Category: Market Action

Market Action

August 24, 2023

HIMIPref™ Preferred Indices
These values reflect the December 2008 revision of the HIMIPref™ Indices
Values are provisional and are finalized monthly
Index Mean
Current
Yield
(at bid)		 Median
YTW		 Median
Average
Trading
Value		 Median
Mod Dur
(YTW)		 Issues Day’s Perf. Index Value
Ratchet 0.00 % 0.00 % 0 0.00 0 -1.1349 % 2,188.6
FixedFloater 0.00 % 0.00 % 0 0.00 0 -1.1349 % 4,197.7
Floater 11.13 % 11.39 % 55,133 8.44 2 -1.1349 % 2,419.2
OpRet 0.00 % 0.00 % 0 0.00 0 -0.2783 % 3,340.4
SplitShare 5.04 % 7.31 % 43,333 2.05 8 -0.2783 % 3,989.1
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.2783 % 3,112.5
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 0.0437 % 2,467.3
Perpetual-Discount 6.95 % 7.13 % 47,838 12.38 31 0.0437 % 2,690.4
FixedReset Disc 6.03 % 9.15 % 94,351 10.56 56 -0.4659 % 2,076.6
Insurance Straight 6.85 % 7.01 % 54,893 12.46 18 -0.0674 % 2,628.0
FloatingReset 10.93 % 11.26 % 35,915 8.52 1 0.0658 % 2,446.4
FixedReset Prem 7.05 % 7.24 % 223,375 3.62 1 0.4435 % 2,291.6
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 -0.4659 % 2,122.7
FixedReset Ins Non 6.57 % 8.52 % 89,866 11.06 10 -0.0793 % 2,251.9
Performance Highlights
Issue Index Change Notes
BN.PF.H FixedReset Disc -4.81 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-24
Maturity Price : 18.01
Evaluated at bid price : 18.01
Bid-YTW : 10.78 %
BN.PF.E FixedReset Disc -3.18 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-24
Maturity Price : 13.70
Evaluated at bid price : 13.70
Bid-YTW : 11.57 %
BN.PF.I FixedReset Disc -2.53 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-24
Maturity Price : 17.69
Evaluated at bid price : 17.69
Bid-YTW : 10.40 %
PVS.PR.J SplitShare -1.80 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2028-02-29
Maturity Price : 25.00
Evaluated at bid price : 21.80
Bid-YTW : 7.82 %
CM.PR.Y FixedReset Disc -1.69 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-24
Maturity Price : 22.69
Evaluated at bid price : 23.25
Bid-YTW : 8.26 %
TD.PF.E FixedReset Disc -1.48 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-24
Maturity Price : 18.01
Evaluated at bid price : 18.01
Bid-YTW : 9.02 %
SLF.PR.D Insurance Straight -1.46 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-24
Maturity Price : 16.85
Evaluated at bid price : 16.85
Bid-YTW : 6.73 %
BN.PR.K Floater -1.40 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-24
Maturity Price : 11.25
Evaluated at bid price : 11.25
Bid-YTW : 11.55 %
BN.PR.R FixedReset Disc -1.24 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-24
Maturity Price : 12.77
Evaluated at bid price : 12.77
Bid-YTW : 11.31 %
BIP.PR.F FixedReset Disc -1.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-24
Maturity Price : 20.00
Evaluated at bid price : 20.00
Bid-YTW : 8.98 %
MFC.PR.M FixedReset Ins Non -1.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-24
Maturity Price : 16.51
Evaluated at bid price : 16.51
Bid-YTW : 9.55 %
RY.PR.J FixedReset Disc -1.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-24
Maturity Price : 17.80
Evaluated at bid price : 17.80
Bid-YTW : 9.11 %
RY.PR.M FixedReset Disc -1.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-24
Maturity Price : 17.27
Evaluated at bid price : 17.27
Bid-YTW : 8.98 %
CIU.PR.A Perpetual-Discount 1.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-24
Maturity Price : 16.42
Evaluated at bid price : 16.42
Bid-YTW : 7.05 %
POW.PR.A Perpetual-Discount 1.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-24
Maturity Price : 20.25
Evaluated at bid price : 20.25
Bid-YTW : 7.03 %
ELF.PR.F Perpetual-Discount 1.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-24
Maturity Price : 19.20
Evaluated at bid price : 19.20
Bid-YTW : 7.02 %
MFC.PR.N FixedReset Ins Non 1.25 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-24
Maturity Price : 16.25
Evaluated at bid price : 16.25
Bid-YTW : 9.50 %
Volume Highlights
Issue Index Shares
Traded		 Notes
BN.PF.F FixedReset Disc 255,900 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-24
Maturity Price : 15.48
Evaluated at bid price : 15.48
Bid-YTW : 11.18 %
CM.PR.O FixedReset Disc 69,870 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-24
Maturity Price : 17.10
Evaluated at bid price : 17.10
Bid-YTW : 9.29 %
RY.PR.Z FixedReset Disc 63,351 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-24
Maturity Price : 17.34
Evaluated at bid price : 17.34
Bid-YTW : 9.12 %
TD.PF.B FixedReset Disc 48,502 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-24
Maturity Price : 17.27
Evaluated at bid price : 17.27
Bid-YTW : 9.21 %
NA.PR.W FixedReset Disc 46,700 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-24
Maturity Price : 16.06
Evaluated at bid price : 16.06
Bid-YTW : 9.67 %
GWO.PR.H Insurance Straight 26,340 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-24
Maturity Price : 17.64
Evaluated at bid price : 17.64
Bid-YTW : 7.02 %
There were 9 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
NA.PR.W FixedReset Disc Quote: 16.06 – 17.49
Spot Rate : 1.4300
Average : 0.8987

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-24
Maturity Price : 16.06
Evaluated at bid price : 16.06
Bid-YTW : 9.67 %
BN.PF.H FixedReset Disc Quote: 18.01 – 19.20
Spot Rate : 1.1900
Average : 0.7664

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-24
Maturity Price : 18.01
Evaluated at bid price : 18.01
Bid-YTW : 10.78 %
TD.PF.M FixedReset Disc Quote: 23.65 – 24.56
Spot Rate : 0.9100
Average : 0.6145

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-24
Maturity Price : 23.07
Evaluated at bid price : 23.65
Bid-YTW : 8.11 %
BN.PF.I FixedReset Disc Quote: 17.69 – 18.69
Spot Rate : 1.0000
Average : 0.7201

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-24
Maturity Price : 17.69
Evaluated at bid price : 17.69
Bid-YTW : 10.40 %
BMO.PR.T FixedReset Disc Quote: 16.66 – 17.39
Spot Rate : 0.7300
Average : 0.5226

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-24
Maturity Price : 16.66
Evaluated at bid price : 16.66
Bid-YTW : 9.43 %
MFC.PR.M FixedReset Ins Non Quote: 16.51 – 18.00
Spot Rate : 1.4900
Average : 1.3004

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-24
Maturity Price : 16.51
Evaluated at bid price : 16.51
Bid-YTW : 9.55 %
Market Action

August 23, 2023

PerpetualDiscounts now yield 7.13%, equivalent to 9.27% interest at the standard equivalency factor of 1.3x. Long corporates yielded 5.43% on 2023-8-18 and since then the closing price has changed from 14.45 to 14.57, an increase of 83bp in price, with a Duration of 12.05 (BMO doesn’t specify whether this is Macaulay or Modified Duration; I will assume Modified) which implies a decrease in yield of about 7bp since 8/18 to 5.36%, so the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) has roared up to 390bp from the 350bp reported August 16.

