Category: Market Action

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 %
Market Action

September 26, 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 0.3578 % 2,168.3
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.3578 % 4,158.8
Floater 11.23 % 11.34 % 56,697 8.60 2 0.3578 % 2,396.7
OpRet 0.00 % 0.00 % 0 0.00 0 -0.5576 % 3,341.9
SplitShare 5.05 % 7.29 % 42,926 2.25 7 -0.5576 % 3,990.9
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.5576 % 3,113.9
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 0.4262 % 2,484.7
Perpetual-Discount 6.87 % 7.07 % 44,284 12.43 33 0.4262 % 2,709.5
FixedReset Disc 5.95 % 9.13 % 104,469 10.57 55 -0.2715 % 2,117.4
Insurance Straight 6.87 % 6.94 % 60,990 12.66 17 0.1212 % 2,619.1
FloatingReset 11.65 % 11.80 % 38,948 8.31 1 0.1410 % 2,284.0
FixedReset Prem 0.00 % 0.00 % 0 0.00 0 -0.2715 % 2,320.5
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 -0.2715 % 2,164.4
FixedReset Ins Non 6.65 % 8.59 % 125,421 10.96 11 0.0476 % 2,255.7
Performance Highlights
Issue Index Change Notes
EIT.PR.A SplitShare -3.76 % YTW SCENARIO
Maturity Type : Soft Maturity
Maturity Date : 2024-03-14
Maturity Price : 25.00
Evaluated at bid price : 23.82
Bid-YTW : 16.17 %
BNS.PR.I FixedReset Disc -3.74 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-26
Maturity Price : 21.13
Evaluated at bid price : 21.13
Bid-YTW : 8.12 %
CM.PR.S FixedReset Disc -3.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-26
Maturity Price : 19.80
Evaluated at bid price : 19.80
Bid-YTW : 8.36 %
RY.PR.J FixedReset Disc -2.51 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-26
Maturity Price : 17.50
Evaluated at bid price : 17.50
Bid-YTW : 9.50 %
RY.PR.Z FixedReset Disc -2.37 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-26
Maturity Price : 17.70
Evaluated at bid price : 17.70
Bid-YTW : 9.20 %
RY.PR.O Perpetual-Discount -2.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-26
Maturity Price : 20.55
Evaluated at bid price : 20.55
Bid-YTW : 6.04 %
BN.PF.A FixedReset Disc -2.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-26
Maturity Price : 18.94
Evaluated at bid price : 18.94
Bid-YTW : 9.62 %
BMO.PR.F FixedReset Disc -2.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-26
Maturity Price : 23.17
Evaluated at bid price : 23.85
Bid-YTW : 8.19 %
IFC.PR.C FixedReset Disc -1.54 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-26
Maturity Price : 16.00
Evaluated at bid price : 16.00
Bid-YTW : 9.65 %
RY.PR.N Perpetual-Discount -1.43 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-26
Maturity Price : 20.70
Evaluated at bid price : 20.70
Bid-YTW : 6.00 %
BIP.PR.E FixedReset Disc -1.30 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-26
Maturity Price : 19.75
Evaluated at bid price : 19.75
Bid-YTW : 9.04 %
MFC.PR.K FixedReset Ins Non -1.26 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-26
Maturity Price : 19.60
Evaluated at bid price : 19.60
Bid-YTW : 8.43 %
BN.PF.H FixedReset Disc -1.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-26
Maturity Price : 18.81
Evaluated at bid price : 18.81
Bid-YTW : 10.40 %
TD.PF.C FixedReset Disc 1.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-26
Maturity Price : 17.58
Evaluated at bid price : 17.58
Bid-YTW : 9.13 %
BN.PF.G FixedReset Disc 1.19 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-26
Maturity Price : 14.45
Evaluated at bid price : 14.45
Bid-YTW : 11.44 %
BIP.PR.F FixedReset Disc 3.51 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-26
Maturity Price : 19.15
Evaluated at bid price : 19.15
Bid-YTW : 9.47 %
POW.PR.C Perpetual-Discount 14.92 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-26
Maturity Price : 21.03
Evaluated at bid price : 21.03
Bid-YTW : 6.93 %
Volume Highlights
Issue Index Shares
Traded		 Notes
NA.PR.G FixedReset Disc 363,867 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-26
Maturity Price : 21.84
Evaluated at bid price : 22.30
Bid-YTW : 8.08 %
TD.PF.K FixedReset Disc 230,175 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2023-10-31
Maturity Price : 25.00
Evaluated at bid price : 25.16
Bid-YTW : 5.84 %
BMO.PR.E FixedReset Disc 84,498 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-26
Maturity Price : 21.98
Evaluated at bid price : 22.51
Bid-YTW : 7.87 %
NA.PR.S FixedReset Disc 63,600 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-26
Maturity Price : 18.34
Evaluated at bid price : 18.34
Bid-YTW : 9.17 %
NA.PR.W FixedReset Disc 63,244 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-26
Maturity Price : 16.75
Evaluated at bid price : 16.75
Bid-YTW : 9.53 %
BMO.PR.F FixedReset Disc 59,312 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-26
Maturity Price : 23.17
Evaluated at bid price : 23.85
Bid-YTW : 8.19 %
There were 22 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: 16.45 – 17.80
Spot Rate : 1.3500
Average : 0.7490

