Category: Market Action

Market Action

August 14, 2023

HIMIPref™ Preferred Indices
These values reflect the December 2008 revision of the HIMIPref™ Indices
Values are provisional and are finalized monthly
Index Mean
Current
Yield
(at bid)		 Median
YTW		 Median
Average
Trading
Value		 Median
Mod Dur
(YTW)		 Issues Day’s Perf. Index Value
Ratchet 0.00 % 0.00 % 0 0.00 0 -0.2580 % 2,241.7
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.2580 % 4,299.6
Floater 10.86 % 11.14 % 45,589 8.63 2 -0.2580 % 2,477.9
OpRet 0.00 % 0.00 % 0 0.00 0 0.1441 % 3,363.1
SplitShare 5.01 % 7.61 % 39,781 2.05 8 0.1441 % 4,016.3
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.1441 % 3,133.7
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 -0.4343 % 2,552.6
Perpetual-Discount 6.72 % 6.85 % 43,440 12.73 31 -0.4343 % 2,783.5
FixedReset Disc 5.85 % 8.73 % 91,100 10.95 56 -0.1117 % 2,137.7
Insurance Straight 6.60 % 6.75 % 54,022 12.81 18 -0.1210 % 2,727.4
FloatingReset 10.98 % 11.29 % 40,826 8.53 1 0.6711 % 2,412.6
FixedReset Prem 7.01 % 7.03 % 229,040 3.65 1 0.1599 % 2,304.4
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 -0.1117 % 2,185.2
FixedReset Ins Non 6.39 % 8.15 % 81,679 11.31 10 0.1325 % 2,313.9
Performance Highlights
Issue Index Change Notes
BN.PF.E FixedReset Disc -2.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-14
Maturity Price : 14.55
Evaluated at bid price : 14.55
Bid-YTW : 10.69 %
BN.PF.G FixedReset Disc -2.17 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-14
Maturity Price : 14.87
Evaluated at bid price : 14.87
Bid-YTW : 10.78 %
CU.PR.D Perpetual-Discount -1.91 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-14
Maturity Price : 18.00
Evaluated at bid price : 18.00
Bid-YTW : 6.84 %
TD.PF.B FixedReset Disc -1.68 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-14
Maturity Price : 17.60
Evaluated at bid price : 17.60
Bid-YTW : 8.83 %
PWF.PR.S Perpetual-Discount -1.39 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-14
Maturity Price : 17.75
Evaluated at bid price : 17.75
Bid-YTW : 6.84 %
CU.PR.G Perpetual-Discount -1.31 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-14
Maturity Price : 16.63
Evaluated at bid price : 16.63
Bid-YTW : 6.80 %
PWF.PR.T FixedReset Disc -1.27 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-14
Maturity Price : 18.61
Evaluated at bid price : 18.61
Bid-YTW : 8.66 %
MFC.PR.B Insurance Straight -1.18 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-14
Maturity Price : 17.61
Evaluated at bid price : 17.61
Bid-YTW : 6.73 %
FTS.PR.J Perpetual-Discount -1.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-14
Maturity Price : 18.85
Evaluated at bid price : 18.85
Bid-YTW : 6.45 %
POW.PR.D Perpetual-Discount -1.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-14
Maturity Price : 18.65
Evaluated at bid price : 18.65
Bid-YTW : 6.80 %
BIP.PR.E FixedReset Disc 1.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-14
Maturity Price : 20.40
Evaluated at bid price : 20.40
Bid-YTW : 8.64 %
GWO.PR.S Insurance Straight 1.19 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-14
Maturity Price : 19.55
Evaluated at bid price : 19.55
Bid-YTW : 6.83 %
MFC.PR.L FixedReset Ins Non 1.49 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-14
Maturity Price : 17.00
Evaluated at bid price : 17.00
Bid-YTW : 9.10 %
BN.PF.I FixedReset Disc 2.65 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-14
Maturity Price : 19.40
Evaluated at bid price : 19.40
Bid-YTW : 9.38 %
Volume Highlights
Issue Index Shares
Traded		 Notes
TD.PF.K FixedReset Disc 27,630 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-14
Maturity Price : 21.70
Evaluated at bid price : 22.10
Bid-YTW : 7.58 %
CU.PR.I FixedReset Disc 26,262 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-14
Maturity Price : 21.20
Evaluated at bid price : 21.20
Bid-YTW : 8.52 %
CU.PR.G Perpetual-Discount 22,990 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-14
Maturity Price : 16.63
Evaluated at bid price : 16.63
Bid-YTW : 6.80 %
SLF.PR.J FloatingReset 21,200 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-14
Maturity Price : 15.00
Evaluated at bid price : 15.00
Bid-YTW : 11.29 %
TD.PF.B FixedReset Disc 18,155 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-14
Maturity Price : 17.60
Evaluated at bid price : 17.60
Bid-YTW : 8.83 %
GWO.PR.H Insurance Straight 16,400 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-14
Maturity Price : 18.25
Evaluated at bid price : 18.25
Bid-YTW : 6.76 %
There were 5 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
GWO.PR.R Insurance Straight Quote: 17.85 – 19.00
Spot Rate : 1.1500
Average : 0.6726