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 % 2,213.7
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.0000 % 4,245.9
Floater 11.00 % 11.29 % 55,757 8.51 2 0.0000 % 2,446.9
OpRet 0.00 % 0.00 % 0 0.00 0 0.8202 % 3,349.7
SplitShare 5.03 % 7.23 % 42,574 2.06 8 0.8202 % 4,000.2
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.8202 % 3,121.1
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 0.2385 % 2,466.2
Perpetual-Discount 6.96 % 7.13 % 47,247 12.38 31 0.2385 % 2,689.3
FixedReset Disc 6.00 % 9.14 % 95,963 10.59 56 0.1059 % 2,086.3
Insurance Straight 6.84 % 7.02 % 55,472 12.45 18 0.2150 % 2,629.8
FloatingReset 10.94 % 11.27 % 36,481 8.52 1 0.5956 % 2,444.8
FixedReset Prem 7.08 % 7.36 % 225,228 3.62 1 1.5561 % 2,281.4
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 0.1059 % 2,132.6
FixedReset Ins Non 6.56 % 8.53 % 89,239 11.12 10 0.0737 % 2,253.6
Performance Highlights
Issue Index Change Notes
BMO.PR.Y FixedReset Disc -2.42 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-23
Maturity Price : 17.32
Evaluated at bid price : 17.32
Bid-YTW : 9.17 %
MFC.PR.N FixedReset Ins Non -2.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-23
Maturity Price : 16.05
Evaluated at bid price : 16.05
Bid-YTW : 9.62 %
IFC.PR.E Insurance Straight -1.50 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-23
Maturity Price : 19.01
Evaluated at bid price : 19.01
Bid-YTW : 6.98 %
BN.PF.G FixedReset Disc -1.37 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-23
Maturity Price : 14.35
Evaluated at bid price : 14.35
Bid-YTW : 11.37 %
MFC.PR.C Insurance Straight -1.19 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-23
Maturity Price : 16.55
Evaluated at bid price : 16.55
Bid-YTW : 6.82 %
RY.PR.Z FixedReset Disc -1.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-23
Maturity Price : 17.30
Evaluated at bid price : 17.30
Bid-YTW : 9.14 %
SLF.PR.C Insurance Straight -1.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-23
Maturity Price : 17.01
Evaluated at bid price : 17.01
Bid-YTW : 6.67 %
CIU.PR.A Perpetual-Discount -1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-23
Maturity Price : 16.25
Evaluated at bid price : 16.25
Bid-YTW : 7.13 %
PWF.PR.H Perpetual-Discount 1.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-23
Maturity Price : 20.26
Evaluated at bid price : 20.26
Bid-YTW : 7.19 %
BMO.PR.E FixedReset Disc 1.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-23
Maturity Price : 21.62
Evaluated at bid price : 21.98
Bid-YTW : 7.85 %
PWF.PR.O Perpetual-Discount 1.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-23
Maturity Price : 20.50
Evaluated at bid price : 20.50
Bid-YTW : 7.17 %
CU.PR.D Perpetual-Discount 1.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-23
Maturity Price : 17.80
Evaluated at bid price : 17.80
Bid-YTW : 6.93 %
CU.PR.E Perpetual-Discount 1.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-23
Maturity Price : 17.70
Evaluated at bid price : 17.70
Bid-YTW : 6.97 %
POW.PR.C Perpetual-Discount 1.48 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-23
Maturity Price : 21.30
Evaluated at bid price : 21.30
Bid-YTW : 6.92 %
TD.PF.E FixedReset Disc 1.50 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-23
Maturity Price : 18.28
Evaluated at bid price : 18.28
Bid-YTW : 8.89 %
NA.PR.C FixedReset Prem 1.56 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2027-11-15
Maturity Price : 25.00
Evaluated at bid price : 24.80
Bid-YTW : 7.36 %
TD.PF.A FixedReset Disc 1.65 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-23
Maturity Price : 17.30
Evaluated at bid price : 17.30
Bid-YTW : 9.06 %
BN.PF.J FixedReset Disc 1.75 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-23
Maturity Price : 18.65
Evaluated at bid price : 18.65
Bid-YTW : 9.49 %
PVS.PR.J SplitShare 1.83 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2028-02-29
Maturity Price : 25.00
Evaluated at bid price : 22.20
Bid-YTW : 7.35 %
PVS.PR.K SplitShare 2.01 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2029-05-31
Maturity Price : 25.00
Evaluated at bid price : 20.81
Bid-YTW : 8.16 %
MFC.PR.L FixedReset Ins Non 2.41 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-23
Maturity Price : 16.15
Evaluated at bid price : 16.15
Bid-YTW : 9.66 %
BN.PF.E FixedReset Disc 3.28 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-23
Maturity Price : 14.15
Evaluated at bid price : 14.15
Bid-YTW : 11.21 %
TD.PF.I FixedReset Disc 4.55 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-23
Maturity Price : 22.33
Evaluated at bid price : 23.00
Bid-YTW : 7.62 %
GWO.PR.I Insurance Straight 7.78 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-23
Maturity Price : 16.49
Evaluated at bid price : 16.49
Bid-YTW : 6.96 %
Volume Highlights
Issue Index Shares
Traded		 Notes
POW.PR.G Perpetual-Discount 111,500 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-23
Maturity Price : 19.85
Evaluated at bid price : 19.85
Bid-YTW : 7.18 %
TD.PF.C FixedReset Disc 65,000 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-23
Maturity Price : 16.70
Evaluated at bid price : 16.70
Bid-YTW : 9.34 %
NA.PR.W FixedReset Disc 51,700 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-23
Maturity Price : 16.16
Evaluated at bid price : 16.16
Bid-YTW : 9.61 %
RY.PR.Z FixedReset Disc 49,831 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-23
Maturity Price : 17.30
Evaluated at bid price : 17.30
Bid-YTW : 9.14 %
CM.PR.Q FixedReset Disc 38,200 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-23
Maturity Price : 17.25
Evaluated at bid price : 17.25
Bid-YTW : 9.28 %
POW.PR.D Perpetual-Discount 37,505 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-23
Maturity Price : 17.81
Evaluated at bid price : 17.81
Bid-YTW : 7.14 %
There were 24 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
CU.PR.E Perpetual-Discount Quote: 17.70 – 22.12
Spot Rate : 4.4200
Average : 2.4221

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-23
Maturity Price : 17.70
Evaluated at bid price : 17.70
Bid-YTW : 6.97 %
POW.PR.A Perpetual-Discount Quote: 20.04 – 21.50
Spot Rate : 1.4600
Average : 0.8448

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-23
Maturity Price : 20.04
Evaluated at bid price : 20.04
Bid-YTW : 7.11 %
GWO.PR.P Insurance Straight Quote: 19.44 – 20.47
Spot Rate : 1.0300
Average : 0.6544

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-23
Maturity Price : 19.44
Evaluated at bid price : 19.44
Bid-YTW : 7.09 %
PWF.PR.F Perpetual-Discount Quote: 18.63 – 19.50
Spot Rate : 0.8700
Average : 0.5459

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-23
Maturity Price : 18.63
Evaluated at bid price : 18.63
Bid-YTW : 7.14 %
BIP.PR.B FixedReset Disc Quote: 21.10 – 21.95
Spot Rate : 0.8500
Average : 0.5389

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-23
Maturity Price : 21.10
Evaluated at bid price : 21.10
Bid-YTW : 9.72 %
MFC.PR.Q FixedReset Ins Non Quote: 19.45 – 22.22
Spot Rate : 2.7700
Average : 2.4756

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-23
Maturity Price : 19.45
Evaluated at bid price : 19.45
Bid-YTW : 8.34 %
Market Action

August 23, 2023

TXPR closed at 513.17, down 1.18% on the day and setting a new 52-week low. Volume today was 2.05-million, third-highest of the past 21 trading days.

CPD closed at 10.25, down 0.77% on the day and setting a new 52-week low. Volume was 78,390, second-highest of the past 21 trading days.

ZPR closed at 8.60, down 1.15% on the day, but staying above its 52-week low of 8.48. Volume was 116,720, above the median of the past 21 trading days.

Five-year Canada yields were up to 4.23%.

At this rate, yields on preferreds shares are gonna be calculated as undefined over nuthin’!

