Category: Market Action

Market Action

October 19, 2023

The Canadian preferred share market celebrated the 36th anniversary of the Crash of 1987 with a trifecta … TXPR, CPD and ZPR all set new 52-week lows.

Pundits are blaming the usual suspect:

U.S. and Canadian stocks ended solidly lower on Thursday, with shares of Tesla falling hard after its quarterly results and longer-term Treasury yields surging as Federal Reserve Chair Jerome Powell spoke about monetary policy and investors worried whether interest rates would stay higher for longer.
…
Treasury yields rose further and the benchmark U.S. 10-year note yield was at a 16-year high of almost 5%.
…
Powell said at the Economic Club in New York that U.S. central bankers were moving carefully on policy after aggressive rate hikes last year, but he added that the economy’s strength and continued tight labour markets could warrant further rate hikes.

The Dow Jones Industrial Average fell 250.91 points, or 0.75%, to 33,414.17, the S&P 500 lost 36.6 points, or 0.85%, to 4,278 and the Nasdaq Composite dropped 128.13 points, or 0.96%, to 13,186.18.

The rate-sensitive real estate sector dropped 2.4% and was the day’s worst-performing S&P 500 sector.

The Cboe Volatility index jumped to its highest close since March.

Data this week has pointed to strong consumer demand and a tight labour market. A U.S. Labor Department report on Thursday showed the number of Americans filing new claims for unemployment benefits fell to a nine-month low last week.

The labour market is showing strength even though the central bank has raised its benchmark overnight interest rate by 525 basis points since March 2022.

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 -0.5827 % 2,143.2
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.5827 % 4,110.6
Floater 11.36 % 11.57 % 52,469 8.41 2 -0.5827 % 2,369.0
OpRet 0.00 % 0.00 % 0 0.00 0 0.3507 % 3,278.8
SplitShare 5.10 % 8.13 % 42,100 1.90 7 0.3507 % 3,915.6
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.3507 % 3,055.1
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 -0.4514 % 2,420.8
Perpetual-Discount 7.09 % 7.24 % 43,258 12.28 31 -0.4514 % 2,639.7
FixedReset Disc 6.13 % 9.37 % 102,591 10.54 55 0.0170 % 2,084.5
Insurance Straight 6.94 % 7.12 % 60,557 12.39 16 -0.0598 % 2,591.1
FloatingReset 11.21 % 11.44 % 35,931 8.50 1 0.3378 % 2,388.5
FixedReset Prem 4.76 % 5.19 % 418,617 0.11 1 0.0401 % 2,299.2
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 0.0170 % 2,130.8
FixedReset Ins Non 6.31 % 9.30 % 64,682 10.77 14 0.0171 % 2,252.0
Performance Highlights
Issue Index Change Notes
SLF.PR.G FixedReset Ins Non -2.35 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-10-19
Maturity Price : 12.89
Evaluated at bid price : 12.89
Bid-YTW : 10.11 %
BMO.PR.S FixedReset Disc -1.80 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-10-19
Maturity Price : 17.99
Evaluated at bid price : 17.99
Bid-YTW : 9.22 %
RY.PR.H FixedReset Disc -1.34 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-10-19
Maturity Price : 17.66
Evaluated at bid price : 17.66
Bid-YTW : 9.19 %
GWO.PR.H Insurance Straight -1.29 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-10-19
Maturity Price : 16.84
Evaluated at bid price : 16.84
Bid-YTW : 7.30 %
BN.PR.M Perpetual-Discount -1.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-10-19
Maturity Price : 16.00
Evaluated at bid price : 16.00
Bid-YTW : 7.52 %
GWO.PR.N FixedReset Ins Non -1.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-10-19
Maturity Price : 12.15
Evaluated at bid price : 12.15
Bid-YTW : 10.00 %
PWF.PF.A Perpetual-Discount -1.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-10-19
Maturity Price : 15.61
Evaluated at bid price : 15.61
Bid-YTW : 7.25 %
POW.PR.C Perpetual-Discount -1.19 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-10-19
Maturity Price : 20.75
Evaluated at bid price : 20.75
Bid-YTW : 7.05 %
PWF.PR.L Perpetual-Discount -1.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-10-19
Maturity Price : 17.56
Evaluated at bid price : 17.56
Bid-YTW : 7.31 %
POW.PR.B Perpetual-Discount -1.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-10-19
Maturity Price : 18.57
Evaluated at bid price : 18.57
Bid-YTW : 7.27 %
PWF.PR.H Perpetual-Discount -1.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-10-19
Maturity Price : 19.80
Evaluated at bid price : 19.80
Bid-YTW : 7.31 %
IFC.PR.G FixedReset Ins Non 1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-10-19
Maturity Price : 19.45
Evaluated at bid price : 19.45
Bid-YTW : 8.54 %
BIK.PR.A FixedReset Disc 1.18 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-10-19
Maturity Price : 20.60
Evaluated at bid price : 20.60
Bid-YTW : 10.02 %
BN.PR.N Perpetual-Discount 1.39 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-10-19
Maturity Price : 16.02
Evaluated at bid price : 16.02
Bid-YTW : 7.51 %
TD.PF.A FixedReset Disc 1.72 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-10-19
Maturity Price : 17.70
Evaluated at bid price : 17.70
Bid-YTW : 8.98 %
PVS.PR.I SplitShare 2.16 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-10-31
Maturity Price : 25.00
Evaluated at bid price : 23.60
Bid-YTW : 8.13 %
PWF.PR.P FixedReset Disc 2.24 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-10-19
Maturity Price : 11.86
Evaluated at bid price : 11.86
Bid-YTW : 10.84 %
IFC.PR.C FixedReset Ins Non 3.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-10-19
Maturity Price : 16.45
Evaluated at bid price : 16.45
Bid-YTW : 9.43 %
Volume Highlights
Issue Index Shares
Traded		 Notes
CM.PR.P FixedReset Disc 107,501 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-10-19
Maturity Price : 16.29
Evaluated at bid price : 16.29
Bid-YTW : 9.60 %
CU.PR.D Perpetual-Discount 88,600 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-10-19
Maturity Price : 17.75
Evaluated at bid price : 17.75
Bid-YTW : 7.03 %
MFC.PR.C Insurance Straight 37,650 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-10-19
Maturity Price : 16.60
Evaluated at bid price : 16.60
Bid-YTW : 6.88 %
MFC.PR.J FixedReset Ins Non 28,347 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-10-19
Maturity Price : 19.35
Evaluated at bid price : 19.35
Bid-YTW : 8.74 %
CU.PR.E Perpetual-Discount 27,358 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-10-19
Maturity Price : 17.55
Evaluated at bid price : 17.55
Bid-YTW : 7.12 %
BN.PF.I FixedReset Disc 20,558 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-10-19
Maturity Price : 17.25
Evaluated at bid price : 17.25
Bid-YTW : 10.70 %
There were 17 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
BN.PF.A FixedReset Disc Quote: 18.45 – 20.04
Spot Rate : 1.5900
Average : 0.9622

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-10-19
Maturity Price : 18.45
Evaluated at bid price : 18.45
Bid-YTW : 9.66 %
PWF.PR.P FixedReset Disc Quote: 11.86 – 12.97
Spot Rate : 1.1100
Average : 0.7542

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-10-19
Maturity Price : 11.86
Evaluated at bid price : 11.86
Bid-YTW : 10.84 %
MFC.PR.Q FixedReset Ins Non Quote: 19.15 – 19.85
Spot Rate : 0.7000
Average : 0.4588

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-10-19
Maturity Price : 19.15
Evaluated at bid price : 19.15
Bid-YTW : 8.67 %
BN.PR.X FixedReset Disc Quote: 12.68 – 13.31
Spot Rate : 0.6300
Average : 0.4577

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-10-19
Maturity Price : 12.68
Evaluated at bid price : 12.68
Bid-YTW : 11.23 %
BN.PR.K Floater Quote: 11.07 – 11.79
Spot Rate : 0.7200
Average : 0.5754

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-10-19
Maturity Price : 11.07
Evaluated at bid price : 11.07
Bid-YTW : 11.61 %
GWO.PR.H Insurance Straight Quote: 16.84 – 17.25
Spot Rate : 0.4100
Average : 0.2849

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-10-19
Maturity Price : 16.84
Evaluated at bid price : 16.84
Bid-YTW : 7.30 %
Market Action

October 18, 2023

TXPR closed at 503.42, down 0.56% on the day and setting a new 52-week low. Volume today was 1.61-million, above the median of the past 21 trading days.

CPD closed at 10.03, down 0.60% on the day and setting a new 52-week low. Volume was 116,440, second-highest of the past 21 trading days.

ZPR closed at 8.42, down 0.71% on the day. Volume was 141,000, near the median of the past 21 trading days.

Five-year Canada yields were up to 4.37%.

I don’t know what a pundit might call this. Risk-off? Flight to safety? Response to rising yields? The last makes the least sense, so I suppose that gets the vote.

U.S. and Canadian stocks ended sharply lower on Wednesday with Treasury yields rising again and investors assessing the latest batch of quarterly corporate results and forecasts.

