Category: Market Action

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 %
Market Action

October 4, 2023

TXPR closed at 508.17, down 0.59% on the day. Volume today was 1.58-million, fifth-highest of the past 21 trading days.

CPD closed at 10.07, down 0.30% on the day. Volume was 37,680, below the median of the past 21 trading days.

ZPR closed at 8.45, down 0.35% on the day. Volume was 393,310, second-highest of the past 21 trading days.

Five-year Canada yields were down to 4.39%.

Overall, today’s action was based on yield projections:

Major U.S. stock indexes ended higher on Wednesday, a day after selling off, as the latest economic data showed U.S. private payrolls increased less than expected in September. Consumer discretionary rose 2%, leading S&P 500 sectors higher, followed by communication services and technology, as U.S. Treasury yields eased off of 16-year highs.

Canada’s main stock index ended nearly unchanged, as gains were capped by a sharp drop in oil prices that weighed on energy shares amid global growth concerns.
…
Early in the day, the yield on 10-year U.S. Treasury notes touched 4.884%, a fresh 16-year high, while 30-year Treasury yields rose above 5% for the first time since August 2007. But they later retreated, and by late afternoon, the 10-year yield was down about 6 basis points. Canadian bond yields eased by a similar degree.
…
Market expectations for a rate hike in November slid to a 23.7% chance from 28.2% on Tuesday, according to CME Group’s FedWatch Tool. Implied interest rate probabilities in swaps markets suggest whether the Bank of Canada hikes interest rates again through next spring is down to a coin flip.

Another worry is the southern crackhouse:

The markets had been wobbling well before the latest turmoil in the House. But the move on Tuesday to oust Kevin McCarthy, Republican of California, as speaker, raised the prospect of a prolonged leadership vacuum. That could doom negotiations to fund the government beyond Nov. 17, when a temporary deal agreed last week will expire, adding to investor anxieties. (More on what’s next for the House below.)

Economists at Goldman Sachs called a shutdown next month their base case, saying in a note on Tuesday that “a $120 billion difference between the parties on the preferred spending level for FY2024” is one of the big sticking points. A lengthy shutdown could dent growth, and put the country’s credit rating at risk.

Investors are spooked. Stocks and bonds in Asia and Europe fell this morning. Those slides came after the S&P 500 closed at a four-month low on Tuesday. The benchmark index is lurching toward correction territory, having dropped nearly 8 percent since a high in July.

PerpetualDiscounts now yield 7.16%, equivalent to 9.31% 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 13.65, a decrease of 201bp 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 an increase in yield of about 17bp since 9/29 [?] to 5.91%, so the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) has widened to 340bp from the 330bp reported September 27.

HIMIPref™ Preferred Indices
These values reflect the December 2008 revision of the HIMIPref™ Indices
Values are provisional and are finalized monthly
Index Mean
Current
Yield
(at bid)		 Median
YTW		 Median
Average
Trading
Value		 Median
Mod Dur
(YTW)		 Issues Day’s Perf. Index Value
Ratchet 0.00 % 0.00 % 0 0.00 0 -0.2236 % 2,155.7
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.2236 % 4,134.7
Floater 11.30 % 11.42 % 57,686 8.55 2 -0.2236 % 2,382.8
OpRet 0.00 % 0.00 % 0 0.00 0 0.0683 % 3,295.8
SplitShare 5.07 % 8.36 % 40,811 1.94 7 0.0683 % 3,935.9
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0683 % 3,070.9
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 -0.1813 % 2,459.9
Perpetual-Discount 6.98 % 7.16 % 43,942 12.29 31 -0.1813 % 2,682.4
FixedReset Disc 6.08 % 9.51 % 101,526 10.42 56 -0.2397 % 2,102.2
Insurance Straight 6.90 % 6.97 % 56,680 12.60 16 0.2315 % 2,606.7
FloatingReset 11.05 % 11.22 % 37,952 8.68 1 0.0000 % 2,412.6
FixedReset Prem 4.72 % 7.15 % 337,112 12.19 1 0.0000 % 2,320.4
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 -0.2397 % 2,148.9
FixedReset Ins Non 6.37 % 9.22 % 58,552 10.80 13 -0.0593 % 2,272.2
Performance Highlights
Issue Index Change Notes
CU.PR.D Perpetual-Discount -5.76 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-10-04
Maturity Price : 16.69
Evaluated at bid price : 16.69
Bid-YTW : 7.46 %
PWF.PR.P FixedReset Disc -3.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-10-04
Maturity Price : 12.07
Evaluated at bid price : 12.07
Bid-YTW : 11.06 %
BIP.PR.F FixedReset Disc -2.59 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-10-04
Maturity Price : 18.80
Evaluated at bid price : 18.80
Bid-YTW : 9.89 %
BIP.PR.E FixedReset Disc -2.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-10-04
Maturity Price : 19.10
Evaluated at bid price : 19.10
Bid-YTW : 9.51 %
BN.PF.B FixedReset Disc -1.95 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-10-04
Maturity Price : 16.62
Evaluated at bid price : 16.62
Bid-YTW : 10.63 %
IFC.PR.C FixedReset Disc -1.87 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-10-04
Maturity Price : 16.24
Evaluated at bid price : 16.24
Bid-YTW : 9.73 %
BN.PR.X FixedReset Disc -1.70 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-10-04
Maturity Price : 12.75
Evaluated at bid price : 12.75
Bid-YTW : 11.39 %
RY.PR.S FixedReset Disc -1.54 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-10-04
Maturity Price : 20.45
Evaluated at bid price : 20.45
Bid-YTW : 8.50 %
BN.PF.J FixedReset Disc -1.38 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-10-04
Maturity Price : 17.90
Evaluated at bid price : 17.90
Bid-YTW : 10.04 %
BNS.PR.I FixedReset Disc -1.37 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-10-04
Maturity Price : 21.60
Evaluated at bid price : 21.60
Bid-YTW : 8.03 %
FTS.PR.J Perpetual-Discount -1.31 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-10-04
Maturity Price : 18.11
Evaluated at bid price : 18.11
Bid-YTW : 6.66 %
NA.PR.E FixedReset Disc -1.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-10-04
Maturity Price : 19.78
Evaluated at bid price : 19.78
Bid-YTW : 8.58 %
BMO.PR.S FixedReset Disc 1.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-10-04
Maturity Price : 18.19
Evaluated at bid price : 18.19
Bid-YTW : 9.37 %
SLF.PR.D Insurance Straight 1.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-10-04
Maturity Price : 16.88
Evaluated at bid price : 16.88
Bid-YTW : 6.65 %
TD.PF.C FixedReset Disc 1.34 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-10-04
Maturity Price : 17.40
Evaluated at bid price : 17.40
Bid-YTW : 9.46 %
PVS.PR.H SplitShare 1.36 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2027-02-28
Maturity Price : 25.00
Evaluated at bid price : 22.40
Bid-YTW : 8.45 %
RY.PR.O Perpetual-Discount 1.71 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-10-04
Maturity Price : 20.85
Evaluated at bid price : 20.85
Bid-YTW : 5.97 %
BN.PF.G FixedReset Disc 2.24 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-10-04
Maturity Price : 14.60
Evaluated at bid price : 14.60
Bid-YTW : 11.59 %
PWF.PR.S Perpetual-Discount 3.86 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-10-04
Maturity Price : 17.24
Evaluated at bid price : 17.24
Bid-YTW : 7.12 %
IFC.PR.E Insurance Straight 5.56 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-10-04
Maturity Price : 19.00
Evaluated at bid price : 19.00
Bid-YTW : 6.91 %
Volume Highlights
Issue Index Shares
Traded		 Notes
CM.PR.O FixedReset Disc 137,752 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-10-04
Maturity Price : 17.82
Evaluated at bid price : 17.82
Bid-YTW : 9.27 %
RY.PR.J FixedReset Disc 74,123 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-10-04
Maturity Price : 17.82
Evaluated at bid price : 17.82
Bid-YTW : 9.56 %
BMO.PR.S FixedReset Disc 67,073 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-10-04
Maturity Price : 18.19
Evaluated at bid price : 18.19
Bid-YTW : 9.37 %
BMO.PR.W FixedReset Disc 60,332 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-10-04
Maturity Price : 16.87
Evaluated at bid price : 16.87
Bid-YTW : 9.74 %
TD.PF.B FixedReset Disc 38,054 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-10-04
Maturity Price : 18.51
Evaluated at bid price : 18.51
Bid-YTW : 9.08 %
TD.PF.C FixedReset Disc 37,104 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-10-04
Maturity Price : 17.40
Evaluated at bid price : 17.40
Bid-YTW : 9.46 %
There were 13 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: 18.19 – 20.05
Spot Rate : 1.8600
Average : 1.2059