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-26
Maturity Price : 16.45
Evaluated at bid price : 16.45
Bid-YTW : 6.89 %
BNS.PR.I FixedReset Disc Quote: 21.13 – 22.35
Spot Rate : 1.2200
Average : 0.6849

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-26
Maturity Price : 21.13
Evaluated at bid price : 21.13
Bid-YTW : 8.12 %
EIT.PR.A SplitShare Quote: 23.82 – 24.82
Spot Rate : 1.0000
Average : 0.5343

YTW SCENARIO
Maturity Type : Soft Maturity
Maturity Date : 2024-03-14
Maturity Price : 25.00
Evaluated at bid price : 23.82
Bid-YTW : 16.17 %
BN.PR.R FixedReset Disc Quote: 12.81 – 13.76
Spot Rate : 0.9500
Average : 0.6287

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-26
Maturity Price : 12.81
Evaluated at bid price : 12.81
Bid-YTW : 11.39 %
CU.PR.E Perpetual-Discount Quote: 17.80 – 18.50
Spot Rate : 0.7000
Average : 0.4264

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-26
Maturity Price : 17.80
Evaluated at bid price : 17.80
Bid-YTW : 6.98 %
SLF.PR.C Insurance Straight Quote: 15.94 – 17.09
Spot Rate : 1.1500
Average : 0.8790

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-26
Maturity Price : 15.94
Evaluated at bid price : 15.94
Bid-YTW : 7.03 %
Market Action

September 25, 2023

TXPR closed at 512.37, up 1.45% on the day. Volume today was 3.64-million, the highest by far of the past 21 trading days. The price index has recovered all the ground it has lost since 2023-8-24!

CPD closed at 10.16, up 0.69% on the day. Volume was 133,110, second-highest of the past 21 trading days. It hasn’t closed this high since 2023-9-6!

ZPR closed at 8.57, up 1.66% on the day. Volume was 486,320, highest by far of the past 21 trading days. We haven’t seen a close like this since 2023-8-28!

Five-year Canada yields were up to 4.33%.

Equities were flattish, with the pundits looking at bonds:

Canada’s main stock index rose on Monday as energy shares rallied, but the market was still trading near its lowest level in four weeks as investors worried about interest rates being kept at elevated levels for longer than previously expected. The Canadian 10-year bond yield climbed above the 4% threshold to its highest in nearly 16 years.
…
The Canadian five-year bond yield – closely watched because of its influence on popular terms of fixed mortgage rates – also rose to a 16-year high on Monday, reaching 4.33%.

It’s very tempting to ascribe today’s market pop to the surprise redemption of TD.PF.K, particularly given the fine performances of TD.PF.A, TD.PF.B and TD.PF.C. But who knows? Those eager to bet on a wave of uneconomic bank pref redemptions are urged to remember that TD’s enormous amount of excess equity make it an outlier in terms of financial condition.

