Category: Market Action

Market Action

August 3, 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 0.0000 % 2,233.0
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.0000 % 4,283.0
Floater 10.90 % 11.16 % 46,817 8.65 1 0.0000 % 2,468.3
OpRet 0.00 % 0.00 % 0 0.00 0 -0.2148 % 3,344.0
SplitShare 5.04 % 7.86 % 44,645 2.36 7 -0.2148 % 3,993.4
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.2148 % 3,115.8
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 -0.3973 % 2,546.9
Perpetual-Discount 6.69 % 6.85 % 48,188 12.75 28 -0.3973 % 2,777.3
FixedReset Disc 5.81 % 8.58 % 88,588 11.06 64 -0.0615 % 2,148.8
Insurance Straight 6.67 % 6.80 % 55,331 12.78 19 -0.5264 % 2,695.7
FloatingReset 11.55 % 11.20 % 33,609 8.62 2 0.6158 % 2,387.1
FixedReset Prem 7.02 % 7.01 % 239,671 3.68 1 -0.1995 % 2,300.8
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 -0.0615 % 2,196.5
FixedReset Ins Non 6.20 % 8.06 % 71,069 11.48 11 -0.2309 % 2,313.9
Performance Highlights
Issue Index Change Notes
TRP.PR.C FixedReset Disc -3.88 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-03
Maturity Price : 10.65
Evaluated at bid price : 10.65
Bid-YTW : 11.20 %
BN.PF.E FixedReset Disc -3.33 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-03
Maturity Price : 14.50
Evaluated at bid price : 14.50
Bid-YTW : 10.60 %
SLF.PR.C Insurance Straight -3.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-03
Maturity Price : 17.05
Evaluated at bid price : 17.05
Bid-YTW : 6.62 %
BN.PF.I FixedReset Disc -2.74 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-03
Maturity Price : 19.50
Evaluated at bid price : 19.50
Bid-YTW : 9.25 %
BIP.PR.E FixedReset Disc -2.33 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-03
Maturity Price : 21.00
Evaluated at bid price : 21.00
Bid-YTW : 8.31 %
MFC.PR.L FixedReset Ins Non -1.73 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-03
Maturity Price : 17.00
Evaluated at bid price : 17.00
Bid-YTW : 8.98 %
BN.PR.R FixedReset Disc -1.57 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-03
Maturity Price : 13.75
Evaluated at bid price : 13.75
Bid-YTW : 10.23 %
GWO.PR.M Insurance Straight -1.52 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-03
Maturity Price : 21.35
Evaluated at bid price : 21.35
Bid-YTW : 6.90 %
BNS.PR.I FixedReset Disc -1.49 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-03
Maturity Price : 19.85
Evaluated at bid price : 19.85
Bid-YTW : 8.11 %
BN.PR.M Perpetual-Discount -1.39 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-03
Maturity Price : 17.01
Evaluated at bid price : 17.01
Bid-YTW : 7.09 %
RY.PR.O Perpetual-Discount -1.39 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-03
Maturity Price : 21.35
Evaluated at bid price : 21.35
Bid-YTW : 5.76 %
PWF.PR.G Perpetual-Discount -1.32 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-03
Maturity Price : 21.42
Evaluated at bid price : 21.68
Bid-YTW : 6.85 %
BN.PF.C Perpetual-Discount -1.26 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-03
Maturity Price : 17.20
Evaluated at bid price : 17.20
Bid-YTW : 7.16 %
BN.PF.J FixedReset Disc -1.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-03
Maturity Price : 19.51
Evaluated at bid price : 19.51
Bid-YTW : 8.85 %
GWO.PR.G Insurance Straight -1.18 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-03
Maturity Price : 19.18
Evaluated at bid price : 19.18
Bid-YTW : 6.88 %
PWF.PR.P FixedReset Disc -1.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-03
Maturity Price : 12.15
Evaluated at bid price : 12.15
Bid-YTW : 10.05 %
NA.PR.E FixedReset Disc -1.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-03
Maturity Price : 20.31
Evaluated at bid price : 20.31
Bid-YTW : 8.12 %
TD.PF.M FixedReset Disc 1.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-03
Maturity Price : 23.63
Evaluated at bid price : 24.16
Bid-YTW : 7.69 %
CM.PR.T FixedReset Disc 1.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-03
Maturity Price : 22.29
Evaluated at bid price : 23.08
Bid-YTW : 7.80 %
CM.PR.Q FixedReset Disc 1.25 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-03
Maturity Price : 17.79
Evaluated at bid price : 17.79
Bid-YTW : 8.74 %
BMO.PR.E FixedReset Disc 1.30 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-03
Maturity Price : 21.54
Evaluated at bid price : 21.87
Bid-YTW : 7.62 %
CM.PR.O FixedReset Disc 1.40 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-03
Maturity Price : 18.15
Evaluated at bid price : 18.15
Bid-YTW : 8.45 %
SLF.PR.J FloatingReset 1.56 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-03
Maturity Price : 14.95
Evaluated at bid price : 14.95
Bid-YTW : 11.20 %
Volume Highlights
Issue Index Shares
Traded		 Notes
TD.PF.K FixedReset Disc 240,775 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-03
Maturity Price : 21.71
Evaluated at bid price : 22.11
Bid-YTW : 7.47 %
RY.PR.Z FixedReset Disc 143,960 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-03
Maturity Price : 17.87
Evaluated at bid price : 17.87
Bid-YTW : 8.53 %
MFC.PR.I FixedReset Ins Non 77,350 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-03
Maturity Price : 20.90
Evaluated at bid price : 20.90
Bid-YTW : 8.03 %
BN.PF.E FixedReset Disc 77,200 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-03
Maturity Price : 14.50
Evaluated at bid price : 14.50
Bid-YTW : 10.60 %
TD.PF.J FixedReset Disc 74,400 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-03
Maturity Price : 20.82
Evaluated at bid price : 20.82
Bid-YTW : 7.73 %
BN.PR.T FixedReset Disc 72,100 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-03
Maturity Price : 14.15
Evaluated at bid price : 14.15
Bid-YTW : 9.92 %
There were 55 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
CM.PR.Q FixedReset Disc Quote: 17.79 – 25.08
Spot Rate : 7.2900
Average : 5.8475

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-03
Maturity Price : 17.79
Evaluated at bid price : 17.79
Bid-YTW : 8.74 %
POW.PR.C Perpetual-Discount Quote: 21.75 – 24.40
Spot Rate : 2.6500
Average : 1.5822

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-03
Maturity Price : 21.49
Evaluated at bid price : 21.75
Bid-YTW : 6.74 %
EIT.PR.A SplitShare Quote: 24.54 – 25.54
Spot Rate : 1.0000
Average : 0.5613

YTW SCENARIO
Maturity Type : Soft Maturity
Maturity Date : 2024-03-14
Maturity Price : 25.00
Evaluated at bid price : 24.54
Bid-YTW : 9.10 %
NA.PR.G FixedReset Disc Quote: 21.76 – 22.50
Spot Rate : 0.7400
Average : 0.4359

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-03
Maturity Price : 21.46
Evaluated at bid price : 21.76
Bid-YTW : 7.78 %
BN.PF.C Perpetual-Discount Quote: 17.20 – 17.95
Spot Rate : 0.7500
Average : 0.4712

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-03
Maturity Price : 17.20
Evaluated at bid price : 17.20
Bid-YTW : 7.16 %
IFC.PR.E Insurance Straight Quote: 19.51 – 20.40
Spot Rate : 0.8900
Average : 0.6113

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-03
Maturity Price : 19.51
Evaluated at bid price : 19.51
Bid-YTW : 6.77 %
Market Action

August 2, 2023

PerpetualDiscounts now yield 6.81%, equivalent to 8.85% interest at the standard equivalency factor of 1.3x. Long corporates yielded 5.16% on 2023-7-21 and since then the closing price has changed from 14.98 to 14.67, a decrease of 207bp in price, with a Duration of 12.27 (BMO doesn’t specify whether this is Macaulay or Modified Duration; I will assume Modified) which implies an increase in yield of about 17bp since 7/21 to 5.33%, so the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) has narrowed to 350bp from the 360bp reported July 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 -1.3652 % 2,233.0
FixedFloater 0.00 % 0.00 % 0 0.00 0 -1.3652 % 4,283.0
Floater 10.90 % 11.16 % 48,450 8.65 1 -1.3652 % 2,468.3
OpRet 0.00 % 0.00 % 0 0.00 0 -0.1103 % 3,351.2
SplitShare 5.03 % 7.74 % 46,479 2.36 7 -0.1103 % 4,002.0
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.1103 % 3,122.5
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 -0.2286 % 2,557.1
Perpetual-Discount 6.66 % 6.81 % 48,363 12.81 28 -0.2286 % 2,788.4
FixedReset Disc 5.80 % 8.57 % 84,464 11.07 64 -0.1449 % 2,150.2
Insurance Straight 6.64 % 6.78 % 55,405 12.78 19 -0.0619 % 2,710.0
FloatingReset 11.62 % 11.37 % 34,989 8.51 2 -1.6156 % 2,372.5
FixedReset Prem 7.01 % 6.95 % 234,851 3.69 1 -0.0399 % 2,305.4
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 -0.1449 % 2,197.9
FixedReset Ins Non 6.18 % 8.03 % 65,755 11.48 11 0.4743 % 2,319.3
Performance Highlights
Issue Index Change Notes
SLF.PR.J FloatingReset -3.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-02
Maturity Price : 14.72
Evaluated at bid price : 14.72
Bid-YTW : 11.37 %
IFC.PR.A FixedReset Ins Non -2.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-02
Maturity Price : 16.77
Evaluated at bid price : 16.77
Bid-YTW : 8.21 %
CCS.PR.C Insurance Straight -2.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-02
Maturity Price : 18.32
Evaluated at bid price : 18.32
Bid-YTW : 6.93 %
CM.PR.Q FixedReset Disc -2.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-02
Maturity Price : 17.57
Evaluated at bid price : 17.57
Bid-YTW : 8.84 %
BN.PR.Z FixedReset Disc -1.86 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-02
Maturity Price : 18.50
Evaluated at bid price : 18.50
Bid-YTW : 9.14 %
CU.PR.C FixedReset Disc -1.77 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-02
Maturity Price : 17.70
Evaluated at bid price : 17.70
Bid-YTW : 8.56 %
RY.PR.N Perpetual-Discount -1.67 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-02
Maturity Price : 21.20
Evaluated at bid price : 21.20
Bid-YTW : 5.79 %
PVS.PR.K SplitShare -1.58 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2029-05-31
Maturity Price : 25.00
Evaluated at bid price : 21.21
Bid-YTW : 7.94 %
GWO.PR.S Insurance Straight -1.53 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-02
Maturity Price : 19.25
Evaluated at bid price : 19.25
Bid-YTW : 6.92 %
BN.PR.B Floater -1.37 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-02
Maturity Price : 11.56
Evaluated at bid price : 11.56
Bid-YTW : 11.16 %
IFC.PR.C FixedReset Disc -1.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-02
Maturity Price : 17.73
Evaluated at bid price : 17.73
Bid-YTW : 8.43 %
BMO.PR.Y FixedReset Disc -1.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-02
Maturity Price : 17.76
Evaluated at bid price : 17.76
Bid-YTW : 8.67 %
SLF.PR.E Insurance Straight -1.19 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-02
Maturity Price : 17.50
Evaluated at bid price : 17.50
Bid-YTW : 6.52 %
RY.PR.S FixedReset Disc -1.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-02
Maturity Price : 19.80
Evaluated at bid price : 19.80
Bid-YTW : 8.01 %
BN.PF.I FixedReset Disc 1.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-02
Maturity Price : 20.05
Evaluated at bid price : 20.05
Bid-YTW : 9.00 %
GWO.PR.N FixedReset Ins Non 1.21 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-02
Maturity Price : 12.56
Evaluated at bid price : 12.56
Bid-YTW : 9.16 %
BN.PR.R FixedReset Disc 1.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-02
Maturity Price : 13.97
Evaluated at bid price : 13.97
Bid-YTW : 10.08 %
IFC.PR.E Insurance Straight 1.55 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-02
Maturity Price : 19.60
Evaluated at bid price : 19.60
Bid-YTW : 6.73 %
PWF.PR.P FixedReset Disc 2.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-02
Maturity Price : 12.29
Evaluated at bid price : 12.29
Bid-YTW : 9.95 %
CU.PR.I FixedReset Disc 3.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-02
Maturity Price : 21.69
Evaluated at bid price : 22.15
Bid-YTW : 8.07 %
TRP.PR.C FixedReset Disc 4.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-02
Maturity Price : 11.08
Evaluated at bid price : 11.08
Bid-YTW : 10.81 %
MFC.PR.L FixedReset Ins Non 9.84 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-02
Maturity Price : 17.30
Evaluated at bid price : 17.30
Bid-YTW : 8.82 %
Volume Highlights
Issue Index Shares
Traded		 Notes
TD.PF.B FixedReset Disc 79,800 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-02
Maturity Price : 17.90
Evaluated at bid price : 17.90
Bid-YTW : 8.57 %
NA.PR.S FixedReset Disc 75,100 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-02
Maturity Price : 18.05
Evaluated at bid price : 18.05
Bid-YTW : 8.73 %
IFC.PR.E Insurance Straight 48,300 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-02
Maturity Price : 19.60
Evaluated at bid price : 19.60
Bid-YTW : 6.73 %
CM.PR.O FixedReset Disc 35,000 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-02
Maturity Price : 17.90
Evaluated at bid price : 17.90
Bid-YTW : 8.57 %
BMO.PR.S FixedReset Disc 29,000 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-02
Maturity Price : 18.10
Evaluated at bid price : 18.10
Bid-YTW : 8.59 %
RY.PR.H FixedReset Disc 25,200 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-02
Maturity Price : 17.68
Evaluated at bid price : 17.68
Bid-YTW : 8.60 %
There were 4 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
CM.PR.Q FixedReset Disc Quote: 17.57 – 25.08
Spot Rate : 7.5100
Average : 4.2658