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-10-04
Maturity Price : 18.19
Evaluated at bid price : 18.19
Bid-YTW : 10.28 %
CU.PR.D Perpetual-Discount Quote: 16.69 – 17.75
Spot Rate : 1.0600
Average : 0.7233

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-10-04
Maturity Price : 16.69
Evaluated at bid price : 16.69
Bid-YTW : 7.46 %
TD.PF.E FixedReset Disc Quote: 17.78 – 18.90
Spot Rate : 1.1200
Average : 0.7851

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-10-04
Maturity Price : 17.78
Evaluated at bid price : 17.78
Bid-YTW : 9.56 %
RY.PR.S FixedReset Disc Quote: 20.45 – 21.07
Spot Rate : 0.6200
Average : 0.3948

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-10-04
Maturity Price : 20.45
Evaluated at bid price : 20.45
Bid-YTW : 8.50 %
PWF.PR.P FixedReset Disc Quote: 12.07 – 12.97
Spot Rate : 0.9000
Average : 0.7307

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-10-04
Maturity Price : 12.07
Evaluated at bid price : 12.07
Bid-YTW : 11.06 %
CM.PR.Q FixedReset Disc Quote: 17.10 – 17.65
Spot Rate : 0.5500
Average : 0.3832

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-10-04
Maturity Price : 17.10
Evaluated at bid price : 17.10
Bid-YTW : 9.69 %
Market Action

October 3, 2023

Holy smokes! GOC-5 closed at 4.47% today!