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

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

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

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

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

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

August 11, 2023

HIMIPref™ Preferred Indices
These values reflect the December 2008 revision of the HIMIPref™ Indices
Values are provisional and are finalized monthly
Index Mean
Current
Yield
(at bid)		 Median
YTW		 Median
Average
Trading
Value		 Median
Mod Dur
(YTW)		 Issues Day’s Perf. Index Value
Ratchet 0.00 % 0.00 % 0 0.00 0 0.7362 % 2,247.5
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.7362 % 4,310.7
Floater 10.83 % 11.10 % 42,925 8.67 2 0.7362 % 2,484.3
OpRet 0.00 % 0.00 % 0 0.00 0 -0.4199 % 3,358.3
SplitShare 5.02 % 7.66 % 40,105 2.06 8 -0.4199 % 4,010.5
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.4199 % 3,129.2
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 -0.0774 % 2,563.7
Perpetual-Discount 6.69 % 6.83 % 44,570 12.75 31 -0.0774 % 2,795.6
FixedReset Disc 5.87 % 8.70 % 92,349 10.95 56 -0.0596 % 2,140.1
Insurance Straight 6.59 % 6.74 % 53,681 12.84 18 0.0118 % 2,730.7
FloatingReset 11.06 % 11.35 % 37,796 8.50 1 0.2692 % 2,396.6
FixedReset Prem 7.02 % 7.06 % 237,686 3.66 1 -0.3586 % 2,300.8
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 -0.0596 % 2,187.7
FixedReset Ins Non 6.40 % 8.15 % 81,488 11.29 10 -0.0276 % 2,310.8
Performance Highlights
Issue Index Change Notes
RY.PR.N Perpetual-Discount -2.30 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-11
Maturity Price : 21.20
Evaluated at bid price : 21.20
Bid-YTW : 5.80 %
PVS.PR.J SplitShare -1.98 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2028-02-29
Maturity Price : 25.00
Evaluated at bid price : 22.30
Bid-YTW : 7.49 %
IFC.PR.C FixedReset Disc -1.68 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-11
Maturity Price : 17.60
Evaluated at bid price : 17.60
Bid-YTW : 8.58 %
MFC.PR.L FixedReset Ins Non -1.47 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-11
Maturity Price : 16.75
Evaluated at bid price : 16.75
Bid-YTW : 9.23 %
CU.PR.J Perpetual-Discount -1.37 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-11
Maturity Price : 17.26
Evaluated at bid price : 17.26
Bid-YTW : 6.91 %
PVS.PR.K SplitShare -1.36 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2029-05-31
Maturity Price : 25.00
Evaluated at bid price : 21.01
Bid-YTW : 8.18 %
CIU.PR.A Perpetual-Discount -1.35 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-11
Maturity Price : 16.76
Evaluated at bid price : 16.76
Bid-YTW : 6.89 %
FTS.PR.F Perpetual-Discount -1.26 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-11
Maturity Price : 19.60
Evaluated at bid price : 19.60
Bid-YTW : 6.39 %
BN.PF.I FixedReset Disc -1.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-11
Maturity Price : 18.90
Evaluated at bid price : 18.90
Bid-YTW : 9.61 %
GWO.PR.H Insurance Straight 1.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-11
Maturity Price : 18.25
Evaluated at bid price : 18.25
Bid-YTW : 6.76 %
BN.PR.R FixedReset Disc 1.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-11
Maturity Price : 13.50
Evaluated at bid price : 13.50
Bid-YTW : 10.52 %
BN.PR.B Floater 1.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-11
Maturity Price : 11.65
Evaluated at bid price : 11.65
Bid-YTW : 11.10 %
BN.PR.N Perpetual-Discount 1.17 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-11
Maturity Price : 17.31
Evaluated at bid price : 17.31
Bid-YTW : 6.98 %
PWF.PR.L Perpetual-Discount 1.40 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-11
Maturity Price : 18.77
Evaluated at bid price : 18.77
Bid-YTW : 6.87 %
Volume Highlights
Issue Index Shares
Traded		 Notes
TD.PF.I FixedReset Disc 62,000 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-11
Maturity Price : 22.65
Evaluated at bid price : 23.61
Bid-YTW : 7.28 %
MFC.PR.L FixedReset Ins Non 48,500 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-11
Maturity Price : 16.75
Evaluated at bid price : 16.75
Bid-YTW : 9.23 %
FTS.PR.M FixedReset Disc 40,900 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-11
Maturity Price : 17.25
Evaluated at bid price : 17.25
Bid-YTW : 9.29 %
SLF.PR.J FloatingReset 35,900 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-11
Maturity Price : 14.90
Evaluated at bid price : 14.90
Bid-YTW : 11.35 %
TD.PF.J FixedReset Disc 32,900 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-11
Maturity Price : 21.05
Evaluated at bid price : 21.05
Bid-YTW : 7.72 %
BN.PR.T FixedReset Disc 32,200 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-11
Maturity Price : 13.80
Evaluated at bid price : 13.80
Bid-YTW : 10.26 %
There were 12 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
MFC.PR.N FixedReset Ins Non Quote: 16.57 – 17.99
Spot Rate : 1.4200
Average : 0.8651

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

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

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

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

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

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

August 10, 2023

HIMIPref™ Preferred Indices
These values reflect the December 2008 revision of the HIMIPref™ Indices
Values are provisional and are finalized monthly
Index Mean
Current
Yield
(at bid)		 Median
YTW		 Median
Average
Trading
Value		 Median
Mod Dur
(YTW)		 Issues Day’s Perf. Index Value
Ratchet 0.00 % 0.00 % 0 0.00 0 0.0867 % 2,231.1
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.0867 % 4,279.2
Floater 10.91 % 11.17 % 38,172 8.62 2 0.0867 % 2,466.1
OpRet 0.00 % 0.00 % 0 0.00 0 0.5936 % 3,372.5
SplitShare 5.00 % 7.46 % 41,553 2.07 8 0.5936 % 4,027.4
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.5936 % 3,142.4
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 0.0774 % 2,565.7
Perpetual-Discount 6.69 % 6.82 % 45,332 12.76 31 0.0774 % 2,797.8
FixedReset Disc 5.86 % 8.45 % 93,293 11.20 56 0.1316 % 2,141.4
Insurance Straight 6.59 % 6.73 % 54,235 12.84 18 0.3079 % 2,730.4
FloatingReset 11.07 % 11.36 % 34,996 8.49 1 0.7458 % 2,390.1
FixedReset Prem 7.00 % 6.95 % 238,980 3.66 1 0.3197 % 2,309.0
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 0.1316 % 2,189.0
FixedReset Ins Non 6.40 % 7.98 % 77,800 11.50 10 -0.2039 % 2,311.4
Performance Highlights
Issue Index Change Notes
CU.PR.I FixedReset Disc -1.86 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-10
Maturity Price : 21.10
Evaluated at bid price : 21.10
Bid-YTW : 8.37 %
CM.PR.Y FixedReset Disc -1.64 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-10
Maturity Price : 23.39
Evaluated at bid price : 23.95
Bid-YTW : 7.67 %
PWF.PR.L Perpetual-Discount -1.54 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-10
Maturity Price : 18.51
Evaluated at bid price : 18.51
Bid-YTW : 6.96 %
IFC.PR.A FixedReset Ins Non -1.43 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-10
Maturity Price : 16.56
Evaluated at bid price : 16.56
Bid-YTW : 8.20 %
CU.PR.C FixedReset Disc -1.27 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-10
Maturity Price : 17.15
Evaluated at bid price : 17.15
Bid-YTW : 8.72 %
CU.PR.E Perpetual-Discount -1.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-10
Maturity Price : 18.10
Evaluated at bid price : 18.10
Bid-YTW : 6.79 %
PVS.PR.H SplitShare 1.00 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2027-02-28
Maturity Price : 25.00
Evaluated at bid price : 23.15
Bid-YTW : 7.41 %
BN.PF.E FixedReset Disc 1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-10
Maturity Price : 14.90
Evaluated at bid price : 14.90
Bid-YTW : 10.18 %
GWO.PR.S Insurance Straight 1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-10
Maturity Price : 19.50
Evaluated at bid price : 19.50
Bid-YTW : 6.85 %
PWF.PR.H Perpetual-Discount 1.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-10
Maturity Price : 21.25
Evaluated at bid price : 21.25
Bid-YTW : 6.84 %
PWF.PR.T FixedReset Disc 1.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-10
Maturity Price : 18.80
Evaluated at bid price : 18.80
Bid-YTW : 8.32 %
BIP.PR.F FixedReset Disc 1.28 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-10
Maturity Price : 19.75
Evaluated at bid price : 19.75
Bid-YTW : 8.65 %
PVS.PR.K SplitShare 1.43 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2029-05-31
Maturity Price : 25.00
Evaluated at bid price : 21.30
Bid-YTW : 7.89 %
BN.PR.T FixedReset Disc 1.55 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-10
Maturity Price : 13.76
Evaluated at bid price : 13.76
Bid-YTW : 10.06 %
BN.PR.X FixedReset Disc 1.57 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-10
Maturity Price : 14.25
Evaluated at bid price : 14.25
Bid-YTW : 9.55 %
IFC.PR.C FixedReset Disc 1.70 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-10
Maturity Price : 17.90
Evaluated at bid price : 17.90
Bid-YTW : 8.25 %
BN.PF.H FixedReset Disc 1.85 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-10
Maturity Price : 20.42
Evaluated at bid price : 20.42
Bid-YTW : 9.22 %
PVS.PR.J SplitShare 2.02 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2028-02-29
Maturity Price : 25.00
Evaluated at bid price : 22.75
Bid-YTW : 6.98 %
RY.PR.M FixedReset Disc 2.64 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-10
Maturity Price : 18.30
Evaluated at bid price : 18.30
Bid-YTW : 8.11 %
PWF.PR.K Perpetual-Discount 4.29 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-10
Maturity Price : 18.23
Evaluated at bid price : 18.23
Bid-YTW : 6.86 %
Volume Highlights
Issue Index Shares
Traded		 Notes
TD.PF.B FixedReset Disc 31,800 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-10
Maturity Price : 17.90
Evaluated at bid price : 17.90
Bid-YTW : 8.43 %
CM.PR.Y FixedReset Disc 30,191 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-10
Maturity Price : 23.39
Evaluated at bid price : 23.95
Bid-YTW : 7.67 %
BN.PR.K Floater 24,000 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-10
Maturity Price : 11.57
Evaluated at bid price : 11.57
Bid-YTW : 11.17 %
BN.PR.T FixedReset Disc 23,729 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-10
Maturity Price : 13.76
Evaluated at bid price : 13.76
Bid-YTW : 10.06 %
BN.PR.X FixedReset Disc 19,917 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-10
Maturity Price : 14.25
Evaluated at bid price : 14.25
Bid-YTW : 9.55 %
SLF.PR.J FloatingReset 16,500 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-10
Maturity Price : 14.86
Evaluated at bid price : 14.86
Bid-YTW : 11.36 %
There were 6 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
BN.PR.X FixedReset Disc Quote: 14.25 – 15.20
Spot Rate : 0.9500
Average : 0.6233