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-02
Maturity Price : 17.57
Evaluated at bid price : 17.57
Bid-YTW : 8.84 %
BN.PF.F FixedReset Disc Quote: 16.30 – 19.00
Spot Rate : 2.7000
Average : 1.8825

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-02
Maturity Price : 16.30
Evaluated at bid price : 16.30
Bid-YTW : 10.27 %
MFC.PR.Q FixedReset Ins Non Quote: 20.15 – 22.00
Spot Rate : 1.8500
Average : 1.0700

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-02
Maturity Price : 20.15
Evaluated at bid price : 20.15
Bid-YTW : 8.00 %
MFC.PR.M FixedReset Ins Non Quote: 16.90 – 20.45
Spot Rate : 3.5500
Average : 2.8621

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-02
Maturity Price : 16.90
Evaluated at bid price : 16.90
Bid-YTW : 9.14 %
IFC.PR.C FixedReset Disc Quote: 17.73 – 18.75
Spot Rate : 1.0200
Average : 0.5990

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-02
Maturity Price : 17.73
Evaluated at bid price : 17.73
Bid-YTW : 8.43 %
TD.PF.D FixedReset Disc Quote: 18.27 – 19.30
Spot Rate : 1.0300
Average : 0.6527

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-02
Maturity Price : 18.27
Evaluated at bid price : 18.27
Bid-YTW : 8.62 %
Market Action

August 1, 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 -0.6780 % 2,263.9
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.6780 % 4,342.2
Floater 10.75 % 11.00 % 49,122 8.76 1 -0.6780 % 2,502.4
OpRet 0.00 % 0.00 % 0 0.00 0 0.0920 % 3,354.9
SplitShare 5.03 % 7.68 % 46,942 2.37 7 0.0920 % 4,006.5
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0920 % 3,126.0
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 -0.1234 % 2,563.0
Perpetual-Discount 6.65 % 6.81 % 47,561 12.77 28 -0.1234 % 2,794.8
FixedReset Disc 5.80 % 8.57 % 86,274 11.10 64 -0.3084 % 2,153.3
Insurance Straight 6.63 % 6.78 % 56,188 12.80 19 -0.4119 % 2,711.6
FloatingReset 11.44 % 11.00 % 35,412 8.76 2 -0.8675 % 2,411.4
FixedReset Prem 7.01 % 6.94 % 243,725 3.69 1 0.0399 % 2,306.3
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 -0.3084 % 2,201.1
FixedReset Ins Non 6.21 % 7.97 % 61,710 11.57 11 -0.6454 % 2,308.3
Performance Highlights
Issue Index Change Notes
MFC.PR.L FixedReset Ins Non -8.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-01
Maturity Price : 15.75
Evaluated at bid price : 15.75
Bid-YTW : 9.68 %
CU.PR.I FixedReset Disc -3.97 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-01
Maturity Price : 21.42
Evaluated at bid price : 21.75
Bid-YTW : 8.33 %
BIP.PR.F FixedReset Disc -2.81 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-01
Maturity Price : 20.75
Evaluated at bid price : 20.75
Bid-YTW : 8.35 %
TRP.PR.C FixedReset Disc -2.29 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-01
Maturity Price : 10.65
Evaluated at bid price : 10.65
Bid-YTW : 11.19 %
BN.PR.X FixedReset Disc -1.59 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-01
Maturity Price : 14.81
Evaluated at bid price : 14.81
Bid-YTW : 9.31 %
FTS.PR.H FixedReset Disc -1.52 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-01
Maturity Price : 12.95
Evaluated at bid price : 12.95
Bid-YTW : 9.61 %
CCS.PR.C Insurance Straight -1.47 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-01
Maturity Price : 18.72
Evaluated at bid price : 18.72
Bid-YTW : 6.78 %
IFC.PR.E Insurance Straight -1.28 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-01
Maturity Price : 19.30
Evaluated at bid price : 19.30
Bid-YTW : 6.84 %
PWF.PR.P FixedReset Disc -1.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-01
Maturity Price : 12.03
Evaluated at bid price : 12.03
Bid-YTW : 10.13 %
TRP.PR.F FloatingReset -1.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-01
Maturity Price : 14.50
Evaluated at bid price : 14.50
Bid-YTW : 12.47 %
CM.PR.Q FixedReset Disc -1.21 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-01
Maturity Price : 17.95
Evaluated at bid price : 17.95
Bid-YTW : 8.66 %
TD.PF.B FixedReset Disc -1.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-01
Maturity Price : 17.80
Evaluated at bid price : 17.80
Bid-YTW : 8.61 %
PWF.PR.E Perpetual-Discount -1.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-01
Maturity Price : 20.08
Evaluated at bid price : 20.08
Bid-YTW : 6.91 %
BMO.PR.S FixedReset Disc -1.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-01
Maturity Price : 17.97
Evaluated at bid price : 17.97
Bid-YTW : 8.64 %
BMO.PR.E FixedReset Disc -1.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-01
Maturity Price : 21.53
Evaluated at bid price : 21.53
Bid-YTW : 7.75 %
PWF.PR.S Perpetual-Discount 1.25 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-01
Maturity Price : 17.75
Evaluated at bid price : 17.75
Bid-YTW : 6.82 %
RY.PR.N Perpetual-Discount 1.46 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-01
Maturity Price : 21.56
Evaluated at bid price : 21.56
Bid-YTW : 5.70 %
PWF.PR.T FixedReset Disc 1.60 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-01
Maturity Price : 19.00
Evaluated at bid price : 19.00
Bid-YTW : 8.36 %
BN.PF.I FixedReset Disc 2.96 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-01
Maturity Price : 19.85
Evaluated at bid price : 19.85
Bid-YTW : 9.09 %
Volume Highlights
Issue Index Shares
Traded		 Notes
MFC.PR.C Insurance Straight 69,510 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-01
Maturity Price : 17.20
Evaluated at bid price : 17.20
Bid-YTW : 6.65 %
CU.PR.J Perpetual-Discount 54,720 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-01
Maturity Price : 17.63
Evaluated at bid price : 17.63
Bid-YTW : 6.88 %
MFC.PR.L FixedReset Ins Non 40,800 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-01
Maturity Price : 15.75
Evaluated at bid price : 15.75
Bid-YTW : 9.68 %
TD.PF.B FixedReset Disc 39,871 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-01
Maturity Price : 17.80
Evaluated at bid price : 17.80
Bid-YTW : 8.61 %
BMO.PR.S FixedReset Disc 31,100 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-01
Maturity Price : 17.97
Evaluated at bid price : 17.97
Bid-YTW : 8.64 %
FTS.PR.G FixedReset Disc 26,812 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-01
Maturity Price : 19.15
Evaluated at bid price : 19.15
Bid-YTW : 8.16 %
There were 8 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
MFC.PR.M FixedReset Ins Non Quote: 16.86 – 20.45
Spot Rate : 3.5900
Average : 2.1079

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-01
Maturity Price : 16.86
Evaluated at bid price : 16.86
Bid-YTW : 9.16 %
MFC.PR.L FixedReset Ins Non Quote: 15.75 – 17.69
Spot Rate : 1.9400
Average : 1.2375

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-01
Maturity Price : 15.75
Evaluated at bid price : 15.75
Bid-YTW : 9.68 %
BIP.PR.E FixedReset Disc Quote: 21.50 – 23.00
Spot Rate : 1.5000
Average : 0.9676

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-01
Maturity Price : 21.50
Evaluated at bid price : 21.50
Bid-YTW : 8.11 %
CU.PR.I FixedReset Disc Quote: 21.75 – 22.37
Spot Rate : 0.6200
Average : 0.3924

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-01
Maturity Price : 21.42
Evaluated at bid price : 21.75
Bid-YTW : 8.33 %
FTS.PR.J Perpetual-Discount Quote: 18.85 – 19.35
Spot Rate : 0.5000
Average : 0.3122

