Category: Market Action

Market Action

July 26, 2023

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

The Fed hiked the policy rate again:

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

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

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

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

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

HIMIPref™ Preferred Indices
These values reflect the December 2008 revision of the HIMIPref™ Indices
Values are provisional and are finalized monthly
Index Mean
Current
Yield
(at bid)		 Median
YTW		 Median
Average
Trading
Value		 Median
Mod Dur
(YTW)		 Issues Day’s Perf. Index Value
Ratchet 0.00 % 0.00 % 0 0.00 0 -0.0843 % 2,289.1
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.0843 % 4,390.4
Floater 10.63 % 10.85 % 48,404 8.88 1 -0.0843 % 2,530.2
OpRet 0.00 % 0.00 % 0 0.00 0 -0.2017 % 3,357.8
SplitShare 5.02 % 7.80 % 49,262 2.38 7 -0.2017 % 4,009.9
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.2017 % 3,128.7
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 -0.0961 % 2,555.3
Perpetual-Discount 6.67 % 6.81 % 47,188 12.81 28 -0.0961 % 2,786.4
FixedReset Disc 5.79 % 8.50 % 85,917 11.17 64 0.0068 % 2,156.2
Insurance Straight 6.59 % 6.76 % 55,748 12.85 19 0.0251 % 2,730.7
FloatingReset 11.42 % 11.13 % 37,469 8.68 2 -0.1343 % 2,414.7
FixedReset Prem 7.00 % 6.86 % 259,412 3.71 1 0.3998 % 2,310.0
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 0.0068 % 2,204.1
FixedReset Ins Non 6.19 % 7.99 % 62,035 11.54 11 0.0617 % 2,314.4
Performance Highlights
Issue Index Change Notes
PWF.PR.G Perpetual-Discount -6.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-26
Maturity Price : 20.52
Evaluated at bid price : 20.52
Bid-YTW : 7.24 %
TRP.PR.C FixedReset Disc -1.72 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-26
Maturity Price : 11.41
Evaluated at bid price : 11.41
Bid-YTW : 10.40 %
RY.PR.M FixedReset Disc -1.59 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-26
Maturity Price : 17.91
Evaluated at bid price : 17.91
Bid-YTW : 8.32 %
BMO.PR.F FixedReset Disc -1.54 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-26
Maturity Price : 23.64
Evaluated at bid price : 24.22
Bid-YTW : 7.67 %
FTS.PR.K FixedReset Disc -1.30 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-26
Maturity Price : 16.68
Evaluated at bid price : 16.68
Bid-YTW : 9.01 %
RY.PR.H FixedReset Disc -1.28 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-26
Maturity Price : 17.67
Evaluated at bid price : 17.67
Bid-YTW : 8.52 %
PVS.PR.G SplitShare -1.26 % YTW SCENARIO
Maturity Type : Option Certainty
Maturity Date : 2026-02-28
Maturity Price : 25.00
Evaluated at bid price : 23.45
Bid-YTW : 7.92 %
PWF.PR.P FixedReset Disc -1.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-26
Maturity Price : 12.00
Evaluated at bid price : 12.00
Bid-YTW : 10.05 %
GWO.PR.Y Insurance Straight -1.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-26
Maturity Price : 16.85
Evaluated at bid price : 16.85
Bid-YTW : 6.77 %
SLF.PR.C Insurance Straight -1.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-26
Maturity Price : 17.80
Evaluated at bid price : 17.80
Bid-YTW : 6.33 %
PVS.PR.F SplitShare -1.06 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2024-09-30