Mounting tensions in the Middle East stoked risk aversion. Safe-haven gold hit its highest in more than two months while the Cboe Volatility index, Wall Street’s fear gauge, rose. Dividend-rich sectors of the TSX were particularly hard hit, with industrials, real estate, financials and telecom sectors all down by about 2%.

The yield on U.S. 10-year notes rose 4.9 basis points to 4.896% after earlier in the day hitting 4.928%, the highest for the benchmark Treasury since July 2007. The Canada 10-year was up 3.4 basis points at 4.108%, moving closer to a 16-year high it touched earlier this month at 4.292%.

Yields edged higher after data showing U.S. single-family homebuilding rebounded in September, stoking the view that the Federal Reserve will keep interest rates higher for longer.

PerpetualDiscounts now yield 7.20%, equivalent to 9.36% interest at the standard equivalency factor of 1.3x. Long corporates yielded 5.68% on 2023-10-13 and since then the closing price has changed from 13.98 to 13.76, a decrease of 157bp in price, with a Duration of 11.98 (BMO doesn’t specify whether this is Macaulay or Modified Duration; I will assume Modified) which implies an increase in yield of about 13bp since 10/13 to 5.81%, so the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) has narrowed slightly (and perhaps spuriously) to 355bp from the 360bp reported October 11.

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 0.1796 % 2,155.7
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.1796 % 4,134.7
Floater 11.30 % 11.47 % 52,812 8.48 2 0.1796 % 2,382.8
OpRet 0.00 % 0.00 % 0 0.00 0 -0.3059 % 3,267.4
SplitShare 5.12 % 8.92 % 38,983 1.89 7 -0.3059 % 3,901.9
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.3059 % 3,044.4
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 -0.6312 % 2,431.8
Perpetual-Discount 7.06 % 7.20 % 42,738 12.33 31 -0.6312 % 2,651.7
FixedReset Disc 6.13 % 9.37 % 102,791 10.54 55 -0.3537 % 2,084.1
Insurance Straight 6.94 % 7.09 % 60,150 12.43 16 -0.6259 % 2,592.7
FloatingReset 11.25 % 11.47 % 36,299 8.48 1 -1.7264 % 2,380.5
FixedReset Prem 4.76 % 5.42 % 424,002 0.12 1 0.0000 % 2,298.2
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 -0.3537 % 2,130.4
FixedReset Ins Non 6.31 % 9.25 % 65,026 10.73 14 -0.6093 % 2,251.6
Performance Highlights
Issue Index Change Notes
IFC.PR.C FixedReset Ins Non -3.21 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-10-18
Maturity Price : 15.97
Evaluated at bid price : 15.97
Bid-YTW : 9.69 %
PWF.PR.P FixedReset Disc -2.93 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-10-18
Maturity Price : 11.60
Evaluated at bid price : 11.60
Bid-YTW : 11.06 %
BN.PR.N Perpetual-Discount -2.29 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-10-18
Maturity Price : 15.80
Evaluated at bid price : 15.80
Bid-YTW : 7.62 %
BIK.PR.A FixedReset Disc -2.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-10-18
Maturity Price : 20.36
Evaluated at bid price : 20.36
Bid-YTW : 10.13 %
PVS.PR.K SplitShare -1.94 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2029-05-31
Maturity Price : 25.00
Evaluated at bid price : 20.20
Bid-YTW : 9.05 %
BN.PF.H FixedReset Disc -1.85 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-10-18
Maturity Price : 18.60
Evaluated at bid price : 18.60
Bid-YTW : 10.53 %
GWO.PR.I Insurance Straight -1.83 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-10-18
Maturity Price : 16.10
Evaluated at bid price : 16.10
Bid-YTW : 7.08 %
MFC.PR.F FixedReset Ins Non -1.78 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-10-18
Maturity Price : 12.72
Evaluated at bid price : 12.72
Bid-YTW : 9.87 %
SLF.PR.J FloatingReset -1.73 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-10-18
Maturity Price : 14.80
Evaluated at bid price : 14.80
Bid-YTW : 11.47 %
PWF.PR.G Perpetual-Discount -1.68 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-10-18
Maturity Price : 20.50
Evaluated at bid price : 20.50
Bid-YTW : 7.24 %
MFC.PR.K FixedReset Ins Non -1.64 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-10-18
Maturity Price : 19.25
Evaluated at bid price : 19.25
Bid-YTW : 8.51 %
IFC.PR.K Perpetual-Discount -1.59 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-10-18
Maturity Price : 18.60
Evaluated at bid price : 18.60
Bid-YTW : 7.15 %
GWO.PR.G Insurance Straight -1.58 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-10-18
Maturity Price : 18.11
Evaluated at bid price : 18.11
Bid-YTW : 7.27 %
TD.PF.B FixedReset Disc -1.43 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-10-18
Maturity Price : 17.89
Evaluated at bid price : 17.89
Bid-YTW : 9.02 %
GWO.PR.H Insurance Straight -1.39 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-10-18
Maturity Price : 17.06
Evaluated at bid price : 17.06
Bid-YTW : 7.20 %
CU.PR.J Perpetual-Discount -1.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-10-18
Maturity Price : 16.90
Evaluated at bid price : 16.90
Bid-YTW : 7.16 %
BN.PF.E FixedReset Disc -1.19 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-10-18
Maturity Price : 14.08
Evaluated at bid price : 14.08
Bid-YTW : 11.41 %
GWO.PR.Y Insurance Straight -1.17 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-10-18
Maturity Price : 16.06
Evaluated at bid price : 16.06
Bid-YTW : 7.09 %
GWO.PR.R Insurance Straight -1.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-10-18
Maturity Price : 17.00
Evaluated at bid price : 17.00
Bid-YTW : 7.15 %
BN.PF.C Perpetual-Discount -1.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-10-18
Maturity Price : 16.33
Evaluated at bid price : 16.33
Bid-YTW : 7.53 %
TD.PF.A FixedReset Disc -1.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-10-18
Maturity Price : 17.40
Evaluated at bid price : 17.40
Bid-YTW : 9.13 %
Volume Highlights
Issue Index Shares
Traded		 Notes
TD.PF.K FixedReset Prem 145,379 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2023-11-30
Maturity Price : 25.00
Evaluated at bid price : 24.94
Bid-YTW : 5.42 %
CU.PR.C FixedReset Disc 76,483 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-10-18
Maturity Price : 16.73
Evaluated at bid price : 16.73
Bid-YTW : 9.54 %
PWF.PR.P FixedReset Disc 74,887 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-10-18
Maturity Price : 11.60
Evaluated at bid price : 11.60
Bid-YTW : 11.06 %
SLF.PR.G FixedReset Ins Non 64,800 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-10-18
Maturity Price : 13.20
Evaluated at bid price : 13.20
Bid-YTW : 9.88 %
RY.PR.S FixedReset Disc 51,088 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-10-18
Maturity Price : 20.31
Evaluated at bid price : 20.31
Bid-YTW : 8.33 %
BMO.PR.S FixedReset Disc 41,003 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-10-18
Maturity Price : 18.32
Evaluated at bid price : 18.32
Bid-YTW : 9.05 %
There were 16 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: 16.37 – 18.28
Spot Rate : 1.9100
Average : 1.6331

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-10-18
Maturity Price : 16.37
Evaluated at bid price : 16.37
Bid-YTW : 7.00 %
BN.PR.K Floater Quote: 11.11 – 11.79
Spot Rate : 0.6800
Average : 0.4168

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-10-18
Maturity Price : 11.11
Evaluated at bid price : 11.11
Bid-YTW : 11.57 %
BIK.PR.A FixedReset Disc Quote: 20.36 – 21.00
Spot Rate : 0.6400
Average : 0.4581

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-10-18
Maturity Price : 20.36
Evaluated at bid price : 20.36
Bid-YTW : 10.13 %
GWO.PR.Y Insurance Straight Quote: 16.06 – 16.70
Spot Rate : 0.6400
Average : 0.4661

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-10-18
Maturity Price : 16.06
Evaluated at bid price : 16.06
Bid-YTW : 7.09 %
TD.PF.C FixedReset Disc Quote: 16.70 – 17.20
Spot Rate : 0.5000
Average : 0.3338

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-10-18
Maturity Price : 16.70
Evaluated at bid price : 16.70
Bid-YTW : 9.46 %
BN.PF.F FixedReset Disc Quote: 16.45 – 17.00
Spot Rate : 0.5500
Average : 0.3849

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-10-18
Maturity Price : 16.45
Evaluated at bid price : 16.45
Bid-YTW : 10.66 %
Market Action

October 17, 2023

So on the one hand, this is very late and that makes me sad. On the other hand, I had an excellent dinner last night with a dear friend and that makes me happy. So call it a wash.