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-01
Maturity Price : 18.85
Evaluated at bid price : 18.85
Bid-YTW : 6.43 %
BIP.PR.F FixedReset Disc Quote: 20.75 – 21.25
Spot Rate : 0.5000
Average : 0.3188

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-01
Maturity Price : 20.75
Evaluated at bid price : 20.75
Bid-YTW : 8.35 %
Market Action

July 31, 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 0.4255 % 2,279.4
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.4255 % 4,371.9
Floater 10.68 % 10.92 % 49,151 8.82 1 0.4255 % 2,519.5
OpRet 0.00 % 0.00 % 0 0.00 0 -0.4338 % 3,351.8
SplitShare 5.03 % 7.70 % 47,558 2.37 7 -0.4338 % 4,002.8
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.4338 % 3,123.1
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 0.4104 % 2,566.1
Perpetual-Discount 6.64 % 6.83 % 47,423 12.78 28 0.4104 % 2,798.2
FixedReset Disc 5.78 % 8.51 % 85,887 11.13 64 0.5193 % 2,159.9
Insurance Straight 6.61 % 6.75 % 56,461 12.85 19 0.4588 % 2,722.8
FloatingReset 11.34 % 10.93 % 36,788 8.81 2 0.5705 % 2,432.5
FixedReset Prem 7.01 % 6.94 % 251,720 3.69 1 0.0000 % 2,305.4
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 0.5193 % 2,207.9
FixedReset Ins Non 6.17 % 7.99 % 62,052 11.58 11 0.2310 % 2,323.3
Performance Highlights
Issue Index Change Notes
TRP.PR.C FixedReset Disc -3.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-31
Maturity Price : 10.90
Evaluated at bid price : 10.90
Bid-YTW : 10.96 %
TRP.PR.B FixedReset Disc -2.33 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-31
Maturity Price : 10.50
Evaluated at bid price : 10.50
Bid-YTW : 11.22 %
BN.PR.T FixedReset Disc -1.39 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-31
Maturity Price : 14.15
Evaluated at bid price : 14.15
Bid-YTW : 9.91 %
PVS.PR.K SplitShare -1.38 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2029-05-31
Maturity Price : 25.00
Evaluated at bid price : 21.45
Bid-YTW : 7.70 %
MFC.PR.L FixedReset Ins Non -1.27 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-31
Maturity Price : 17.12
Evaluated at bid price : 17.12
Bid-YTW : 8.91 %
PWF.PR.T FixedReset Disc -1.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-31
Maturity Price : 18.70
Evaluated at bid price : 18.70
Bid-YTW : 8.49 %
POW.PR.C Perpetual-Discount -1.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-31
Maturity Price : 21.49
Evaluated at bid price : 21.75
Bid-YTW : 6.73 %
BN.PR.R FixedReset Disc -1.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-31
Maturity Price : 13.93
Evaluated at bid price : 13.93
Bid-YTW : 10.10 %
TRP.PR.G FixedReset Disc -1.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-31
Maturity Price : 15.73
Evaluated at bid price : 15.73
Bid-YTW : 10.01 %
BMO.PR.S FixedReset Disc 1.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-31
Maturity Price : 18.16
Evaluated at bid price : 18.16
Bid-YTW : 8.55 %
BN.PF.E FixedReset Disc 1.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-31
Maturity Price : 15.00
Evaluated at bid price : 15.00
Bid-YTW : 10.25 %
MFC.PR.K FixedReset Ins Non 1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-31
Maturity Price : 19.75
Evaluated at bid price : 19.75
Bid-YTW : 7.99 %
FTS.PR.J Perpetual-Discount 1.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-31
Maturity Price : 18.97
Evaluated at bid price : 18.97
Bid-YTW : 6.39 %
NA.PR.S FixedReset Disc 1.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-31
Maturity Price : 17.95
Evaluated at bid price : 17.95
Bid-YTW : 8.78 %
SLF.PR.D Insurance Straight 1.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-31
Maturity Price : 17.69
Evaluated at bid price : 17.69
Bid-YTW : 6.38 %
BN.PF.C Perpetual-Discount 1.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-31
Maturity Price : 17.61
Evaluated at bid price : 17.61
Bid-YTW : 6.99 %
TD.PF.L FixedReset Disc 1.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-31
Maturity Price : 22.65
Evaluated at bid price : 23.26
Bid-YTW : 7.73 %
BN.PF.I FixedReset Disc 1.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-31
Maturity Price : 19.28
Evaluated at bid price : 19.28
Bid-YTW : 9.34 %
BMO.PR.E FixedReset Disc 1.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-31
Maturity Price : 21.45
Evaluated at bid price : 21.75
Bid-YTW : 7.65 %
TRP.PR.F FloatingReset 1.17 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-31
Maturity Price : 14.68
Evaluated at bid price : 14.68
Bid-YTW : 12.31 %
TD.PF.I FixedReset Disc 1.26 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-31
Maturity Price : 22.84
Evaluated at bid price : 24.02
Bid-YTW : 7.08 %
IFC.PR.E Insurance Straight 1.30 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-31
Maturity Price : 19.55
Evaluated at bid price : 19.55
Bid-YTW : 6.75 %
TD.PF.A FixedReset Disc 1.31 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-31
Maturity Price : 17.78
Evaluated at bid price : 17.78
Bid-YTW : 8.50 %
BN.PF.D Perpetual-Discount 1.31 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-31
Maturity Price : 17.73
Evaluated at bid price : 17.73
Bid-YTW : 7.02 %
ELF.PR.H Perpetual-Discount 1.32 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-31
Maturity Price : 20.67
Evaluated at bid price : 20.67
Bid-YTW : 6.73 %
NA.PR.G FixedReset Disc 1.35 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-31
Maturity Price : 21.49
Evaluated at bid price : 21.81
Bid-YTW : 7.76 %
POW.PR.D Perpetual-Discount 1.36 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-31
Maturity Price : 18.65
Evaluated at bid price : 18.65
Bid-YTW : 6.78 %
BMO.PR.W FixedReset Disc 1.49 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-31
Maturity Price : 17.00
Evaluated at bid price : 17.00
Bid-YTW : 8.83 %
BN.PF.F FixedReset Disc 1.56 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-31
Maturity Price : 16.32
Evaluated at bid price : 16.32
Bid-YTW : 10.25 %
SLF.PR.G FixedReset Ins Non 1.64 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-31
Maturity Price : 13.02
Evaluated at bid price : 13.02
Bid-YTW : 9.43 %
BMO.PR.Y FixedReset Disc 1.74 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-31
Maturity Price : 18.11
Evaluated at bid price : 18.11
Bid-YTW : 8.51 %
BN.PF.H FixedReset Disc 2.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-31
Maturity Price : 20.30
Evaluated at bid price : 20.30
Bid-YTW : 9.36 %
TD.PF.C FixedReset Disc 2.62 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-31
Maturity Price : 17.60
Evaluated at bid price : 17.60
Bid-YTW : 8.56 %
CCS.PR.C Insurance Straight 3.94 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-31
Maturity Price : 19.00
Evaluated at bid price : 19.00
Bid-YTW : 6.68 %
TD.PF.B FixedReset Disc 4.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-31
Maturity Price : 18.00
Evaluated at bid price : 18.00
Bid-YTW : 8.51 %
RY.PR.S FixedReset Disc 5.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-31
Maturity Price : 20.01
Evaluated at bid price : 20.01
Bid-YTW : 7.92 %
Volume Highlights
Issue Index Shares
Traded		 Notes
RY.PR.J FixedReset Disc 67,900 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-31
Maturity Price : 18.65
Evaluated at bid price : 18.65
Bid-YTW : 8.43 %
TD.PF.C FixedReset Disc 61,900 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-31
Maturity Price : 17.60
Evaluated at bid price : 17.60
Bid-YTW : 8.56 %
NA.PR.S FixedReset Disc 53,800 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-31
Maturity Price : 17.95
Evaluated at bid price : 17.95
Bid-YTW : 8.78 %
TD.PF.I FixedReset Disc 38,000 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-31
Maturity Price : 22.84
Evaluated at bid price : 24.02
Bid-YTW : 7.08 %
MFC.PR.L FixedReset Ins Non 32,700 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-31
Maturity Price : 17.12
Evaluated at bid price : 17.12
Bid-YTW : 8.91 %
BIP.PR.B FixedReset Disc 25,800 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-31
Maturity Price : 21.20
Evaluated at bid price : 21.20
Bid-YTW : 9.43 %
There were 8 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
TRP.PR.G FixedReset Disc Quote: 15.73 – 17.00
Spot Rate : 1.2700
Average : 0.9362

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-31
Maturity Price : 15.73
Evaluated at bid price : 15.73
Bid-YTW : 10.01 %
CU.PR.J Perpetual-Discount Quote: 17.61 – 20.00
Spot Rate : 2.3900
Average : 2.1128

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-31
Maturity Price : 17.61
Evaluated at bid price : 17.61
Bid-YTW : 6.89 %
FTS.PR.F Perpetual-Discount Quote: 19.55 – 20.25
Spot Rate : 0.7000
Average : 0.4785

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-31
Maturity Price : 19.55
Evaluated at bid price : 19.55
Bid-YTW : 6.39 %
TRP.PR.A FixedReset Disc Quote: 13.50 – 14.50
Spot Rate : 1.0000
Average : 0.7796

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-31
Maturity Price : 13.50
Evaluated at bid price : 13.50
Bid-YTW : 10.47 %
MFC.PR.I FixedReset Ins Non Quote: 21.03 – 21.55
Spot Rate : 0.5200
Average : 0.3190

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-31
Maturity Price : 21.03
Evaluated at bid price : 21.03
Bid-YTW : 7.97 %
IFC.PR.F Insurance Straight Quote: 19.75 – 20.65
Spot Rate : 0.9000
Average : 0.7053

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-31
Maturity Price : 19.75
Evaluated at bid price : 19.75
Bid-YTW : 6.81 %
Market Action