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 -0.2676 % 2,160.6
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.2676 % 4,144.0
Floater 11.27 % 11.42 % 53,434 8.55 2 -0.2676 % 2,388.2
OpRet 0.00 % 0.00 % 0 0.00 0 0.1431 % 3,293.5
SplitShare 5.08 % 8.35 % 42,312 1.94 7 0.1431 % 3,933.2
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.1431 % 3,068.8
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 -0.9591 % 2,464.4
Perpetual-Discount 6.97 % 7.13 % 44,403 12.31 31 -0.9591 % 2,687.3
FixedReset Disc 6.06 % 9.49 % 99,362 10.40 56 -0.4722 % 2,107.3
Insurance Straight 6.91 % 7.01 % 56,994 12.56 16 -0.7347 % 2,600.7
FloatingReset 11.05 % 11.21 % 39,370 8.69 1 0.9421 % 2,412.6
FixedReset Prem 4.72 % 7.15 % 328,734 12.20 1 0.0000 % 2,320.4
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 -0.4722 % 2,154.1
FixedReset Ins Non 6.36 % 9.24 % 58,430 10.77 13 -0.4453 % 2,273.5
Performance Highlights
Issue Index Change Notes
IFC.PR.E Insurance Straight -5.66 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-10-03
Maturity Price : 18.00
Evaluated at bid price : 18.00
Bid-YTW : 7.29 %
PWF.PR.S Perpetual-Discount -4.38 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-10-03
Maturity Price : 16.60
Evaluated at bid price : 16.60
Bid-YTW : 7.40 %
BIP.PR.E FixedReset Disc -2.50 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-10-03
Maturity Price : 19.50
Evaluated at bid price : 19.50
Bid-YTW : 9.32 %
RY.PR.O Perpetual-Discount -2.38 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-10-03
Maturity Price : 20.50
Evaluated at bid price : 20.50
Bid-YTW : 6.07 %
MFC.PR.I FixedReset Ins Non -1.96 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-10-03
Maturity Price : 19.48
Evaluated at bid price : 19.48
Bid-YTW : 9.02 %
BN.PR.N Perpetual-Discount -1.96 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-10-03
Maturity Price : 16.03
Evaluated at bid price : 16.03
Bid-YTW : 7.48 %
CM.PR.T FixedReset Disc -1.93 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-10-03
Maturity Price : 22.19
Evaluated at bid price : 22.90
Bid-YTW : 8.39 %
IFC.PR.K Perpetual-Discount -1.86 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-10-03
Maturity Price : 18.95
Evaluated at bid price : 18.95
Bid-YTW : 6.99 %
BN.PF.G FixedReset Disc -1.86 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-10-03
Maturity Price : 14.28
Evaluated at bid price : 14.28
Bid-YTW : 11.83 %
CU.PR.C FixedReset Disc -1.79 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-10-03
Maturity Price : 17.05
Evaluated at bid price : 17.05
Bid-YTW : 9.55 %
BN.PF.I FixedReset Disc -1.77 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-10-03
Maturity Price : 17.23
Evaluated at bid price : 17.23
Bid-YTW : 10.86 %
BN.PF.D Perpetual-Discount -1.72 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-10-03
Maturity Price : 16.57
Evaluated at bid price : 16.57
Bid-YTW : 7.47 %
BN.PF.C Perpetual-Discount -1.68 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-10-03
Maturity Price : 16.41
Evaluated at bid price : 16.41
Bid-YTW : 7.46 %
MFC.PR.J FixedReset Ins Non -1.66 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-10-03
Maturity Price : 19.55
Evaluated at bid price : 19.55
Bid-YTW : 8.80 %
MFC.PR.Q FixedReset Ins Non -1.59 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-10-03
Maturity Price : 19.16
Evaluated at bid price : 19.16
Bid-YTW : 8.81 %
TD.PF.I FixedReset Disc -1.54 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-10-03
Maturity Price : 21.96
Evaluated at bid price : 22.40
Bid-YTW : 8.15 %
CM.PR.P FixedReset Disc -1.51 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-10-03
Maturity Price : 16.26
Evaluated at bid price : 16.26
Bid-YTW : 9.86 %
TD.PF.A FixedReset Disc -1.43 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-10-03
Maturity Price : 17.88
Evaluated at bid price : 17.88
Bid-YTW : 9.25 %
IFC.PR.A FixedReset Ins Non -1.41 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-10-03
Maturity Price : 15.40
Evaluated at bid price : 15.40
Bid-YTW : 9.42 %
CU.PR.G Perpetual-Discount -1.39 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-10-03
Maturity Price : 16.32
Evaluated at bid price : 16.32
Bid-YTW : 7.00 %
POW.PR.G Perpetual-Discount -1.35 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-10-03
Maturity Price : 19.68
Evaluated at bid price : 19.68
Bid-YTW : 7.16 %
BN.PR.M Perpetual-Discount -1.34 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-10-03
Maturity Price : 16.25
Evaluated at bid price : 16.25
Bid-YTW : 7.38 %
FTS.PR.G FixedReset Disc -1.32 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-10-03
Maturity Price : 18.65
Evaluated at bid price : 18.65
Bid-YTW : 8.79 %
TD.PF.C FixedReset Disc -1.32 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-10-03
Maturity Price : 17.17
Evaluated at bid price : 17.17
Bid-YTW : 9.58 %
POW.PR.B Perpetual-Discount -1.26 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-10-03
Maturity Price : 18.81
Evaluated at bid price : 18.81
Bid-YTW : 7.15 %
PWF.PR.G Perpetual-Discount -1.25 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-10-03
Maturity Price : 21.35
Evaluated at bid price : 21.35
Bid-YTW : 7.07 %
CM.PR.S FixedReset Disc -1.21 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-10-03
Maturity Price : 19.65
Evaluated at bid price : 19.65
Bid-YTW : 8.42 %
BN.PR.X FixedReset Disc -1.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-10-03
Maturity Price : 12.97
Evaluated at bid price : 12.97
Bid-YTW : 11.20 %
BMO.PR.W FixedReset Disc -1.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-10-03
Maturity Price : 16.75
Evaluated at bid price : 16.75
Bid-YTW : 9.81 %
GWO.PR.R Insurance Straight -1.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-10-03
Maturity Price : 17.16
Evaluated at bid price : 17.16
Bid-YTW : 7.06 %
BN.PF.J FixedReset Disc -1.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-10-03
Maturity Price : 18.15
Evaluated at bid price : 18.15
Bid-YTW : 9.91 %
BN.PF.A FixedReset Disc -1.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-10-03
Maturity Price : 18.35
Evaluated at bid price : 18.35
Bid-YTW : 10.19 %
SLF.PR.G FixedReset Ins Non 1.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-10-03
Maturity Price : 13.25
Evaluated at bid price : 13.25
Bid-YTW : 10.13 %
RY.PR.Z FixedReset Disc 1.17 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-10-03
Maturity Price : 18.16
Evaluated at bid price : 18.16
Bid-YTW : 9.21 %
PVS.PR.H SplitShare 1.28 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2027-02-28
Maturity Price : 25.00
Evaluated at bid price : 22.10
Bid-YTW : 8.89 %
BN.PF.B FixedReset Disc 1.62 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-10-03
Maturity Price : 16.95
Evaluated at bid price : 16.95
Bid-YTW : 10.42 %
BNS.PR.I FixedReset Disc 1.62 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-10-03
Maturity Price : 21.56
Evaluated at bid price : 21.90
Bid-YTW : 7.90 %
PWF.PR.P FixedReset Disc 1.63 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-10-03
Maturity Price : 12.45
Evaluated at bid price : 12.45
Bid-YTW : 10.75 %
Volume Highlights
Issue Index Shares
Traded		 Notes
PWF.PR.P FixedReset Disc 52,852 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-10-03
Maturity Price : 12.45
Evaluated at bid price : 12.45
Bid-YTW : 10.75 %
NA.PR.W FixedReset Disc 42,868 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-10-03
Maturity Price : 16.72
Evaluated at bid price : 16.72
Bid-YTW : 9.79 %
RY.PR.Z FixedReset Disc 42,703 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-10-03
Maturity Price : 18.16
Evaluated at bid price : 18.16
Bid-YTW : 9.21 %
BN.PF.J FixedReset Disc 35,079 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-10-03
Maturity Price : 18.15
Evaluated at bid price : 18.15
Bid-YTW : 9.91 %
BN.PF.B FixedReset Disc 32,509 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-10-03
Maturity Price : 16.95
Evaluated at bid price : 16.95
Bid-YTW : 10.42 %
BMO.PR.E FixedReset Disc 31,296 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-10-03
Maturity Price : 22.30
Evaluated at bid price : 23.05
Bid-YTW : 7.88 %
There were 10 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
IFC.PR.E Insurance Straight Quote: 18.00 – 19.09
Spot Rate : 1.0900
Average : 0.6445