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<
br>Value		 Median
Mod Dur
(YTW)		 Issues Day’s Perf. Index Value
Ratchet 0.00 % 0.00 % 0 0.0
0		 0 -0.4346 % 2,213.7
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.4346 % 4,245.9
Floater 11.00 % 11.28 % 54,166 8.51 2 -0.4346 % 2,446.9
OpRet 0.00 % 0.
00 %		 0 0.00 0 0.2000 % 3,322.4
SplitShare 5.07 % 7.46 % 44,028 2.05 8 0.2000 % 3,967.7
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.2000 % 3,095.8
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 -0.6586 % 2,460.3
Perpetual-Discount 6.97 % 7.13
%		 47,862 12.36 31 -0.6586 % 2,682.9
FixedReset Disc 6.00 % 9.06 % 98,793 10.59 56 -1.0984 % 2,084.1
Insurance Straight 6.86 % 7.00 % 52,321 12.48 18 -0.8495 % 2,624.1
FloatingReset 11.00 % 11.33 % 36,962 8.48 1 0.0662 % 2,430.3
FixedReset Prem 7.19 % 7.65 % 228,532 11.83 1 -2.3200 % 2,246.5
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 -1.0984 % 2,130.4
FixedReset Ins Non 6.57 % 8.52 % 86,741 11.12 10 -1
.3362 %		 2,252.0
Performance Highlights
Issue Index Change Notes
TD.PF.I FixedReset Disc -5.58 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-22
Maturity Price : 21.67
Evaluated at bid price : 22.00
Bid-YTW : 7.98 %
RY.PR.M FixedReset Disc -3.94 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-22
Maturity Price : 17.30
Evaluated at bid price : 17.30
Bid-YTW : 8.96 %
BN.PF.E FixedReset Disc -3.93 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-22
Maturity Price : 13.70
Evaluated at bid price : 13.70
Bid-YTW : 11.56 %
BN.PR.Z FixedReset Disc -2.71 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-22
Maturity Price : 17.56
Evaluated at bid price : 17.56
Bid-YTW : 9.87 %
NA.PR.C FixedReset Prem -2.32 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-22
Maturity Price : 23.01
Evaluated at bid price : 24.42
Bid-YTW : 7.65 %
BIK.PR.A FixedReset Disc -2.31 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-22
Maturity Price : 21.10
Evaluated at bid price : 21.10
Bid-YTW : 9.70 %
BMO.PR.T FixedReset Disc -2.29 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-22
Maturity Price : 16.62
Evaluated at bid price : 16.62
Bid-YTW : 9.45 %
IFC.PR.F Insurance Straight -2.28 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-22
Maturity Price : 19.30
Evaluated at bid price : 19.30
Bid-YTW : 7.00 %
BN.PR.R FixedReset Disc -2.26 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-22
Maturity Price : 12.95
Evaluated at bid price : 12.95
Bid-YTW : 11.15 %
NA.PR.E FixedReset Disc -2.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-22
Maturity Price : 20.05
Evaluated at bid price : 20.05
Bid-YTW : 8.13 %
BN.PF.G FixedReset Disc -2.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-22
Maturity Price : 14.55
Evaluated at bid price : 14.55
Bid-YTW : 11.22 %
TD.PF.E FixedReset Disc -2.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-22
Maturity Price : 18.01
Evaluated at bid price : 18.01
Bid-YTW : 9.01 %
GWO.PR.Y Insurance Straight -2.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-22
Maturity Price : 16.25
Evaluated at bid price : 16.25
Bid-YTW : 7.06 %
ELF.PR.F Perpetual-Discount -1.86 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-22
Maturity Price : 18.99
Evaluated at bid price : 18.99
Bid-YTW : 7.09 %
TD.PF.A FixedReset Disc -1.85 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-22
Maturity Price : 17.02
Evaluated at bid price : 17.02
Bid-YTW : 9.21 %
CM.PR.O FixedReset Disc -1.84 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-22
Maturity Price : 17.11
Evaluated at bid price : 17.11
Bid-YTW : 9.28 %
CU.PR.I FixedReset Disc -1.75 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-22
Maturity Price : 20.25
Evaluated at bid price : 20.25
Bid-YTW : 9.06 %
PWF.PR.O Perpetual-Discount -1.65 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-22
Maturity Price : 20.27
Evaluated at bid price : 20.27
Bid-YTW : 7.25 %
RY.PR.N Perpetual-Discount -1.63 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-22
Maturity Price : 20.51
Evaluated at bid price : 20.51
Bid-YTW : 6.01 %
NA.PR.S FixedReset Disc -1.62 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-22
Maturity Price : 17.61
Evaluated at bid price : 17.61
Bid-YTW : 9.29 %
BN.PF.B FixedReset Disc -1.55 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-22
Maturity Price : 16.50
Evaluated at bid price : 16.50
Bid-YTW : 10.32 %
BN.PR.T FixedReset Disc -1.48 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-22
Maturity Price : 13.30
Evaluated at bid price : 13.30
Bid-YTW : 10.81 %
PWF.PR.L Perpetual-Discount -1.48 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-22
Maturity Price : 17.98
Evaluated at bid price : 17.98
Bid-YTW : 7.19 %
CU.PR.C FixedReset Disc -1.45 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-22
Maturity Price : 17.00
Evaluated at bid price : 17.00
Bid-YTW : 9.16 %
CM.PR.P FixedReset Disc -1.45 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-22
Maturity Price : 16.36
Evaluated at bid price : 16.36
Bid-YTW : 9.45 %
BN.PR.N Perpetual-Discount -1.43 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-22
Maturity Price : 16.50
Evaluated at bid price : 16.50
Bid-YTW : 7.35 %
NA.PR.W FixedReset Disc -1.40 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-22
Maturity Price : 16.22
Evaluated at bid price : 16.22
Bid-YTW : 9.57 %
SLF.PR.E Insurance Straight -1.38 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-22
Maturity Price : 17.16
Evaluated at bid price : 17.16
Bid-YTW : 6.68 %
RY.PR.J FixedReset Disc -1.37 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-22
Maturity Price : 18.05
Evaluated at bid price : 18.05
Bid-YTW : 8.98 %
TD.PF.C FixedReset Disc -1.35 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-22
Maturity Price : 16.82
Evaluated at bid price : 16.82
Bid-YTW : 9.28 %
BN.PF.H FixedReset Disc -1.31 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-22
Maturity Price : 18.85
Evaluated at bid price : 18.85
Bid-YTW : 10.32 %
RY.PR.S FixedReset Disc -1.29 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-22
Maturity Price : 19.86
Evaluated at bid price : 19.86
Bid-YTW : 8.28 %
BMO.PR.W FixedReset Disc -1.25 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-22
Maturity Price : 16.63
Evaluated at bid price : 16.63
Bid-YTW : 9.36 %
PWF.PF.A Perpetual-Discount -1.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-22
Maturity Price : 16.05
Evaluated at bid price : 16.05
Bid-YTW : 7.10 %
BN.PF.F FixedReset Disc -1.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-22
Maturity Price : 15.68
Evaluated at bid price : 15.68
Bid-YTW : 11.03 %
MFC.PR.Q FixedReset Ins Non -1.19 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-22
Maturity Price : 19.45
Evaluated at bid price : 19.45
Bid-YTW : 8.34 %
BN.PF.J FixedReset Disc -1.19 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-22
Maturity Price : 18.33
Evaluated at bid price : 18.33
Bid-YTW : 9.65 %
PWF.PR.H Perpetual-Discount -1.18 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-22
Maturity Price : 20.04
Evaluated at bid price : 20.04
Bid-YTW : 7.27 %
GWO.PR.M Insurance Straight -1.17 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-22
Maturity Price : 21.15
Evaluated at bid price : 21.15
Bid-YTW : 6.99 %
GWO.PR.P Insurance Straight -1.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-22
Maturity Price : 19.25
Evaluated at bid price : 19.25
Bid-YTW : 7.16 %
BMO.PR.E FixedReset Disc -1.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-22
Maturity Price : 21.44
Evaluated at bid price : 21.74
Bid-YTW : 7.94 %
BN.PR.X FixedReset Disc -1.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-22
Maturity Price : 13.80
Evaluated at bid price : 13.80
Bid-YTW : 10.29 %
BN.PF.C Perpetual-Discount -1.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-22
Maturity Price : 16.63
Evaluated at bid price : 16.63
Bid-YTW : 7.45 %
GWO.PR.G Insurance Straight -1.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-22
Maturity Price : 18.55
Evaluated at bid price : 18.55
Bid-YTW : 7.15 %
POW.PR.D Perpetual-Discount -1.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-22
Maturity Price : 17.83
Evaluated at bid price : 17.83
Bid-YTW : 7.13 %
PWF.PR.S Perpetual-Discount -1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-22
Maturity Price : 17.07
Evaluated at bid price : 17.07
Bid-YTW : 7.12 %
RY.PR.H FixedReset Disc -1.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-22
Maturity Price : 17.30
Evaluated at bid price : 17.30
Bid-YTW : 9.12 %
PVS.PR.J SplitShare 2.73 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2028-02-29
Maturity Price : 25.00
Evaluated at bid price : 21.80
Bid-YTW : 7.81 %
CU.PR.D Perpetual-Discount 3.53 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-22
Maturity Price : 17.60
Evaluated at bid price : 17.60
Bid-YTW : 7.01 %
Volume Highlights
Issue Index Shares
Traded		 Notes
MFC.PR.N FixedReset Ins Non 204,436 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-22
Maturity Price : 16.39
Evaluated at bid price : 16.39
Bid-YTW : 9.42 %
CM.PR.P FixedReset Disc 71,458 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-22
Maturity Price : 16.36
Evaluated at bid price : 16.36
Bid-YTW : 9.45 %
CM.PR.O FixedReset Disc 65,900 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-22
Maturity Price : 17.11
Evaluated at bid price : 17.11
Bid-YTW : 9.28 %
TD.PF.A FixedReset Disc 53,973 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-22
Maturity Price : 17.02
Evaluated at bid price : 17.02
Bid-YTW : 9.21 %
BN.PF.F FixedReset Disc 53,810 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-22
Maturity Price : 15.68
Evaluated at bid price : 15.68
Bid-YTW : 11.03 %
TD.PF.E FixedReset Disc 48,325 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-22
Maturity Price : 18.01
Evaluated at bid price : 18.01
Bid-YTW : 9.01 %
There were 18 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: 19.96 – 24.24
Spot Rate : 4.2800
Average : 3.2538


YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-22
Maturity Price : 19.96
Evaluated at bid price : 19.96
Bid-YTW : 8.46 %
BN.PF.J FixedReset Disc Quote: 18.33 – 20.19
Spot Rate : 1.8600
Average : 1.0312


YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-22
Maturity Price : 18.33
Evaluated at bid price : 18.33
Bid-YTW : 9.65 %
MFC.PR.Q FixedReset Ins Non Quote: 19.45 – 22.22
Spot Rate : 2.7700
Average : 2.1528


YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-22
Maturity Price : 19.45
Evaluated at bid price : 19.45
Bid-YTW : 8.34 %
CU.PR.I FixedReset Disc Quote: 20.25 – 22.00
Spot Rate : 1.7500
Average : 1.1447


YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-22
Maturity Price : 20.25
Evaluated at bid price : 20.25
Bid-YTW : 9.06 %
CU.PR.C FixedReset Disc Quote: 17.00 – 18.49
Spot Rate : 1.4900
Average : 0.9342


YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-22
Maturity Price : 17.00
Evaluated at bid price : 17.00
Bid-YTW : 9.16 %
TD.PF.I FixedReset Disc Quote: 22.00 – 23.13
Spot Rate : 1.1300
Average : 0.6650


YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-22
Maturity Price : 21.67
Evaluated at bid price : 22.00
Bid-YTW : 7.98 %
Market Action

August 21, 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 -0.8617 % 2,223.4
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.8617 % 4,264.4
Floater 10.95 % 11.27 % 53,359 8.53 2 -0.8617 % 2,457.6
OpRet 0.00 % 0.00 % 0 0.00 0 -0.9638 % 3,315.8
SplitShare 5.08 % 6.97 % 43,347 2.05 8 -0.9638 % 3,959.8
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.9638 % 3,089.6
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 -1.0636 % 2,476.6
Perpetual-Discount 6.93 % 7.08 % 46,608 12.44 31 -1.0636 % 2,700.6
FixedReset Disc 5.94 % 8.98 % 91,221 10.65 56 -0.3314 % 2,107.2
Insurance Straight 6.80 % 6.98 % 51,966 12.50 18 -1.0455 % 2,646.6
FloatingReset 11.01 % 11.34 % 37,137 8.48 1 -2.8314 % 2,428.7
FixedReset Prem 7.03 % 7.12 % 217,503 3.63 1 0.0000 % 2,299.8
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 -0.3314 % 2,154.0
FixedReset Ins Non 6.48 % 8.47 % 85,067 11.12 10 -0.5394 % 2,282.5
Performance Highlights
Issue Index Change Notes
GWO.PR.I Insurance Straight -8.82 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-21
Maturity Price : 15.30
Evaluated at bid price : 15.30
Bid-YTW : 7.51 %
CU.PR.D Perpetual-Discount -5.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-21
Maturity Price : 17.00
Evaluated at bid price : 17.00
Bid-YTW : 7.25 %
SLF.PR.J FloatingReset -2.83 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-21
Maturity Price : 15.10
Evaluated at bid price : 15.10
Bid-YTW : 11.34 %
BN.PR.M Perpetual-Discount -2.82 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-21
Maturity Price : 16.57
Evaluated at bid price : 16.57
Bid-YTW : 7.31 %
MFC.PR.I FixedReset Ins Non -2.68 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-21
Maturity Price : 20.34
Evaluated at bid price : 20.34
Bid-YTW : 8.47 %
POW.PR.C Perpetual-Discount -2.60 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-21
Maturity Price : 20.99
Evaluated at bid price : 20.99
Bid-YTW : 7.02 %
BN.PF.E FixedReset Disc -2.33 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-21
Maturity Price : 14.26
Evaluated at bid price : 14.26
Bid-YTW : 11.12 %
BN.PF.H FixedReset Disc -2.30 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-21
Maturity Price : 19.10
Evaluated at bid price : 19.10
Bid-YTW : 10.18 %
IFC.PR.K Perpetual-Discount -2.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-21
Maturity Price : 19.15
Evaluated at bid price : 19.15
Bid-YTW : 6.99 %
CU.PR.J Perpetual-Discount -2.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-21
Maturity Price : 16.95
Evaluated at bid price : 16.95
Bid-YTW : 7.05 %
BN.PF.C Perpetual-Discount -1.98 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-21
Maturity Price : 16.81
Evaluated at bid price : 16.81
Bid-YTW : 7.36 %
CIU.PR.A Perpetual-Discount -1.97 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-21
Maturity Price : 16.42
Evaluated at bid price : 16.42
Bid-YTW : 7.05 %
GWO.PR.G Insurance Straight -1.68 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-21
Maturity Price : 18.75
Evaluated at bid price : 18.75
Bid-YTW : 7.07 %
TD.PF.D FixedReset Disc -1.67 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-21
Maturity Price : 17.70
Evaluated at bid price : 17.70
Bid-YTW : 9.16 %
GWO.PR.T Insurance Straight -1.57 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-21
Maturity Price : 18.80
Evaluated at bid price : 18.80
Bid-YTW : 6.98 %
PWF.PR.H Perpetual-Discount -1.55 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-21
Maturity Price : 20.28
Evaluated at bid price : 20.28
Bid-YTW : 7.18 %
BN.PF.D Perpetual-Discount -1.52 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-21
Maturity Price : 16.90
Evaluated at bid price : 16.90
Bid-YTW : 7.40 %
BN.PF.I FixedReset Disc -1.37 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-21
Maturity Price : 18.05
Evaluated at bid price : 18.05
Bid-YTW : 10.19 %
CU.PR.E Perpetual-Discount -1.35 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-21
Maturity Price : 17.55
Evaluated at bid price : 17.55
Bid-YTW : 7.02 %
CU.PR.G Perpetual-Discount -1.34 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-21
Maturity Price : 16.22
Evaluated at bid price : 16.22
Bid-YTW : 6.98 %
MFC.PR.J FixedReset Ins Non -1.31 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-21
Maturity Price : 20.34
Evaluated at bid price : 20.34
Bid-YTW : 8.29 %
BN.PR.N Perpetual-Discount -1.24 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-21
Maturity Price : 16.74
Evaluated at bid price : 16.74
Bid-YTW : 7.24 %
CM.PR.Q FixedReset Disc -1.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-21
Maturity Price : 17.35
Evaluated at bid price : 17.35
Bid-YTW : 9.23 %
GWO.PR.Y Insurance Straight -1.19 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-21
Maturity Price : 16.60
Evaluated at bid price : 16.60
Bid-YTW : 6.91 %
TD.PF.B FixedReset Disc -1.19 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-21
Maturity Price : 17.50
Evaluated at bid price : 17.50
Bid-YTW : 9.09 %
GWO.PR.Q Insurance Straight -1.18 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-21
Maturity Price : 18.41
Evaluated at bid price : 18.41
Bid-YTW : 7.13 %
MFC.PR.B Insurance Straight -1.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-21
Maturity Price : 17.35
Evaluated at bid price : 17.35
Bid-YTW : 6.85 %
BN.PR.X FixedReset Disc -1.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-21
Maturity Price : 13.95
Evaluated at bid price : 13.95
Bid-YTW : 10.18 %
BN.PF.J FixedReset Disc -1.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-21
Maturity Price : 18.55
Evaluated at bid price : 18.55
Bid-YTW : 9.54 %
IFC.PR.E Insurance Straight -1.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-21
Maturity Price : 19.30
Evaluated at bid price : 19.30
Bid-YTW : 6.87 %
RY.PR.M FixedReset Disc 1.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-21
Maturity Price : 18.01
Evaluated at bid price : 18.01
Bid-YTW : 8.62 %
PVS.PR.K SplitShare 1.01 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2029-05-31
Maturity Price : 25.00
Evaluated at bid price : 20.45
Bid-YTW : 8.51 %
BMO.PR.E FixedReset Disc 1.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-21
Maturity Price : 21.62
Evaluated at bid price : 21.98
Bid-YTW : 7.85 %
PVS.PR.F SplitShare 1.43 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2024-09-30
Maturity Price : 25.00
Evaluated at bid price : 24.50
Bid-YTW : 6.52 %
Volume Highlights
Issue Index Shares
Traded		 Notes
BMO.PR.S FixedReset Disc 93,600 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-21
Maturity Price : 18.00
Evaluated at bid price : 18.00
Bid-YTW : 8.95 %
TD.PF.A FixedReset Disc 87,200 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-21
Maturity Price : 17.34
Evaluated at bid price : 17.34
Bid-YTW : 9.04 %
RY.PR.H FixedReset Disc 68,900 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-21
Maturity Price : 17.48
Evaluated at bid price : 17.48
Bid-YTW : 9.02 %
BN.PF.H FixedReset Disc 50,100 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-21
Maturity Price : 19.10
Evaluated at bid price : 19.10
Bid-YTW : 10.18 %
NA.PR.S FixedReset Disc 39,700 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-21
Maturity Price : 17.90
Evaluated at bid price : 17.90
Bid-YTW : 9.14 %
TD.PF.B FixedReset Disc 35,200 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-21
Maturity Price : 17.50
Evaluated at bid price : 17.50
Bid-YTW : 9.09 %
There were 17 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: 20.34 – 24.24
Spot Rate : 3.9000
Average : 2.1286

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-21
Maturity Price : 20.34
Evaluated at bid price : 20.34
Bid-YTW : 8.47 %
MFC.PR.Q FixedReset Ins Non Quote: 20.06 – 22.22
Spot Rate : 2.1600
Average : 1.4761