July 28, 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 -1.2605 % 2,269.7
FixedFloater 0.00 % 0.00 % 0 0.00 0 -1.2605 % 4,353.3
Floater 10.72 % 10.96 % 49,100 8.80 1 -1.2605 % 2,508.9
OpRet 0.00 % 0.00 % 0 0.00 0 -0.3410 % 3,366.4
SplitShare 5.01 % 7.48 % 47,566 2.38 7 -0.3410 % 4,020.2
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.3410 % 3,136.7
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 -0.2729 % 2,555.6
Perpetual-Discount 6.66 % 6.84 % 47,248 12.78 28 -0.2729 % 2,786.8
FixedReset Disc 5.81 % 8.49 % 86,498 11.17 64 0.0316 % 2,148.8
Insurance Straight 6.64 % 6.77 % 56,990 12.82 19 -0.3757 % 2,710.4
FloatingReset 11.40 % 10.92 % 35,872 8.82 2 0.0000 % 2,418.7
FixedReset Prem 7.01 % 6.93 % 253,592 3.70 1 0.0399 % 2,305.4
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 0.0316 % 2,196.5
FixedReset Ins Non 6.18 % 7.98 % 62,686 11.60 11 -0.1077 % 2,318.0
Performance Highlights
Issue Index Change Notes
CCS.PR.C Insurance Straight -3.79 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-28
Maturity Price : 18.28
Evaluated at bid price : 18.28
Bid-YTW : 6.94 %
RY.PR.N Perpetual-Discount -2.53 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-28
Maturity Price : 21.20
Evaluated at bid price : 21.20
Bid-YTW : 5.79 %
POW.PR.D Perpetual-Discount -2.39 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-28
Maturity Price : 18.40
Evaluated at bid price : 18.40
Bid-YTW : 6.87 %
TRP.PR.G FixedReset Disc -2.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-28
Maturity Price : 15.90
Evaluated at bid price : 15.90
Bid-YTW : 9.83 %
TD.PF.B FixedReset Disc -1.70 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-28
Maturity Price : 17.30
Evaluated at bid price : 17.30
Bid-YTW : 8.77 %
SLF.PR.G FixedReset Ins Non -1.46 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-28
Maturity Price : 12.81
Evaluated at bid price : 12.81
Bid-YTW : 9.47 %
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 : 21.75
Bid-YTW : 7.40 %
PWF.PR.S Perpetual-Discount -1.35 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-28
Maturity Price : 17.60
Evaluated at bid price : 17.60
Bid-YTW : 6.87 %
TRP.PR.F FloatingReset -1.29 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-28
Maturity Price : 14.51
Evaluated at bid price : 14.51
Bid-YTW : 12.44 %
BN.PR.B Floater -1.26 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-28
Maturity Price : 11.75
Evaluated at bid price : 11.75
Bid-YTW : 10.96 %
BIP.PR.A FixedReset Disc -1.18 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-28
Maturity Price : 16.80
Evaluated at bid price : 16.80
Bid-YTW : 10.44 %
TD.PF.I FixedReset Disc -1.17 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-28
Maturity Price : 22.70
Evaluated at bid price : 23.72
Bid-YTW : 7.12 %
MFC.PR.C Insurance Straight -1.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-28
Maturity Price : 17.20
Evaluated at bid price : 17.20
Bid-YTW : 6.65 %
SLF.PR.D Insurance Straight -1.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-28
Maturity Price : 17.50
Evaluated at bid price : 17.50
Bid-YTW : 6.44 %
CU.PR.I FixedReset Disc -1.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-28
Maturity Price : 22.36
Evaluated at bid price : 22.75
Bid-YTW : 7.91 %
MFC.PR.K FixedReset Ins Non -1.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-28
Maturity Price : 19.55
Evaluated at bid price : 19.55
Bid-YTW : 7.99 %
PVS.PR.G SplitShare -1.04 % YTW SCENARIO
Maturity Type : Option Certainty
Maturity Date : 2026-02-28
Maturity Price : 25.00
Evaluated at bid price : 23.70
Bid-YTW : 7.48 %
SLF.PR.E Insurance Straight -1.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-28
Maturity Price : 17.72
Evaluated at bid price : 17.72
Bid-YTW : 6.44 %
BMO.PR.Y FixedReset Disc -1.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-28
Maturity Price : 17.80
Evaluated at bid price : 17.80
Bid-YTW : 8.58 %
PWF.PR.O Perpetual-Discount 1.18 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-28
Maturity Price : 21.35
Evaluated at bid price : 21.35
Bid-YTW : 6.84 %
BN.PF.A FixedReset Disc 1.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-28
Maturity Price : 20.70
Evaluated at bid price : 20.70
Bid-YTW : 8.36 %
SLF.PR.J FloatingReset 1.26 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-28
Maturity Price : 15.29
Evaluated at bid price : 15.29
Bid-YTW : 10.92 %
BIP.PR.B FixedReset Disc 1.35 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-28
Maturity Price : 21.05
Evaluated at bid price : 21.05
Bid-YTW : 9.43 %
FTS.PR.H FixedReset Disc 1.54 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-28
Maturity Price : 13.15
Evaluated at bid price : 13.15
Bid-YTW : 9.37 %
BN.PF.H FixedReset Disc 2.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-28
Maturity Price : 19.90
Evaluated at bid price : 19.90
Bid-YTW : 9.48 %
PWF.PR.P FixedReset Disc 2.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-28
Maturity Price : 12.25
Evaluated at bid price : 12.25
Bid-YTW : 9.87 %
TRP.PR.C FixedReset Disc 5.63 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-28
Maturity Price : 11.25
Evaluated at bid price : 11.25
Bid-YTW : 10.54 %
Volume Highlights
Issue Index Shares
Traded		 Notes
TRP.PR.A FixedReset Disc 87,400 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-28
Maturity Price : 13.55
Evaluated at bid price : 13.55
Bid-YTW : 10.33 %
RY.PR.Z FixedReset Disc 59,523 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-28
Maturity Price : 17.75
Evaluated at bid price : 17.75
Bid-YTW : 8.49 %
FTS.PR.H FixedReset Disc 46,600 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-28
Maturity Price : 13.15
Evaluated at bid price : 13.15
Bid-YTW : 9.37 %
MFC.PR.B Insurance Straight 42,000 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-28
Maturity Price : 17.60
Evaluated at bid price : 17.60
Bid-YTW : 6.71 %
TRP.PR.F FloatingReset 22,870 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-28
Maturity Price : 14.51
Evaluated at bid price : 14.51
Bid-YTW : 12.44 %
BIP.PR.E FixedReset Disc 20,050 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-28
Maturity Price : 21.45
Evaluated at bid price : 21.45
Bid-YTW : 8.08 %
There were 13 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
CU.PR.J Perpetual-Discount Quote: 17.52 – 20.00
Spot Rate : 2.4800
Average : 1.8088

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-28
Maturity Price : 17.52
Evaluated at bid price : 17.52
Bid-YTW : 6.92 %
CU.PR.C FixedReset Disc Quote: 18.28 – 19.79
Spot Rate : 1.5100
Average : 0.9690

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-28
Maturity Price : 18.28
Evaluated at bid price : 18.28
Bid-YTW : 8.39 %
MFC.PR.J FixedReset Ins Non Quote: 20.70 – 21.92
Spot Rate : 1.2200
Average : 0.7330

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-28
Maturity Price : 20.70
Evaluated at bid price : 20.70
Bid-YTW : 7.88 %
CCS.PR.C Insurance Straight Quote: 18.28 – 19.80
Spot Rate : 1.5200
Average : 1.1308

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-28
Maturity Price : 18.28
Evaluated at bid price : 18.28
Bid-YTW : 6.94 %
CM.PR.P FixedReset Disc Quote: 16.95 – 17.90
Spot Rate : 0.9500
Average : 0.5941

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-28
Maturity Price : 16.95
Evaluated at bid price : 16.95
Bid-YTW : 8.73 %
SLF.PR.G FixedReset Ins Non Quote: 12.81 – 13.99
Spot Rate : 1.1800
Average : 0.8274

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-28
Maturity Price : 12.81
Evaluated at bid price : 12.81
Bid-YTW : 9.47 %
Market Action

July 27, 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 0.4219 % 2,298.7
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.4219 % 4,408.9
Floater 10.59 % 10.81 % 48,204 8.90 1 0.4219 % 2,540.9
OpRet 0.00 % 0.00 % 0 0.00 0 0.6003 % 3,377.9
SplitShare 4.99 % 7.19 % 49,405 2.39 7 0.6003 % 4,034.0
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.6003 % 3,147.5
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 0.2866 % 2,562.6
Perpetual-Discount 6.65 % 6.83 % 46,667 12.79 28 0.2866 % 2,794.4
FixedReset Disc 5.81 % 8.48 % 87,317 11.16 64 -0.3762 % 2,148.1
Insurance Straight 6.61 % 6.76 % 57,418 12.83 19 -0.3688 % 2,720.6
FloatingReset 11.40 % 11.06 % 36,213 8.73 2 0.1681 % 2,418.7
FixedReset Prem 7.01 % 6.93 % 255,919 3.70 1 -0.2389 % 2,304.4
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 -0.3762 % 2,195.8
FixedReset Ins Non 6.18 % 7.95 % 62,996 11.57 11 0.2623 % 2,320.5
Performance Highlights
Issue Index Change Notes
TRP.PR.C FixedReset Disc -6.66 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-27
Maturity Price : 10.65
Evaluated at bid price : 10.65
Bid-YTW : 11.08 %
RY.PR.S FixedReset Disc -5.72 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-27
Maturity Price : 18.95
Evaluated at bid price : 18.95
Bid-YTW : 8.28 %
BN.PF.H FixedReset Disc -3.70 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-27
Maturity Price : 19.50
Evaluated at bid price : 19.50
Bid-YTW : 9.66 %
TRP.PR.A FixedReset Disc -1.81 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-27
Maturity Price : 13.55
Evaluated at bid price : 13.55
Bid-YTW : 10.32 %
MFC.PR.B Insurance Straight -1.69 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-27
Maturity Price : 17.50
Evaluated at bid price : 17.50
Bid-YTW : 6.75 %
IFC.PR.F Insurance Straight -1.55 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-27
Maturity Price : 19.75
Evaluated at bid price : 19.75
Bid-YTW : 6.80 %
CU.PR.D Perpetual-Discount -1.41 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-27
Maturity Price : 18.22
Evaluated at bid price : 18.22
Bid-YTW : 6.86 %
NA.PR.S FixedReset Disc -1.40 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-27
Maturity Price : 17.62
Evaluated at bid price : 17.62
Bid-YTW : 8.85 %
BIP.PR.B FixedReset Disc -1.19 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-27
Maturity Price : 20.77
Evaluated at bid price : 20.77
Bid-YTW : 9.55 %
FTS.PR.M FixedReset Disc -1.18 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-27
Maturity Price : 16.70
Evaluated at bid price : 16.70
Bid-YTW : 9.38 %
CU.PR.J Perpetual-Discount -1.18 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-27
Maturity Price : 17.60
Evaluated at bid price : 17.60
Bid-YTW : 6.89 %
MFC.PR.C Insurance Straight -1.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-27
Maturity Price : 17.40
Evaluated at bid price : 17.40
Bid-YTW : 6.57 %
TD.PF.E FixedReset Disc -1.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-27
Maturity Price : 18.40
Evaluated at bid price : 18.40
Bid-YTW : 8.48 %
IFC.PR.K Perpetual-Discount -1.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-27
Maturity Price : 19.40
Evaluated at bid price : 19.40
Bid-YTW : 6.86 %
RY.PR.J FixedReset Disc -1.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-27
Maturity Price : 18.65
Evaluated at bid price : 18.65
Bid-YTW : 8.35 %
IFC.PR.E Insurance Straight -1.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-27
Maturity Price : 19.30
Evaluated at bid price : 19.30
Bid-YTW : 6.83 %
PVS.PR.F SplitShare 1.19 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2024-09-30
Maturity Price : 25.00
Evaluated at bid price : 24.58
Bid-YTW : 6.92 %
CU.PR.C FixedReset Disc 1.27 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-27
Maturity Price : 18.40
Evaluated at bid price : 18.40
Bid-YTW : 8.33 %
POW.PR.D Perpetual-Discount 1.29 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-27
Maturity Price : 18.85
Evaluated at bid price : 18.85
Bid-YTW : 6.70 %
BN.PR.X FixedReset Disc 1.36 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-27
Maturity Price : 14.90
Evaluated at bid price : 14.90
Bid-YTW : 9.18 %
RY.PR.O Perpetual-Discount 2.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-27
Maturity Price : 21.75
Evaluated at bid price : 21.75
Bid-YTW : 5.64 %
PVS.PR.G SplitShare 2.13 % YTW SCENARIO
Maturity Type : Option Certainty
Maturity Date : 2026-02-28
Maturity Price : 25.00
Evaluated at bid price : 23.95
Bid-YTW : 7.02 %
SLF.PR.G FixedReset Ins Non 2.77 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-27
Maturity Price : 13.00
Evaluated at bid price : 13.00
Bid-YTW : 9.34 %
RY.PR.N Perpetual-Discount 3.57 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-27
Maturity Price : 21.75
Evaluated at bid price : 21.75
Bid-YTW : 5.64 %
PWF.PR.G Perpetual-Discount 7.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-27
Maturity Price : 21.73
Evaluated at bid price : 21.98
Bid-YTW : 6.75 %
Volume Highlights
Issue Index Shares
Traded		 Notes
TRP.PR.D FixedReset Disc 91,074 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-27
Maturity Price : 15.45
Evaluated at bid price : 15.45
Bid-YTW : 10.09 %
BN.PF.B FixedReset Disc 62,558 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-27
Maturity Price : 17.02
Evaluated at bid price : 17.02
Bid-YTW : 9.56 %
TD.PF.K FixedReset Disc 56,100 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-27
Maturity Price : 21.63
Evaluated at bid price : 22.00
Bid-YTW : 7.43 %
IFC.PR.C FixedReset Disc 38,200 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-27
Maturity Price : 18.07
Evaluated at bid price : 18.07
Bid-YTW : 8.21 %
BN.PF.D Perpetual-Discount 31,754 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-27
Maturity Price : 17.62
Evaluated at bid price : 17.62
Bid-YTW : 7.05 %
FTS.PR.G FixedReset Disc 31,400 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-27
Maturity Price : 19.11
Evaluated at bid price : 19.11
Bid-YTW : 8.08 %
There were 17 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
CM.PR.Q FixedReset Disc Quote: 18.15 – 25.08
Spot Rate : 6.9300
Average : 3.9103