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 -0.9342 % 2,151.9
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.9342 % 4,127.3
Floater 11.32 % 11.52 % 54,873 8.45 2 -0.9342 % 2,378.6
OpRet 0.00 % 0.00 % 0 0.00 0 0.4956 % 3,277.4
SplitShare 5.10 % 8.63 % 40,446 1.90 7 0.4956 % 3,913.9
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.4956 % 3,053.8
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 0.0603 % 2,447.2
Perpetual-Discount 7.01 % 7.16 % 41,498 12.39 31 0.0603 % 2,668.6
FixedReset Disc 6.11 % 9.34 % 102,377 10.55 55 -0.0913 % 2,091.5
Insurance Straight 6.89 % 7.06 % 59,015 12.47 16 0.1225 % 2,609.0
FloatingReset 11.06 % 11.27 % 36,228 8.61 1 -0.1326 % 2,422.3
FixedReset Prem 4.76 % 5.30 % 391,600 0.12 1 0.0401 % 2,298.2
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 -0.0913 % 2,138.0
FixedReset Ins Non 6.27 % 9.17 % 65,149 10.83 14 -0.3905 % 2,265.4
Performance Highlights
Issue Index Change Notes
PWF.PR.P FixedReset Disc -3.24 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-10-17
Maturity Price : 11.95
Evaluated at bid price : 11.95
Bid-YTW : 10.76 %
MFC.PR.F FixedReset Ins Non -3.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-10-17
Maturity Price : 12.95
Evaluated at bid price : 12.95
Bid-YTW : 9.71 %
GWO.PR.N FixedReset Ins Non -1.98 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-10-17
Maturity Price : 12.40
Evaluated at bid price : 12.40
Bid-YTW : 9.81 %
RY.PR.J FixedReset Disc -1.81 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-10-17
Maturity Price : 17.35
Evaluated at bid price : 17.35
Bid-YTW : 9.58 %
RY.PR.S FixedReset Disc -1.80 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-10-17
Maturity Price : 20.13
Evaluated at bid price : 20.13
Bid-YTW : 8.40 %
MFC.PR.I FixedReset Ins Non -1.75 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-10-17
Maturity Price : 19.06
Evaluated at bid price : 19.06
Bid-YTW : 9.06 %
BN.PR.X FixedReset Disc -1.68 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-10-17
Maturity Price : 12.85
Evaluated at bid price : 12.85
Bid-YTW : 11.08 %
RY.PR.M FixedReset Disc -1.61 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-10-17
Maturity Price : 16.45
Evaluated at bid price : 16.45
Bid-YTW : 9.64 %
BN.PR.K Floater -1.24 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-10-17
Maturity Price : 11.12
Evaluated at bid price : 11.12
Bid-YTW : 11.55 %
BN.PR.R FixedReset Disc -1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-10-17
Maturity Price : 12.67
Evaluated at bid price : 12.67
Bid-YTW : 11.52 %
RY.PR.H FixedReset Disc 1.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-10-17
Maturity Price : 18.00
Evaluated at bid price : 18.00
Bid-YTW : 9.01 %
SLF.PR.D Insurance Straight 1.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-10-17
Maturity Price : 17.10
Evaluated at bid price : 17.10
Bid-YTW : 6.58 %
BN.PF.E FixedReset Disc 1.42 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-10-17
Maturity Price : 14.25
Evaluated at bid price : 14.25
Bid-YTW : 11.28 %
FTS.PR.F Perpetual-Discount 1.60 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-10-17
Maturity Price : 19.05
Evaluated at bid price : 19.05
Bid-YTW : 6.54 %
SLF.PR.E Insurance Straight 2.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-10-17
Maturity Price : 17.20
Evaluated at bid price : 17.20
Bid-YTW : 6.62 %
BMO.PR.F FixedReset Disc 2.35 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-10-17
Maturity Price : 23.29
Evaluated at bid price : 24.00
Bid-YTW : 8.14 %
PVS.PR.J SplitShare 2.56 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2028-02-29
Maturity Price : 25.00
Evaluated at bid price : 21.20
Bid-YTW : 8.85 %
Volume Highlights
Issue Index Shares
Traded		 Notes
MFC.PR.L FixedReset Ins Non 137,301 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-10-17
Maturity Price : 17.95
Evaluated at bid price : 17.95
Bid-YTW : 8.95 %
BN.PF.E FixedReset Disc 122,002 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-10-17
Maturity Price : 14.25
Evaluated at bid price : 14.25
Bid-YTW : 11.28 %
CM.PR.Q FixedReset Disc 104,901 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-10-17
Maturity Price : 17.31
Evaluated at bid price : 17.31
Bid-YTW : 9.37 %
IFC.PR.A FixedReset Ins Non 71,815 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-10-17
Maturity Price : 15.50
Evaluated at bid price : 15.50
Bid-YTW : 9.17 %
IFC.PR.C FixedReset Ins Non 49,322 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-10-17
Maturity Price : 16.50
Evaluated at bid price : 16.50
Bid-YTW : 9.40 %
PWF.PF.A Perpetual-Discount 34,301 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-10-17
Maturity Price : 15.80
Evaluated at bid price : 15.80
Bid-YTW : 7.16 %
There were 15 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: 16.49 – 18.28
Spot Rate : 1.7900
Average : 1.3295

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-10-17
Maturity Price : 16.49
Evaluated at bid price : 16.49
Bid-YTW : 6.95 %
MFC.PR.Q FixedReset Ins Non Quote: 19.30 – 19.81
Spot Rate : 0.5100
Average : 0.3744

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-10-17
Maturity Price : 19.30
Evaluated at bid price : 19.30
Bid-YTW : 8.59 %
BNS.PR.I FixedReset Disc Quote: 21.65 – 22.05
Spot Rate : 0.4000
Average : 0.2735

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-10-17
Maturity Price : 21.37
Evaluated at bid price : 21.65
Bid-YTW : 7.78 %
RY.PR.O Perpetual-Discount Quote: 20.30 – 20.93
Spot Rate : 0.6300
Average : 0.5166

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-10-17
Maturity Price : 20.30
Evaluated at bid price : 20.30
Bid-YTW : 6.14 %
FTS.PR.J Perpetual-Discount Quote: 18.03 – 18.40
Spot Rate : 0.3700
Average : 0.2614

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-10-17
Maturity Price : 18.03
Evaluated at bid price : 18.03
Bid-YTW : 6.71 %
RY.PR.S FixedReset Disc Quote: 20.13 – 20.50
Spot Rate : 0.3700
Average : 0.2661

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-10-17
Maturity Price : 20.13
Evaluated at bid price : 20.13
Bid-YTW : 8.40 %
Market Action

October 16, 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 0.0890 % 2,172.2
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.0890 % 4,166.2
Floater 11.21 % 11.40 % 29,996 8.53 2 0.0890 % 2,401.0
OpRet 0.00 % 0.00 % 0 0.00 0 -0.8460 % 3,261.2
SplitShare 5.13 % 8.77 % 40,472 1.90 7 -0.8460 % 3,894.6
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.8460 % 3,038.7
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 -0.3024 % 2,445.7
Perpetual-Discount 7.02 % 7.15 % 41,862 12.41 31 -0.3024 % 2,666.9
FixedReset Disc 6.10 % 9.32 % 101,354 10.47 55 0.0507 % 2,093.4
Insurance Straight 6.90 % 7.05 % 58,421 12.49 16 -0.0665 % 2,605.8
FloatingReset 11.04 % 11.25 % 36,557 8.63 1 1.2081 % 2,425.5
FixedReset Prem 4.76 % 5.51 % 405,548 0.12 1 0.0000 % 2,297.3
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 0.0507 % 2,139.9
FixedReset Ins Non 6.25 % 9.12 % 60,982 10.94 14 -0.0170 % 2,274.3
Performance Highlights
Issue Index Change Notes
PVS.PR.J SplitShare -2.50 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2028-02-29
Maturity Price : 25.00
Evaluated at bid price : 20.67
Bid-YTW : 9.52 %
PVS.PR.H SplitShare -2.02 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2027-02-28
Maturity Price : 25.00
Evaluated at bid price : 21.85
Bid-YTW : 9.38 %
SLF.PR.G FixedReset Ins Non -1.71 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-10-16
Maturity Price : 13.22
Evaluated at bid price : 13.22
Bid-YTW : 9.86 %
BN.PR.Z FixedReset Disc 1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-10-16
Maturity Price : 16.83
Evaluated at bid price : 16.83
Bid-YTW : 10.30 %
SLF.PR.J FloatingReset 1.21 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-10-16
Maturity Price : 15.08
Evaluated at bid price : 15.08
Bid-YTW : 11.25 %
BN.PR.X FixedReset Disc 1.32 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-10-16
Maturity Price : 13.07
Evaluated at bid price : 13.07
Bid-YTW : 10.90 %
BN.PF.B FixedReset Disc 1.62 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-10-16
Maturity Price : 16.96
Evaluated at bid price : 16.96
Bid-YTW : 10.16 %
Volume Highlights
Issue Index Shares
Traded		 Notes
GWO.PR.N FixedReset Ins Non 343,884 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-10-16
Maturity Price : 12.65
Evaluated at bid price : 12.65
Bid-YTW : 9.63 %
FTS.PR.M FixedReset Disc 187,689 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-10-16
Maturity Price : 16.64
Evaluated at bid price : 16.64
Bid-YTW : 9.97 %
SLF.PR.J FloatingReset 169,000 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-10-16
Maturity Price : 15.08
Evaluated at bid price : 15.08
Bid-YTW : 11.25 %
BN.PF.G FixedReset Disc 123,756 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-10-16
Maturity Price : 14.55
Evaluated at bid price : 14.55
Bid-YTW : 11.38 %
CM.PR.O FixedReset Disc 67,796 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-10-16
Maturity Price : 17.78
Evaluated at bid price : 17.78
Bid-YTW : 9.05 %
MFC.PR.C Insurance Straight 42,500 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-10-16
Maturity Price : 16.65
Evaluated at bid price : 16.65
Bid-YTW : 6.85 %
There were 11 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
BN.PF.A FixedReset Disc Quote: 18.50 – 20.04
Spot Rate : 1.5400
Average : 0.8531