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

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

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

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

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

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

August 9, 2023

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

HIMIPref™ Preferred Indices
These values reflect the December 2008 revision of the HIMIPref™ Indices
Values are provisional and are finalized monthly
Index Mean
Current
Yield
(at bid)		 Median
YTW		 Median
Average
Trading
Value		 Median
Mod Dur
(YTW)		 Issues Day’s Perf. Index Value
Ratchet 0.00 % 0.00 % 0 0.00 0 0.1737 % 2,229.2
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.1737 % 4,275.5
Floater 10.92 % 11.19 % 35,349 8.61 2 0.1737 % 2,464.0
OpRet 0.00 % 0.00 % 0 0.00 0 -0.0588 % 3,352.6
SplitShare 5.03 % 7.73 % 41,290 2.07 8 -0.0588 % 4,003.7
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.0588 % 3,123.8
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 0.1382 % 2,563.7
Perpetual-Discount 6.69 % 6.84 % 45,486 12.77 31 0.1382 % 2,795.6
FixedReset Disc 5.87 % 8.46 % 92,297 11.20 56 -0.1919 % 2,138.6
Insurance Straight 6.61 % 6.75 % 56,046 12.83 18 0.4311 % 2,722.0
FloatingReset 11.15 % 11.45 % 32,407 8.44 1 -1.9934 % 2,372.4
FixedReset Prem 7.02 % 7.03 % 241,252 3.67 1 0.0800 % 2,301.7
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 -0.1919 % 2,186.1
FixedReset Ins Non 6.39 % 7.98 % 78,577 11.50 10 0.3594 % 2,316.2
Performance Highlights
Issue Index Change Notes
BIP.PR.F FixedReset Disc -4.92 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-09
Maturity Price : 19.50
Evaluated at bid price : 19.50
Bid-YTW : 8.76 %
PWF.PR.K Perpetual-Discount -4.48 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-09
Maturity Price : 17.48
Evaluated at bid price : 17.48
Bid-YTW : 7.16 %
RY.PR.M FixedReset Disc -2.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-09
Maturity Price : 17.83
Evaluated at bid price : 17.83
Bid-YTW : 8.32 %
SLF.PR.J FloatingReset -1.99 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-09
Maturity Price : 14.75
Evaluated at bid price : 14.75
Bid-YTW : 11.45 %
BN.PR.R FixedReset Disc -1.85 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-09
Maturity Price : 13.30
Evaluated at bid price : 13.30
Bid-YTW : 10.41 %
BN.PF.I FixedReset Disc -1.79 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-09
Maturity Price : 19.25
Evaluated at bid price : 19.25
Bid-YTW : 9.27 %
TD.PF.M FixedReset Disc -1.64 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-09
Maturity Price : 23.45
Evaluated at bid price : 24.00
Bid-YTW : 7.64 %
BN.PR.T FixedReset Disc -1.45 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-09
Maturity Price : 13.55
Evaluated at bid price : 13.55
Bid-YTW : 10.20 %
BN.PR.X FixedReset Disc -1.34 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-09
Maturity Price : 14.03
Evaluated at bid price : 14.03
Bid-YTW : 9.69 %
IFC.PR.C FixedReset Disc -1.18 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-09
Maturity Price : 17.60
Evaluated at bid price : 17.60
Bid-YTW : 8.38 %
CM.PR.O FixedReset Disc -1.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-09
Maturity Price : 17.83
Evaluated at bid price : 17.83
Bid-YTW : 8.46 %
BN.PF.F FixedReset Disc -1.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-09
Maturity Price : 16.05
Evaluated at bid price : 16.05
Bid-YTW : 10.27 %
PWF.PR.H Perpetual-Discount -1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-09
Maturity Price : 21.03
Evaluated at bid price : 21.03
Bid-YTW : 6.91 %
IFC.PR.E Insurance Straight 1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-09
Maturity Price : 19.80
Evaluated at bid price : 19.80
Bid-YTW : 6.67 %
GWO.PR.N FixedReset Ins Non 1.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-09
Maturity Price : 12.50
Evaluated at bid price : 12.50
Bid-YTW : 9.04 %
PVS.PR.J SplitShare 1.13 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2028-02-29
Maturity Price : 25.00
Evaluated at bid price : 22.30
Bid-YTW : 7.48 %
PWF.PR.L Perpetual-Discount 1.46 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-09
Maturity Price : 18.80
Evaluated at bid price : 18.80
Bid-YTW : 6.85 %
BN.PF.E FixedReset Disc 1.72 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-09
Maturity Price : 14.75
Evaluated at bid price : 14.75
Bid-YTW : 10.28 %
RY.PR.N Perpetual-Discount 1.89 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-09
Maturity Price : 21.60
Evaluated at bid price : 21.60
Bid-YTW : 5.69 %
MFC.PR.K FixedReset Ins Non 2.86 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-09
Maturity Price : 19.80
Evaluated at bid price : 19.80
Bid-YTW : 7.83 %
SLF.PR.C Insurance Straight 3.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-09
Maturity Price : 17.60
Evaluated at bid price : 17.60
Bid-YTW : 6.42 %
PWF.PR.T FixedReset Disc 5.80 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-09
Maturity Price : 18.60
Evaluated at bid price : 18.60
Bid-YTW : 8.40 %
Volume Highlights
Issue Index Shares
Traded		 Notes
TD.PF.B FixedReset Disc 72,756 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-09
Maturity Price : 17.96
Evaluated at bid price : 17.96
Bid-YTW : 8.40 %
TD.PF.J FixedReset Disc 70,069 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-09
Maturity Price : 20.84
Evaluated at bid price : 20.84
Bid-YTW : 7.63 %
RY.PR.J FixedReset Disc 66,925 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-09
Maturity Price : 18.65
Evaluated at bid price : 18.65
Bid-YTW : 8.31 %
MFC.PR.N FixedReset Ins Non 66,300 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-09
Maturity Price : 16.57
Evaluated at bid price : 16.57
Bid-YTW : 8.99 %
MFC.PR.M FixedReset Ins Non 61,900 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-09
Maturity Price : 16.80
Evaluated at bid price : 16.80
Bid-YTW : 9.05 %
MFC.PR.K FixedReset Ins Non 56,640 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-09
Maturity Price : 19.80
Evaluated at bid price : 19.80
Bid-YTW : 7.83 %
There were 48 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
PWF.PR.K Perpetual-Discount Quote: 17.48 – 18.48
Spot Rate : 1.0000
Average : 0.6102