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-10-03
Maturity Price : 18.00
Evaluated at bid price : 18.00
Bid-YTW : 7.29 %
GWO.PR.N FixedReset Ins Non Quote: 12.62 – 13.64
Spot Rate : 1.0200
Average : 0.6281

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-10-03
Maturity Price : 12.62
Evaluated at bid price : 12.62
Bid-YTW : 9.92 %
PWF.PR.S Perpetual-Discount Quote: 16.60 – 17.37
Spot Rate : 0.7700
Average : 0.4762

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-10-03
Maturity Price : 16.60
Evaluated at bid price : 16.60
Bid-YTW : 7.40 %
MFC.PR.I FixedReset Ins Non Quote: 19.48 – 20.76
Spot Rate : 1.2800
Average : 1.0107

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-10-03
Maturity Price : 19.48
Evaluated at bid price : 19.48
Bid-YTW : 9.02 %
BN.PR.X FixedReset Disc Quote: 12.97 – 14.00
Spot Rate : 1.0300
Average : 0.7634

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-10-03
Maturity Price : 12.97
Evaluated at bid price : 12.97
Bid-YTW : 11.20 %
MFC.PR.F FixedReset Ins Non Quote: 13.22 – 13.99
Spot Rate : 0.7700
Average : 0.5175

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-10-03
Maturity Price : 13.22
Evaluated at bid price : 13.22
Bid-YTW : 9.78 %
Market Action

October 2, 2023

I don’t usually mention NCIB notices because they’re so often meaningless, but Assiduous Reader PL sent me a note about the FFH NCIB today, so why not post it?

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 0.2235 % 2,166.4
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.2235 % 4,155.1
Floater 11.24 % 11.41 % 34,092 8.56 2 0.2235 % 2,394.6
OpRet 0.00 % 0.00 % 0 0.00 0 -1.2471 % 3,288.8
SplitShare 5.09 % 8.24 % 44,071 1.94 7 -1.2471 % 3,927.6
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -1.2471 % 3,064.4
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 0.1152 % 2,488.2
Perpetual-Discount 6.90 % 7.08 % 44,485 12.39 31 0.1152 % 2,713.3
FixedReset Disc 6.03 % 9.21 % 100,981 10.64 56 0.1809 % 2,117.3
Insurance Straight 6.86 % 6.97 % 57,637 12.61 16 -0.0870 % 2,620.0
FloatingReset 11.14 % 11.30 % 39,878 8.63 1 1.0884 % 2,390.1
FixedReset Prem 0.00 % 0.00 % 0 0.00 1 0.1809 % 2,320.4
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 0.1809 % 2,164.3
FixedReset Ins Non 6.32 % 9.04 % 59,273 10.98 13 -0.1225 % 2,283.7
Performance Highlights
Issue Index Change Notes
PVS.PR.H SplitShare -3.88 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2027-02-28
Maturity Price : 25.00
Evaluated at bid price : 21.82
Bid-YTW : 9.31 %
PVS.PR.J SplitShare -2.47 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2028-02-29
Maturity Price : 25.00
Evaluated at bid price : 21.70
Bid-YTW : 8.15 %
POW.PR.D Perpetual-Discount -2.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-10-02
Maturity Price : 17.77
Evaluated at bid price : 17.77
Bid-YTW : 7.08 %
CU.PR.E Perpetual-Discount -2.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-10-02
Maturity Price : 17.56
Evaluated at bid price : 17.56
Bid-YTW : 7.09 %
PVS.PR.I SplitShare -2.10 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-10-31
Maturity Price : 25.00
Evaluated at bid price : 23.35
Bid-YTW : 8.50 %
MFC.PR.K FixedReset Ins Non -1.71 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-10-02
Maturity Price : 19.55
Evaluated at bid price : 19.55
Bid-YTW : 8.46 %
NA.PR.S FixedReset Disc -1.31 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-10-02
Maturity Price : 18.10
Evaluated at bid price : 18.10
Bid-YTW : 9.31 %
CU.PR.J Perpetual-Discount -1.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-10-02
Maturity Price : 16.82
Evaluated at bid price : 16.82
Bid-YTW : 7.17 %
NA.PR.E FixedReset Disc 1.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-10-02
Maturity Price : 20.15
Evaluated at bid price : 20.15
Bid-YTW : 8.28 %
SLF.PR.J FloatingReset 1.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-10-02
Maturity Price : 14.86
Evaluated at bid price : 14.86
Bid-YTW : 11.30 %
BIK.PR.A FixedReset Disc 1.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-10-02
Maturity Price : 21.00
Evaluated at bid price : 21.00
Bid-YTW : 9.83 %
CM.PR.T FixedReset Disc 1.17 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-10-02
Maturity Price : 22.66
Evaluated at bid price : 23.35
Bid-YTW : 8.05 %
PWF.PR.T FixedReset Disc 1.33 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-10-02
Maturity Price : 19.05
Evaluated at bid price : 19.05
Bid-YTW : 8.93 %
BN.PF.G FixedReset Disc 1.89 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-10-02
Maturity Price : 14.55
Evaluated at bid price : 14.55
Bid-YTW : 11.39 %
BMO.PR.E FixedReset Disc 2.65 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-10-02
Maturity Price : 22.41
Evaluated at bid price : 23.25
Bid-YTW : 7.62 %
CU.PR.D Perpetual-Discount 6.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-10-02
Maturity Price : 17.71
Evaluated at bid price : 17.71
Bid-YTW : 7.02 %
Volume Highlights
Issue Index Shares
Traded		 Notes
RY.PR.M FixedReset Disc 55,700 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-10-02
Maturity Price : 16.75
Evaluated at bid price : 16.75
Bid-YTW : 9.49 %
RY.PR.J FixedReset Disc 19,700 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-10-02
Maturity Price : 17.87
Evaluated at bid price : 17.87
Bid-YTW : 9.32 %
BMO.PR.S FixedReset Disc 17,700 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-10-02
Maturity Price : 18.16
Evaluated at bid price : 18.16
Bid-YTW : 9.15 %
TD.PF.D FixedReset Disc 15,800 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-10-02
Maturity Price : 17.67
Evaluated at bid price : 17.67
Bid-YTW : 9.43 %
RY.PR.H FixedReset Disc 13,200 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-10-02
Maturity Price : 17.83
Evaluated at bid price : 17.83
Bid-YTW : 9.12 %
BMO.PR.E FixedReset Disc 12,600 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-10-02
Maturity Price : 22.41
Evaluated at bid price : 23.25
Bid-YTW : 7.62 %
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.C FixedReset Disc Quote: 17.36 – 21.72
Spot Rate : 4.3600
Average : 2.6616