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-10-16
Maturity Price : 18.50
Evaluated at bid price : 18.50
Bid-YTW : 9.62 %
PWF.PR.Z Perpetual-Discount Quote: 18.00 – 19.72
Spot Rate : 1.7200
Average : 1.0557

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-10-16
Maturity Price : 18.00
Evaluated at bid price : 18.00
Bid-YTW : 7.19 %
CU.PR.I FixedReset Disc Quote: 21.20 – 23.32
Spot Rate : 2.1200
Average : 1.6962

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-10-16
Maturity Price : 21.20
Evaluated at bid price : 21.20
Bid-YTW : 8.88 %
BN.PF.G FixedReset Disc Quote: 14.55 – 15.45
Spot Rate : 0.9000
Average : 0.5719

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-10-16
Maturity Price : 14.55
Evaluated at bid price : 14.55
Bid-YTW : 11.38 %
SLF.PR.G FixedReset Ins Non Quote: 13.22 – 14.00
Spot Rate : 0.7800
Average : 0.5988

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-10-16
Maturity Price : 13.22
Evaluated at bid price : 13.22
Bid-YTW : 9.86 %
PWF.PR.E Perpetual-Discount Quote: 19.20 – 19.88
Spot Rate : 0.6800
Average : 0.5247

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-10-16
Maturity Price : 19.20
Evaluated at bid price : 19.20
Bid-YTW : 7.20 %
Market Action

October 13, 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 -0.1334 % 2,170.2
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.1334 % 4,162.5
Floater 11.22 % 11.39 % 55,959 8.54 2 -0.1334 % 2,398.9
OpRet 0.00 % 0.00 % 0 0.00 0 -0.0249 % 3,289.0
SplitShare 5.09 % 8.66 % 38,012 1.91 7 -0.0249 % 3,927.8
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.0249 % 3,064.6
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 0.5388 % 2,453.1
Perpetual-Discount 7.00 % 7.13 % 43,282 12.44 31 0.5388 % 2,675.0
FixedReset Disc 6.10 % 9.28 % 100,844 10.55 56 -0.0664 % 2,092.4
Insurance Straight 6.90 % 7.04 % 60,201 12.51 16 -0.0385 % 2,607.5
FloatingReset 11.17 % 11.38 % 33,828 8.55 1 -0.8649 % 2,396.6
FixedReset Prem 4.76 % 5.16 % 420,300 0.13 1 0.0000 % 2,297.3
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 -0.0664 % 2,138.8
FixedReset Ins Non 6.34 % 8.96 % 63,253 10.91 13 -0.2321 % 2,274.7
Performance Highlights
Issue Index Change Notes
GWO.PR.N FixedReset Ins Non -2.30 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-10-13
Maturity Price : 12.75
Evaluated at bid price : 12.75
Bid-YTW : 9.55 %
PWF.PR.P FixedReset Disc -1.61 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-10-13
Maturity Price : 12.25
Evaluated at bid price : 12.25
Bid-YTW : 10.51 %
SLF.PR.G FixedReset Ins Non -1.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-10-13
Maturity Price : 13.45
Evaluated at bid price : 13.45
Bid-YTW : 9.70 %
BMO.PR.F FixedReset Disc -1.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-10-13
Maturity Price : 22.90
Evaluated at bid price : 23.60
Bid-YTW : 8.27 %
GWO.PR.I Insurance Straight -1.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-10-13
Maturity Price : 16.28
Evaluated at bid price : 16.28
Bid-YTW : 6.99 %
POW.PR.B Perpetual-Discount 1.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-10-13
Maturity Price : 19.01
Evaluated at bid price : 19.01
Bid-YTW : 7.09 %
POW.PR.G Perpetual-Discount 1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-10-13
Maturity Price : 19.75
Evaluated at bid price : 19.75
Bid-YTW : 7.15 %
IFC.PR.A FixedReset Ins Non 1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-10-13
Maturity Price : 15.53
Evaluated at bid price : 15.53
Bid-YTW : 9.15 %
POW.PR.A Perpetual-Discount 1.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-10-13
Maturity Price : 20.21
Evaluated at bid price : 20.21
Bid-YTW : 6.98 %
PWF.PR.Z Perpetual-Discount 1.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-10-13
Maturity Price : 18.11
Evaluated at bid price : 18.11
Bid-YTW : 7.14 %
TD.PF.A FixedReset Disc 1.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-10-13
Maturity Price : 17.74
Evaluated at bid price : 17.74
Bid-YTW : 8.95 %
BIP.PR.E FixedReset Disc 1.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-10-13
Maturity Price : 18.95
Evaluated at bid price : 18.95
Bid-YTW : 9.43 %
CM.PR.Q FixedReset Disc 1.76 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-10-13
Maturity Price : 17.30
Evaluated at bid price : 17.30
Bid-YTW : 9.37 %
CU.PR.D Perpetual-Discount 2.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-10-13
Maturity Price : 17.71
Evaluated at bid price : 17.71
Bid-YTW : 7.04 %
Volume Highlights
Issue Index Shares
Traded		 Notes
MFC.PR.F FixedReset Ins Non 336,181 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-10-13
Maturity Price : 13.26
Evaluated at bid price : 13.26
Bid-YTW : 9.49 %
TD.PF.B FixedReset Disc 73,810 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-10-13
Maturity Price : 18.17
Evaluated at bid price : 18.17
Bid-YTW : 8.87 %
PWF.PR.T FixedReset Disc 64,219 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-10-13
Maturity Price : 18.69
Evaluated at bid price : 18.69
Bid-YTW : 8.93 %
MFC.PR.J FixedReset Ins Non 50,403 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-10-13
Maturity Price : 19.46
Evaluated at bid price : 19.46
Bid-YTW : 8.68 %
MFC.PR.L FixedReset Ins Non 42,258 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-10-13
Maturity Price : 17.90
Evaluated at bid price : 17.90
Bid-YTW : 8.96 %
CM.PR.T FixedReset Disc 38,284 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-10-13
Maturity Price : 22.22
Evaluated at bid price : 22.95
Bid-YTW : 8.17 %
There were 6 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
POW.PR.B Perpetual-Discount Quote: 19.01 – 23.00
Spot Rate : 3.9900
Average : 2.1680

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-10-13
Maturity Price : 19.01
Evaluated at bid price : 19.01
Bid-YTW : 7.09 %
CU.PR.I FixedReset Disc Quote: 21.20 – 23.32
Spot Rate : 2.1200
Average : 1.2315

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-10-13
Maturity Price : 21.20
Evaluated at bid price : 21.20
Bid-YTW : 8.87 %
BN.PR.X FixedReset Disc Quote: 12.90 – 14.00
Spot Rate : 1.1000
Average : 0.8114

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-10-13
Maturity Price : 12.90
Evaluated at bid price : 12.90
Bid-YTW : 11.03 %
GWO.PR.N FixedReset Ins Non Quote: 12.75 – 13.64
Spot Rate : 0.8900
Average : 0.6545

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-10-13
Maturity Price : 12.75
Evaluated at bid price : 12.75
Bid-YTW : 9.55 %
MFC.PR.Q FixedReset Ins Non Quote: 19.25 – 19.85
Spot Rate : 0.6000
Average : 0.3744

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-10-13
Maturity Price : 19.25
Evaluated at bid price : 19.25
Bid-YTW : 8.61 %
CU.PR.F Perpetual-Discount Quote: 16.41 – 18.28
Spot Rate : 1.8700
Average : 1.6630

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-10-13
Maturity Price : 16.41
Evaluated at bid price : 16.41
Bid-YTW : 6.98 %
Market Action