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-21
Maturity Price : 20.06
Evaluated at bid price : 20.06
Bid-YTW : 8.25 %
GWO.PR.I Insurance Straight Quote: 15.30 – 17.15
Spot Rate : 1.8500
Average : 1.3062

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-21
Maturity Price : 15.30
Evaluated at bid price : 15.30
Bid-YTW : 7.51 %
CU.PR.D Perpetual-Discount Quote: 17.00 – 17.84
Spot Rate : 0.8400
Average : 0.5829

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-21
Maturity Price : 17.00
Evaluated at bid price : 17.00
Bid-YTW : 7.25 %
MFC.PR.L FixedReset Ins Non Quote: 16.01 – 17.50
Spot Rate : 1.4900
Average : 1.3126

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-21
Maturity Price : 16.01
Evaluated at bid price : 16.01
Bid-YTW : 9.89 %
PVS.PR.I SplitShare Quote: 23.20 – 24.00
Spot Rate : 0.8000
Average : 0.6320

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-10-31
Maturity Price : 25.00
Evaluated at bid price : 23.20
Bid-YTW : 8.34 %
Market Action

August 18, 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 0.0431 % 2,242.7
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.0431 % 4,301.5
Floater 10.86 % 11.16 % 40,887 8.61 2 0.0431 % 2,479.0
OpRet 0.00 % 0.00 % 0 0.00 0 -0.7810 % 3,348.1
SplitShare 5.03 % 7.82 % 43,667 2.04 8 -0.7810 % 3,998.3
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.7810 % 3,119.6
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 -0.3008 % 2,503.3
Perpetual-Discount 6.85 % 7.05 % 46,409 12.48 31 -0.3008 % 2,729.7
FixedReset Disc 5.92 % 8.79 % 92,408 10.85 56 -0.5515 % 2,114.3
Insurance Straight 6.73 % 6.84 % 50,335 12.66 18 0.3174 % 2,674.6
FloatingReset 10.60 % 10.90 % 38,477 8.79 1 1.5686 % 2,499.5
FixedReset Prem 7.03 % 7.10 % 225,169 3.64 1 0.0000 % 2,299.8
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 -0.5515 % 2,161.2
FixedReset Ins Non 6.44 % 8.28 % 82,797 11.27 10 -1.2140 % 2,294.9
Performance Highlights
Issue Index Change Notes
MFC.PR.L FixedReset Ins Non -7.99 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-18
Maturity Price : 16.01
Evaluated at bid price : 16.01
Bid-YTW : 9.67 %
PVS.PR.K SplitShare -4.20 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2029-05-31
Maturity Price : 25.00
Evaluated at bid price : 20.52
Bid-YTW : 8.70 %
PVS.PR.J SplitShare -3.59 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2028-02-29
Maturity Price : 25.00
Evaluated at bid price : 21.50
Bid-YTW : 8.46 %
PWF.PR.G Perpetual-Discount -2.63 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-18
Maturity Price : 20.75
Evaluated at bid price : 20.75
Bid-YTW : 7.20 %
BIP.PR.E FixedReset Disc -2.34 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-18
Maturity Price : 20.02
Evaluated at bid price : 20.02
Bid-YTW : 8.81 %
BN.PF.I FixedReset Disc -2.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-18
Maturity Price : 18.30
Evaluated at bid price : 18.30
Bid-YTW : 9.93 %
GWO.PR.Q Insurance Straight -1.95 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-18
Maturity Price : 18.63
Evaluated at bid price : 18.63
Bid-YTW : 7.04 %
BN.PF.H FixedReset Disc -1.76 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-18
Maturity Price : 19.55
Evaluated at bid price : 19.55
Bid-YTW : 9.82 %
RY.PR.N Perpetual-Discount -1.61 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-18
Maturity Price : 20.76
Evaluated at bid price : 20.76
Bid-YTW : 5.94 %
BN.PF.J FixedReset Disc -1.57 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-18
Maturity Price : 18.75
Evaluated at bid price : 18.75
Bid-YTW : 9.31 %
BN.PF.B FixedReset Disc -1.41 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-18
Maturity Price : 16.76
Evaluated at bid price : 16.76
Bid-YTW : 9.95 %
BN.PF.F FixedReset Disc -1.36 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-18
Maturity Price : 15.93
Evaluated at bid price : 15.93
Bid-YTW : 10.65 %
RY.PR.J FixedReset Disc -1.35 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-18
Maturity Price : 18.25
Evaluated at bid price : 18.25
Bid-YTW : 8.72 %
CM.PR.O FixedReset Disc -1.29 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-18
Maturity Price : 17.60
Evaluated at bid price : 17.60
Bid-YTW : 8.84 %
GWO.PR.H Insurance Straight -1.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-18
Maturity Price : 17.63
Evaluated at bid price : 17.63
Bid-YTW : 7.01 %
FTS.PR.M FixedReset Disc -1.21 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-18
Maturity Price : 16.55
Evaluated at bid price : 16.55
Bid-YTW : 9.55 %
TD.PF.M FixedReset Disc -1.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-18
Maturity Price : 23.20
Evaluated at bid price : 23.77
Bid-YTW : 7.92 %
IFC.PR.G FixedReset Ins Non -1.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-18
Maturity Price : 19.72
Evaluated at bid price : 19.72
Bid-YTW : 8.28 %
BMO.PR.E FixedReset Disc -1.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-18
Maturity Price : 21.44
Evaluated at bid price : 21.74
Bid-YTW : 7.77 %
FTS.PR.H FixedReset Disc -1.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-18
Maturity Price : 12.55
Evaluated at bid price : 12.55
Bid-YTW : 9.97 %
CM.PR.Y FixedReset Disc -1.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-18
Maturity Price : 22.93
Evaluated at bid price : 23.50
Bid-YTW : 8.02 %
PWF.PF.A Perpetual-Discount -1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-18
Maturity Price : 16.13
Evaluated at bid price : 16.13
Bid-YTW : 7.06 %
PVS.PR.F SplitShare -1.01 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2024-09-30
Maturity Price : 25.00
Evaluated at bid price : 24.45
Bid-YTW : 7.82 %
BNS.PR.I FixedReset Disc 1.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-18
Maturity Price : 20.60
Evaluated at bid price : 20.60
Bid-YTW : 7.93 %
PVS.PR.G SplitShare 1.47 % YTW SCENARIO
Maturity Type : Option Certainty
Maturity Date : 2026-02-28
Maturity Price : 25.00
Evaluated at bid price : 24.10
Bid-YTW : 6.93 %
SLF.PR.J FloatingReset 1.57 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-18
Maturity Price : 15.54
Evaluated at bid price : 15.54
Bid-YTW : 10.90 %
FTS.PR.F Perpetual-Discount 1.69 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-18
Maturity Price : 19.38
Evaluated at bid price : 19.38
Bid-YTW : 6.35 %
TD.PF.E FixedReset Disc 2.17 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-18
Maturity Price : 18.40
Evaluated at bid price : 18.40
Bid-YTW : 8.67 %
GWO.PR.I Insurance Straight 9.67 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-18
Maturity Price : 16.78
Evaluated at bid price : 16.78
Bid-YTW : 6.83 %
Volume Highlights
Issue Index Shares
Traded		 Notes
NA.PR.S FixedReset Disc 59,678 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-18
Maturity Price : 18.01
Evaluated at bid price : 18.01
Bid-YTW : 8.89 %
IFC.PR.C FixedReset Disc 33,585 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-18
Maturity Price : 17.60
Evaluated at bid price : 17.60
Bid-YTW : 8.59 %
RY.PR.J FixedReset Disc 26,883 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-18
Maturity Price : 18.25
Evaluated at bid price : 18.25
Bid-YTW : 8.72 %
BMO.PR.T FixedReset Disc 25,700 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-18
Maturity Price : 17.10
Evaluated at bid price : 17.10
Bid-YTW : 8.99 %
PWF.PF.A Perpetual-Discount 25,524 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-18
Maturity Price : 16.13
Evaluated at bid price : 16.13
Bid-YTW : 7.06 %
BN.PR.Z FixedReset Disc 22,839 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-18
Maturity Price : 18.20
Evaluated at bid price : 18.20
Bid-YTW : 9.39 %
There were 10 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
MFC.PR.L FixedReset Ins Non Quote: 16.01 – 17.80
Spot Rate : 1.7900
Average : 1.1180

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-18
Maturity Price : 16.01
Evaluated at bid price : 16.01
Bid-YTW : 9.67 %
CU.PR.I FixedReset Disc Quote: 20.80 – 22.00
Spot Rate : 1.2000
Average : 0.8109

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-18
Maturity Price : 20.80
Evaluated at bid price : 20.80
Bid-YTW : 8.69 %
PVS.PR.K SplitShare Quote: 20.52 – 21.40
Spot Rate : 0.8800
Average : 0.5752

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2029-05-31
Maturity Price : 25.00
Evaluated at bid price : 20.52
Bid-YTW : 8.70 %
TD.PF.L FixedReset Disc Quote: 23.04 – 23.96
Spot Rate : 0.9200
Average : 0.6235

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-18
Maturity Price : 22.27
Evaluated at bid price : 23.04
Bid-YTW : 7.91 %
RY.PR.J FixedReset Disc Quote: 18.25 – 19.45
Spot Rate : 1.2000
Average : 0.9427

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-18
Maturity Price : 18.25
Evaluated at bid price : 18.25
Bid-YTW : 8.72 %
IFC.PR.F Insurance Straight Quote: 19.75 – 20.50
Spot Rate : 0.7500
Average : 0.5308

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-18
Maturity Price : 19.75
Evaluated at bid price : 19.75
Bid-YTW : 6.84 %
Market Action

August 17, 2023

TXPR closed at 523.14, down 0.64% on the day. Volume today was 1.53-million, fourth-highest of the past 21 trading days.