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 -0.4009 % 2,160.6
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.4009 % 4,144.0
Floater 11.27 % 11.38 % 38,595 8.58 2 -0.4009 % 2,388.2
OpRet 0.00 % 0.00 % 0 0.00 0 -0.0184 % 3,360.6
SplitShare 5.02 % 7.29 % 42,479 2.25 7 -0.0184 % 4,013.3
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.0184 % 3,131.4
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 -0.0148 % 2,474.2
Perpetual-Discount 6.90 % 7.09 % 43,675 12.39 33 -0.0148 % 2,698.0
FixedReset Disc 5.93 % 9.14 % 106,146 10.60 55 2.9868 % 2,123.1
Insurance Straight 6.88 % 6.96 % 61,840 12.64 17 -0.2483 % 2,615.9
FloatingReset 11.67 % 11.81 % 38,100 8.30 1 0.1412 % 2,280.7
FixedReset Prem 0.00 % 0.00 % 0 0.00 0 2.9868 % 2,326.8
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 2.9868 % 2,170.3
FixedReset Ins Non 6.65 % 8.63 % 126,673 11.07 11 0.5265 % 2,254.6
Performance Highlights
Issue Index Change Notes
SLF.PR.C Insurance Straight -5.18 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-25
Maturity Price : 15.94
Evaluated at bid price : 15.94
Bid-YTW : 7.03 %
CU.PR.J Perpetual-Discount -1.46 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-25
Maturity Price : 16.91
Evaluated at bid price : 16.91
Bid-YTW : 7.12 %
ELF.PR.F Perpetual-Discount -1.35 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-25
Maturity Price : 18.99
Evaluated at bid price : 18.99
Bid-YTW : 7.15 %
FTS.PR.J Perpetual-Discount -1.34 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-25
Maturity Price : 18.35
Evaluated at bid price : 18.35
Bid-YTW : 6.56 %
POW.PR.A Perpetual-Discount -1.29 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-25
Maturity Price : 19.94
Evaluated at bid price : 19.94
Bid-YTW : 7.05 %
MFC.PR.J FixedReset Ins Non 1.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-25
Maturity Price : 19.96
Evaluated at bid price : 19.96
Bid-YTW : 8.46 %
FTS.PR.M FixedReset Disc 1.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-25
Maturity Price : 16.48
Evaluated at bid price : 16.48
Bid-YTW : 10.06 %
BN.PF.J FixedReset Disc 1.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-25
Maturity Price : 18.15
Evaluated at bid price : 18.15
Bid-YTW : 9.73 %
BN.PF.H FixedReset Disc 1.33 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-25
Maturity Price : 19.00
Evaluated at bid price : 19.00
Bid-YTW : 10.29 %
IFC.PR.C FixedReset Disc 1.56 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-25
Maturity Price : 16.25
Evaluated at bid price : 16.25
Bid-YTW : 9.51 %
MFC.PR.K FixedReset Ins Non 1.79 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-25
Maturity Price : 19.85
Evaluated at bid price : 19.85
Bid-YTW : 8.32 %
BN.PF.D Perpetual-Discount 1.82 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-25
Maturity Price : 16.80
Evaluated at bid price : 16.80
Bid-YTW : 7.35 %
BN.PF.A FixedReset Disc 1.84 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-25
Maturity Price : 19.35
Evaluated at bid price : 19.35
Bid-YTW : 9.41 %
BN.PR.R FixedReset Disc 1.98 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-25
Maturity Price : 12.86
Evaluated at bid price : 12.86
Bid-YTW : 11.34 %
FTS.PR.K FixedReset Disc 2.35 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-25
Maturity Price : 16.99
Evaluated at bid price : 16.99
Bid-YTW : 9.44 %
BMO.PR.F FixedReset Disc 2.35 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-25
Maturity Price : 23.73
Evaluated at bid price : 24.36
Bid-YTW : 8.02 %
CM.PR.Y FixedReset Disc 2.42 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-25
Maturity Price : 23.54
Evaluated at bid price : 24.12
Bid-YTW : 8.15 %
PWF.PR.T FixedReset Disc 2.43 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-25
Maturity Price : 18.95
Evaluated at bid price : 18.95
Bid-YTW : 8.96 %
TD.PF.J FixedReset Disc 2.58 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-25
Maturity Price : 21.05
Evaluated at bid price : 21.05
Bid-YTW : 8.01 %
BIP.PR.E FixedReset Disc 2.62 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-25
Maturity Price : 20.01
Evaluated at bid price : 20.01
Bid-YTW : 8.93 %
BN.PF.B FixedReset Disc 2.72 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-25
Maturity Price : 17.00
Evaluated at bid price : 17.00
Bid-YTW : 10.13 %
CM.PR.T FixedReset Disc 2.75 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-25
Maturity Price : 22.80
Evaluated at bid price : 23.50
Bid-YTW : 8.11 %
TD.PF.M FixedReset Disc 2.81 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-25
Maturity Price : 23.58
Evaluated at bid price : 24.16
Bid-YTW : 8.12 %
CM.PR.Q FixedReset Disc 2.88 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-25
Maturity Price : 17.50
Evaluated at bid price : 17.50
Bid-YTW : 9.38 %
BMO.PR.Y FixedReset Disc 2.90 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-25
Maturity Price : 17.75
Evaluated at bid price : 17.75
Bid-YTW : 9.19 %
FTS.PR.G FixedReset Disc 2.94 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-25