October 12, 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 0.2675 % 2,173.1
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.2675 % 4,168.0
Floater 11.20 % 11.39 % 58,235 8.55 2 0.2675 % 2,402.1
OpRet 0.00 % 0.00 % 0 0.00 0 -0.0559 % 3,289.9
SplitShare 5.08 % 8.65 % 39,598 1.91 7 -0.0559 % 3,928.8
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.0559 % 3,065.4
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 0.0053 % 2,440.0
Perpetual-Discount 7.04 % 7.16 % 41,742 12.39 31 0.0053 % 2,660.7
FixedReset Disc 6.10 % 9.21 % 101,739 10.65 56 0.0264 % 2,093.8
Insurance Straight 6.89 % 7.03 % 60,607 12.52 16 0.4391 % 2,608.5
FloatingReset 11.08 % 11.27 % 34,089 8.62 1 0.0666 % 2,417.5
FixedReset Prem 4.76 % 5.06 % 436,290 0.13 1 0.0401 % 2,297.3
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 0.0264 % 2,140.3
FixedReset Ins Non 6.32 % 8.89 % 62,706 10.96 13 0.2830 % 2,280.0
Performance Highlights
Issue Index Change Notes
CU.PR.D Perpetual-Discount -1.92 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-10-12
Maturity Price : 17.36
Evaluated at bid price : 17.36
Bid-YTW : 7.18 %
BIK.PR.A FixedReset Disc -1.89 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-10-12
Maturity Price : 20.80
Evaluated at bid price : 20.80
Bid-YTW : 9.84 %
CM.PR.Q FixedReset Disc -1.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-10-12
Maturity Price : 17.00
Evaluated at bid price : 17.00
Bid-YTW : 9.46 %
BN.PR.X FixedReset Disc 1.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-10-12
Maturity Price : 12.95
Evaluated at bid price : 12.95
Bid-YTW : 10.92 %
IFC.PR.C FixedReset Disc 1.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-10-12
Maturity Price : 16.40
Evaluated at bid price : 16.40
Bid-YTW : 9.38 %
GWO.PR.Y Insurance Straight 1.85 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-10-12
Maturity Price : 16.50
Evaluated at bid price : 16.50
Bid-YTW : 6.89 %
POW.PR.C Perpetual-Discount 1.94 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-10-12
Maturity Price : 21.00
Evaluated at bid price : 21.00
Bid-YTW : 6.96 %
PWF.PR.P FixedReset Disc 2.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-10-12
Maturity Price : 12.45
Evaluated at bid price : 12.45
Bid-YTW : 10.28 %
TD.PF.I FixedReset Disc 2.26 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-10-12
Maturity Price : 21.82
Evaluated at bid price : 22.20
Bid-YTW : 7.87 %
GWO.PR.N FixedReset Ins Non 2.27 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-10-12
Maturity Price : 13.05
Evaluated at bid price : 13.05
Bid-YTW : 9.28 %
SLF.PR.G FixedReset Ins Non 3.42 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-10-12
Maturity Price : 13.60
Evaluated at bid price : 13.60
Bid-YTW : 9.52 %
SLF.PR.E Insurance Straight 4.26 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-10-12
Maturity Price : 16.89
Evaluated at bid price : 16.89
Bid-YTW : 6.73 %
Volume Highlights
Issue Index Shares
Traded		 Notes
BMO.PR.T FixedReset Disc 53,000 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-10-12
Maturity Price : 17.30
Evaluated at bid price : 17.30
Bid-YTW : 9.26 %
TD.PF.E FixedReset Disc 38,902 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-10-12
Maturity Price : 17.45
Evaluated at bid price : 17.45
Bid-YTW : 9.34 %
BNS.PR.I FixedReset Disc 32,835 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-10-12
Maturity Price : 21.56
Evaluated at bid price : 21.90
Bid-YTW : 7.62 %
MFC.PR.F FixedReset Ins Non 15,500 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-10-12
Maturity Price : 13.31
Evaluated at bid price : 13.31
Bid-YTW : 9.39 %
NA.PR.C FixedReset Disc 15,200 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2027-11-15
Maturity Price : 25.00
Evaluated at bid price : 24.40
Bid-YTW : 7.60 %
CM.PR.Q FixedReset Disc 13,986 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-10-12
Maturity Price : 17.00
Evaluated at bid price : 17.00
Bid-YTW : 9.46 %
There were 3 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: 16.50 – 18.28
Spot Rate : 1.7800
Average : 1.4360

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-10-12
Maturity Price : 16.50
Evaluated at bid price : 16.50
Bid-YTW : 6.94 %
BN.PR.N Perpetual-Discount Quote: 16.22 – 16.99
Spot Rate : 0.7700
Average : 0.4982

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-10-12
Maturity Price : 16.22
Evaluated at bid price : 16.22
Bid-YTW : 7.41 %
TD.PF.E FixedReset Disc Quote: 17.45 – 17.90
Spot Rate : 0.4500
Average : 0.2899

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-10-12
Maturity Price : 17.45
Evaluated at bid price : 17.45
Bid-YTW : 9.34 %
RY.PR.Z FixedReset Disc Quote: 18.10 – 18.52
Spot Rate : 0.4200
Average : 0.2602

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-10-12
Maturity Price : 18.10
Evaluated at bid price : 18.10
Bid-YTW : 8.91 %
CM.PR.Q FixedReset Disc Quote: 17.00 – 17.65
Spot Rate : 0.6500
Average : 0.5264

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-10-12
Maturity Price : 17.00
Evaluated at bid price : 17.00
Bid-YTW : 9.46 %
CU.PR.D Perpetual-Discount Quote: 17.36 – 17.75
Spot Rate : 0.3900
Average : 0.2763

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-10-12
Maturity Price : 17.36
Evaluated at bid price : 17.36
Bid-YTW : 7.18 %
Market Action

October 11, 2023

PerpetualDiscounts now yield 7.14%, equivalent to 9.28% interest at the standard equivalency factor of 1.3x. Long corporates yielded 5.74% on 2023-9-30 (sic) and since then (by which I think they meant 2023-9-29) the closing price has changed from 13.93 to 14.01, an increase of 57bp in price, with a Duration of 11.91 (BMO doesn’t specify whether this is Macaulay or Modified Duration; I will assume Modified) which implies a decrease in yield of about 5bp since 9/29 [?] to 5.69%, so the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) has widened to 360bp from the 340bp reported October 4.

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 -0.2224 % 2,167.3
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.2224 % 4,156.9
Floater 11.23 % 11.39 % 58,954 8.55 2 -0.2224 % 2,395.7
OpRet 0.00 % 0.00 % 0 0.00 0 -0.0931 % 3,291.7
SplitShare 5.08 % 8.61 % 39,320 1.92 7 -0.0931 % 3,931.0
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.0931 % 3,067.1
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 0.1086 % 2,439.9
Perpetual-Discount 7.04 % 7.14 % 43,254 12.44 31 0.1086 % 2,660.6
FixedReset Disc 6.10 % 9.16 % 103,192 10.65 56 -0.0752 % 2,093.2
Insurance Straight 6.92 % 7.03 % 61,588 12.52 16 -0.1368 % 2,597.1
FloatingReset 11.09 % 11.28 % 34,285 8.62 1 1.4865 % 2,415.9
FixedReset Prem 4.77 % 5.25 % 451,574 0.14 1 0.0401 % 2,296.4
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 -0.0752 % 2,139.7
FixedReset Ins Non 6.33 % 8.86 % 64,969 10.95 13 0.0091 % 2,273.5
Performance Highlights
Issue Index Change Notes
SLF.PR.E Insurance Straight -4.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-10-11
Maturity Price : 16.20
Evaluated at bid price : 16.20
Bid-YTW : 7.02 %
TD.PF.I FixedReset Disc -3.73 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-10-11
Maturity Price : 21.39
Evaluated at bid price : 21.71
Bid-YTW : 8.05 %
FTS.PR.G FixedReset Disc -2.47 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-10-11
Maturity Price : 18.53
Evaluated at bid price : 18.53
Bid-YTW : 8.63 %
BIP.PR.F FixedReset Disc -1.99 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-10-11
Maturity Price : 18.76
Evaluated at bid price : 18.76
Bid-YTW : 9.59 %
POW.PR.C Perpetual-Discount -1.90 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-10-11
Maturity Price : 20.60
Evaluated at bid price : 20.60
Bid-YTW : 7.09 %
GWO.PR.Y Insurance Straight -1.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-10-11
Maturity Price : 16.20
Evaluated at bid price : 16.20
Bid-YTW : 7.02 %
IFC.PR.E Insurance Straight -1.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-10-11
Maturity Price : 18.69
Evaluated at bid price : 18.69
Bid-YTW : 7.03 %
ELF.PR.H Perpetual-Discount 1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-10-11
Maturity Price : 19.45
Evaluated at bid price : 19.45
Bid-YTW : 7.12 %
BN.PR.M Perpetual-Discount 1.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-10-11
Maturity Price : 16.20
Evaluated at bid price : 16.20
Bid-YTW : 7.42 %
BN.PF.B FixedReset Disc 1.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-10-11
Maturity Price : 16.69
Evaluated at bid price : 16.69
Bid-YTW : 10.24 %
BN.PF.D Perpetual-Discount 1.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-10-11
Maturity Price : 16.65
Evaluated at bid price : 16.65
Bid-YTW : 7.44 %
GWO.PR.M Insurance Straight 1.31 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-10-11
Maturity Price : 20.87
Evaluated at bid price : 20.87
Bid-YTW : 7.03 %
BN.PF.H FixedReset Disc 1.34 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-10-11
Maturity Price : 18.90
Evaluated at bid price : 18.90
Bid-YTW : 10.31 %
SLF.PR.J FloatingReset 1.49 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-10-11
Maturity Price : 15.02
Evaluated at bid price : 15.02
Bid-YTW : 11.28 %
BIK.PR.A FixedReset Disc 1.97 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-10-11
Maturity Price : 21.20
Evaluated at bid price : 21.20
Bid-YTW : 9.65 %
IFC.PR.C FixedReset Disc 3.57 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-10-11
Maturity Price : 16.23
Evaluated at bid price : 16.23
Bid-YTW : 9.47 %
Volume Highlights
Issue Index Shares
Traded		 Notes
TD.PF.K FixedReset Prem 221,700 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2023-11-30
Maturity Price : 25.00
Evaluated at bid price : 24.92
Bid-YTW : 5.25 %
BMO.PR.Y FixedReset Disc 53,100 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-10-11
Maturity Price : 17.20
Evaluated at bid price : 17.20
Bid-YTW : 9.40 %
TD.PF.B FixedReset Disc 42,499 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-10-11
Maturity Price : 18.21
Evaluated at bid price : 18.21
Bid-YTW : 8.78 %
TD.PF.C FixedReset Disc 32,974 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-10-11
Maturity Price : 17.09
Evaluated at bid price : 17.09
Bid-YTW : 9.16 %
CM.PR.Q FixedReset Disc 19,695 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-10-11
Maturity Price : 17.18
Evaluated at bid price : 17.18
Bid-YTW : 9.37 %
RY.PR.H FixedReset Disc 18,193 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-10-11
Maturity Price : 17.95
Evaluated at bid price : 17.95
Bid-YTW : 8.96 %
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: 13.25 – 23.80
Spot Rate : 10.5500
Average : 5.7581