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-10-02
Maturity Price : 17.36
Evaluated at bid price : 17.36
Bid-YTW : 9.21 %
CU.PR.F Perpetual-Discount Quote: 16.41 – 18.43
Spot Rate : 2.0200
Average : 1.1539

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-10-02
Maturity Price : 16.41
Evaluated at bid price : 16.41
Bid-YTW : 6.96 %
POW.PR.B Perpetual-Discount Quote: 19.05 – 23.00
Spot Rate : 3.9500
Average : 3.1169

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-10-02
Maturity Price : 19.05
Evaluated at bid price : 19.05
Bid-YTW : 7.06 %
CU.PR.I FixedReset Disc Quote: 21.20 – 23.95
Spot Rate : 2.7500
Average : 2.0839

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-10-02
Maturity Price : 21.20
Evaluated at bid price : 21.20
Bid-YTW : 8.89 %
PVS.PR.H SplitShare Quote: 21.82 – 23.00
Spot Rate : 1.1800
Average : 0.8385

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2027-02-28
Maturity Price : 25.00
Evaluated at bid price : 21.82
Bid-YTW : 9.31 %
TD.PF.C FixedReset Disc Quote: 17.40 – 18.24
Spot Rate : 0.8400
Average : 0.5054

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-10-02
Maturity Price : 17.40
Evaluated at bid price : 17.40
Bid-YTW : 9.23 %
Market Action

September 29, 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 % 2,161.5
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.2675 % 4,145.8
Floater 11.27 % 11.37 % 54,316 8.57 2 -0.2675 % 2,389.2
OpRet 0.00 % 0.00 % 0 0.00 0 -0.8764 % 3,330.4
SplitShare 5.07 % 8.28 % 44,410 2.23 7 -0.8764 % 3,977.2
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.8764 % 3,103.1
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 0.1078 % 2,485.4
Perpetual-Discount 6.87 % 7.07 % 43,404 12.46 33 0.1078 % 2,710.2
FixedReset Disc 5.96 % 9.18 % 100,999 10.61 55 0.4855 % 2,113.4
Insurance Straight 6.86 % 6.96 % 58,211 12.63 17 0.1079 % 2,622.2
FloatingReset 11.26 % 11.40 % 39,266 8.55 1 3.1579 % 2,364.4
FixedReset Prem 0.00 % 0.00 % 0 0.00 0 0.4855 % 2,316.2
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 0.4855 % 2,160.4
FixedReset Ins Non 6.56 % 8.64 % 122,275 11.07 11 -0.0521 % 2,286.5
Performance Highlights
Issue Index Change Notes
CU.PR.D Perpetual-Discount -6.29 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-29
Maturity Price : 16.69
Evaluated at bid price : 16.69
Bid-YTW : 7.45 %
PVS.PR.G SplitShare -2.32 % YTW SCENARIO
Maturity Type : Option Certainty
Maturity Date : 2026-02-28
Maturity Price : 25.00
Evaluated at bid price : 23.20
Bid-YTW : 8.44 %
PVS.PR.H SplitShare -1.94 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2027-02-28
Maturity Price : 25.00
Evaluated at bid price : 22.70
Bid-YTW : 7.97 %
PVS.PR.J SplitShare -1.33 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2028-02-29
Maturity Price : 25.00
Evaluated at bid price : 22.25
Bid-YTW : 7.48 %
PWF.PR.T FixedReset Disc -1.31 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-29
Maturity Price : 18.80
Evaluated at bid price : 18.80
Bid-YTW : 9.04 %
BN.PF.G FixedReset Disc -1.24 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-29
Maturity Price : 14.28
Evaluated at bid price : 14.28
Bid-YTW : 11.57 %
BIK.PR.A FixedReset Disc -1.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-29
Maturity Price : 20.76
Evaluated at bid price : 20.76
Bid-YTW : 9.93 %
RY.PR.Z FixedReset Disc 1.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-29
Maturity Price : 17.99
Evaluated at bid price : 17.99
Bid-YTW : 9.06 %
CU.PR.F Perpetual-Discount 1.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-29
Maturity Price : 16.49
Evaluated at bid price : 16.49
Bid-YTW : 6.92 %
CU.PR.E Perpetual-Discount 1.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-29
Maturity Price : 17.94
Evaluated at bid price : 17.94
Bid-YTW : 6.93 %
BN.PF.H FixedReset Disc 1.33 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-29
Maturity Price : 19.00
Evaluated at bid price : 19.00
Bid-YTW : 10.30 %
FTS.PR.G FixedReset Disc 1.44 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-29
Maturity Price : 19.02
Evaluated at bid price : 19.02
Bid-YTW : 8.46 %
POW.PR.D Perpetual-Discount 1.45 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-29
Maturity Price : 18.16
Evaluated at bid price : 18.16
Bid-YTW : 6.92 %
SLF.PR.J FloatingReset 3.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-29
Maturity Price : 14.70
Evaluated at bid price : 14.70
Bid-YTW : 11.40 %
BN.PF.A FixedReset Disc 32.39 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-29
Maturity Price : 18.68
Evaluated at bid price : 18.68
Bid-YTW : 9.76 %
Volume Highlights
Issue Index Shares
Traded		 Notes
RY.PR.Z FixedReset Disc 88,134 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-29
Maturity Price : 17.99
Evaluated at bid price : 17.99
Bid-YTW : 9.06 %
TD.PF.E FixedReset Disc 81,639 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-29
Maturity Price : 17.95
Evaluated at bid price : 17.95
Bid-YTW : 9.27 %
GWO.PR.N FixedReset Ins Non 75,676 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-29
Maturity Price : 12.62
Evaluated at bid price : 12.62
Bid-YTW : 9.66 %
BN.PF.G FixedReset Disc 60,632 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-29
Maturity Price : 14.28
Evaluated at bid price : 14.28
Bid-YTW : 11.57 %
BMO.PR.T FixedReset Disc 57,493 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-29
Maturity Price : 17.27
Evaluated at bid price : 17.27
Bid-YTW : 9.37 %
CM.PR.O FixedReset Disc 56,100 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-29
Maturity Price : 17.81
Evaluated at bid price : 17.81
Bid-YTW : 9.05 %
There were 13 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: 19.12 – 23.00
Spot Rate : 3.8800
Average : 2.2035