Maturity Price : 18.90
Evaluated at bid price : 18.90
Bid-YTW : 8.51 %
CM.PR.P FixedReset Disc 2.96 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-25
Maturity Price : 16.70
Evaluated at bid price : 16.70
Bid-YTW : 9.51 %
NA.PR.G FixedReset Disc 3.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-25
Maturity Price : 21.84
Evaluated at bid price : 22.30
Bid-YTW : 8.07 %
RY.PR.M FixedReset Disc 3.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-25
Maturity Price : 17.15
Evaluated at bid price : 17.15
Bid-YTW : 9.26 %
CM.PR.S FixedReset Disc 3.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-25
Maturity Price : 20.42
Evaluated at bid price : 20.42
Bid-YTW : 8.11 %
NA.PR.W FixedReset Disc 3.40 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-25
Maturity Price : 16.75
Evaluated at bid price : 16.75
Bid-YTW : 9.53 %
BMO.PR.T FixedReset Disc 3.81 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-25
Maturity Price : 17.15
Evaluated at bid price : 17.15
Bid-YTW : 9.43 %
TD.PF.E FixedReset Disc 3.83 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-25
Maturity Price : 18.17
Evaluated at bid price : 18.17
Bid-YTW : 9.15 %
TD.PF.L FixedReset Disc 3.85 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-25
Maturity Price : 23.56
Evaluated at bid price : 24.25
Bid-YTW : 7.86 %
BMO.PR.W FixedReset Disc 3.87 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-25
Maturity Price : 16.93
Evaluated at bid price : 16.93
Bid-YTW : 9.45 %
TD.PF.I FixedReset Disc 4.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-25
Maturity Price : 22.39
Evaluated at bid price : 23.10
Bid-YTW : 7.74 %
RY.PR.J FixedReset Disc 4.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-25
Maturity Price : 17.95
Evaluated at bid price : 17.95
Bid-YTW : 9.27 %
BMO.PR.E FixedReset Disc 4.18 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-25
Maturity Price : 21.94
Evaluated at bid price : 22.45
Bid-YTW : 7.89 %
TD.PF.D FixedReset Disc 4.27 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-25
Maturity Price : 18.09
Evaluated at bid price : 18.09
Bid-YTW : 9.20 %
RY.PR.S FixedReset Disc 4.48 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-25
Maturity Price : 21.00
Evaluated at bid price : 21.00
Bid-YTW : 8.05 %
RY.PR.Z FixedReset Disc 4.50 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-25
Maturity Price : 18.13
Evaluated at bid price : 18.13
Bid-YTW : 8.98 %
RY.PR.H FixedReset Disc 4.61 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-25
Maturity Price : 17.94
Evaluated at bid price : 17.94
Bid-YTW : 9.05 %
CM.PR.O FixedReset Disc 4.71 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-25
Maturity Price : 18.02
Evaluated at bid price : 18.02
Bid-YTW : 9.06 %
BMO.PR.S FixedReset Disc 4.87 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-25
Maturity Price : 18.51
Evaluated at bid price : 18.51
Bid-YTW : 8.96 %
NA.PR.S FixedReset Disc 5.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-25
Maturity Price : 18.41
Evaluated at bid price : 18.41
Bid-YTW : 9.14 %
TD.PF.C FixedReset Disc 5.33 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-25
Maturity Price : 17.38
Evaluated at bid price : 17.38
Bid-YTW : 9.23 %
TD.PF.B FixedReset Disc 5.72 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-25
Maturity Price : 18.29
Evaluated at bid price : 18.29
Bid-YTW : 8.94 %
TD.PF.A FixedReset Disc 6.89 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-25
Maturity Price : 18.15
Evaluated at bid price : 18.15
Bid-YTW : 8.88 %
BNS.PR.I FixedReset Disc 7.33 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-25
Maturity Price : 21.59
Evaluated at bid price : 21.95
Bid-YTW : 7.79 %
TD.PF.K FixedReset Disc 15.58 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2023-10-31
Maturity Price : 25.00
Evaluated at bid price : 25.15
Bid-YTW : 6.09 %
Volume Highlights
Issue Index Shares
Traded		 Notes
RY.PR.J FixedReset Disc 204,000 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-25
Maturity Price : 17.95
Evaluated at bid price : 17.95
Bid-YTW : 9.27 %
TD.PF.L FixedReset Disc 133,000 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-25
Maturity Price : 23.56
Evaluated at bid price : 24.25
Bid-YTW : 7.86 %
TD.PF.A FixedReset Disc 112,000 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-25
Maturity Price : 18.15
Evaluated at bid price : 18.15
Bid-YTW : 8.88 %
BMO.PR.T FixedReset Disc 95,700 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-25
Maturity Price : 17.15
Evaluated at bid price : 17.15
Bid-YTW : 9.43 %
TD.PF.M FixedReset Disc 82,300 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-25
Maturity Price : 23.58
Evaluated at bid price : 24.16
Bid-YTW : 8.12 %
CM.PR.O FixedReset Disc 79,900 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-25
Maturity Price : 18.02
Evaluated at bid price : 18.02
Bid-YTW : 9.06 %
There were 34 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
POW.PR.C Perpetual-Discount Quote: 18.30 – 21.18
Spot Rate : 2.8800
Average : 2.3627