Maturity Price : 25.00
Evaluated at bid price : 24.29
Bid-YTW : 7.98 %
BN.PR.X FixedReset Disc -1.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-26
Maturity Price : 14.70
Evaluated at bid price : 14.70
Bid-YTW : 9.30 %
TD.PF.M FixedReset Disc -1.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-26
Maturity Price : 23.11
Evaluated at bid price : 23.66
Bid-YTW : 7.78 %
PWF.PR.R Perpetual-Discount 1.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-26
Maturity Price : 20.25
Evaluated at bid price : 20.25
Bid-YTW : 6.84 %
RY.PR.J FixedReset Disc 1.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-26
Maturity Price : 18.85
Evaluated at bid price : 18.85
Bid-YTW : 8.26 %
FTS.PR.H FixedReset Disc 1.17 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-26
Maturity Price : 12.95
Evaluated at bid price : 12.95
Bid-YTW : 9.50 %
FTS.PR.G FixedReset Disc 1.27 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-26
Maturity Price : 19.15
Evaluated at bid price : 19.15
Bid-YTW : 8.07 %
BIK.PR.A FixedReset Disc 1.33 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-26
Maturity Price : 22.13
Evaluated at bid price : 22.80
Bid-YTW : 8.60 %
BN.PF.B FixedReset Disc 1.55 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-26
Maturity Price : 17.01
Evaluated at bid price : 17.01
Bid-YTW : 9.56 %
BIP.PR.F FixedReset Disc 1.69 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-26
Maturity Price : 21.10
Evaluated at bid price : 21.10
Bid-YTW : 8.13 %
MFC.PR.C Insurance Straight 1.73 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-26
Maturity Price : 17.60
Evaluated at bid price : 17.60
Bid-YTW : 6.49 %
TD.PF.A FixedReset Disc 1.87 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-26
Maturity Price : 17.41
Evaluated at bid price : 17.41
Bid-YTW : 8.59 %
CU.PR.D Perpetual-Discount 2.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-26
Maturity Price : 18.48
Evaluated at bid price : 18.48
Bid-YTW : 6.76 %
TRP.PR.A FixedReset Disc 2.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-26
Maturity Price : 13.80
Evaluated at bid price : 13.80
Bid-YTW : 10.14 %
Volume Highlights
Issue Index Shares
Traded		 Notes
TD.PF.E FixedReset Disc 38,602 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-26
Maturity Price : 18.60
Evaluated at bid price : 18.60
Bid-YTW : 8.39 %
TRP.PR.D FixedReset Disc 34,215 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-26
Maturity Price : 15.60
Evaluated at bid price : 15.60
Bid-YTW : 9.99 %
SLF.PR.E Insurance Straight 26,795 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-26
Maturity Price : 17.95
Evaluated at bid price : 17.95
Bid-YTW : 6.35 %
FTS.PR.G FixedReset Disc 24,218 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-26
Maturity Price : 19.15
Evaluated at bid price : 19.15
Bid-YTW : 8.07 %
MFC.PR.Q FixedReset Ins Non 24,074 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-26
Maturity Price : 20.17
Evaluated at bid price : 20.17
Bid-YTW : 7.93 %
TD.PF.A FixedReset Disc 18,129 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-26
Maturity Price : 17.41
Evaluated at bid price : 17.41
Bid-YTW : 8.59 %
There were 5 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
PWF.PR.G Perpetual-Discount Quote: 20.52 – 22.03
Spot Rate : 1.5100
Average : 0.8995