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-29
Maturity Price : 19.12
Evaluated at bid price : 19.12
Bid-YTW : 7.03 %
CU.PR.D Perpetual-Discount Quote: 16.69 – 18.05
Spot Rate : 1.3600
Average : 0.7840

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-29
Maturity Price : 16.69
Evaluated at bid price : 16.69
Bid-YTW : 7.45 %
CU.PR.C FixedReset Disc Quote: 17.25 – 18.60
Spot Rate : 1.3500
Average : 0.7995

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-29
Maturity Price : 17.25
Evaluated at bid price : 17.25
Bid-YTW : 9.26 %
PVS.PR.G SplitShare Quote: 23.20 – 24.02
Spot Rate : 0.8200
Average : 0.5370

YTW SCENARIO
Maturity Type : Option Certainty
Maturity Date : 2026-02-28
Maturity Price : 25.00
Evaluated at bid price : 23.20
Bid-YTW : 8.44 %
BN.PR.N Perpetual-Discount Quote: 16.30 – 17.00
Spot Rate : 0.7000
Average : 0.4363

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-29
Maturity Price : 16.30
Evaluated at bid price : 16.30
Bid-YTW : 7.35 %
GWO.PR.I Insurance Straight Quote: 16.45 – 17.80
Spot Rate : 1.3500
Average : 1.1063

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-29
Maturity Price : 16.45
Evaluated at bid price : 16.45
Bid-YTW : 6.90 %
Market Action

September 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 0.3579 % 2,167.3
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.3579 % 4,156.9
Floater 11.23 % 11.37 % 54,955 8.57 2 0.3579 % 2,395.7
OpRet 0.00 % 0.00 % 0 0.00 0 -0.0490 % 3,359.8
SplitShare 5.03 % 7.37 % 43,557 2.24 7 -0.0490 % 4,012.3
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.0490 % 3,130.6
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 0.0752 % 2,482.7
Perpetual-Discount 6.88 % 7.08 % 42,854 12.43 33 0.0752 % 2,707.3
FixedReset Disc 5.99 % 9.17 % 104,302 10.61 55 0.0137 % 2,103.2
Insurance Straight 6.87 % 6.96 % 60,321 12.63 17 -0.0294 % 2,619.4
FloatingReset 11.61 % 11.76 % 39,162 8.32 1 0.4937 % 2,292.0
FixedReset Prem 0.00 % 0.00 % 0 0.00 0 0.0137 % 2,305.0
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 0.0137 % 2,149.9
FixedReset Ins Non 6.56 % 8.63 % 124,173 11.09 11 0.5188 % 2,287.7
Performance Highlights
Issue Index Change Notes
BN.PF.A FixedReset Disc -25.70 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-28
Maturity Price : 14.11
Evaluated at bid price : 14.11
Bid-YTW : 12.97 %
BN.PF.B FixedReset Disc -2.94 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-28
Maturity Price : 16.50
Evaluated at bid price : 16.50
Bid-YTW : 10.44 %
CU.PR.D Perpetual-Discount -1.33 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-28
Maturity Price : 17.81
Evaluated at bid price : 17.81
Bid-YTW : 6.98 %
POW.PR.A Perpetual-Discount 1.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-28
Maturity Price : 20.15
Evaluated at bid price : 20.15
Bid-YTW : 6.98 %
BN.PF.G FixedReset Disc 1.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-28
Maturity Price : 14.46
Evaluated at bid price : 14.46
Bid-YTW : 11.43 %
MFC.PR.C Insurance Straight 1.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-28
Maturity Price : 16.53
Evaluated at bid price : 16.53
Bid-YTW : 6.88 %
TD.PF.E FixedReset Disc 1.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-28
Maturity Price : 17.95
Evaluated at bid price : 17.95
Bid-YTW : 9.27 %
RY.PR.O Perpetual-Discount 1.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-28
Maturity Price : 20.85
Evaluated at bid price : 20.85
Bid-YTW : 5.96 %
PWF.PR.T FixedReset Disc 1.33 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-28
Maturity Price : 19.05
Evaluated at bid price : 19.05
Bid-YTW : 8.92 %
MFC.PR.L FixedReset Ins Non 1.36 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-28
Maturity Price : 17.90
Evaluated at bid price : 17.90
Bid-YTW : 8.98 %
IFC.PR.C FixedReset Disc 1.47 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-28
Maturity Price : 16.55
Evaluated at bid price : 16.55
Bid-YTW : 9.36 %
RY.PR.N Perpetual-Discount 1.51 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-28
Maturity Price : 20.82
Evaluated at bid price : 20.82
Bid-YTW : 5.97 %
RY.PR.S FixedReset Disc 1.56 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-28
Maturity Price : 20.78
Evaluated at bid price : 20.78
Bid-YTW : 8.15 %
CM.PR.Y FixedReset Disc 1.57 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-28
Maturity Price : 23.40
Evaluated at bid price : 24.00
Bid-YTW : 8.07 %
IFC.PR.A FixedReset Ins Non 1.62 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-28
Maturity Price : 15.65
Evaluated at bid price : 15.65
Bid-YTW : 9.08 %
MFC.PR.N FixedReset Ins Non 1.82 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-28
Maturity Price : 16.80
Evaluated at bid price : 16.80
Bid-YTW : 9.46 %
BIP.PR.F FixedReset Disc 1.87 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-28
Maturity Price : 19.05
Evaluated at bid price : 19.05
Bid-YTW : 9.52 %
BN.PR.X FixedReset Disc 30.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-28
Maturity Price : 13.00
Evaluated at bid price : 13.00
Bid-YTW : 10.95 %
Volume Highlights
Issue Index Shares
Traded		 Notes
BN.PF.G FixedReset Disc 100,603 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-28
Maturity Price : 14.46
Evaluated at bid price : 14.46
Bid-YTW : 11.43 %
TD.PF.K FixedReset Disc 71,993 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2023-10-31
Maturity Price : 25.00
Evaluated at bid price : 25.17
Bid-YTW : 5.74 %
TD.PF.B FixedReset Disc 62,222 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-28
Maturity Price : 18.33
Evaluated at bid price : 18.33
Bid-YTW : 8.93 %
RY.PR.Z FixedReset Disc 52,696 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-28
Maturity Price : 17.81
Evaluated at bid price : 17.81
Bid-YTW : 9.15 %
BMO.PR.S FixedReset Disc 36,789 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-28
Maturity Price : 18.33
Evaluated at bid price : 18.33
Bid-YTW : 9.05 %
BMO.PR.T FixedReset Disc 29,705 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-28
Maturity Price : 17.25
Evaluated at bid price : 17.25
Bid-YTW : 9.38 %
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.A FixedReset Disc Quote: 14.11 – 19.00
Spot Rate : 4.8900
Average : 2.7344