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-10-11
Maturity Price : 13.25
Evaluated at bid price : 13.25
Bid-YTW : 9.43 %
CU.PR.F Perpetual-Discount Quote: 16.43 – 18.28
Spot Rate : 1.8500
Average : 1.0588

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-10-11
Maturity Price : 16.43
Evaluated at bid price : 16.43
Bid-YTW : 6.97 %
MFC.PR.I FixedReset Ins Non Quote: 19.50 – 20.76
Spot Rate : 1.2600
Average : 0.9092

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-10-11
Maturity Price : 19.50
Evaluated at bid price : 19.50
Bid-YTW : 8.80 %
SLF.PR.E Insurance Straight Quote: 16.20 – 17.16
Spot Rate : 0.9600
Average : 0.6317

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-10-11
Maturity Price : 16.20
Evaluated at bid price : 16.20
Bid-YTW : 7.02 %
GWO.PR.I Insurance Straight Quote: 16.35 – 17.80
Spot Rate : 1.4500
Average : 1.1951

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-10-11
Maturity Price : 16.35
Evaluated at bid price : 16.35
Bid-YTW : 6.96 %
RY.PR.O Perpetual-Discount Quote: 20.40 – 21.05
Spot Rate : 0.6500
Average : 0.4207

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-10-11
Maturity Price : 20.40
Evaluated at bid price : 20.40
Bid-YTW : 6.11 %
Market Action

October 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 0.7620 % 2,172.2
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.7620 % 4,166.2
Floater 11.21 % 11.34 % 60,981 8.58 2 0.7620 % 2,401.0
OpRet 0.00 % 0.00 % 0 0.00 0 0.0621 % 3,294.8
SplitShare 5.08 % 8.46 % 39,031 1.92 7 0.0621 % 3,934.7
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0621 % 3,070.0
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 0.2767 % 2,437.2
Perpetual-Discount 7.04 % 7.17 % 43,043 12.40 31 0.2767 % 2,657.7
FixedReset Disc 6.09 % 9.17 % 102,824 10.65 56 0.2113 % 2,094.8
Insurance Straight 6.91 % 7.04 % 62,156 12.50 16 0.2391 % 2,600.7
FloatingReset 11.25 % 11.44 % 35,677 8.52 1 1.3699 % 2,380.5
FixedReset Prem 4.77 % 5.44 % 416,886 0.14 1 0.0000 % 2,295.5
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 0.2113 % 2,141.3
FixedReset Ins Non 6.34 % 8.84 % 65,504 11.01 13 0.5554 % 2,273.3
Performance Highlights
Issue Index Change Notes
IFC.PR.C FixedReset Disc -3.63 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-10-10
Maturity Price : 15.67
Evaluated at bid price : 15.67
Bid-YTW : 9.78 %
PWF.PR.H Perpetual-Discount -1.38 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-10-10
Maturity Price : 20.00
Evaluated at bid price : 20.00
Bid-YTW : 7.22 %
SLF.PR.G FixedReset Ins Non -1.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-10-10
Maturity Price : 13.05
Evaluated at bid price : 13.05
Bid-YTW : 9.89 %
BIP.PR.E FixedReset Disc -1.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-10-10
Maturity Price : 18.67
Evaluated at bid price : 18.67
Bid-YTW : 9.52 %
BN.PF.J FixedReset Disc -1.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-10-10
Maturity Price : 18.00
Evaluated at bid price : 18.00
Bid-YTW : 9.77 %
CM.PR.T FixedReset Disc -1.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-10-10
Maturity Price : 22.17
Evaluated at bid price : 22.85
Bid-YTW : 8.15 %
PWF.PR.G Perpetual-Discount -1.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-10-10
Maturity Price : 20.71
Evaluated at bid price : 20.71
Bid-YTW : 7.15 %
BN.PF.B FixedReset Disc 1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-10-10
Maturity Price : 16.50
Evaluated at bid price : 16.50
Bid-YTW : 10.35 %
FTS.PR.K FixedReset Disc 1.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-10-10
Maturity Price : 17.15
Evaluated at bid price : 17.15
Bid-YTW : 9.26 %
POW.PR.B Perpetual-Discount 1.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-10-10
Maturity Price : 18.90
Evaluated at bid price : 18.90
Bid-YTW : 7.13 %
BN.PR.N Perpetual-Discount 1.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-10-10
Maturity Price : 15.95
Evaluated at bid price : 15.95
Bid-YTW : 7.53 %
MFC.PR.L FixedReset Ins Non 1.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-10-10
Maturity Price : 18.00
Evaluated at bid price : 18.00
Bid-YTW : 8.84 %
PWF.PR.S Perpetual-Discount 1.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-10-10
Maturity Price : 16.95
Evaluated at bid price : 16.95
Bid-YTW : 7.11 %
RY.PR.O Perpetual-Discount 1.19 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-10-10
Maturity Price : 20.45
Evaluated at bid price : 20.45
Bid-YTW : 6.09 %
GWO.PR.Y Insurance Straight 1.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-10-10
Maturity Price : 16.40
Evaluated at bid price : 16.40
Bid-YTW : 6.93 %
RY.PR.J FixedReset Disc 1.24 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-10-10
Maturity Price : 17.90
Evaluated at bid price : 17.90
Bid-YTW : 9.22 %
CU.PR.F Perpetual-Discount 1.30 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-10-10
Maturity Price : 16.31
Evaluated at bid price : 16.31
Bid-YTW : 7.02 %
SLF.PR.J FloatingReset 1.37 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-10-10
Maturity Price : 14.80
Evaluated at bid price : 14.80
Bid-YTW : 11.44 %
PWF.PR.P FixedReset Disc 1.58 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-10-10
Maturity Price : 12.25
Evaluated at bid price : 12.25
Bid-YTW : 10.43 %
BN.PR.X FixedReset Disc 1.59 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-10-10
Maturity Price : 12.75
Evaluated at bid price : 12.75
Bid-YTW : 11.08 %
SLF.PR.C Insurance Straight 1.81 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-10-10
Maturity Price : 16.87
Evaluated at bid price : 16.87
Bid-YTW : 6.66 %
CU.PR.G Perpetual-Discount 1.86 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-10-10
Maturity Price : 16.40
Evaluated at bid price : 16.40
Bid-YTW : 6.98 %
BIP.PR.F FixedReset Disc 2.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-10-10
Maturity Price : 19.14
Evaluated at bid price : 19.14
Bid-YTW : 9.39 %
SLF.PR.H FixedReset Ins Non 7.57 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-10-10
Maturity Price : 15.20
Evaluated at bid price : 15.20
Bid-YTW : 9.31 %
Volume Highlights
Issue Index Shares
Traded		 Notes
TD.PF.K FixedReset Prem 152,683 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2023-11-30
Maturity Price : 25.00
Evaluated at bid price : 24.91
Bid-YTW : 5.44 %
CM.PR.T FixedReset Disc 39,810 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-10-10
Maturity Price : 22.17
Evaluated at bid price : 22.85
Bid-YTW : 8.15 %
BMO.PR.Y FixedReset Disc 35,500 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-10-10
Maturity Price : 17.33
Evaluated at bid price : 17.33
Bid-YTW : 9.33 %
BMO.PR.S FixedReset Disc 29,300 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-10-10
Maturity Price : 18.28
Evaluated at bid price : 18.28
Bid-YTW : 8.99 %
RY.PR.H FixedReset Disc 26,800 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-10-10
Maturity Price : 17.95
Evaluated at bid price : 17.95
Bid-YTW : 8.96 %
FTS.PR.G FixedReset Disc 22,620 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-10-10
Maturity Price : 19.00
Evaluated at bid price : 19.00
Bid-YTW : 8.42 %
There were 8 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
GWO.PR.I Insurance Straight Quote: 16.20 – 17.80
Spot Rate : 1.6000
Average : 0.9156