CPD closed at 10.45, down 0.38% on the day. Volume was 55,720, above the median of the past 21 trading days.

ZPR closed at 8.80, down 0.23% on the day. Volume was 51,850, second-lowest of the past 21 trading days.

Five-year Canada yields were up to 4.16%.

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 0.0863 % 2,241.7
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.0863 % 4,299.6
Floater 10.86 % 11.17 % 40,612 8.60 2 0.0863 % 2,477.9
OpRet 0.00 % 0.00 % 0 0.00 0 -0.3705 % 3,374.4
SplitShare 4.99 % 7.52 % 43,313 2.04 8 -0.3705 % 4,029.8
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.3705 % 3,144.2
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 -0.5232 % 2,510.8
Perpetual-Discount 6.83 % 7.01 % 46,583 12.51 31 -0.5232 % 2,737.9
FixedReset Disc 5.89 % 8.75 % 90,696 10.90 56 -0.3928 % 2,126.0
Insurance Straight 6.75 % 6.90 % 51,862 12.61 18 -1.4095 % 2,666.1
FloatingReset 10.77 % 11.07 % 38,717 8.67 1 1.3245 % 2,460.9
FixedReset Prem 7.03 % 7.10 % 226,603 3.64 1 -0.1996 % 2,299.8
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 -0.3928 % 2,173.2
FixedReset Ins Non 6.37 % 8.18 % 81,578 11.32 10 0.0825 % 2,323.1
Performance Highlights
Issue Index Change Notes
GWO.PR.I Insurance Straight -10.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-17
Maturity Price : 15.30
Evaluated at bid price : 15.30
Bid-YTW : 7.50 %
GWO.PR.S Insurance Straight -2.17 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-17
Maturity Price : 18.91
Evaluated at bid price : 18.91
Bid-YTW : 7.07 %
TD.PF.E FixedReset Disc -2.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-17
Maturity Price : 18.01
Evaluated at bid price : 18.01
Bid-YTW : 8.85 %
BN.PF.J FixedReset Disc -2.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-17
Maturity Price : 19.05
Evaluated at bid price : 19.05
Bid-YTW : 9.16 %
PWF.PR.K Perpetual-Discount -1.94 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-17
Maturity Price : 17.70
Evaluated at bid price : 17.70
Bid-YTW : 7.08 %
PWF.PF.A Perpetual-Discount -1.87 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-17
Maturity Price : 16.30
Evaluated at bid price : 16.30
Bid-YTW : 6.99 %
BIK.PR.A FixedReset Disc -1.82 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-17
Maturity Price : 21.33
Evaluated at bid price : 21.60
Bid-YTW : 9.29 %
PWF.PR.H Perpetual-Discount -1.81 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-17
Maturity Price : 20.65
Evaluated at bid price : 20.65
Bid-YTW : 7.05 %
SLF.PR.D Insurance Straight -1.72 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-17
Maturity Price : 17.10
Evaluated at bid price : 17.10
Bid-YTW : 6.62 %
BNS.PR.I FixedReset Disc -1.69 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-17
Maturity Price : 20.35
Evaluated at bid price : 20.35
Bid-YTW : 8.02 %
POW.PR.D Perpetual-Discount -1.68 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-17
Maturity Price : 18.10
Evaluated at bid price : 18.10
Bid-YTW : 7.01 %
BN.PF.I FixedReset Disc -1.58 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-17
Maturity Price : 18.70
Evaluated at bid price : 18.70
Bid-YTW : 9.72 %
GWO.PR.P Insurance Straight -1.57 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-17
Maturity Price : 19.49
Evaluated at bid price : 19.49
Bid-YTW : 7.06 %
MFC.PR.C Insurance Straight -1.55 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-17
Maturity Price : 17.12
Evaluated at bid price : 17.12
Bid-YTW : 6.71 %
PWF.PR.F Perpetual-Discount -1.52 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-17
Maturity Price : 18.85
Evaluated at bid price : 18.85
Bid-YTW : 7.05 %
IFC.PR.F Insurance Straight -1.50 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-17
Maturity Price : 19.75
Evaluated at bid price : 19.75
Bid-YTW : 6.83 %
POW.PR.B Perpetual-Discount -1.48 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-17
Maturity Price : 19.31
Evaluated at bid price : 19.31
Bid-YTW : 7.04 %
GWO.PR.Y Insurance Straight -1.47 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-17
Maturity Price : 16.75
Evaluated at bid price : 16.75
Bid-YTW : 6.84 %
PVS.PR.G SplitShare -1.45 % YTW SCENARIO
Maturity Type : Option Certainty
Maturity Date : 2026-02-28
Maturity Price : 25.00
Evaluated at bid price : 23.75
Bid-YTW : 7.56 %
PWF.PR.O Perpetual-Discount -1.42 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-17
Maturity Price : 20.80
Evaluated at bid price : 20.80
Bid-YTW : 7.06 %
BN.PR.M Perpetual-Discount -1.39 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-17
Maturity Price : 17.01
Evaluated at bid price : 17.01
Bid-YTW : 7.12 %
PWF.PR.L Perpetual-Discount -1.34 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-17
Maturity Price : 18.35
Evaluated at bid price : 18.35
Bid-YTW : 7.03 %
IFC.PR.E Insurance Straight -1.26 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-17
Maturity Price : 19.55
Evaluated at bid price : 19.55
Bid-YTW : 6.77 %
PWF.PR.R Perpetual-Discount -1.25 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-17
Maturity Price : 19.80
Evaluated at bid price : 19.80
Bid-YTW : 7.03 %
TD.PF.M FixedReset Disc -1.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-17
Maturity Price : 23.50
Evaluated at bid price : 24.05
Bid-YTW : 7.82 %
PVS.PR.I SplitShare -1.21 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-10-31
Maturity Price : 25.00
Evaluated at bid price : 23.65
Bid-YTW : 7.97 %
BN.PF.D Perpetual-Discount -1.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-17
Maturity Price : 17.25
Evaluated at bid price : 17.25
Bid-YTW : 7.24 %
CU.PR.G Perpetual-Discount -1.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-17
Maturity Price : 16.45
Evaluated at bid price : 16.45
Bid-YTW : 6.88 %
FTS.PR.H FixedReset Disc -1.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-17
Maturity Price : 12.80
Evaluated at bid price : 12.80
Bid-YTW : 9.87 %
TD.PF.L FixedReset Disc -1.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-17
Maturity Price : 22.32
Evaluated at bid price : 23.13
Bid-YTW : 7.88 %
RY.PR.H FixedReset Disc -1.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-17
Maturity Price : 17.50
Evaluated at bid price : 17.50
Bid-YTW : 8.82 %
POW.PR.G Perpetual-Discount -1.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-17
Maturity Price : 20.30
Evaluated at bid price : 20.30
Bid-YTW : 7.01 %
RY.PR.J FixedReset Disc -1.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-17
Maturity Price : 18.50
Evaluated at bid price : 18.50
Bid-YTW : 8.60 %
BN.PR.N Perpetual-Discount -1.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-17
Maturity Price : 17.02
Evaluated at bid price : 17.02
Bid-YTW : 7.11 %
IFC.PR.K Perpetual-Discount -1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-17
Maturity Price : 19.47
Evaluated at bid price : 19.47
Bid-YTW : 6.87 %
POW.PR.C Perpetual-Discount -1.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-17
Maturity Price : 21.42
Evaluated at bid price : 21.68
Bid-YTW : 6.78 %
PVS.PR.K SplitShare 1.04 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2029-05-31
Maturity Price : 25.00
Evaluated at bid price : 21.42
Bid-YTW : 7.80 %
CU.PR.I FixedReset Disc 1.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-17
Maturity Price : 20.60
Evaluated at bid price : 20.60
Bid-YTW : 8.77 %
SLF.PR.J FloatingReset 1.32 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-17
Maturity Price : 15.30
Evaluated at bid price : 15.30
Bid-YTW : 11.07 %
MFC.PR.K FixedReset Ins Non 1.52 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-17
Maturity Price : 20.05
Evaluated at bid price : 20.05
Bid-YTW : 7.99 %
CU.PR.D Perpetual-Discount 5.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-17
Maturity Price : 17.85
Evaluated at bid price : 17.85
Bid-YTW : 6.90 %
PWF.PR.S Perpetual-Discount 7.42 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-17
Maturity Price : 17.08
Evaluated at bid price : 17.08
Bid-YTW : 7.11 %
Volume Highlights
Issue Index Shares
Traded		 Notes
TD.PF.M FixedReset Disc 61,000 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-17
Maturity Price : 23.50
Evaluated at bid price : 24.05
Bid-YTW : 7.82 %
CM.PR.O FixedReset Disc 56,415 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-17
Maturity Price : 17.83
Evaluated at bid price : 17.83
Bid-YTW : 8.72 %
BN.PF.J FixedReset Disc 37,994 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-17
Maturity Price : 19.05
Evaluated at bid price : 19.05
Bid-YTW : 9.16 %
TD.PF.B FixedReset Disc 31,171 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-17
Maturity Price : 17.80
Evaluated at bid price : 17.80
Bid-YTW : 8.74 %
TD.PF.C FixedReset Disc 26,000 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-17
Maturity Price : 17.18
Evaluated at bid price : 17.18
Bid-YTW : 8.89 %
RY.PR.Z FixedReset Disc 23,300 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-17
Maturity Price : 17.82
Evaluated at bid price : 17.82
Bid-YTW : 8.68 %
There were 19 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: 21.68 – 24.40
Spot Rate : 2.7200
Average : 1.5009