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

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

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

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

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

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

August 8, 2023

Another preferred fund is going down:

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

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

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

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

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

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

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

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

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

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

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

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

August 4, 2023

HIMIPref™ Preferred Indices
These values reflect the December 2008 revision of the HIMIPref™ Indices
Values are provisional and are finalized monthly
Index Mean
Current
Yield
(at bid)		 Median
YTW		 Median
Average
Trading
Value		 Median
Mod Dur
(YTW)		 Issues Day’s Perf. Index Value
Ratchet 0.00 % 0.00 % 0 0.00 0 0.1730 % 2,236.9
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.1730 % 4,290.4
Floater 10.88 % 11.14 % 46,379 8.65 1 0.1730 % 2,472.6
OpRet 0.00 % 0.00 % 0 0.00 0 0.0738 % 3,346.5
SplitShare 5.04 % 7.74 % 44,327 2.36 7 0.0738 % 3,996.4
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0738 % 3,118.1
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 0.2282 % 2,552.8
Perpetual-Discount 6.67 % 6.83 % 47,361 12.76 28 0.2282 % 2,783.6
FixedReset Disc 5.82 % 8.58 % 88,146 11.04 64 -0.1683 % 2,145.2
Insurance Straight 6.63 % 6.74 % 56,153 12.83 19 0.6962 % 2,714.5
FloatingReset 11.65 % 11.38 % 33,221 8.50 2 -0.8160 % 2,367.6
FixedReset Prem 7.02 % 7.02 % 238,421 3.68 1 0.0000 % 2,300.8
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 -0.1683 % 2,192.8
FixedReset Ins Non 6.19 % 8.08 % 71,076 11.45 11 0.0360 % 2,314.8
Performance Highlights
Issue Index Change Notes
CU.PR.I FixedReset Disc -5.55 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-04
Maturity Price : 20.92
Evaluated at bid price : 20.92
Bid-YTW : 8.55 %
GWO.PR.N FixedReset Ins Non -2.29 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-04
Maturity Price : 12.37
Evaluated at bid price : 12.37
Bid-YTW : 9.29 %
BN.PR.X FixedReset Disc -2.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-04
Maturity Price : 14.47
Evaluated at bid price : 14.47
Bid-YTW : 9.54 %
BIP.PR.F FixedReset Disc -1.63 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-04
Maturity Price : 20.51
Evaluated at bid price : 20.51
Bid-YTW : 8.46 %
SLF.PR.J FloatingReset -1.54 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-04
Maturity Price : 14.72
Evaluated at bid price : 14.72
Bid-YTW : 11.38 %
PVS.PR.J SplitShare -1.34 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2028-02-29
Maturity Price : 25.00
Evaluated at bid price : 22.05
Bid-YTW : 7.74 %
BIP.PR.E FixedReset Disc -1.19 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-04
Maturity Price : 20.75
Evaluated at bid price : 20.75
Bid-YTW : 8.41 %
BN.PF.A FixedReset Disc -1.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-04
Maturity Price : 20.43
Evaluated at bid price : 20.43
Bid-YTW : 8.57 %
BN.PR.T FixedReset Disc -1.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-04
Maturity Price : 14.00
Evaluated at bid price : 14.00
Bid-YTW : 10.02 %
PWF.PR.G Perpetual-Discount 1.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-04
Maturity Price : 21.65
Evaluated at bid price : 21.90
Bid-YTW : 6.78 %
CU.PR.G Perpetual-Discount 1.19 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-04
Maturity Price : 16.95
Evaluated at bid price : 16.95
Bid-YTW : 6.65 %
GWO.PR.G Insurance Straight 1.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-04
Maturity Price : 19.41
Evaluated at bid price : 19.41
Bid-YTW : 6.80 %
GWO.PR.S Insurance Straight 1.25 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-04
Maturity Price : 19.50
Evaluated at bid price : 19.50
Bid-YTW : 6.84 %
PWF.PF.A Perpetual-Discount 1.52 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-04
Maturity Price : 16.75
Evaluated at bid price : 16.75
Bid-YTW : 6.78 %
BNS.PR.I FixedReset Disc 1.66 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-04
Maturity Price : 20.18
Evaluated at bid price : 20.18
Bid-YTW : 7.98 %
GWO.PR.M Insurance Straight 2.30 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-04
Maturity Price : 21.58
Evaluated at bid price : 21.84
Bid-YTW : 6.73 %
SLF.PR.C Insurance Straight 2.35 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-04
Maturity Price : 17.45
Evaluated at bid price : 17.45
Bid-YTW : 6.47 %
TRP.PR.C FixedReset Disc 3.29 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-04
Maturity Price : 11.00
Evaluated at bid price : 11.00
Bid-YTW : 10.89 %
CCS.PR.C Insurance Straight 3.67 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-04
Maturity Price : 18.95
Evaluated at bid price : 18.95
Bid-YTW : 6.70 %
Volume Highlights
Issue Index Shares
Traded		 Notes
BN.PF.F FixedReset Disc 32,936 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-04
Maturity Price : 16.30
Evaluated at bid price : 16.30
Bid-YTW : 10.27 %
FTS.PR.G FixedReset Disc 25,935 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-04
Maturity Price : 19.06
Evaluated at bid price : 19.06
Bid-YTW : 8.20 %
TRP.PR.B FixedReset Disc 24,000 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-04
Maturity Price : 10.55
Evaluated at bid price : 10.55
Bid-YTW : 11.19 %
BN.PF.B FixedReset Disc 23,337 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-04
Maturity Price : 17.10
Evaluated at bid price : 17.10
Bid-YTW : 9.62 %
TRP.PR.D FixedReset Disc 21,550 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-04
Maturity Price : 15.20
Evaluated at bid price : 15.20
Bid-YTW : 10.38 %
FTS.PR.K FixedReset Disc 20,075 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-04
Maturity Price : 16.75
Evaluated at bid price : 16.75
Bid-YTW : 9.08 %
There were 6 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
CU.PR.I FixedReset Disc Quote: 20.92 – 22.32
Spot Rate : 1.4000
Average : 0.8583