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-10-10
Maturity Price : 16.20
Evaluated at bid price : 16.20
Bid-YTW : 7.02 %
BN.PF.C Perpetual-Discount Quote: 16.33 – 17.90
Spot Rate : 1.5700
Average : 0.9547

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-10-10
Maturity Price : 16.33
Evaluated at bid price : 16.33
Bid-YTW : 7.51 %
BN.PR.X FixedReset Disc Quote: 12.75 – 14.00
Spot Rate : 1.2500
Average : 0.7665

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-10-10
Maturity Price : 12.75
Evaluated at bid price : 12.75
Bid-YTW : 11.08 %
GWO.PR.N FixedReset Ins Non Quote: 12.70 – 13.64
Spot Rate : 0.9400
Average : 0.5704

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-10-10
Maturity Price : 12.70
Evaluated at bid price : 12.70
Bid-YTW : 9.51 %
POW.PR.C Perpetual-Discount Quote: 21.00 – 21.80
Spot Rate : 0.8000
Average : 0.4844

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-10-10
Maturity Price : 21.00
Evaluated at bid price : 21.00
Bid-YTW : 6.96 %
IFC.PR.C FixedReset Disc Quote: 15.67 – 16.45
Spot Rate : 0.7800
Average : 0.4986

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-10-10
Maturity Price : 15.67
Evaluated at bid price : 15.67
Bid-YTW : 9.78 %
Market Action

October 6, 2023

Jobs, jobs, jobs!

There was a net gain of 64,000 jobs in September, up from an increase of 40,000 in August, Statistics Canada said Friday in a report. This easily surpassed an estimate of 20,000 from Bay Street economists. The unemployment rate held steady at 5.5 per cent for the third consecutive month, as the country’s strong, immigration-driven population growth offset the employment gains.

The numbers in Friday’s report were decidedly mixed. Employment in educational services increased by 66,000 in September, after a drop of 44,000 in August – a volatile result that economists dismissed as a statistical quirk. Part-time roles accounted for most of the employment growth last month. And total hours worked across the economy fell 0.2 per cent.

Even so, compensation is climbing at elevated rates. Average hourly wages rose 5 per cent in September on a year-over-year basis, in line with increases in July and August.

And in the States:

In a sign of continued economic stamina, American payrolls grew by 336,000 in September on a seasonally adjusted basis, the Labor Department said on Friday.

The increase, almost double what economists had forecast, confirmed the labor market’s vitality and the overall hardiness of an economy facing challenges from a variety of forces.

It was the 33rd consecutive month of job growth, and the increase was the biggest since January.

The unemployment rate, based on a survey of households, was steady at 3.8 percent. It has been below 4 percent for nearly two years, a stretch not achieved since the late 1960s.
…
Hiring figures for July and August were revised upward, showing 119,000 more jobs than previously recorded. Taken together, the gains reflected confidence among employers that the economic recovery has plenty of room left to run.
…
Average hourly earnings for workers rose 0.2 percent from the previous month and 4.2 percent from September 2022. While solid, the increase was smaller than anticipated, and the one-year pace was the slowest since March 2020.

All this created some excitement for Canadian fixed income markets:

Shorter-term bonds, which tend to be more sensitive to central bank policy moves, also had a big move. The Canada two-year bond yield was up about 13 basis points to 4.93% – though this was below the 5% level it had reached earlier this week.

Bond yields came off their highs at midday, but were still higher for the session. Equity markets initially tanked on the data, but they reversed into the green as investors digested the details of the employment reports. Some market observers noted stocks were becoming oversold in recent days and bargain hunters were making an appearance ahead of the weekend.
…
The following table details how money markets are pricing in further moves in the Bank of Canada overnight rate, according to Refinitiv Eikon data as of 1045 am ET. The current Bank of Canada overnight rate is 5%. While the bank moves in quarter point increments, credit market implied rates fluctuate more fluidly and are constantly changing. Columns to the right are percentage probabilities of future rate moves.

Pre-Jobs:

Post-Jobs:

The TXPR price index closed at 505.06 today, down 0.27% on the day and just a hair above the September 22, pre-TD.PF.K-redemption, level of 505.05. Easy come, easy go! The index also hit a new 52-week low on the day, so that was fun. The Total Return Index Value (TRIV) for the index was up 62bp from September 22 until yesterday, though, for what it’s worth (62bp). The TRIV for today won’t be available until tomorrow.

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 -0.8444 % 2,155.7
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.8444 % 4,134.7
Floater 11.30 % 11.43 % 61,334 8.54 2 -0.8444 % 2,382.8
OpRet 0.00 % 0.00 % 0 0.00 0 -0.1179 % 3,292.7
SplitShare 5.08 % 8.44 % 40,653 1.93 7 -0.1179 % 3,932.2
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.1179 % 3,068.1
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 -0.6896 % 2,430.5
Perpetual-Discount 7.06 % 7.17 % 43,066 12.39 31 -0.6896 % 2,650.3
FixedReset Disc 6.11 % 9.54 % 102,502 10.33 56 0.0421 % 2,090.4
Insurance Straight 6.93 % 7.08 % 61,559 12.47 16 -0.1299 % 2,594.5
FloatingReset 11.35 % 11.54 % 37,080 8.47 1 0.3436 % 2,348.3
FixedReset Prem 4.77 % 5.04 % 384,830 0.15 1 0.0000 % 2,295.5
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 0.0421 % 2,136.8
FixedReset Ins Non 6.40 % 9.28 % 68,165 10.71 13 -0.5704 % 2,260.8
Performance Highlights
Issue Index Change Notes
SLF.PR.H FixedReset Ins Non -8.60 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-10-06
Maturity Price : 14.13
Evaluated at bid price : 14.13
Bid-YTW : 10.26 %
RY.PR.O Perpetual-Discount -3.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-10-06
Maturity Price : 20.21
Evaluated at bid price : 20.21
Bid-YTW : 6.16 %
FTS.PR.F Perpetual-Discount -1.67 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-10-06
Maturity Price : 18.80
Evaluated at bid price : 18.80
Bid-YTW : 6.62 %
BN.PF.B FixedReset Disc -1.63 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-10-06
Maturity Price : 16.33
Evaluated at bid price : 16.33
Bid-YTW : 10.83 %
PWF.PR.T FixedReset Disc -1.61 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-10-06
Maturity Price : 18.50
Evaluated at bid price : 18.50
Bid-YTW : 9.30 %
BN.PR.N Perpetual-Discount -1.50 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-10-06
Maturity Price : 15.78
Evaluated at bid price : 15.78
Bid-YTW : 7.61 %
GWO.PR.M Insurance Straight -1.43 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-10-06
Maturity Price : 20.70
Evaluated at bid price : 20.70
Bid-YTW : 7.08 %
NA.PR.E FixedReset Disc -1.43 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-10-06
Maturity Price : 19.32
Evaluated at bid price : 19.32
Bid-YTW : 8.61 %
SLF.PR.C Insurance Straight -1.37 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-10-06
Maturity Price : 16.57
Evaluated at bid price : 16.57
Bid-YTW : 6.78 %
BN.PR.Z FixedReset Disc -1.25 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-10-06
Maturity Price : 16.65
Evaluated at bid price : 16.65
Bid-YTW : 10.57 %
BN.PR.X FixedReset Disc -1.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-10-06
Maturity Price : 12.55
Evaluated at bid price : 12.55
Bid-YTW : 11.57 %
TD.PF.A FixedReset Disc -1.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-10-06
Maturity Price : 17.56
Evaluated at bid price : 17.56
Bid-YTW : 9.30 %
BN.PF.H FixedReset Disc -1.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-10-06
Maturity Price : 18.75
Evaluated at bid price : 18.75
Bid-YTW : 10.63 %
BN.PF.J FixedReset Disc 1.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-10-06
Maturity Price : 18.20
Evaluated at bid price : 18.20
Bid-YTW : 9.89 %
NA.PR.G FixedReset Disc 1.36 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-10-06
Maturity Price : 21.84
Evaluated at bid price : 22.30
Bid-YTW : 8.11 %
RY.PR.J FixedReset Disc 2.49 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-10-06
Maturity Price : 17.68
Evaluated at bid price : 17.68
Bid-YTW : 9.63 %
PWF.PR.K Perpetual-Discount 2.87 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-10-06
Maturity Price : 17.23
Evaluated at bid price : 17.23
Bid-YTW : 7.21 %
BIP.PR.F FixedReset Disc 3.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-10-06
Maturity Price : 18.75
Evaluated at bid price : 18.75
Bid-YTW : 9.93 %
BMO.PR.Y FixedReset Disc 3.48 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-10-06
Maturity Price : 17.24
Evaluated at bid price : 17.24
Bid-YTW : 9.67 %
CU.PR.D Perpetual-Discount 5.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-10-06
Maturity Price : 17.55
Evaluated at bid price : 17.55
Bid-YTW : 7.10 %
Volume Highlights
Issue Index Shares
Traded		 Notes
TD.PF.K FixedReset Prem 97,865 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2023-11-30
Maturity Price : 25.00
Evaluated at bid price : 24.91
Bid-YTW : 5.04 %
MFC.PR.F FixedReset Ins Non 57,100 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-10-06
Maturity Price : 13.31
Evaluated at bid price : 13.31
Bid-YTW : 9.73 %
MFC.PR.M FixedReset Ins Non 52,500 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-10-06
Maturity Price : 17.36
Evaluated at bid price : 17.36
Bid-YTW : 9.59 %
RY.PR.M FixedReset Disc 34,350 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-10-06
Maturity Price : 16.75
Evaluated at bid price : 16.75
Bid-YTW : 9.70 %
BMO.PR.T FixedReset Disc 31,000 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-10-06
Maturity Price : 17.25
Evaluated at bid price : 17.25
Bid-YTW : 9.63 %
MFC.PR.L FixedReset Ins Non 29,407 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-10-06
Maturity Price : 17.80
Evaluated at bid price : 17.80
Bid-YTW : 9.28 %
There were 16 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
RY.PR.M FixedReset Disc Quote: 16.75 – 19.01
Spot Rate : 2.2600
Average : 1.2253