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-17
Maturity Price : 21.42
Evaluated at bid price : 21.68
Bid-YTW : 6.78 %
MFC.PR.Q FixedReset Ins Non Quote: 20.27 – 22.22
Spot Rate : 1.9500
Average : 1.1389

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-17
Maturity Price : 20.27
Evaluated at bid price : 20.27
Bid-YTW : 8.04 %
GWO.PR.I Insurance Straight Quote: 15.30 – 17.15
Spot Rate : 1.8500
Average : 1.0828

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-17
Maturity Price : 15.30
Evaluated at bid price : 15.30
Bid-YTW : 7.50 %
GWO.PR.T Insurance Straight Quote: 19.15 – 20.19
Spot Rate : 1.0400
Average : 0.7256

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-17
Maturity Price : 19.15
Evaluated at bid price : 19.15
Bid-YTW : 6.85 %
RY.PR.J FixedReset Disc Quote: 18.50 – 19.45
Spot Rate : 0.9500
Average : 0.6606

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-17
Maturity Price : 18.50
Evaluated at bid price : 18.50
Bid-YTW : 8.60 %
MFC.PR.N FixedReset Ins Non Quote: 16.65 – 17.59
Spot Rate : 0.9400
Average : 0.6890

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-17
Maturity Price : 16.65
Evaluated at bid price : 16.65
Bid-YTW : 9.22 %
Market Action

August 16, 2023

PerpetualDiscounts now yield 6.93%, equivalent to 9.01% interest at the standard equivalency factor of 1.3x. Long corporates yielded 5.17% on 2023-7-31 (see below) and since then the closing price has changed from 14.92 to 14.32, a decrease of 402bp 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 33bp since 7/31 to 5.50%, so the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) has remained steady at the 350bp reported August 9.

I’m not too sure about BMO’s current claim that ZLC had an average yield-to-maturity of 5.17% on 2023-7-31. On August 9 I reported their claim that the average yield on that date was 5.26%.

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 0.1729 % 2,239.8
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.1729 % 4,295.9
Floater 10.87 % 11.17 % 42,291 8.60 2 0.1729 % 2,475.8
OpRet 0.00 % 0.00 % 0 0.00 0 0.4680 % 3,387.0
SplitShare 4.98 % 7.16 % 42,906 2.05 8 0.4680 % 4,044.8
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.4680 % 3,155.9
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 -0.5931 % 2,524.0
Perpetual-Discount 6.80 % 6.93 % 44,352 12.63 31 -0.5931 % 2,752.3
FixedReset Disc 5.86 % 8.72 % 90,706 10.92 56 0.1454 % 2,134.4
Insurance Straight 6.65 % 6.81 % 51,498 12.73 18 0.1402 % 2,704.2
FloatingReset 10.91 % 11.22 % 38,760 8.58 1 0.0000 % 2,428.7
FixedReset Prem 7.01 % 7.04 % 224,664 3.65 1 0.1599 % 2,304.4
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 0.1454 % 2,181.8
FixedReset Ins Non 6.37 % 8.17 % 81,709 11.29 10 0.0715 % 2,321.1
Performance Highlights
Issue Index Change Notes
PWF.PR.S Perpetual-Discount -9.92 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-16
Maturity Price : 15.90
Evaluated at bid price : 15.90
Bid-YTW : 7.65 %
CU.PR.D Perpetual-Discount -6.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-16
Maturity Price : 17.00
Evaluated at bid price : 17.00
Bid-YTW : 7.25 %
BN.PF.H FixedReset Disc -1.95 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-16
Maturity Price : 20.10
Evaluated at bid price : 20.10
Bid-YTW : 9.55 %
RY.PR.N Perpetual-Discount -1.59 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-16
Maturity Price : 21.01
Evaluated at bid price : 21.01
Bid-YTW : 5.86 %
MFC.PR.K FixedReset Ins Non -1.35 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-16
Maturity Price : 19.75
Evaluated at bid price : 19.75
Bid-YTW : 8.11 %
ELF.PR.F Perpetual-Discount -1.33 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-16
Maturity Price : 19.30
Evaluated at bid price : 19.30
Bid-YTW : 6.97 %
GWO.PR.H Insurance Straight -1.33 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-16
Maturity Price : 17.85
Evaluated at bid price : 17.85
Bid-YTW : 6.92 %
CM.PR.Y FixedReset Disc 1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-16
Maturity Price : 23.18
Evaluated at bid price : 23.75
Bid-YTW : 7.93 %
BNS.PR.I FixedReset Disc 1.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-16
Maturity Price : 20.70
Evaluated at bid price : 20.70
Bid-YTW : 7.88 %
BN.PR.M Perpetual-Discount 1.41 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-16
Maturity Price : 17.25
Evaluated at bid price : 17.25
Bid-YTW : 7.01 %
MFC.PR.L FixedReset Ins Non 1.56 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-16
Maturity Price : 17.57
Evaluated at bid price : 17.57
Bid-YTW : 8.81 %
SLF.PR.C Insurance Straight 1.63 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-16
Maturity Price : 17.43
Evaluated at bid price : 17.43
Bid-YTW : 6.50 %
NA.PR.S FixedReset Disc 2.27 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-16
Maturity Price : 18.00
Evaluated at bid price : 18.00
Bid-YTW : 8.89 %
BN.PF.I FixedReset Disc 2.65 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-16
Maturity Price : 19.00
Evaluated at bid price : 19.00
Bid-YTW : 9.57 %
Volume Highlights
Issue Index Shares
Traded		 Notes
BNS.PR.I FixedReset Disc 38,378 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-16
Maturity Price : 20.70
Evaluated at bid price : 20.70
Bid-YTW : 7.88 %
BN.PF.I FixedReset Disc 29,321 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-16
Maturity Price : 19.00
Evaluated at bid price : 19.00
Bid-YTW : 9.57 %
PVS.PR.F SplitShare 25,370 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2024-09-30
Maturity Price : 25.00
Evaluated at bid price : 24.65
Bid-YTW : 7.00 %
RY.PR.H FixedReset Disc 24,254 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-16
Maturity Price : 17.70
Evaluated at bid price : 17.70
Bid-YTW : 8.71 %
BN.PF.J FixedReset Disc 19,830 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-16
Maturity Price : 19.45
Evaluated at bid price : 19.45
Bid-YTW : 8.97 %
CM.PR.S FixedReset Disc 15,400 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-16
Maturity Price : 20.55
Evaluated at bid price : 20.55
Bid-YTW : 7.76 %
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.S Perpetual-Discount Quote: 15.90 – 17.80
Spot Rate : 1.9000
Average : 1.0889

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-16
Maturity Price : 15.90
Evaluated at bid price : 15.90
Bid-YTW : 7.65 %
CU.PR.D Perpetual-Discount Quote: 17.00 – 18.10
Spot Rate : 1.1000
Average : 0.6464

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-16
Maturity Price : 17.00
Evaluated at bid price : 17.00
Bid-YTW : 7.25 %
CU.PR.C FixedReset Disc Quote: 17.13 – 18.50
Spot Rate : 1.3700
Average : 0.9674

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-16
Maturity Price : 17.13
Evaluated at bid price : 17.13
Bid-YTW : 8.94 %
MFC.PR.K FixedReset Ins Non Quote: 19.75 – 20.38
Spot Rate : 0.6300
Average : 0.3966