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-27
Maturity Price : 18.15
Evaluated at bid price : 18.15
Bid-YTW : 8.49 %
RY.PR.S FixedReset Disc Quote: 18.95 – 20.07
Spot Rate : 1.1200
Average : 0.7173

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-27
Maturity Price : 18.95
Evaluated at bid price : 18.95
Bid-YTW : 8.28 %
POW.PR.B Perpetual-Discount Quote: 19.88 – 20.80
Spot Rate : 0.9200
Average : 0.5403

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-27
Maturity Price : 19.88
Evaluated at bid price : 19.88
Bid-YTW : 6.80 %
CU.PR.J Perpetual-Discount Quote: 17.60 – 19.00
Spot Rate : 1.4000
Average : 1.0729

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-27
Maturity Price : 17.60
Evaluated at bid price : 17.60
Bid-YTW : 6.89 %
BN.PF.H FixedReset Disc Quote: 19.50 – 20.30
Spot Rate : 0.8000
Average : 0.4893

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-27
Maturity Price : 19.50
Evaluated at bid price : 19.50
Bid-YTW : 9.66 %
TRP.PR.C FixedReset Disc Quote: 10.65 – 11.44
Spot Rate : 0.7900
Average : 0.5551

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-27
Maturity Price : 10.65
Evaluated at bid price : 10.65
Bid-YTW : 11.08 %
Market Action

July 26, 2023

PerpetualDiscounts now yield 6.81%, equivalent to 8.85% interest at the standard equivalency factor of 1.3x. Long corporates yielded 5.16% on 2023-7-21 and since then the closing price has changed from 14.98 to 14.86, a decrease of 80bp in price, with a Duration of 12.27 (BMO doesn’t specify whether this is Macaulay or Modified Duration; I will assume Modified) which implies an increase in yield of about 7bp since 7/21 to 5.23%, so the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) has narrowed dramatically to 360bp from the 385bp reported July 19.

The Fed hiked the policy rate again:

Recent indicators suggest that economic activity has been expanding at a moderate pace. Job gains have been robust in recent months, and the unemployment rate has remained low. Inflation remains elevated.

The U.S. banking system is sound and resilient. Tighter credit conditions for households and businesses are likely to weigh on economic activity, hiring, and inflation. The extent of these effects remains uncertain. The Committee remains highly attentive to inflation risks.

The Committee seeks to achieve maximum employment and inflation at the rate of 2 percent over the longer run. In support of these goals, the Committee decided to raise the target range for the federal funds rate to 5-1/4 to 5-1/2 percent. The Committee will continue to assess additional information and its implications for monetary policy. In determining the extent of additional policy firming that may be appropriate to return inflation to 2 percent over time, the Committee will take into account the cumulative tightening of monetary policy, the lags with which monetary policy affects economic activity and inflation, and economic and financial developments. In addition, the Committee will continue reducing its holdings of Treasury securities and agency debt and agency mortgage-backed securities, as described in its previously announced plans. The Committee is strongly committed to returning inflation to its 2 percent objective.

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

Voting for the monetary policy action were Jerome H. Powell, Chair; John C. Williams, Vice Chair; Michael S. Barr; Michelle W. Bowman; Lisa D. Cook; Austan D. Goolsbee; Patrick Harker; Philip N. Jefferson; Neel Kashkari; Lorie K. Logan; and Christopher J. Waller.

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 -0.0843 % 2,289.1
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.0843 % 4,390.4
Floater 10.63 % 10.85 % 48,404 8.88 1 -0.0843 % 2,530.2
OpRet 0.00 % 0.00 % 0 0.00 0 -0.2017 % 3,357.8
SplitShare 5.02 % 7.80 % 49,262 2.38 7 -0.2017 % 4,009.9
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.2017 % 3,128.7
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 -0.0961 % 2,555.3
Perpetual-Discount 6.67 % 6.81 % 47,188 12.81 28 -0.0961 % 2,786.4
FixedReset Disc 5.79 % 8.50 % 85,917 11.17 64 0.0068 % 2,156.2
Insurance Straight 6.59 % 6.76 % 55,748 12.85 19 0.0251 % 2,730.7
FloatingReset 11.42 % 11.13 % 37,469 8.68 2 -0.1343 % 2,414.7
FixedReset Prem 7.00 % 6.86 % 259,412 3.71 1 0.3998 % 2,310.0
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 0.0068 % 2,204.1
FixedReset Ins Non 6.19 % 7.99 % 62,035 11.54 11 0.0617 % 2,314.4
Performance Highlights
Issue Index Change Notes
PWF.PR.G Perpetual-Discount -6.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-26
Maturity Price : 20.52
Evaluated at bid price : 20.52
Bid-YTW : 7.24 %
TRP.PR.C FixedReset Disc -1.72 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-26
Maturity Price : 11.41
Evaluated at bid price : 11.41
Bid-YTW : 10.40 %
RY.PR.M FixedReset Disc -1.59 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-26
Maturity Price : 17.91
Evaluated at bid price : 17.91
Bid-YTW : 8.32 %
BMO.PR.F FixedReset Disc -1.54 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-26
Maturity Price : 23.64
Evaluated at bid price : 24.22
Bid-YTW : 7.67 %
FTS.PR.K FixedReset Disc -1.30 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-26
Maturity Price : 16.68
Evaluated at bid price : 16.68
Bid-YTW : 9.01 %
RY.PR.H FixedReset Disc -1.28 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-26
Maturity Price : 17.67
Evaluated at bid price : 17.67
Bid-YTW : 8.52 %
PVS.PR.G SplitShare -1.26 % YTW SCENARIO
Maturity Type : Option Certainty
Maturity Date : 2026-02-28
Maturity Price : 25.00
Evaluated at bid price : 23.45
Bid-YTW : 7.92 %
PWF.PR.P FixedReset Disc -1.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-26
Maturity Price : 12.00
Evaluated at bid price : 12.00
Bid-YTW : 10.05 %
GWO.PR.Y Insurance Straight -1.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-26
Maturity Price : 16.85
Evaluated at bid price : 16.85
Bid-YTW : 6.77 %
SLF.PR.C Insurance Straight -1.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-26
Maturity Price : 17.80
Evaluated at bid price : 17.80
Bid-YTW : 6.33 %
PVS.PR.F SplitShare -1.06 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2024-09-30
Maturity Price : 25.00
Evaluated at bid price : 24.29
Bid-YTW : 7.98 %
BN.PR.X FixedReset Disc -1.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-26
Maturity Price : 14.70
Evaluated at bid price : 14.70
Bid-YTW : 9.30 %
TD.PF.M FixedReset Disc -1.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-26
Maturity Price : 23.11
Evaluated at bid price : 23.66
Bid-YTW : 7.78 %
PWF.PR.R Perpetual-Discount 1.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-26
Maturity Price : 20.25
Evaluated at bid price : 20.25
Bid-YTW : 6.84 %
RY.PR.J FixedReset Disc 1.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-26
Maturity Price : 18.85
Evaluated at bid price : 18.85
Bid-YTW : 8.26 %
FTS.PR.H FixedReset Disc 1.17 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-26
Maturity Price : 12.95
Evaluated at bid price : 12.95
Bid-YTW : 9.50 %
FTS.PR.G FixedReset Disc 1.27 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-26
Maturity Price : 19.15
Evaluated at bid price : 19.15
Bid-YTW : 8.07 %
BIK.PR.A FixedReset Disc 1.33 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-26
Maturity Price : 22.13
Evaluated at bid price : 22.80
Bid-YTW : 8.60 %
BN.PF.B FixedReset Disc 1.55 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-26
Maturity Price : 17.01
Evaluated at bid price : 17.01
Bid-YTW : 9.56 %
BIP.PR.F FixedReset Disc 1.69 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-26
Maturity Price : 21.10
Evaluated at bid price : 21.10
Bid-YTW : 8.13 %
MFC.PR.C Insurance Straight 1.73 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-26
Maturity Price : 17.60
Evaluated at bid price : 17.60
Bid-YTW : 6.49 %
TD.PF.A FixedReset Disc 1.87 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-26
Maturity Price : 17.41
Evaluated at bid price : 17.41
Bid-YTW : 8.59 %
CU.PR.D Perpetual-Discount 2.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-26
Maturity Price : 18.48
Evaluated at bid price : 18.48
Bid-YTW : 6.76 %
TRP.PR.A FixedReset Disc 2.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-26
Maturity Price : 13.80
Evaluated at bid price : 13.80
Bid-YTW : 10.14 %
Volume Highlights
Issue Index Shares
Traded		 Notes
TD.PF.E FixedReset Disc 38,602 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-26
Maturity Price : 18.60
Evaluated at bid price : 18.60
Bid-YTW : 8.39 %
TRP.PR.D FixedReset Disc 34,215 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-26
Maturity Price : 15.60
Evaluated at bid price : 15.60
Bid-YTW : 9.99 %
SLF.PR.E Insurance Straight 26,795 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-26
Maturity Price : 17.95
Evaluated at bid price : 17.95
Bid-YTW : 6.35 %
FTS.PR.G FixedReset Disc 24,218 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-26
Maturity Price : 19.15
Evaluated at bid price : 19.15
Bid-YTW : 8.07 %
MFC.PR.Q FixedReset Ins Non 24,074 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-26
Maturity Price : 20.17
Evaluated at bid price : 20.17
Bid-YTW : 7.93 %
TD.PF.A FixedReset Disc 18,129 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-26
Maturity Price : 17.41
Evaluated at bid price : 17.41
Bid-YTW : 8.59 %
There were 5 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
PWF.PR.G Perpetual-Discount Quote: 20.52 – 22.03
Spot Rate : 1.5100
Average : 0.8995