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-25
Maturity Price : 18.30
Evaluated at bid price : 18.30
Bid-YTW : 7.96 %
PWF.PR.T FixedReset Disc Quote: 18.95 – 19.95
Spot Rate : 1.0000
Average : 0.6018

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-25
Maturity Price : 18.95
Evaluated at bid price : 18.95
Bid-YTW : 8.96 %
SLF.PR.C Insurance Straight Quote: 15.94 – 16.90
Spot Rate : 0.9600
Average : 0.5818

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-25
Maturity Price : 15.94
Evaluated at bid price : 15.94
Bid-YTW : 7.03 %
ELF.PR.F Perpetual-Discount Quote: 18.99 – 20.48
Spot Rate : 1.4900
Average : 1.1454

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-25
Maturity Price : 18.99
Evaluated at bid price : 18.99
Bid-YTW : 7.15 %
BN.PF.J FixedReset Disc Quote: 18.15 – 18.96
Spot Rate : 0.8100
Average : 0.4689

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-25
Maturity Price : 18.15
Evaluated at bid price : 18.15
Bid-YTW : 9.73 %
GWO.PR.N FixedReset Ins Non Quote: 11.96 – 12.80
Spot Rate : 0.8400
Average : 0.4989

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-25
Maturity Price : 11.96
Evaluated at bid price : 11.96
Bid-YTW : 10.13 %
Market Action