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-10-06
Maturity Price : 16.75
Evaluated at bid price : 16.75
Bid-YTW : 9.70 %
SLF.PR.H FixedReset Ins Non Quote: 14.13 – 15.75
Spot Rate : 1.6200
Average : 0.9554

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-10-06
Maturity Price : 14.13
Evaluated at bid price : 14.13
Bid-YTW : 10.26 %
PWF.PR.O Perpetual-Discount Quote: 20.18 – 21.00
Spot Rate : 0.8200
Average : 0.5986

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-10-06
Maturity Price : 20.18
Evaluated at bid price : 20.18
Bid-YTW : 7.21 %
PWF.PR.Z Perpetual-Discount Quote: 18.00 – 18.68
Spot Rate : 0.6800
Average : 0.4656

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-10-06
Maturity Price : 18.00
Evaluated at bid price : 18.00
Bid-YTW : 7.18 %
NA.PR.E FixedReset Disc Quote: 19.32 – 19.96
Spot Rate : 0.6400
Average : 0.4396

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-10-06
Maturity Price : 19.32
Evaluated at bid price : 19.32
Bid-YTW : 8.61 %
PWF.PR.P FixedReset Disc Quote: 12.06 – 12.97
Spot Rate : 0.9100
Average : 0.7220

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-10-06
Maturity Price : 12.06
Evaluated at bid price : 12.06
Bid-YTW : 10.96 %
Market Action

October 5, 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 0.8516 % 2,174.1
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.8516 % 4,169.9
Floater 11.20 % 11.32 % 62,293 8.61 2 0.8516 % 2,403.1
OpRet 0.00 % 0.00 % 0 0.00 0 0.0248 % 3,296.6
SplitShare 5.07 % 8.35 % 42,342 1.93 7 0.0248 % 3,936.9
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0248 % 3,071.7
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 -0.5097 % 2,447.4
Perpetual-Discount 7.01 % 7.18 % 43,615 12.25 31 -0.5097 % 2,668.7
FixedReset Disc 6.12 % 9.51 % 102,447 10.30 56 -0.6050 % 2,089.5
Insurance Straight 6.92 % 7.01 % 61,163 12.55 16 -0.3395 % 2,597.9
FloatingReset 11.39 % 11.57 % 37,390 8.45 1 -3.0000 % 2,340.3
FixedReset Prem 4.77 % 4.95 % 355,196 0.15 1 -1.0723 % 2,295.5
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 -0.6050 % 2,135.9
FixedReset Ins Non 6.36 % 9.25 % 63,060 10.80 13 0.0685 % 2,273.7
Performance Highlights
Issue Index Change Notes
BMO.PR.Y FixedReset Disc -3.87 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-10-05
Maturity Price : 16.66
Evaluated at bid price : 16.66
Bid-YTW : 9.99 %
PWF.PR.K Perpetual-Discount -3.56 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-10-05
Maturity Price : 17.05
Evaluated at bid price : 17.05
Bid-YTW : 7.43 %
RY.PR.J FixedReset Disc -3.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-10-05
Maturity Price : 17.25
Evaluated at bid price : 17.25
Bid-YTW : 9.86 %
BIP.PR.F FixedReset Disc -3.19 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-10-05
Maturity Price : 18.20
Evaluated at bid price : 18.20
Bid-YTW : 10.23 %
SLF.PR.J FloatingReset -3.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-10-05
Maturity Price : 14.55
Evaluated at bid price : 14.55
Bid-YTW : 11.57 %
CU.PR.C FixedReset Disc -2.19 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-10-05
Maturity Price : 16.53
Evaluated at bid price : 16.53
Bid-YTW : 9.84 %
BN.PF.C Perpetual-Discount -1.87 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-10-05
Maturity Price : 16.26
Evaluated at bid price : 16.26
Bid-YTW : 7.54 %
BIP.PR.E FixedReset Disc -1.83 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-10-05
Maturity Price : 18.75
Evaluated at bid price : 18.75
Bid-YTW : 9.69 %
BN.PR.M Perpetual-Discount -1.48 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-10-05
Maturity Price : 16.01
Evaluated at bid price : 16.01
Bid-YTW : 7.49 %
CM.PR.O FixedReset Disc -1.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-10-05
Maturity Price : 17.60
Evaluated at bid price : 17.60
Bid-YTW : 9.39 %
PWF.PR.S Perpetual-Discount -1.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-10-05
Maturity Price : 17.05
Evaluated at bid price : 17.05
Bid-YTW : 7.20 %
GWO.PR.Y Insurance Straight -1.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-10-05
Maturity Price : 16.20
Evaluated at bid price : 16.20
Bid-YTW : 7.01 %
POW.PR.B Perpetual-Discount -1.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-10-05
Maturity Price : 18.62
Evaluated at bid price : 18.62
Bid-YTW : 7.23 %
CM.PR.S FixedReset Disc -1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-10-05
Maturity Price : 19.36
Evaluated at bid price : 19.36
Bid-YTW : 8.54 %
TD.PF.L FixedReset Disc 1.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-10-05
Maturity Price : 23.55
Evaluated at bid price : 24.25
Bid-YTW : 7.93 %
NA.PR.S FixedReset Disc 1.34 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-10-05
Maturity Price : 18.04
Evaluated at bid price : 18.04
Bid-YTW : 9.44 %
PWF.PR.P FixedReset Disc 1.49 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-10-05
Maturity Price : 12.25
Evaluated at bid price : 12.25
Bid-YTW : 10.91 %
Volume Highlights
Issue Index Shares
Traded		 Notes
SLF.PR.H FixedReset Ins Non 55,800 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-10-05
Maturity Price : 15.46
Evaluated at bid price : 15.46
Bid-YTW : 9.45 %
TD.PF.K FixedReset Prem 53,008 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2023-11-30
Maturity Price : 25.00
Evaluated at bid price : 24.91
Bid-YTW : 4.95 %
RY.PR.H FixedReset Disc 45,562 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-10-05
Maturity Price : 17.91
Evaluated at bid price : 17.91
Bid-YTW : 9.31 %
BN.PR.B Floater 38,402 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-10-05
Maturity Price : 11.30
Evaluated at bid price : 11.30
Bid-YTW : 11.32 %
IFC.PR.K Perpetual-Discount 38,110 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-10-05
Maturity Price : 18.95
Evaluated at bid price : 18.95
Bid-YTW : 6.99 %
IFC.PR.E Insurance Straight 31,170 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-10-05
Maturity Price : 18.83
Evaluated at bid price : 18.83
Bid-YTW : 6.97 %
There were 14 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
RY.PR.J FixedReset Disc Quote: 17.25 – 18.50
Spot Rate : 1.2500
Average : 0.7748

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-10-05
Maturity Price : 17.25
Evaluated at bid price : 17.25
Bid-YTW : 9.86 %
PWF.PR.K Perpetual-Discount Quote: 17.05 – 17.80
Spot Rate : 0.7500
Average : 0.4648

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-10-05
Maturity Price : 17.05
Evaluated at bid price : 17.05
Bid-YTW : 7.43 %
BN.PF.A FixedReset Disc Quote: 18.30 – 20.00
Spot Rate : 1.7000
Average : 1.4643

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-10-05
Maturity Price : 18.30
Evaluated at bid price : 18.30
Bid-YTW : 10.22 %
NA.PR.S FixedReset Disc Quote: 18.04 – 18.74
Spot Rate : 0.7000
Average : 0.5153

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-10-05
Maturity Price : 18.04
Evaluated at bid price : 18.04
Bid-YTW : 9.44 %
TD.PF.I FixedReset Disc Quote: 22.20 – 23.00
Spot Rate : 0.8000
Average : 0.6185

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-10-05
Maturity Price : 21.82
Evaluated at bid price : 22.20
Bid-YTW : 8.07 %
BMO.PR.Y FixedReset Disc Quote: 16.66 – 17.35
Spot Rate : 0.6900
Average : 0.5256

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-10-05
Maturity Price : 16.66
Evaluated at bid price : 16.66
Bid-YTW : 9.99 %