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-26
Maturity Price : 20.52
Evaluated at bid price : 20.52
Bid-YTW : 7.24 %
CU.PR.J Perpetual-Discount Quote: 17.81 – 19.00
Spot Rate : 1.1900
Average : 0.7143

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-26
Maturity Price : 17.81
Evaluated at bid price : 17.81
Bid-YTW : 6.80 %
BN.PF.F FixedReset Disc Quote: 16.07 – 19.00
Spot Rate : 2.9300
Average : 2.5472

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-26
Maturity Price : 16.07
Evaluated at bid price : 16.07
Bid-YTW : 10.31 %
CU.PR.G Perpetual-Discount Quote: 17.08 – 18.12
Spot Rate : 1.0400
Average : 0.7379

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-26
Maturity Price : 17.08
Evaluated at bid price : 17.08
Bid-YTW : 6.72 %
CM.PR.Q FixedReset Disc Quote: 18.13 – 19.00
Spot Rate : 0.8700
Average : 0.5993

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-26
Maturity Price : 18.13
Evaluated at bid price : 18.13
Bid-YTW : 8.49 %
NA.PR.E FixedReset Disc Quote: 20.30 – 20.89
Spot Rate : 0.5900
Average : 0.3886

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-26
Maturity Price : 20.30
Evaluated at bid price : 20.30
Bid-YTW : 8.03 %
Market Action

July 25, 2023

TXPR closed at 531.51, down 0.88% on the day. Volume today was 1.49-million, fourth-highest of the past 21 trading days.

CPD closed at 10.57, down 0.75% on the day. Volume was 78,270, highest of the past 21 trading days.

ZPR closed at 8.92, down 0.45% on the day. Volume was 94,010, below the median of the past 21 trading days.

Five-year Canada yields were up to 3.97%.

HIMIPref™ Preferred Indices
These values reflect the December 2008 revision of the HIMIPref™ Indices
Values are provisional and are finalized monthly
Index Mean
Current
Yield
(at bid)		 Median
YTW		 Median
Average
Trading
Value		 Median
Mod Dur
(YTW)		 Issues Day’s Perf. Index Value
Ratchet 0.00 % 0.00 % 0 0.00 0 1.8026 % 2,291.0
FixedFloater 0.00 % 0.00 % 0 0.00 0 1.8026 % 4,394.1
Floater 10.62 % 10.84 % 48,894 8.89 1 1.8026 % 2,532.3
OpRet 0.00 % 0.00 % 0 0.00 0 0.0918 % 3,364.6
SplitShare 5.01 % 7.37 % 49,260 2.39 7 0.0918 % 4,018.0
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0918 % 3,135.0
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 -0.2598 % 2,557.8
Perpetual-Discount 6.66 % 6.81 % 48,618 12.79 28 -0.2598 % 2,789.1
FixedReset Disc 5.79 % 8.48 % 86,684 11.13 64 -0.4575 % 2,156.1
Insurance Straight 6.59 % 6.70 % 55,926 12.89 19 -0.1423 % 2,730.0
FloatingReset 11.40 % 11.14 % 37,111 8.68 2 -0.0336 % 2,417.9
FixedReset Prem 7.02 % 6.97 % 268,818 3.71 1 -0.3586 % 2,300.8
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 -0.4575 % 2,203.9
FixedReset Ins Non 6.20 % 7.94 % 59,960 11.57 11 0.6109 % 2,313.0
Performance Highlights
Issue Index Change Notes
TRP.PR.A FixedReset Disc -4.53 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-25
Maturity Price : 13.50
Evaluated at bid price : 13.50
Bid-YTW : 10.35 %
MFC.PR.C Insurance Straight -2.54 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-25
Maturity Price : 17.30
Evaluated at bid price : 17.30
Bid-YTW : 6.60 %
BN.PF.J FixedReset Disc -2.35 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-25
Maturity Price : 19.50
Evaluated at bid price : 19.50
Bid-YTW : 8.79 %
TD.PF.A FixedReset Disc -2.34 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-25
Maturity Price : 17.09
Evaluated at bid price : 17.09
Bid-YTW : 8.75 %
TRP.PR.B FixedReset Disc -2.27 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-25
Maturity Price : 10.75
Evaluated at bid price : 10.75
Bid-YTW : 10.86 %
TRP.PR.G FixedReset Disc -2.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-25
Maturity Price : 16.15
Evaluated at bid price : 16.15
Bid-YTW : 9.68 %
MFC.PR.M FixedReset Ins Non -1.98 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-25
Maturity Price : 16.86
Evaluated at bid price : 16.86
Bid-YTW : 9.06 %
BN.PR.N Perpetual-Discount -1.93 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-25
Maturity Price : 17.26
Evaluated at bid price : 17.26
Bid-YTW : 6.98 %
BN.PR.Z FixedReset Disc -1.88 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-25
Maturity Price : 18.80
Evaluated at bid price : 18.80
Bid-YTW : 8.92 %
BN.PF.F FixedReset Disc -1.84 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-25
Maturity Price : 16.00
Evaluated at bid price : 16.00
Bid-YTW : 10.35 %
MFC.PR.N FixedReset Ins Non -1.67 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-25
Maturity Price : 16.45
Evaluated at bid price : 16.45
Bid-YTW : 9.10 %
BN.PR.X FixedReset Disc -1.66 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-25
Maturity Price : 14.85
Evaluated at bid price : 14.85
Bid-YTW : 9.20 %
RY.PR.J FixedReset Disc -1.62 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-25
Maturity Price : 18.65
Evaluated at bid price : 18.65
Bid-YTW : 8.35 %
BN.PF.C Perpetual-Discount -1.58 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-25
Maturity Price : 17.42
Evaluated at bid price : 17.42
Bid-YTW : 7.06 %
BN.PF.B FixedReset Disc -1.47 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-25
Maturity Price : 16.75
Evaluated at bid price : 16.75
Bid-YTW : 9.71 %
BN.PR.M Perpetual-Discount -1.42 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-25
Maturity Price : 17.40
Evaluated at bid price : 17.40
Bid-YTW : 6.92 %
PWF.PR.K Perpetual-Discount -1.32 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-25
Maturity Price : 17.97
Evaluated at bid price : 17.97
Bid-YTW : 6.94 %
TD.PF.I FixedReset Disc -1.32 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-25
Maturity Price : 22.84
Evaluated at bid price : 24.01
Bid-YTW : 7.03 %
PWF.PR.P FixedReset Disc -1.30 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-25
Maturity Price : 12.15
Evaluated at bid price : 12.15
Bid-YTW : 9.93 %
RY.PR.N Perpetual-Discount -1.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-25
Maturity Price : 21.00
Evaluated at bid price : 21.00
Bid-YTW : 5.84 %
BN.PF.I FixedReset Disc -1.17 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-25
Maturity Price : 19.37
Evaluated at bid price : 19.37
Bid-YTW : 9.23 %
TD.PF.D FixedReset Disc -1.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-25
Maturity Price : 18.35
Evaluated at bid price : 18.35
Bid-YTW : 8.49 %
NA.PR.W FixedReset Disc -1.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-25
Maturity Price : 16.78
Evaluated at bid price : 16.78
Bid-YTW : 8.84 %
TRP.PR.E FixedReset Disc -1.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-25
Maturity Price : 15.01
Evaluated at bid price : 15.01
Bid-YTW : 10.11 %
CM.PR.S FixedReset Disc -1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-25
Maturity Price : 20.30
Evaluated at bid price : 20.30
Bid-YTW : 7.71 %
BIP.PR.B FixedReset Disc 1.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-25
Maturity Price : 21.00
Evaluated at bid price : 21.00
Bid-YTW : 9.45 %
RY.PR.H FixedReset Disc 1.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-25
Maturity Price : 17.90
Evaluated at bid price : 17.90
Bid-YTW : 8.41 %
PVS.PR.K SplitShare 1.39 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2029-05-31
Maturity Price : 25.00
Evaluated at bid price : 21.90
Bid-YTW : 7.25 %
BN.PR.T FixedReset Disc 1.41 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-25
Maturity Price : 14.35
Evaluated at bid price : 14.35
Bid-YTW : 9.70 %
BN.PR.B Floater 1.80 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-25
Maturity Price : 11.86
Evaluated at bid price : 11.86
Bid-YTW : 10.84 %
BN.PR.R FixedReset Disc 6.49 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-25
Maturity Price : 14.11
Evaluated at bid price : 14.11
Bid-YTW : 9.89 %
MFC.PR.L FixedReset Ins Non 12.19 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-25
Maturity Price : 17.40
Evaluated at bid price : 17.40
Bid-YTW : 8.67 %
Volume Highlights
Issue Index Shares
Traded		 Notes
CM.PR.T FixedReset Disc 139,818 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-25
Maturity Price : 22.16
Evaluated at bid price : 22.85
Bid-YTW : 7.80 %
CM.PR.S FixedReset Disc 114,442 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-25
Maturity Price : 20.30
Evaluated at bid price : 20.30
Bid-YTW : 7.71 %
RY.PR.Z FixedReset Disc 66,401 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-25
Maturity Price : 18.00
Evaluated at bid price : 18.00
Bid-YTW : 8.37 %
TD.PF.B FixedReset Disc 46,507 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-25
Maturity Price : 17.60
Evaluated at bid price : 17.60
Bid-YTW : 8.61 %
RY.PR.H FixedReset Disc 32,382 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-25
Maturity Price : 17.90
Evaluated at bid price : 17.90
Bid-YTW : 8.41 %
PWF.PR.R Perpetual-Discount 28,298 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-25
Maturity Price : 20.04
Evaluated at bid price : 20.04
Bid-YTW : 6.91 %
There were 8 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
BN.PF.F FixedReset Disc Quote: 16.00 – 19.00
Spot Rate : 3.0000
Average : 2.1275