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

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

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

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

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

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

August 3, 2023

HIMIPref™ Preferred Indices
These values reflect the December 2008 revision of the HIMIPref™ Indices
Values are provisional and are finalized monthly
Index Mean
Current
Yield
(at bid)		 Median
YTW		 Median
Average
Trading
Value		 Median
Mod Dur
(YTW)		 Issues Day’s Perf. Index Value
Ratchet 0.00 % 0.00 % 0 0.00 0 0.0000 % 2,233.0
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.0000 % 4,283.0
Floater 10.90 % 11.16 % 46,817 8.65 1 0.0000 % 2,468.3
OpRet 0.00 % 0.00 % 0 0.00 0 -0.2148 % 3,344.0
SplitShare 5.04 % 7.86 % 44,645 2.36 7 -0.2148 % 3,993.4
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.2148 % 3,115.8
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 -0.3973 % 2,546.9
Perpetual-Discount 6.69 % 6.85 % 48,188 12.75 28 -0.3973 % 2,777.3
FixedReset Disc 5.81 % 8.58 % 88,588 11.06 64 -0.0615 % 2,148.8
Insurance Straight 6.67 % 6.80 % 55,331 12.78 19 -0.5264 % 2,695.7
FloatingReset 11.55 % 11.20 % 33,609 8.62 2 0.6158 % 2,387.1
FixedReset Prem 7.02 % 7.01 % 239,671 3.68 1 -0.1995 % 2,300.8
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 -0.0615 % 2,196.5
FixedReset Ins Non 6.20 % 8.06 % 71,069 11.48 11 -0.2309 % 2,313.9
Performance Highlights
Issue Index Change Notes
TRP.PR.C FixedReset Disc -3.88 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-03
Maturity Price : 10.65
Evaluated at bid price : 10.65
Bid-YTW : 11.20 %
BN.PF.E FixedReset Disc -3.33 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-03
Maturity Price : 14.50
Evaluated at bid price : 14.50
Bid-YTW : 10.60 %
SLF.PR.C Insurance Straight -3.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-03
Maturity Price : 17.05
Evaluated at bid price : 17.05
Bid-YTW : 6.62 %
BN.PF.I FixedReset Disc -2.74 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-03
Maturity Price : 19.50
Evaluated at bid price : 19.50
Bid-YTW : 9.25 %
BIP.PR.E FixedReset Disc -2.33 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-03
Maturity Price : 21.00
Evaluated at bid price : 21.00
Bid-YTW : 8.31 %
MFC.PR.L FixedReset Ins Non -1.73 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-03
Maturity Price : 17.00
Evaluated at bid price : 17.00
Bid-YTW : 8.98 %
BN.PR.R FixedReset Disc -1.57 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-03
Maturity Price : 13.75
Evaluated at bid price : 13.75
Bid-YTW : 10.23 %
GWO.PR.M Insurance Straight -1.52 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-03
Maturity Price : 21.35
Evaluated at bid price : 21.35
Bid-YTW : 6.90 %
BNS.PR.I FixedReset Disc -1.49 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-03
Maturity Price : 19.85
Evaluated at bid price : 19.85
Bid-YTW : 8.11 %
BN.PR.M Perpetual-Discount -1.39 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-03
Maturity Price : 17.01
Evaluated at bid price : 17.01
Bid-YTW : 7.09 %
RY.PR.O Perpetual-Discount -1.39 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-03
Maturity Price : 21.35
Evaluated at bid price : 21.35
Bid-YTW : 5.76 %
PWF.PR.G Perpetual-Discount -1.32 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-03
Maturity Price : 21.42
Evaluated at bid price : 21.68
Bid-YTW : 6.85 %
BN.PF.C Perpetual-Discount -1.26 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-03
Maturity Price : 17.20
Evaluated at bid price : 17.20
Bid-YTW : 7.16 %
BN.PF.J FixedReset Disc -1.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-03
Maturity Price : 19.51
Evaluated at bid price : 19.51
Bid-YTW : 8.85 %
GWO.PR.G Insurance Straight -1.18 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-03
Maturity Price : 19.18
Evaluated at bid price : 19.18
Bid-YTW : 6.88 %
PWF.PR.P FixedReset Disc -1.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-03
Maturity Price : 12.15
Evaluated at bid price : 12.15
Bid-YTW : 10.05 %
NA.PR.E FixedReset Disc -1.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-03
Maturity Price : 20.31
Evaluated at bid price : 20.31
Bid-YTW : 8.12 %
TD.PF.M FixedReset Disc 1.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-03
Maturity Price : 23.63
Evaluated at bid price : 24.16
Bid-YTW : 7.69 %
CM.PR.T FixedReset Disc 1.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-03
Maturity Price : 22.29
Evaluated at bid price : 23.08
Bid-YTW : 7.80 %
CM.PR.Q FixedReset Disc 1.25 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-03
Maturity Price : 17.79
Evaluated at bid price : 17.79
Bid-YTW : 8.74 %
BMO.PR.E FixedReset Disc 1.30 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-03
Maturity Price : 21.54
Evaluated at bid price : 21.87
Bid-YTW : 7.62 %
CM.PR.O FixedReset Disc 1.40 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-03
Maturity Price : 18.15
Evaluated at bid price : 18.15
Bid-YTW : 8.45 %
SLF.PR.J FloatingReset 1.56 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-03
Maturity Price : 14.95
Evaluated at bid price : 14.95
Bid-YTW : 11.20 %
Volume Highlights
Issue Index Shares
Traded		 Notes
TD.PF.K FixedReset Disc 240,775 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-03
Maturity Price : 21.71
Evaluated at bid price : 22.11
Bid-YTW : 7.47 %
RY.PR.Z FixedReset Disc 143,960 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-03
Maturity Price : 17.87
Evaluated at bid price : 17.87
Bid-YTW : 8.53 %
MFC.PR.I FixedReset Ins Non 77,350 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-03
Maturity Price : 20.90
Evaluated at bid price : 20.90
Bid-YTW : 8.03 %
BN.PF.E FixedReset Disc 77,200 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-03
Maturity Price : 14.50
Evaluated at bid price : 14.50
Bid-YTW : 10.60 %
TD.PF.J FixedReset Disc 74,400 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-03
Maturity Price : 20.82
Evaluated at bid price : 20.82
Bid-YTW : 7.73 %
BN.PR.T FixedReset Disc 72,100 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-03
Maturity Price : 14.15
Evaluated at bid price : 14.15
Bid-YTW : 9.92 %
There were 55 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
CM.PR.Q FixedReset Disc Quote: 17.79 – 25.08
Spot Rate : 7.2900
Average : 5.8475

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

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

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

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

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

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

August 2, 2023

PerpetualDiscounts now yield 6.81%, equivalent to 8.85% interest at the standard equivalency factor of 1.3x. Long corporates yielded 5.16% on 2023-7-21 and since then the closing price has changed from 14.98 to 14.67, a decrease of 207bp in price, with a Duration of 12.27 (BMO doesn’t specify whether this is Macaulay or Modified Duration; I will assume Modified) which implies an increase in yield of about 17bp since 7/21 to 5.33%, so the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) has narrowed to 350bp from the 360bp reported July 26.

