0.8583

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-04
Maturity Price : 20.92
Evaluated at bid price : 20.92
Bid-YTW : 8.55 %
POW.PR.C Perpetual-Discount Quote: 21.75 – 24.40
Spot Rate : 2.6500
Average : 2.1407

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-04
Maturity Price : 21.49
Evaluated at bid price : 21.75
Bid-YTW : 6.74 %
CU.PR.C FixedReset Disc Quote: 17.45 – 18.60
Spot Rate : 1.1500
Average : 0.7949

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-04
Maturity Price : 17.45
Evaluated at bid price : 17.45
Bid-YTW : 8.69 %
TRP.PR.F FloatingReset Quote: 14.45 – 15.15
Spot Rate : 0.7000
Average : 0.4064

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-04
Maturity Price : 14.45
Evaluated at bid price : 14.45
Bid-YTW : 12.53 %
RY.PR.M FixedReset Disc Quote: 18.00 – 19.01
Spot Rate : 1.0100
Average : 0.7692

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-04
Maturity Price : 18.00
Evaluated at bid price : 18.00
Bid-YTW : 8.36 %
PVS.PR.J SplitShare Quote: 22.05 – 23.00
Spot Rate : 0.9500
Average : 0.7517

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2028-02-29
Maturity Price : 25.00
Evaluated at bid price : 22.05
Bid-YTW : 7.74 %