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-25
Maturity Price : 16.00
Evaluated at bid price : 16.00
Bid-YTW : 10.35 %
IFC.PR.F Insurance Straight Quote: 20.05 – 21.93
Spot Rate : 1.8800
Average : 1.1356

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-25
Maturity Price : 20.05
Evaluated at bid price : 20.05
Bid-YTW : 6.70 %
IFC.PR.E Insurance Straight Quote: 19.50 – 20.40
Spot Rate : 0.9000
Average : 0.5987

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-25
Maturity Price : 19.50
Evaluated at bid price : 19.50
Bid-YTW : 6.76 %
MFC.PR.C Insurance Straight Quote: 17.30 – 18.00
Spot Rate : 0.7000
Average : 0.4742

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-25
Maturity Price : 17.30
Evaluated at bid price : 17.30
Bid-YTW : 6.60 %
TD.PF.A FixedReset Disc Quote: 17.09 – 17.74
Spot Rate : 0.6500
Average : 0.4271

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-25
Maturity Price : 17.09
Evaluated at bid price : 17.09
Bid-YTW : 8.75 %
GWO.PR.M Insurance Straight Quote: 21.90 – 22.60
Spot Rate : 0.7000
Average : 0.4845

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-25
Maturity Price : 21.65
Evaluated at bid price : 21.90
Bid-YTW : 6.70 %
Market Action

July 24, 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 0.7785 % 2,250.4
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.7785 % 4,316.3
Floater 10.82 % 11.04 % 49,628 8.75 1 0.7785 % 2,487.5
OpRet 0.00 % 0.00 % 0 0.00 0 1.2828 % 3,361.5
SplitShare 5.02 % 7.53 % 47,303 2.39 7 1.2828 % 4,014.3
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 1.2828 % 3,132.1
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 0.7387 % 2,564.4
Perpetual-Discount 6.64 % 6.82 % 47,753 12.81 28 0.7387 % 2,796.4
FixedReset Disc 5.76 % 8.45 % 86,518 11.11 64 0.1443 % 2,166.0
Insurance Straight 6.58 % 6.74 % 56,211 12.85 19 1.0718 % 2,733.9
FloatingReset 11.40 % 11.13 % 37,315 8.69 2 0.3367 % 2,418.7
FixedReset Prem 7.00 % 6.86 % 272,878 3.71 1 0.0000 % 2,309.0
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 0.1443 % 2,214.1
FixedReset Ins Non 6.24 % 7.96 % 60,845 11.58 11 -0.0931 % 2,298.9
Performance Highlights
Issue Index Change Notes
MFC.PR.L FixedReset Ins Non -8.76 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-24
Maturity Price : 15.51
Evaluated at bid price : 15.51
Bid-YTW : 9.72 %
BN.PR.R FixedReset Disc -7.79 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-24
Maturity Price : 13.25
Evaluated at bid price : 13.25
Bid-YTW : 10.48 %
BN.PF.E FixedReset Disc -2.98 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-24
Maturity Price : 14.65
Evaluated at bid price : 14.65
Bid-YTW : 10.38 %
TD.PF.L FixedReset Disc -1.54 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-24
Maturity Price : 22.28
Evaluated at bid price : 23.06
Bid-YTW : 7.72 %
BN.PR.T FixedReset Disc -1.39 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-24
Maturity Price : 14.15
Evaluated at bid price : 14.15
Bid-YTW : 9.83 %
CM.PR.T FixedReset Disc -1.38 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-24
Maturity Price : 22.22
Evaluated at bid price : 22.95
Bid-YTW : 7.76 %
BIK.PR.A FixedReset Disc -1.32 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-24
Maturity Price : 21.92
Evaluated at bid price : 22.45
Bid-YTW : 8.74 %
MFC.PR.B Insurance Straight 1.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-24
Maturity Price : 17.93
Evaluated at bid price : 17.93
Bid-YTW : 6.58 %
RY.PR.M FixedReset Disc 1.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-24
Maturity Price : 18.19
Evaluated at bid price : 18.19
Bid-YTW : 8.20 %
GWO.PR.Q Insurance Straight 1.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-24
Maturity Price : 19.10
Evaluated at bid price : 19.10
Bid-YTW : 6.83 %
MFC.PR.N FixedReset Ins Non 1.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-24
Maturity Price : 16.73
Evaluated at bid price : 16.73
Bid-YTW : 8.95 %
IFC.PR.K Perpetual-Discount 1.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-24
Maturity Price : 19.41
Evaluated at bid price : 19.41
Bid-YTW : 6.85 %
PWF.PR.H Perpetual-Discount 1.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-24
Maturity Price : 21.22
Evaluated at bid price : 21.22
Bid-YTW : 6.82 %
GWO.PR.M Insurance Straight 1.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-24
Maturity Price : 21.54
Evaluated at bid price : 21.80
Bid-YTW : 6.73 %
GWO.PR.H Insurance Straight 1.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-24
Maturity Price : 18.16
Evaluated at bid price : 18.16
Bid-YTW : 6.77 %
POW.PR.C Perpetual-Discount 1.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-24
Maturity Price : 21.75
Evaluated at bid price : 22.00
Bid-YTW : 6.64 %
POW.PR.D Perpetual-Discount 1.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-24
Maturity Price : 18.60
Evaluated at bid price : 18.60
Bid-YTW : 6.79 %
PWF.PF.A Perpetual-Discount 1.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-24
Maturity Price : 16.51
Evaluated at bid price : 16.51
Bid-YTW : 6.86 %
PVS.PR.F SplitShare 1.23 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2024-09-30
Maturity Price : 25.00
Evaluated at bid price : 24.60
Bid-YTW : 6.80 %
BN.PF.A FixedReset Disc 1.24 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-24
Maturity Price : 20.47
Evaluated at bid price : 20.47
Bid-YTW : 8.45 %
PWF.PR.F Perpetual-Discount 1.26 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-24
Maturity Price : 19.29
Evaluated at bid price : 19.29
Bid-YTW : 6.85 %
GWO.PR.S Insurance Straight 1.30 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-24
Maturity Price : 19.50
Evaluated at bid price : 19.50
Bid-YTW : 6.82 %
PVS.PR.H SplitShare 1.32 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2027-02-28
Maturity Price : 25.00
Evaluated at bid price : 22.95
Bid-YTW : 7.58 %
PWF.PR.K Perpetual-Discount 1.34 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-24
Maturity Price : 18.21
Evaluated at bid price : 18.21
Bid-YTW : 6.84 %
FTS.PR.J Perpetual-Discount 1.39 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-24
Maturity Price : 18.91
Evaluated at bid price : 18.91
Bid-YTW : 6.40 %
SLF.PR.E Insurance Straight 1.40 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-24
Maturity Price : 18.05
Evaluated at bid price : 18.05
Bid-YTW : 6.31 %
PVS.PR.I SplitShare 1.41 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-10-31
Maturity Price : 25.00
Evaluated at bid price : 23.81
Bid-YTW : 7.40 %
SLF.PR.D Insurance Straight 1.42 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-24
Maturity Price : 17.85
Evaluated at bid price : 17.85
Bid-YTW : 6.31 %
MFC.PR.C Insurance Straight 1.43 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-24
Maturity Price : 17.75
Evaluated at bid price : 17.75
Bid-YTW : 6.43 %
RY.PR.N Perpetual-Discount 1.44 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-24
Maturity Price : 21.26
Evaluated at bid price : 21.26
Bid-YTW : 5.77 %
POW.PR.A Perpetual-Discount 1.45 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-24
Maturity Price : 21.00
Evaluated at bid price : 21.00
Bid-YTW : 6.73 %
GWO.PR.P Insurance Straight 1.46 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-24
Maturity Price : 20.10
Evaluated at bid price : 20.10
Bid-YTW : 6.81 %
BN.PR.N Perpetual-Discount 1.50 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-24
Maturity Price : 17.60
Evaluated at bid price : 17.60
Bid-YTW : 6.84 %
IFC.PR.F Insurance Straight 1.52 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-24
Maturity Price : 20.05
Evaluated at bid price : 20.05
Bid-YTW : 6.70 %
GWO.PR.R Insurance Straight 1.53 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-24
Maturity Price : 17.90
Evaluated at bid price : 17.90
Bid-YTW : 6.79 %
TRP.PR.G FixedReset Disc 1.54 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-24
Maturity Price : 16.50
Evaluated at bid price : 16.50
Bid-YTW : 9.48 %
BN.PF.I FixedReset Disc 1.55 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-24
Maturity Price : 19.60
Evaluated at bid price : 19.60
Bid-YTW : 9.13 %
GWO.PR.L Insurance Straight 1.59 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-24
Maturity Price : 21.15
Evaluated at bid price : 21.15
Bid-YTW : 6.77 %
PWF.PR.S Perpetual-Discount 1.60 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-24
Maturity Price : 17.74
Evaluated at bid price : 17.74
Bid-YTW : 6.81 %
RY.PR.J FixedReset Disc 1.64 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-24
Maturity Price : 19.16
Evaluated at bid price : 19.16
Bid-YTW : 8.22 %
BN.PF.G FixedReset Disc 1.67 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-24
Maturity Price : 15.25
Evaluated at bid price : 15.25
Bid-YTW : 10.29 %
BN.PR.X FixedReset Disc 1.68 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-24
Maturity Price : 15.10
Evaluated at bid price : 15.10
Bid-YTW : 9.05 %
TRP.PR.E FixedReset Disc 1.74 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-24
Maturity Price : 15.17
Evaluated at bid price : 15.17
Bid-YTW : 10.01 %
RY.PR.S FixedReset Disc 1.75 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-24
Maturity Price : 20.35
Evaluated at bid price : 20.35
Bid-YTW : 7.83 %
MFC.PR.Q FixedReset Ins Non 1.81 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-24
Maturity Price : 20.20
Evaluated at bid price : 20.20
Bid-YTW : 7.92 %
PVS.PR.G SplitShare 1.93 % YTW SCENARIO
Maturity Type : Option Certainty
Maturity Date : 2026-02-28
Maturity Price : 25.00
Evaluated at bid price : 23.80
Bid-YTW : 7.27 %
PVS.PR.J SplitShare 2.26 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2028-02-29
Maturity Price : 25.00
Evaluated at bid price : 22.18
Bid-YTW : 7.53 %
GWO.PR.Y Insurance Straight 2.30 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-24
Maturity Price : 16.91
Evaluated at bid price : 16.91
Bid-YTW : 6.74 %
BMO.PR.F FixedReset Disc 2.73 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-24
Maturity Price : 23.98
Evaluated at bid price : 24.50
Bid-YTW : 7.58 %
BN.PF.B FixedReset Disc 3.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-24
Maturity Price : 17.00
Evaluated at bid price : 17.00
Bid-YTW : 9.57 %
CU.PR.J Perpetual-Discount 3.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-24
Maturity Price : 17.95
Evaluated at bid price : 17.95
Bid-YTW : 6.74 %
Volume Highlights
Issue Index Shares
Traded		 Notes
NA.PR.S FixedReset Disc 161,000 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-24
Maturity Price : 18.00
Evaluated at bid price : 18.00
Bid-YTW : 8.66 %
TD.PF.B FixedReset Disc 42,400 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-24
Maturity Price : 17.60
Evaluated at bid price : 17.60
Bid-YTW : 8.61 %
FTS.PR.G FixedReset Disc 28,500 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-24
Maturity Price : 18.85
Evaluated at bid price : 18.85
Bid-YTW : 8.19 %
CM.PR.T FixedReset Disc 21,200 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-24
Maturity Price : 22.22
Evaluated at bid price : 22.95
Bid-YTW : 7.76 %
CM.PR.P FixedReset Disc 17,900 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-24
Maturity Price : 17.02
Evaluated at bid price : 17.02
Bid-YTW : 8.68 %
RY.PR.S FixedReset Disc 14,000 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-24
Maturity Price : 20.35
Evaluated at bid price : 20.35
Bid-YTW : 7.83 %
There were 5 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
TRP.PR.G FixedReset Disc Quote: 16.50 – 24.62
Spot Rate : 8.1200
Average : 5.4496