HIMIPref™ Preferred Indices
These values reflect the December 2008 revision of the HIMIPref™ Indices
Values are provisional and are finalized monthly
Index Mean
Current
Yield
(at bid)		 Median
YTW		 Median
Average
Trading
Value		 Median
Mod Dur
(YTW)		 Issues Day’s Perf. Index Value
Ratchet 0.00 % 0.00 % 0 0.00 0 -1.3652 % 2,233.0
FixedFloater 0.00 % 0.00 % 0 0.00 0 -1.3652 % 4,283.0
Floater 10.90 % 11.16 % 48,450 8.65 1 -1.3652 % 2,468.3
OpRet 0.00 % 0.00 % 0 0.00 0 -0.1103 % 3,351.2
SplitShare 5.03 % 7.74 % 46,479 2.36 7 -0.1103 % 4,002.0
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.1103 % 3,122.5
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 -0.2286 % 2,557.1
Perpetual-Discount 6.66 % 6.81 % 48,363 12.81 28 -0.2286 % 2,788.4
FixedReset Disc 5.80 % 8.57 % 84,464 11.07 64 -0.1449 % 2,150.2
Insurance Straight 6.64 % 6.78 % 55,405 12.78 19 -0.0619 % 2,710.0
FloatingReset 11.62 % 11.37 % 34,989 8.51 2 -1.6156 % 2,372.5
FixedReset Prem 7.01 % 6.95 % 234,851 3.69 1 -0.0399 % 2,305.4
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 -0.1449 % 2,197.9
FixedReset Ins Non 6.18 % 8.03 % 65,755 11.48 11 0.4743 % 2,319.3
Performance Highlights
Issue Index Change Notes
SLF.PR.J FloatingReset -3.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-02
Maturity Price : 14.72
Evaluated at bid price : 14.72
Bid-YTW : 11.37 %
IFC.PR.A FixedReset Ins Non -2.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-02
Maturity Price : 16.77
Evaluated at bid price : 16.77
Bid-YTW : 8.21 %
CCS.PR.C Insurance Straight -2.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-02
Maturity Price : 18.32
Evaluated at bid price : 18.32
Bid-YTW : 6.93 %
CM.PR.Q FixedReset Disc -2.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-02
Maturity Price : 17.57
Evaluated at bid price : 17.57
Bid-YTW : 8.84 %
BN.PR.Z FixedReset Disc -1.86 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-02
Maturity Price : 18.50
Evaluated at bid price : 18.50
Bid-YTW : 9.14 %
CU.PR.C FixedReset Disc -1.77 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-02
Maturity Price : 17.70
Evaluated at bid price : 17.70
Bid-YTW : 8.56 %
RY.PR.N Perpetual-Discount -1.67 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-02
Maturity Price : 21.20
Evaluated at bid price : 21.20
Bid-YTW : 5.79 %
PVS.PR.K SplitShare -1.58 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2029-05-31
Maturity Price : 25.00
Evaluated at bid price : 21.21
Bid-YTW : 7.94 %
GWO.PR.S Insurance Straight -1.53 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-02
Maturity Price : 19.25
Evaluated at bid price : 19.25
Bid-YTW : 6.92 %
BN.PR.B Floater -1.37 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-02
Maturity Price : 11.56
Evaluated at bid price : 11.56
Bid-YTW : 11.16 %
IFC.PR.C FixedReset Disc -1.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-02
Maturity Price : 17.73
Evaluated at bid price : 17.73
Bid-YTW : 8.43 %
BMO.PR.Y FixedReset Disc -1.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-02
Maturity Price : 17.76
Evaluated at bid price : 17.76
Bid-YTW : 8.67 %
SLF.PR.E Insurance Straight -1.19 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-02
Maturity Price : 17.50
Evaluated at bid price : 17.50
Bid-YTW : 6.52 %
RY.PR.S FixedReset Disc -1.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-02
Maturity Price : 19.80
Evaluated at bid price : 19.80
Bid-YTW : 8.01 %
BN.PF.I FixedReset Disc 1.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-02
Maturity Price : 20.05
Evaluated at bid price : 20.05
Bid-YTW : 9.00 %
GWO.PR.N FixedReset Ins Non 1.21 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-02
Maturity Price : 12.56
Evaluated at bid price : 12.56
Bid-YTW : 9.16 %
BN.PR.R FixedReset Disc 1.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-02
Maturity Price : 13.97
Evaluated at bid price : 13.97
Bid-YTW : 10.08 %
IFC.PR.E Insurance Straight 1.55 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-02
Maturity Price : 19.60
Evaluated at bid price : 19.60
Bid-YTW : 6.73 %
PWF.PR.P FixedReset Disc 2.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-02
Maturity Price : 12.29
Evaluated at bid price : 12.29
Bid-YTW : 9.95 %
CU.PR.I FixedReset Disc 3.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-02
Maturity Price : 21.69
Evaluated at bid price : 22.15
Bid-YTW : 8.07 %
TRP.PR.C FixedReset Disc 4.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-02
Maturity Price : 11.08
Evaluated at bid price : 11.08
Bid-YTW : 10.81 %
MFC.PR.L FixedReset Ins Non 9.84 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-02
Maturity Price : 17.30
Evaluated at bid price : 17.30
Bid-YTW : 8.82 %
Volume Highlights
Issue Index Shares
Traded		 Notes
TD.PF.B FixedReset Disc 79,800 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-02
Maturity Price : 17.90
Evaluated at bid price : 17.90
Bid-YTW : 8.57 %
NA.PR.S FixedReset Disc 75,100 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-02
Maturity Price : 18.05
Evaluated at bid price : 18.05
Bid-YTW : 8.73 %
IFC.PR.E Insurance Straight 48,300 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-02
Maturity Price : 19.60
Evaluated at bid price : 19.60
Bid-YTW : 6.73 %
CM.PR.O FixedReset Disc 35,000 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-02
Maturity Price : 17.90
Evaluated at bid price : 17.90
Bid-YTW : 8.57 %
BMO.PR.S FixedReset Disc 29,000 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-02
Maturity Price : 18.10
Evaluated at bid price : 18.10
Bid-YTW : 8.59 %
RY.PR.H FixedReset Disc 25,200 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-02
Maturity Price : 17.68
Evaluated at bid price : 17.68
Bid-YTW : 8.60 %
There were 4 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
CM.PR.Q FixedReset Disc Quote: 17.57 – 25.08
Spot Rate : 7.5100
Average : 4.2658