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-16
Maturity Price : 19.75
Evaluated at bid price : 19.75
Bid-YTW : 8.11 %
NA.PR.W FixedReset Disc Quote: 16.65 – 17.49
Spot Rate : 0.8400
Average : 0.6736

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-16
Maturity Price : 16.65
Evaluated at bid price : 16.65
Bid-YTW : 9.13 %
PVS.PR.H SplitShare Quote: 23.40 – 23.97
Spot Rate : 0.5700
Average : 0.4040

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2027-02-28
Maturity Price : 25.00
Evaluated at bid price : 23.40
Bid-YTW : 7.11 %
Market Action

August 15, 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 -0.2586 % 2,235.9
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.2586 % 4,288.5
Floater 10.89 % 11.18 % 41,987 8.60 2 -0.2586 % 2,471.5
OpRet 0.00 % 0.00 % 0 0.00 0 0.2399 % 3,371.2
SplitShare 5.00 % 7.32 % 42,968 2.05 8 0.2399 % 4,025.9
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.2399 % 3,141.2
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 -0.5291 % 2,539.1
Perpetual-Discount 6.76 % 6.91 % 43,143 12.67 31 -0.5291 % 2,768.7
FixedReset Disc 5.87 % 8.76 % 90,016 10.92 56 -0.3031 % 2,131.3
Insurance Straight 6.66 % 6.81 % 53,177 12.74 18 -0.9897 % 2,700.4
FloatingReset 10.91 % 11.21 % 40,346 8.58 1 0.6667 % 2,428.7
FixedReset Prem 7.02 % 7.08 % 227,478 3.65 1 -0.1597 % 2,300.8
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 -0.3031 % 2,178.6
FixedReset Ins Non 6.38 % 8.17 % 81,960 11.30 10 0.2427 % 2,319.5
Performance Highlights
Issue Index Change Notes
BN.PF.I FixedReset Disc -4.59 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-15
Maturity Price : 18.51
Evaluated at bid price : 18.51
Bid-YTW : 9.81 %
SLF.PR.C Insurance Straight -3.76 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-15
Maturity Price : 17.15
Evaluated at bid price : 17.15
Bid-YTW : 6.60 %
CU.PR.I FixedReset Disc -3.73 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-15
Maturity Price : 20.41
Evaluated at bid price : 20.41
Bid-YTW : 8.84 %
NA.PR.S FixedReset Disc -2.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-15
Maturity Price : 17.60
Evaluated at bid price : 17.60
Bid-YTW : 9.08 %
POW.PR.D Perpetual-Discount -2.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-15
Maturity Price : 18.25
Evaluated at bid price : 18.25
Bid-YTW : 6.95 %
SLF.PR.D Insurance Straight -2.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-15
Maturity Price : 17.37
Evaluated at bid price : 17.37
Bid-YTW : 6.52 %
GWO.PR.G Insurance Straight -1.75 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-15
Maturity Price : 19.05
Evaluated at bid price : 19.05
Bid-YTW : 6.95 %
SLF.PR.E Insurance Straight -1.69 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-15
Maturity Price : 17.50
Evaluated at bid price : 17.50
Bid-YTW : 6.54 %
BN.PR.X FixedReset Disc -1.68 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-15
Maturity Price : 14.01
Evaluated at bid price : 14.01
Bid-YTW : 9.95 %
BN.PR.M Perpetual-Discount -1.68 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-15
Maturity Price : 17.01
Evaluated at bid price : 17.01
Bid-YTW : 7.11 %
GWO.PR.L Insurance Straight -1.43 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-15
Maturity Price : 20.65
Evaluated at bid price : 20.65
Bid-YTW : 6.97 %
IFC.PR.C FixedReset Disc -1.42 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-15
Maturity Price : 17.40
Evaluated at bid price : 17.40
Bid-YTW : 8.68 %
CU.PR.E Perpetual-Discount -1.38 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-15
Maturity Price : 17.90
Evaluated at bid price : 17.90
Bid-YTW : 6.88 %
POW.PR.A Perpetual-Discount -1.38 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-15
Maturity Price : 20.80
Evaluated at bid price : 20.80
Bid-YTW : 6.83 %
MFC.PR.C Insurance Straight -1.37 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-15
Maturity Price : 17.31
Evaluated at bid price : 17.31
Bid-YTW : 6.63 %
FTS.PR.F Perpetual-Discount -1.37 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-15
Maturity Price : 19.51
Evaluated at bid price : 19.51
Bid-YTW : 6.43 %
BN.PR.Z FixedReset Disc -1.34 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-15
Maturity Price : 18.45
Evaluated at bid price : 18.45
Bid-YTW : 9.26 %
CM.PR.Y FixedReset Disc -1.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-15
Maturity Price : 22.94
Evaluated at bid price : 23.51
Bid-YTW : 8.01 %
IFC.PR.K Perpetual-Discount -1.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-15
Maturity Price : 19.50
Evaluated at bid price : 19.50
Bid-YTW : 6.85 %
GWO.PR.M Insurance Straight -1.19 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-15
Maturity Price : 21.27
Evaluated at bid price : 21.54
Bid-YTW : 6.84 %
BN.PR.R FixedReset Disc -1.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-15
Maturity Price : 13.40
Evaluated at bid price : 13.40
Bid-YTW : 10.60 %
RY.PR.M FixedReset Disc -1.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-15
Maturity Price : 18.10
Evaluated at bid price : 18.10
Bid-YTW : 8.42 %
BMO.PR.S FixedReset Disc -1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-15
Maturity Price : 18.06
Evaluated at bid price : 18.06
Bid-YTW : 8.72 %
POW.PR.G Perpetual-Discount -1.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-15
Maturity Price : 20.55
Evaluated at bid price : 20.55
Bid-YTW : 6.92 %
PVS.PR.G SplitShare 1.10 % YTW SCENARIO
Maturity Type : Option Certainty
Maturity Date : 2026-02-28
Maturity Price : 25.00
Evaluated at bid price : 23.97
Bid-YTW : 7.14 %
TD.PF.M FixedReset Disc 1.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-15
Maturity Price : 23.88
Evaluated at bid price : 24.38
Bid-YTW : 7.71 %
RY.PR.N Perpetual-Discount 1.62 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-15
Maturity Price : 21.35
Evaluated at bid price : 21.35
Bid-YTW : 5.77 %
MFC.PR.L FixedReset Ins Non 1.76 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-15
Maturity Price : 17.30
Evaluated at bid price : 17.30
Bid-YTW : 8.94 %
Volume Highlights
Issue Index Shares
Traded		 Notes
CM.PR.P FixedReset Disc 37,870 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-15
Maturity Price : 16.94
Evaluated at bid price : 16.94
Bid-YTW : 8.94 %
TD.PF.M FixedReset Disc 24,849 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-15
Maturity Price : 23.88
Evaluated at bid price : 24.38
Bid-YTW : 7.71 %
BN.PF.E FixedReset Disc 20,500 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-15
Maturity Price : 14.55
Evaluated at bid price : 14.55
Bid-YTW : 10.70 %
TD.PF.E FixedReset Disc 20,437 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-15
Maturity Price : 18.40
Evaluated at bid price : 18.40
Bid-YTW : 8.67 %
BMO.PR.E FixedReset Disc 14,470 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-15
Maturity Price : 21.70
Evaluated at bid price : 22.10
Bid-YTW : 7.63 %
FTS.PR.K FixedReset Disc 13,700 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-15
Maturity Price : 17.01
Evaluated at bid price : 17.01
Bid-YTW : 9.07 %
There were 11 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
BIP.PR.F FixedReset Disc Quote: 19.90 – 21.07
Spot Rate : 1.1700
Average : 0.8463

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-15
Maturity Price : 19.90
Evaluated at bid price : 19.90
Bid-YTW : 8.83 %
BN.PF.I FixedReset Disc Quote: 18.51 – 19.75
Spot Rate : 1.2400
Average : 0.9383

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-15
Maturity Price : 18.51
Evaluated at bid price : 18.51
Bid-YTW : 9.81 %
TD.PF.K FixedReset Disc Quote: 22.25 – 22.92
Spot Rate : 0.6700
Average : 0.4070

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-15
Maturity Price : 21.80
Evaluated at bid price : 22.25
Bid-YTW : 7.52 %
NA.PR.W FixedReset Disc Quote: 16.75 – 17.49
Spot Rate : 0.7400
Average : 0.4911

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-15
Maturity Price : 16.75
Evaluated at bid price : 16.75
Bid-YTW : 9.07 %
CU.PR.E Perpetual-Discount Quote: 17.90 – 18.60
Spot Rate : 0.7000
Average : 0.4706

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-15
Maturity Price : 17.90
Evaluated at bid price : 17.90
Bid-YTW : 6.88 %
BN.PF.J FixedReset Disc Quote: 19.50 – 20.19
Spot Rate : 0.6900
Average : 0.4847

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-15
Maturity Price : 19.50
Evaluated at bid price : 19.50
Bid-YTW : 8.94 %
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 %