September 23, 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 -0.0445 % 2,169.3
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.0445 % 4,160.6
Floater 11.22 % 11.33 % 58,221 8.62 2 -0.0445 % 2,397.8
OpRet 0.00 % 0.00 % 0 0.00 0 -0.0184 % 3,361.3
SplitShare 5.02 % 7.31 % 42,755 2.26 7 -0.0184 % 4,014.1
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.0184 % 3,131.9
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 -0.3984 % 2,474.6
Perpetual-Discount 6.90 % 7.08 % 45,368 12.40 33 -0.3984 % 2,698.4
FixedReset Disc 6.11 % 9.45 % 99,329 10.45 55 -0.2043 % 2,061.5
Insurance Straight 6.86 % 6.92 % 62,125 12.69 17 -0.1272 % 2,622.4
FloatingReset 11.71 % 11.84 % 36,697 8.30 1 -0.6316 % 2,277.5
FixedReset Prem 0.00 % 0.00 % 0 0.00 0 -0.2043 % 2,259.3
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 -0.2043 % 2,107.3
FixedReset Ins Non 6.68 % 8.60 % 125,209 10.96 11 -0.1381 % 2,242.8
Performance Highlights
Issue Index Change Notes
POW.PR.C Perpetual-Discount -9.99 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-22
Maturity Price : 18.30
Evaluated at bid price : 18.30
Bid-YTW : 7.96 %
TD.PF.K FixedReset Disc -1.49 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-22
Maturity Price : 21.46
Evaluated at bid price : 21.76
Bid-YTW : 8.07 %
BN.PF.D Perpetual-Discount -1.49 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-22
Maturity Price : 16.50
Evaluated at bid price : 16.50
Bid-YTW : 7.48 %
BN.PF.J FixedReset Disc -1.48 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-22
Maturity Price : 17.95
Evaluated at bid price : 17.95
Bid-YTW : 9.81 %
BIP.PR.F FixedReset Disc -1.44 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-22
Maturity Price : 18.48
Evaluated at bid price : 18.48
Bid-YTW : 9.77 %
CU.PR.F Perpetual-Discount -1.39 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-22
Maturity Price : 16.32
Evaluated at bid price : 16.32
Bid-YTW : 6.98 %
BNS.PR.I FixedReset Disc -1.21 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-22
Maturity Price : 20.45
Evaluated at bid price : 20.45
Bid-YTW : 8.36 %
BN.PR.N Perpetual-Discount -1.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-22
Maturity Price : 16.21
Evaluated at bid price : 16.21
Bid-YTW : 7.38 %
IFC.PR.E Insurance Straight -1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-22
Maturity Price : 19.00
Evaluated at bid price : 19.00
Bid-YTW : 6.89 %
ELF.PR.F Perpetual-Discount -1.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-22
Maturity Price : 19.25
Evaluated at bid price : 19.25
Bid-YTW : 7.04 %
RY.PR.N Perpetual-Discount 1.46 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-22
Maturity Price : 20.90
Evaluated at bid price : 20.90
Bid-YTW : 5.94 %
SLF.PR.E Insurance Straight 1.81 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-22
Maturity Price : 16.90
Evaluated at bid price : 16.90
Bid-YTW : 6.70 %
BIK.PR.A FixedReset Disc 1.85 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-22
Maturity Price : 21.45
Evaluated at bid price : 21.45
Bid-YTW : 9.57 %
POW.PR.A Perpetual-Discount 2.80 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-22
Maturity Price : 20.20
Evaluated at bid price : 20.20
Bid-YTW : 6.96 %
Volume Highlights
Issue Index Shares
Traded		 Notes
TD.PF.B FixedReset Disc 117,794 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-22
Maturity Price : 17.30
Evaluated at bid price : 17.30
Bid-YTW : 9.42 %
BMO.PR.S FixedReset Disc 63,093 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-22
Maturity Price : 17.65
Evaluated at bid price : 17.65
Bid-YTW : 9.36 %
SLF.PR.J FloatingReset 45,815 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-22
Maturity Price : 14.16
Evaluated at bid price : 14.16
Bid-YTW : 11.84 %
GWO.PR.N FixedReset Ins Non 43,835 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-22
Maturity Price : 11.85
Evaluated at bid price : 11.85
Bid-YTW : 10.18 %
FTS.PR.M FixedReset Disc 43,778 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-22
Maturity Price : 16.30
Evaluated at bid price : 16.30
Bid-YTW : 10.13 %
TD.PF.I FixedReset Disc 43,755 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-22
Maturity Price : 21.82
Evaluated at bid price : 22.20
Bid-YTW : 8.05 %
There were 21 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
POW.PR.C Perpetual-Discount Quote: 18.30 – 21.19
Spot Rate : 2.8900
Average : 1.7955

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-22
Maturity Price : 18.30
Evaluated at bid price : 18.30
Bid-YTW : 7.96 %
ELF.PR.F Perpetual-Discount Quote: 19.25 – 20.48
Spot Rate : 1.2300
Average : 0.7676

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-22
Maturity Price : 19.25
Evaluated at bid price : 19.25
Bid-YTW : 7.04 %
BN.PF.C Perpetual-Discount Quote: 16.50 – 17.50
Spot Rate : 1.0000
Average : 0.6908

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-22
Maturity Price : 16.50
Evaluated at bid price : 16.50
Bid-YTW : 7.40 %
BN.PF.I FixedReset Disc Quote: 17.54 – 18.51
Spot Rate : 0.9700
Average : 0.6932

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-22
Maturity Price : 17.54
Evaluated at bid price : 17.54
Bid-YTW : 10.47 %
FTS.PR.G FixedReset Disc Quote: 18.36 – 18.90
Spot Rate : 0.5400
Average : 0.3489

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-22
Maturity Price : 18.36
Evaluated at bid price : 18.36
Bid-YTW : 8.74 %
TD.PF.K FixedReset Disc Quote: 21.76 – 22.35
Spot Rate : 0.5900
Average : 0.4332

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-22
Maturity Price : 21.46
Evaluated at bid price : 21.76
Bid-YTW : 8.07 %
Market Action

September 21, 2023

Higher for longer?:

For now, policymakers are forecasting that the pop in interest rates will eventually fade. They kept their estimate of the rate setting that will keep the economy chugging along at a steady and sustainable pace in the longer run — something economists often call the “neutral rate” — unchanged in their projections, at 2.5 percent.