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

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

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

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

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

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

August 1, 2023

HIMIPref™ Preferred Indices
These values reflect the December 2008 revision of the HIMIPref™ Indices
Values are provisional and are finalized monthly
Index Mean
Current
Yield
(at bid)		 Median
YTW		 Median
Average
Trading
Value		 Median
Mod Dur
(YTW)		 Issues Day’s Perf. Index Value
Ratchet 0.00 % 0.00 % 0 0.00 0 -0.6780 % 2,263.9
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.6780 % 4,342.2
Floater 10.75 % 11.00 % 49,122 8.76 1 -0.6780 % 2,502.4
OpRet 0.00 % 0.00 % 0 0.00 0 0.0920 % 3,354.9
SplitShare 5.03 % 7.68 % 46,942 2.37 7 0.0920 % 4,006.5
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0920 % 3,126.0
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 -0.1234 % 2,563.0
Perpetual-Discount 6.65 % 6.81 % 47,561 12.77 28 -0.1234 % 2,794.8
FixedReset Disc 5.80 % 8.57 % 86,274 11.10 64 -0.3084 % 2,153.3
Insurance Straight 6.63 % 6.78 % 56,188 12.80 19 -0.4119 % 2,711.6
FloatingReset 11.44 % 11.00 % 35,412 8.76 2 -0.8675 % 2,411.4
FixedReset Prem 7.01 % 6.94 % 243,725 3.69 1 0.0399 % 2,306.3
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 -0.3084 % 2,201.1
FixedReset Ins Non 6.21 % 7.97 % 61,710 11.57 11 -0.6454 % 2,308.3
Performance Highlights
Issue Index Change Notes
MFC.PR.L FixedReset Ins Non -8.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-01
Maturity Price : 15.75
Evaluated at bid price : 15.75
Bid-YTW : 9.68 %
CU.PR.I FixedReset Disc -3.97 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-01
Maturity Price : 21.42
Evaluated at bid price : 21.75
Bid-YTW : 8.33 %
BIP.PR.F FixedReset Disc -2.81 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-01
Maturity Price : 20.75
Evaluated at bid price : 20.75
Bid-YTW : 8.35 %
TRP.PR.C FixedReset Disc -2.29 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-01
Maturity Price : 10.65
Evaluated at bid price : 10.65
Bid-YTW : 11.19 %
BN.PR.X FixedReset Disc -1.59 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-01
Maturity Price : 14.81
Evaluated at bid price : 14.81
Bid-YTW : 9.31 %
FTS.PR.H FixedReset Disc -1.52 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-01
Maturity Price : 12.95
Evaluated at bid price : 12.95
Bid-YTW : 9.61 %
CCS.PR.C Insurance Straight -1.47 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-01
Maturity Price : 18.72
Evaluated at bid price : 18.72
Bid-YTW : 6.78 %
IFC.PR.E Insurance Straight -1.28 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-01
Maturity Price : 19.30
Evaluated at bid price : 19.30
Bid-YTW : 6.84 %
PWF.PR.P FixedReset Disc -1.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-01
Maturity Price : 12.03
Evaluated at bid price : 12.03
Bid-YTW : 10.13 %
TRP.PR.F FloatingReset -1.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-01
Maturity Price : 14.50
Evaluated at bid price : 14.50
Bid-YTW : 12.47 %
CM.PR.Q FixedReset Disc -1.21 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-01
Maturity Price : 17.95
Evaluated at bid price : 17.95
Bid-YTW : 8.66 %
TD.PF.B FixedReset Disc -1.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-01
Maturity Price : 17.80
Evaluated at bid price : 17.80
Bid-YTW : 8.61 %
PWF.PR.E Perpetual-Discount -1.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-01
Maturity Price : 20.08
Evaluated at bid price : 20.08
Bid-YTW : 6.91 %
BMO.PR.S FixedReset Disc -1.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-01
Maturity Price : 17.97
Evaluated at bid price : 17.97
Bid-YTW : 8.64 %
BMO.PR.E FixedReset Disc -1.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-01
Maturity Price : 21.53
Evaluated at bid price : 21.53
Bid-YTW : 7.75 %
PWF.PR.S Perpetual-Discount 1.25 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-01
Maturity Price : 17.75
Evaluated at bid price : 17.75
Bid-YTW : 6.82 %
RY.PR.N Perpetual-Discount 1.46 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-01
Maturity Price : 21.56
Evaluated at bid price : 21.56
Bid-YTW : 5.70 %
PWF.PR.T FixedReset Disc 1.60 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-01
Maturity Price : 19.00
Evaluated at bid price : 19.00
Bid-YTW : 8.36 %
BN.PF.I FixedReset Disc 2.96 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-01
Maturity Price : 19.85
Evaluated at bid price : 19.85
Bid-YTW : 9.09 %
Volume Highlights
Issue Index Shares
Traded		 Notes
MFC.PR.C Insurance Straight 69,510 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-01
Maturity Price : 17.20
Evaluated at bid price : 17.20
Bid-YTW : 6.65 %
CU.PR.J Perpetual-Discount 54,720 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-01
Maturity Price : 17.63
Evaluated at bid price : 17.63
Bid-YTW : 6.88 %
MFC.PR.L FixedReset Ins Non 40,800 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-01
Maturity Price : 15.75
Evaluated at bid price : 15.75
Bid-YTW : 9.68 %
TD.PF.B FixedReset Disc 39,871 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-01
Maturity Price : 17.80
Evaluated at bid price : 17.80
Bid-YTW : 8.61 %
BMO.PR.S FixedReset Disc 31,100 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-01
Maturity Price : 17.97
Evaluated at bid price : 17.97
Bid-YTW : 8.64 %
FTS.PR.G FixedReset Disc 26,812 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-01
Maturity Price : 19.15
Evaluated at bid price : 19.15
Bid-YTW : 8.16 %
There were 8 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
MFC.PR.M FixedReset Ins Non Quote: 16.86 – 20.45
Spot Rate : 3.5900
Average : 2.1079