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-28
Maturity Price : 14.11
Evaluated at bid price : 14.11
Bid-YTW : 12.97 %
CU.PR.I FixedReset Disc Quote: 21.30 – 23.95
Spot Rate : 2.6500
Average : 1.5219

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-28
Maturity Price : 21.30
Evaluated at bid price : 21.30
Bid-YTW : 8.84 %
GWO.PR.I Insurance Straight Quote: 16.45 – 17.70
Spot Rate : 1.2500
Average : 0.8391

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-28
Maturity Price : 16.45
Evaluated at bid price : 16.45
Bid-YTW : 6.89 %
PVS.PR.K SplitShare Quote: 20.80 – 21.50
Spot Rate : 0.7000
Average : 0.4388

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2029-05-31
Maturity Price : 25.00
Evaluated at bid price : 20.80
Bid-YTW : 8.33 %
BN.PF.B FixedReset Disc Quote: 16.50 – 17.16
Spot Rate : 0.6600
Average : 0.4111

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-28
Maturity Price : 16.50
Evaluated at bid price : 16.50
Bid-YTW : 10.44 %
PVS.PR.H SplitShare Quote: 23.15 – 23.85
Spot Rate : 0.7000
Average : 0.5343

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2027-02-28
Maturity Price : 25.00
Evaluated at bid price : 23.15
Bid-YTW : 7.32 %
Market Action

September 27, 2023

PerpetualDiscounts now yield 7.08%, equivalent to 9.20% interest at the standard equivalency factor of 1.3x. Long corporates yielded 5.63% on 2023-9-15 [BMO is now reporting a different number for the same date than the one they reported last week … this worries me] and since then the closing price has changed from 14.33 to 13.90, a decrease of 300bp in price, with a Duration of 11.99 [again, different from last week’s report for the same day] (BMO doesn’t specify whether this is Macaulay or Modified Duration; I will assume Modified) which implies an increase in yield of about 25bp since 9/15 [?] to 5.88%, so the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) has narrowed to 330bp from the 350bp reported September 20.