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-24
Maturity Price : 16.50
Evaluated at bid price : 16.50
Bid-YTW : 9.48 %
MFC.PR.L FixedReset Ins Non Quote: 15.51 – 17.66
Spot Rate : 2.1500
Average : 1.3863

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-24
Maturity Price : 15.51
Evaluated at bid price : 15.51
Bid-YTW : 9.72 %
TD.PF.D FixedReset Disc Quote: 18.56 – 20.00
Spot Rate : 1.4400
Average : 0.9038

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-24
Maturity Price : 18.56
Evaluated at bid price : 18.56
Bid-YTW : 8.40 %
BN.PR.R FixedReset Disc Quote: 13.25 – 14.50
Spot Rate : 1.2500
Average : 0.7200

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-24
Maturity Price : 13.25
Evaluated at bid price : 13.25
Bid-YTW : 10.48 %
SLF.PR.D Insurance Straight Quote: 17.85 – 18.80
Spot Rate : 0.9500
Average : 0.5873

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-24
Maturity Price : 17.85
Evaluated at bid price : 17.85
Bid-YTW : 6.31 %
RY.PR.N Perpetual-Discount Quote: 21.26 – 22.50
Spot Rate : 1.2400
Average : 0.8774

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-24
Maturity Price : 21.26
Evaluated at bid price : 21.26
Bid-YTW : 5.77 %
Market Action

July 21, 2023

TXPR closed at 537.46, up 1.31% on the day. Volume today was 8.59-million, highest of the past 21 trading days and nearly five times as much as the second-ranking day.

CPD closed at 10.68, up 0.38% on the day. Volume was 36,290, near the median of the past 21 trading days.

ZPR closed at 8.97, down 0.33% on the day. Volume was 98,080, below the median of the past 21 trading days.

Five-year Canada yields were down to 3.85%.

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 0.5217 % 2,233.0
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.5217 % 4,283.0
Floater 10.90 % 11.12 % 49,460 8.71 1 0.5217 % 2,468.3
OpRet 0.00 % 0.00 % 0 0.00 0 0.1552 % 3,318.9
SplitShare 5.08 % 8.04 % 46,226 2.40 7 0.1552 % 3,963.5
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.1552 % 3,092.5
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 0.1692 % 2,545.6
Perpetual-Discount 6.69 % 6.88 % 48,289 12.74 28 0.1692 % 2,775.9
FixedReset Disc 5.77 % 8.38 % 87,565 11.24 64 0.5134 % 2,162.9
Insurance Straight 6.65 % 6.81 % 56,158 12.77 19 0.4192 % 2,704.9
FloatingReset 11.39 % 11.06 % 36,684 8.74 2 0.7805 % 2,410.6
FixedReset Prem 7.00 % 6.85 % 276,083 3.72 1 0.0000 % 2,309.0
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 0.5134 % 2,210.9
FixedReset Ins Non 6.23 % 7.97 % 63,050 11.54 11 0.0103 % 2,301.1
Performance Highlights
Issue Index Change Notes
RY.PR.N Perpetual-Discount -2.25 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-21
Maturity Price : 21.26
Evaluated at bid price : 21.26
Bid-YTW : 5.87 %
SLF.PR.G FixedReset Ins Non -1.33 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-21
Maturity Price : 12.65
Evaluated at bid price : 12.65
Bid-YTW : 9.41 %
CU.PR.D Perpetual-Discount -1.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-21
Maturity Price : 18.14
Evaluated at bid price : 18.14
Bid-YTW : 6.88 %
FTS.PR.H FixedReset Disc 1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-21
Maturity Price : 12.88
Evaluated at bid price : 12.88
Bid-YTW : 9.38 %
RY.PR.M FixedReset Disc 1.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-21
Maturity Price : 18.19
Evaluated at bid price : 18.19
Bid-YTW : 8.17 %
SLF.PR.C Insurance Straight 1.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-21
Maturity Price : 17.85
Evaluated at bid price : 17.85
Bid-YTW : 6.31 %
CM.PR.O FixedReset Disc 1.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-21
Maturity Price : 17.95
Evaluated at bid price : 17.95
Bid-YTW : 8.31 %
TRP.PR.A FixedReset Disc 1.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-21
Maturity Price : 14.05
Evaluated at bid price : 14.05
Bid-YTW : 9.80 %
TD.PF.M FixedReset Disc 1.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-21
Maturity Price : 23.47
Evaluated at bid price : 24.00
Bid-YTW : 7.56 %
NA.PR.S FixedReset Disc 1.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-21
Maturity Price : 18.07
Evaluated at bid price : 18.07
Bid-YTW : 8.49 %
BN.PF.F FixedReset Disc 1.25 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-21
Maturity Price : 16.20
Evaluated at bid price : 16.20
Bid-YTW : 10.07 %
BN.PR.X FixedReset Disc 1.30 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-21
Maturity Price : 14.85
Evaluated at bid price : 14.85
Bid-YTW : 9.08 %
SLF.PR.J FloatingReset 1.35 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-21
Maturity Price : 15.00
Evaluated at bid price : 15.00
Bid-YTW : 11.06 %
CU.PR.C FixedReset Disc 1.39 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-21
Maturity Price : 18.25
Evaluated at bid price : 18.25
Bid-YTW : 8.29 %
MFC.PR.C Insurance Straight 1.45 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-21
Maturity Price : 17.50
Evaluated at bid price : 17.50
Bid-YTW : 6.52 %
BN.PF.H FixedReset Disc 1.56 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-21
Maturity Price : 20.15
Evaluated at bid price : 20.15
Bid-YTW : 9.25 %
IFC.PR.E Insurance Straight 1.63 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-21
Maturity Price : 19.30
Evaluated at bid price : 19.30
Bid-YTW : 6.82 %
SLF.PR.E Insurance Straight 1.71 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-21
Maturity Price : 17.80
Evaluated at bid price : 17.80
Bid-YTW : 6.40 %
BIP.PR.F FixedReset Disc 1.73 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-21
Maturity Price : 20.60
Evaluated at bid price : 20.60
Bid-YTW : 8.20 %
BN.PR.R FixedReset Disc 2.28 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-21
Maturity Price : 14.37
Evaluated at bid price : 14.37
Bid-YTW : 9.59 %
BIK.PR.A FixedReset Disc 2.62 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-21
Maturity Price : 22.10
Evaluated at bid price : 22.75
Bid-YTW : 8.51 %
BN.PF.E FixedReset Disc 3.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-21
Maturity Price : 15.10
Evaluated at bid price : 15.10
Bid-YTW : 9.94 %
PWF.PR.P FixedReset Disc 7.83 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-21
Maturity Price : 12.40
Evaluated at bid price : 12.40
Bid-YTW : 9.59 %
Volume Highlights
Issue Index Shares
Traded		 Notes
GWO.PR.Y Insurance Straight 241,700 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-21
Maturity Price : 16.53
Evaluated at bid price : 16.53
Bid-YTW : 6.89 %
PWF.PF.A Perpetual-Discount 241,177 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-21
Maturity Price : 16.31
Evaluated at bid price : 16.31
Bid-YTW : 6.94 %
GWO.PR.R Insurance Straight 240,894 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-21
Maturity Price : 17.63
Evaluated at bid price : 17.63
Bid-YTW : 6.89 %
CU.PR.J Perpetual-Discount 237,999 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-21
Maturity Price : 17.40
Evaluated at bid price : 17.40
Bid-YTW : 6.96 %
IFC.PR.E Insurance Straight 197,483 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-21
Maturity Price : 19.30
Evaluated at bid price : 19.30
Bid-YTW : 6.82 %
IFC.PR.K Perpetual-Discount 190,462 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-21
Maturity Price : 19.20
Evaluated at bid price : 19.20
Bid-YTW : 6.92 %
TD.PF.B FixedReset Disc 186,982 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-21
Maturity Price : 17.60
Evaluated at bid price : 17.60
Bid-YTW : 8.47 %
TD.PF.C FixedReset Disc 131,473 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-21
Maturity Price : 17.24
Evaluated at bid price : 17.24
Bid-YTW : 8.51 %
There were 98 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
BMO.PR.T FixedReset Disc Quote: 17.29 – 24.00
Spot Rate : 6.7100
Average : 3.8284

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-21
Maturity Price : 17.29
Evaluated at bid price : 17.29
Bid-YTW : 8.65 %
CM.PR.O FixedReset Disc Quote: 17.95 – 23.92
Spot Rate : 5.9700
Average : 3.2035

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-21
Maturity Price : 17.95
Evaluated at bid price : 17.95
Bid-YTW : 8.31 %
CU.PR.C FixedReset Disc Quote: 18.25 – 22.72
Spot Rate : 4.4700
Average : 2.3714

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-21
Maturity Price : 18.25
Evaluated at bid price : 18.25
Bid-YTW : 8.29 %
RY.PR.M FixedReset Disc Quote: 18.19 – 22.70
Spot Rate : 4.5100
Average : 2.4370

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-21
Maturity Price : 18.19
Evaluated at bid price : 18.19
Bid-YTW : 8.17 %
PWF.PR.S Perpetual-Discount Quote: 17.46 – 20.85
Spot Rate : 3.3900
Average : 1.8558

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-21
Maturity Price : 17.46
Evaluated at bid price : 17.46
Bid-YTW : 6.92 %
POW.PR.C Perpetual-Discount Quote: 21.75 – 24.40
Spot Rate : 2.6500
Average : 1.5466

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-21
Maturity Price : 21.49
Evaluated at bid price : 21.75
Bid-YTW : 6.72 %