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

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

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

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

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

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

July 31, 2023

HIMIPref™ Preferred Indices
These values reflect the December 2008 revision of the HIMIPref™ Indices
Values are provisional and are finalized monthly
Index Mean
Current
Yield
(at bid)		 Median
YTW		 Median
Average
Trading
Value		 Median
Mod Dur
(YTW)		 Issues Day’s Perf. Index Value
Ratchet 0.00 % 0.00 % 0 0.00 0 0.4255 % 2,279.4
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.4255 % 4,371.9
Floater 10.68 % 10.92 % 49,151 8.82 1 0.4255 % 2,519.5
OpRet 0.00 % 0.00 % 0 0.00 0 -0.4338 % 3,351.8
SplitShare 5.03 % 7.70 % 47,558 2.37 7 -0.4338 % 4,002.8
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.4338 % 3,123.1
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 0.4104 % 2,566.1
Perpetual-Discount 6.64 % 6.83 % 47,423 12.78 28 0.4104 % 2,798.2
FixedReset Disc 5.78 % 8.51 % 85,887 11.13 64 0.5193 % 2,159.9
Insurance Straight 6.61 % 6.75 % 56,461 12.85 19 0.4588 % 2,722.8
FloatingReset 11.34 % 10.93 % 36,788 8.81 2 0.5705 % 2,432.5
FixedReset Prem 7.01 % 6.94 % 251,720 3.69 1 0.0000 % 2,305.4
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 0.5193 % 2,207.9
FixedReset Ins Non 6.17 % 7.99 % 62,052 11.58 11 0.2310 % 2,323.3
Performance Highlights
Issue Index Change Notes
TRP.PR.C FixedReset Disc -3.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-31
Maturity Price : 10.90
Evaluated at bid price : 10.90
Bid-YTW : 10.96 %
TRP.PR.B FixedReset Disc -2.33 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-31
Maturity Price : 10.50
Evaluated at bid price : 10.50
Bid-YTW : 11.22 %
BN.PR.T FixedReset Disc -1.39 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-31
Maturity Price : 14.15
Evaluated at bid price : 14.15
Bid-YTW : 9.91 %
PVS.PR.K SplitShare -1.38 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2029-05-31
Maturity Price : 25.00
Evaluated at bid price : 21.45
Bid-YTW : 7.70 %
MFC.PR.L FixedReset Ins Non -1.27 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-31
Maturity Price : 17.12
Evaluated at bid price : 17.12
Bid-YTW : 8.91 %
PWF.PR.T FixedReset Disc -1.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-31
Maturity Price : 18.70
Evaluated at bid price : 18.70
Bid-YTW : 8.49 %
POW.PR.C Perpetual-Discount -1.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-31
Maturity Price : 21.49
Evaluated at bid price : 21.75
Bid-YTW : 6.73 %
BN.PR.R FixedReset Disc -1.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-31
Maturity Price : 13.93
Evaluated at bid price : 13.93
Bid-YTW : 10.10 %
TRP.PR.G FixedReset Disc -1.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-31
Maturity Price : 15.73
Evaluated at bid price : 15.73
Bid-YTW : 10.01 %
BMO.PR.S FixedReset Disc 1.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-31
Maturity Price : 18.16
Evaluated at bid price : 18.16
Bid-YTW : 8.55 %
BN.PF.E FixedReset Disc 1.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-31
Maturity Price : 15.00
Evaluated at bid price : 15.00
Bid-YTW : 10.25 %
MFC.PR.K FixedReset Ins Non 1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-31
Maturity Price : 19.75
Evaluated at bid price : 19.75
Bid-YTW : 7.99 %
FTS.PR.J Perpetual-Discount 1.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-31
Maturity Price : 18.97
Evaluated at bid price : 18.97
Bid-YTW : 6.39 %
NA.PR.S FixedReset Disc 1.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-31
Maturity Price : 17.95
Evaluated at bid price : 17.95
Bid-YTW : 8.78 %
SLF.PR.D Insurance Straight 1.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-31
Maturity Price : 17.69
Evaluated at bid price : 17.69
Bid-YTW : 6.38 %
BN.PF.C Perpetual-Discount 1.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-31
Maturity Price : 17.61
Evaluated at bid price : 17.61
Bid-YTW : 6.99 %
TD.PF.L FixedReset Disc 1.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-31
Maturity Price : 22.65
Evaluated at bid price : 23.26
Bid-YTW : 7.73 %
BN.PF.I FixedReset Disc 1.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-31
Maturity Price : 19.28
Evaluated at bid price : 19.28
Bid-YTW : 9.34 %
BMO.PR.E FixedReset Disc 1.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-31
Maturity Price : 21.45
Evaluated at bid price : 21.75
Bid-YTW : 7.65 %
TRP.PR.F FloatingReset 1.17 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-31
Maturity Price : 14.68
Evaluated at bid price : 14.68
Bid-YTW : 12.31 %
TD.PF.I FixedReset Disc 1.26 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-31
Maturity Price : 22.84
Evaluated at bid price : 24.02
Bid-YTW : 7.08 %
IFC.PR.E Insurance Straight 1.30 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-31
Maturity Price : 19.55
Evaluated at bid price : 19.55
Bid-YTW : 6.75 %
TD.PF.A FixedReset Disc 1.31 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-31
Maturity Price : 17.78
Evaluated at bid price : 17.78
Bid-YTW : 8.50 %
BN.PF.D Perpetual-Discount 1.31 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-31
Maturity Price : 17.73
Evaluated at bid price : 17.73
Bid-YTW : 7.02 %
ELF.PR.H Perpetual-Discount 1.32 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-31
Maturity Price : 20.67
Evaluated at bid price : 20.67
Bid-YTW : 6.73 %
NA.PR.G FixedReset Disc 1.35 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-31
Maturity Price : 21.49
Evaluated at bid price : 21.81
Bid-YTW : 7.76 %
POW.PR.D Perpetual-Discount 1.36 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-31
Maturity Price : 18.65
Evaluated at bid price : 18.65
Bid-YTW : 6.78 %
BMO.PR.W FixedReset Disc 1.49 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-31
Maturity Price : 17.00
Evaluated at bid price : 17.00
Bid-YTW : 8.83 %
BN.PF.F FixedReset Disc 1.56 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-31
Maturity Price : 16.32
Evaluated at bid price : 16.32
Bid-YTW : 10.25 %
SLF.PR.G FixedReset Ins Non 1.64 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-31
Maturity Price : 13.02
Evaluated at bid price : 13.02
Bid-YTW : 9.43 %
BMO.PR.Y FixedReset Disc 1.74 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-31
Maturity Price : 18.11
Evaluated at bid price : 18.11
Bid-YTW : 8.51 %
BN.PF.H FixedReset Disc 2.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-31
Maturity Price : 20.30
Evaluated at bid price : 20.30
Bid-YTW : 9.36 %
TD.PF.C FixedReset Disc 2.62 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-31
Maturity Price : 17.60
Evaluated at bid price : 17.60
Bid-YTW : 8.56 %
CCS.PR.C Insurance Straight 3.94 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-31
Maturity Price : 19.00
Evaluated at bid price : 19.00
Bid-YTW : 6.68 %
TD.PF.B FixedReset Disc 4.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-31
Maturity Price : 18.00
Evaluated at bid price : 18.00
Bid-YTW : 8.51 %
RY.PR.S FixedReset Disc 5.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-31
Maturity Price : 20.01
Evaluated at bid price : 20.01
Bid-YTW : 7.92 %
Volume Highlights
Issue Index Shares
Traded		 Notes
RY.PR.J FixedReset Disc 67,900 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-31
Maturity Price : 18.65
Evaluated at bid price : 18.65
Bid-YTW : 8.43 %
TD.PF.C FixedReset Disc 61,900 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-31
Maturity Price : 17.60
Evaluated at bid price : 17.60
Bid-YTW : 8.56 %
NA.PR.S FixedReset Disc 53,800 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-31
Maturity Price : 17.95
Evaluated at bid price : 17.95
Bid-YTW : 8.78 %
TD.PF.I FixedReset Disc 38,000 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-31
Maturity Price : 22.84
Evaluated at bid price : 24.02
Bid-YTW : 7.08 %
MFC.PR.L FixedReset Ins Non 32,700 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-31
Maturity Price : 17.12
Evaluated at bid price : 17.12
Bid-YTW : 8.91 %
BIP.PR.B FixedReset Disc 25,800 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-31
Maturity Price : 21.20
Evaluated at bid price : 21.20
Bid-YTW : 9.43 %
There were 8 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
TRP.PR.G FixedReset Disc Quote: 15.73 – 17.00
Spot Rate : 1.2700
Average : 0.9362

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

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

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

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

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

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