Asked on Wednesday why Fed officials expect rates to remain higher through 2026, Mr. Powell pointed to recent strong economic activity, which he said generally suggested “we have to do more with rates.”

But the Fed chair was not yet ready to conclude that the economy has undergone a lasting shift.

“It may of course be that the neutral rate has risen,” Mr. Powell said. “You do see people raising their estimates.”

Seven of the Fed’s 19 policymakers on Wednesday predicted that rates could hover above 2.5 percent in the longer run — the same number as in the last set of forecasts, in June. But four officials said they expected interest rates to settle above 3 percent in the long term, up from two members in June and zero a year ago.

This all arises from the famous dotplot:

Well, it took 13-odd years to come to the view that a 3% mortgage was normal. It might take a little while to decide that it ain’t.

So anyway, five-year Canadas hit 4.30% today and the equity guys decided to pay off their mortgages instead:

An unexpected 9% drop on Thursday in initial U.S. jobless claims, to the lowest level in eight months, played into the Fed’s notion that the labour market remains too tight, putting upward pressure on wages, and the economy is resilient enough to withstand higher rates for longer.

“Higher for longer” has become a common credo among the central banks of the world’s biggest economies as global policy tightening, in order to tame inflation, reaches its peak.

That includes Canada. Data on Tuesday showed that Canadian inflation climbed more than expected to 4% in August. Money markets are now pricing in about a 40% chance the Bank of Canada will hike interest rates by another quarter percentage point at its next policy meeting Oct. 25.

The Canadian 10-year bond yield on Thursday touched a 15-year high at 3.98%. Some have warned that Canada’s record of declining productivity over the past three years is likely to make it more difficult for the Bank of Canada to tame inflation, raising the prospect of additional interest rate hikes even as the economy slows. Declining productivity tends to hold back economic growth. It also stands to add to unit labor costs, a key measure of inflation pressures coming from higher wages.

All 10 of the Toronto market’s major sectors lost ground on Thursday, including a decline of 2.4% for materials, which includes precious and base metals miners and fertilizer companies, as copper and gold prices fell.