HIMIPref™ Preferred Indices
These values reflect the December 2008 revision of the HIMIPref™ Indices
Values are provisional and are finalized monthly
Index Mean
Current
Yield
(at bid)		 Median
YTW		 Median
Average
Trading
Value		 Median
Mod Dur
(YTW)		 Issues Day’s Perf. Index Value
Ratchet 0.00 % 0.00 % 0 0.00 0 -0.4011 % 2,159.6
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.4011 % 4,142.1
Floater 11.28 % 11.39 % 55,770 8.57 2 -0.4011 % 2,387.1
OpRet 0.00 % 0.00 % 0 0.00 0 0.5854 % 3,361.5
SplitShare 5.02 % 7.27 % 42,599 2.25 7 0.5854 % 4,014.3
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.5854 % 3,132.1
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 -0.1567 % 2,480.8
Perpetual-Discount 6.89 % 7.08 % 43,418 12.40 33 -0.1567 % 2,705.2
FixedReset Disc 5.99 % 9.20 % 103,534 10.58 55 -0.6806 % 2,102.9
Insurance Straight 6.87 % 6.96 % 60,837 12.63 17 0.0425 % 2,620.2
FloatingReset 11.67 % 11.82 % 39,600 8.29 1 -0.1408 % 2,280.7
FixedReset Prem 0.00 % 0.00 % 0 0.00 0 -0.6806 % 2,304.7
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 -0.6806 % 2,149.6
FixedReset Ins Non 6.59 % 8.61 % 124,865 11.04 11 0.8936 % 2,275.9
Performance Highlights
Issue Index Change Notes
BN.PR.X FixedReset Disc -23.37 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-27
Maturity Price : 10.00
Evaluated at bid price : 10.00
Bid-YTW : 14.05 %
RY.PR.S FixedReset Disc -3.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-27
Maturity Price : 20.46
Evaluated at bid price : 20.46
Bid-YTW : 8.27 %
BIP.PR.F FixedReset Disc -2.35 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-27
Maturity Price : 18.70
Evaluated at bid price : 18.70
Bid-YTW : 9.70 %
MFC.PR.C Insurance Straight -1.80 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-27
Maturity Price : 16.35
Evaluated at bid price : 16.35
Bid-YTW : 6.95 %
RY.PR.M FixedReset Disc -1.75 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-27
Maturity Price : 16.85
Evaluated at bid price : 16.85
Bid-YTW : 9.42 %
BMO.PR.Y FixedReset Disc -1.62 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-27
Maturity Price : 17.60
Evaluated at bid price : 17.60
Bid-YTW : 9.27 %
CU.PR.F Perpetual-Discount -1.57 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-27
Maturity Price : 16.25
Evaluated at bid price : 16.25
Bid-YTW : 7.02 %
PWF.PR.T FixedReset Disc -1.57 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-27
Maturity Price : 18.80
Evaluated at bid price : 18.80
Bid-YTW : 9.03 %
TD.PF.D FixedReset Disc -1.50 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-27
Maturity Price : 17.76
Evaluated at bid price : 17.76
Bid-YTW : 9.37 %
TD.PF.E FixedReset Disc -1.39 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-27
Maturity Price : 17.75
Evaluated at bid price : 17.75
Bid-YTW : 9.36 %
TD.PF.C FixedReset Disc -1.31 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-27
Maturity Price : 17.35
Evaluated at bid price : 17.35
Bid-YTW : 9.25 %
RY.PR.H FixedReset Disc -1.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-27
Maturity Price : 17.70
Evaluated at bid price : 17.70
Bid-YTW : 9.17 %
TD.PF.A FixedReset Disc -1.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-27
Maturity Price : 18.01
Evaluated at bid price : 18.01
Bid-YTW : 8.95 %
GWO.PR.P Insurance Straight -1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-27
Maturity Price : 19.08
Evaluated at bid price : 19.08
Bid-YTW : 7.13 %
MFC.PR.K FixedReset Ins Non 1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-27
Maturity Price : 19.80
Evaluated at bid price : 19.80
Bid-YTW : 8.35 %
MFC.PR.N FixedReset Ins Non 1.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-27
Maturity Price : 16.50
Evaluated at bid price : 16.50
Bid-YTW : 9.63 %
ELF.PR.F Perpetual-Discount 1.63 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-27
Maturity Price : 19.30
Evaluated at bid price : 19.30
Bid-YTW : 7.03 %
IFC.PR.C FixedReset Disc 1.94 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-27
Maturity Price : 16.31
Evaluated at bid price : 16.31
Bid-YTW : 9.49 %
MFC.PR.M FixedReset Ins Non 2.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-27
Maturity Price : 17.01
Evaluated at bid price : 17.01
Bid-YTW : 9.54 %
CM.PR.S FixedReset Disc 2.66 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-27
Maturity Price : 19.96
Evaluated at bid price : 19.96
Bid-YTW : 8.14 %
BNS.PR.I FixedReset Disc 2.93 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-27
Maturity Price : 21.45
Evaluated at bid price : 21.75
Bid-YTW : 7.87 %
EIT.PR.A SplitShare 3.32 % YTW SCENARIO
Maturity Type : Soft Maturity
Maturity Date : 2024-03-14
Maturity Price : 25.00
Evaluated at bid price : 24.61
Bid-YTW : 8.73 %
SLF.PR.G FixedReset Ins Non 3.57 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-27
Maturity Price : 13.05
Evaluated at bid price : 13.05
Bid-YTW : 9.99 %
GWO.PR.N FixedReset Ins Non 4.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-27
Maturity Price : 12.51
Evaluated at bid price : 12.51
Bid-YTW : 9.73 %
SLF.PR.C Insurance Straight 6.65 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-27
Maturity Price : 17.00
Evaluated at bid price : 17.00
Bid-YTW : 6.59 %
Volume Highlights
Issue Index Shares
Traded		 Notes
CU.PR.J Perpetual-Discount 126,300 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-27
Maturity Price : 17.10
Evaluated at bid price : 17.10
Bid-YTW : 7.04 %
TD.PF.K FixedReset Disc 106,324 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2023-10-31
Maturity Price : 25.00
Evaluated at bid price : 25.16
Bid-YTW : 6.01 %
FTS.PR.J Perpetual-Discount 102,115 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-27
Maturity Price : 18.40
Evaluated at bid price : 18.40
Bid-YTW : 6.54 %
POW.PR.G Perpetual-Discount 75,700 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-27
Maturity Price : 19.85
Evaluated at bid price : 19.85
Bid-YTW : 7.09 %
TD.PF.B FixedReset Disc 59,260 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-27
Maturity Price : 18.20
Evaluated at bid price : 18.20
Bid-YTW : 8.99 %
NA.PR.S FixedReset Disc 56,675 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-27
Maturity Price : 18.30
Evaluated at bid price : 18.30
Bid-YTW : 9.20 %
There were 20 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
BN.PR.X FixedReset Disc Quote: 10.00 – 13.10
Spot Rate : 3.1000
Average : 1.6869

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-27
Maturity Price : 10.00
Evaluated at bid price : 10.00
Bid-YTW : 14.05 %
RY.PR.N Perpetual-Discount Quote: 20.51 – 22.00
Spot Rate : 1.4900
Average : 0.9867

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-27
Maturity Price : 20.51
Evaluated at bid price : 20.51
Bid-YTW : 6.06 %
TD.PF.I FixedReset Disc Quote: 22.75 – 23.91
Spot Rate : 1.1600
Average : 0.7707

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-27
Maturity Price : 22.18
Evaluated at bid price : 22.75
Bid-YTW : 7.87 %
MFC.PR.M FixedReset Ins Non Quote: 17.01 – 18.00
Spot Rate : 0.9900
Average : 0.6415

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-27
Maturity Price : 17.01
Evaluated at bid price : 17.01
Bid-YTW : 9.54 %
TD.PF.E FixedReset Disc Quote: 17.75 – 18.85
Spot Rate : 1.1000
Average : 0.7640

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-27
Maturity Price : 17.75
Evaluated at bid price : 17.75
Bid-YTW : 9.36 %
BIK.PR.A FixedReset Disc Quote: 20.88 – 21.75
Spot Rate : 0.8700
Average : 0.6355

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-27
Maturity Price : 20.88
Evaluated at bid price : 20.88
Bid-YTW : 9.86 %