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 0.1784 % 2,170.2
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.1784 % 4,162.5
Floater 11.22 % 11.31 % 58,241 8.63 2 0.1784 % 2,398.9
OpRet 0.00 % 0.00 % 0 0.00 0 0.0736 % 3,361.9
SplitShare 5.02 % 7.28 % 40,229 2.26 7 0.0736 % 4,014.8
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0736 % 3,132.5
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 -0.8948 % 2,484.5
Perpetual-Discount 6.88 % 7.06 % 44,901 12.44 33 -0.8948 % 2,709.2
FixedReset Disc 6.09 % 9.43 % 100,626 10.48 55 0.0878 % 2,065.8
Insurance Straight 6.85 % 6.90 % 62,188 12.72 17 -0.2863 % 2,625.7
FloatingReset 11.63 % 11.76 % 34,008 8.35 1 -0.4193 % 2,292.0
FixedReset Prem 0.00 % 0.00 % 0 0.00 0 0.0878 % 2,263.9
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 0.0878 % 2,111.6
FixedReset Ins Non 6.67 % 8.57 % 127,358 10.99 11 -0.1273 % 2,245.9
Performance Highlights
Issue Index Change Notes
POW.PR.C Perpetual-Discount -4.29 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-21
Maturity Price : 20.33
Evaluated at bid price : 20.33
Bid-YTW : 7.16 %
POW.PR.A Perpetual-Discount -3.38 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-21
Maturity Price : 19.65
Evaluated at bid price : 19.65
Bid-YTW : 7.15 %
IFC.PR.C FixedReset Disc -2.54 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-21
Maturity Price : 16.10
Evaluated at bid price : 16.10
Bid-YTW : 9.57 %
SLF.PR.E Insurance Straight -2.18 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-21
Maturity Price : 16.60
Evaluated at bid price : 16.60
Bid-YTW : 6.82 %
IFC.PR.A FixedReset Ins Non -2.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-21
Maturity Price : 15.48
Evaluated at bid price : 15.48
Bid-YTW : 9.14 %
BN.PF.H FixedReset Disc -1.84 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-21
Maturity Price : 18.70
Evaluated at bid price : 18.70
Bid-YTW : 10.42 %
POW.PR.G Perpetual-Discount -1.48 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-21
Maturity Price : 19.65
Evaluated at bid price : 19.65
Bid-YTW : 7.15 %
RY.PR.N Perpetual-Discount -1.44 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-21
Maturity Price : 20.60
Evaluated at bid price : 20.60
Bid-YTW : 6.02 %
RY.PR.O Perpetual-Discount -1.43 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-21
Maturity Price : 20.75
Evaluated at bid price : 20.75
Bid-YTW : 5.98 %
BN.PR.M Perpetual-Discount -1.21 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-21
Maturity Price : 16.30
Evaluated at bid price : 16.30
Bid-YTW : 7.34 %
CU.PR.G Perpetual-Discount -1.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-21
Maturity Price : 16.40
Evaluated at bid price : 16.40
Bid-YTW : 6.95 %
BN.PR.Z FixedReset Disc -1.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-21
Maturity Price : 17.25
Evaluated at bid price : 17.25
Bid-YTW : 10.00 %
POW.PR.B Perpetual-Discount -1.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-21
Maturity Price : 19.00
Evaluated at bid price : 19.00
Bid-YTW : 7.06 %
BN.PF.B FixedReset Disc 1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-21
Maturity Price : 16.50
Evaluated at bid price : 16.50
Bid-YTW : 10.39 %
TD.PF.D FixedReset Disc 1.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-21
Maturity Price : 17.45
Evaluated at bid price : 17.45
Bid-YTW : 9.49 %
NA.PR.G FixedReset Disc 1.17 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-21
Maturity Price : 21.61
Evaluated at bid price : 21.61
Bid-YTW : 8.32 %
NA.PR.W FixedReset Disc 1.19 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-21
Maturity Price : 16.20
Evaluated at bid price : 16.20
Bid-YTW : 9.81 %
Volume Highlights
Issue Index Shares
Traded		 Notes
TD.PF.D FixedReset Disc 90,200 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-21
Maturity Price : 17.45
Evaluated at bid price : 17.45
Bid-YTW : 9.49 %
TD.PF.A FixedReset Disc 82,300 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-21
Maturity Price : 17.07
Evaluated at bid price : 17.07
Bid-YTW : 9.40 %
RY.PR.J FixedReset Disc 81,825 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-21
Maturity Price : 17.32
Evaluated at bid price : 17.32
Bid-YTW : 9.56 %
TD.PF.K FixedReset Disc 44,775 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-21
Maturity Price : 21.70
Evaluated at bid price : 22.09
Bid-YTW : 7.94 %
BN.PF.J FixedReset Disc 25,060 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-21
Maturity Price : 18.22
Evaluated at bid price : 18.22
Bid-YTW : 9.67 %
MFC.PR.K FixedReset Ins Non 19,793 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-21
Maturity Price : 19.57
Evaluated at bid price : 19.57
Bid-YTW : 8.41 %
There were 13 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
MFC.PR.I FixedReset Ins Non Quote: 20.08 – 24.24
Spot Rate : 4.1600
Average : 2.7781

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-21
Maturity Price : 20.08
Evaluated at bid price : 20.08
Bid-YTW : 8.57 %
MFC.PR.L FixedReset Ins Non Quote: 17.40 – 18.40
Spot Rate : 1.0000
Average : 0.6019

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-21
Maturity Price : 17.40
Evaluated at bid price : 17.40
Bid-YTW : 9.20 %
POW.PR.C Perpetual-Discount Quote: 20.33 – 21.30
Spot Rate : 0.9700
Average : 0.5955

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-21
Maturity Price : 20.33
Evaluated at bid price : 20.33
Bid-YTW : 7.16 %
POW.PR.A Perpetual-Discount Quote: 19.65 – 20.38
Spot Rate : 0.7300
Average : 0.4523

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-21
Maturity Price : 19.65
Evaluated at bid price : 19.65
Bid-YTW : 7.15 %
SLF.PR.G FixedReset Ins Non Quote: 12.51 – 13.20
Spot Rate : 0.6900
Average : 0.4410

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-21
Maturity Price : 12.51
Evaluated at bid price : 12.51
Bid-YTW : 10.34 %
GWO.PR.S Insurance Straight Quote: 18.90 – 19.70
Spot Rate : 0.8000
Average : 0.5641

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-21
Maturity Price : 18.90
Evaluated at bid price : 18.90
Bid-YTW : 6.99 %