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

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

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

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

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

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

July 25, 2023

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

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

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

Five-year Canada yields were up to 3.97%.

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

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

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

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

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

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

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

July 24, 2023

HIMIPref™ Preferred Indices
These values reflect the December 2008 revision of the HIMIPref™ Indices
Values are provisional and are finalized monthly
Index Mean
Current
Yield
(at bid)		 Median
YTW		 Median
Average
Trading
Value		 Median
Mod Dur
(YTW)		 Issues Day’s Perf. Index Value
Ratchet 0.00 % 0.00 % 0 0.00 0 0.7785 % 2,250.4
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.7785 % 4,316.3
Floater 10.82 % 11.04 % 49,628 8.75 1 0.7785 % 2,487.5
OpRet 0.00 % 0.00 % 0 0.00 0 1.2828 % 3,361.5
SplitShare 5.02 % 7.53 % 47,303 2.39 7 1.2828 % 4,014.3
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 1.2828 % 3,132.1
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 0.7387 % 2,564.4
Perpetual-Discount 6.64 % 6.82 % 47,753 12.81 28 0.7387 % 2,796.4
FixedReset Disc 5.76 % 8.45 % 86,518 11.11 64 0.1443 % 2,166.0
Insurance Straight 6.58 % 6.74 % 56,211 12.85 19 1.0718 % 2,733.9
FloatingReset 11.40 % 11.13 % 37,315 8.69 2 0.3367 % 2,418.7
FixedReset Prem 7.00 % 6.86 % 272,878 3.71 1 0.0000 % 2,309.0
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 0.1443 % 2,214.1
FixedReset Ins Non 6.24 % 7.96 % 60,845 11.58 11 -0.0931 % 2,298.9
Performance Highlights
Issue Index Change Notes
MFC.PR.L FixedReset Ins Non -8.76 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-24
Maturity Price : 15.51
Evaluated at bid price : 15.51
Bid-YTW : 9.72 %
BN.PR.R FixedReset Disc -7.79 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-24
Maturity Price : 13.25
Evaluated at bid price : 13.25
Bid-YTW : 10.48 %
BN.PF.E FixedReset Disc -2.98 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-24
Maturity Price : 14.65
Evaluated at bid price : 14.65
Bid-YTW : 10.38 %
TD.PF.L FixedReset Disc -1.54 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-24
Maturity Price : 22.28
Evaluated at bid price : 23.06
Bid-YTW : 7.72 %
BN.PR.T FixedReset Disc -1.39 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-24
Maturity Price : 14.15
Evaluated at bid price : 14.15
Bid-YTW : 9.83 %
CM.PR.T FixedReset Disc -1.38 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-24
Maturity Price : 22.22
Evaluated at bid price : 22.95
Bid-YTW : 7.76 %
BIK.PR.A FixedReset Disc -1.32 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-24
Maturity Price : 21.92
Evaluated at bid price : 22.45
Bid-YTW : 8.74 %
MFC.PR.B Insurance Straight 1.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-24
Maturity Price : 17.93
Evaluated at bid price : 17.93
Bid-YTW : 6.58 %
RY.PR.M FixedReset Disc 1.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-24
Maturity Price : 18.19
Evaluated at bid price : 18.19
Bid-YTW : 8.20 %
GWO.PR.Q Insurance Straight 1.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-24
Maturity Price : 19.10
Evaluated at bid price : 19.10
Bid-YTW : 6.83 %
MFC.PR.N FixedReset Ins Non 1.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-24
Maturity Price : 16.73
Evaluated at bid price : 16.73
Bid-YTW : 8.95 %
IFC.PR.K Perpetual-Discount 1.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-24
Maturity Price : 19.41
Evaluated at bid price : 19.41
Bid-YTW : 6.85 %
PWF.PR.H Perpetual-Discount 1.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-24
Maturity Price : 21.22
Evaluated at bid price : 21.22
Bid-YTW : 6.82 %
GWO.PR.M Insurance Straight 1.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-24
Maturity Price : 21.54
Evaluated at bid price : 21.80
Bid-YTW : 6.73 %
GWO.PR.H Insurance Straight 1.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-24
Maturity Price : 18.16
Evaluated at bid price : 18.16
Bid-YTW : 6.77 %
POW.PR.C Perpetual-Discount 1.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-24
Maturity Price : 21.75
Evaluated at bid price : 22.00
Bid-YTW : 6.64 %
POW.PR.D Perpetual-Discount 1.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-24
Maturity Price : 18.60
Evaluated at bid price : 18.60
Bid-YTW : 6.79 %
PWF.PF.A Perpetual-Discount 1.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-24
Maturity Price : 16.51
Evaluated at bid price : 16.51
Bid-YTW : 6.86 %
PVS.PR.F SplitShare 1.23 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2024-09-30
Maturity Price : 25.00
Evaluated at bid price : 24.60
Bid-YTW : 6.80 %
BN.PF.A FixedReset Disc 1.24 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-24
Maturity Price : 20.47
Evaluated at bid price : 20.47
Bid-YTW : 8.45 %
PWF.PR.F Perpetual-Discount 1.26 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-24
Maturity Price : 19.29
Evaluated at bid price : 19.29
Bid-YTW : 6.85 %
GWO.PR.S Insurance Straight 1.30 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-24
Maturity Price : 19.50
Evaluated at bid price : 19.50
Bid-YTW : 6.82 %
PVS.PR.H SplitShare 1.32 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2027-02-28
Maturity Price : 25.00
Evaluated at bid price : 22.95
Bid-YTW : 7.58 %
PWF.PR.K Perpetual-Discount 1.34 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-24
Maturity Price : 18.21
Evaluated at bid price : 18.21
Bid-YTW : 6.84 %
FTS.PR.J Perpetual-Discount 1.39 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-24
Maturity Price : 18.91
Evaluated at bid price : 18.91
Bid-YTW : 6.40 %
SLF.PR.E Insurance Straight 1.40 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-24
Maturity Price : 18.05
Evaluated at bid price : 18.05
Bid-YTW : 6.31 %
PVS.PR.I SplitShare 1.41 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-10-31
Maturity Price : 25.00
Evaluated at bid price : 23.81
Bid-YTW : 7.40 %
SLF.PR.D Insurance Straight 1.42 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-24
Maturity Price : 17.85
Evaluated at bid price : 17.85
Bid-YTW : 6.31 %
MFC.PR.C Insurance Straight 1.43 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-24
Maturity Price : 17.75
Evaluated at bid price : 17.75
Bid-YTW : 6.43 %
RY.PR.N Perpetual-Discount 1.44 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-24
Maturity Price : 21.26
Evaluated at bid price : 21.26
Bid-YTW : 5.77 %
POW.PR.A Perpetual-Discount 1.45 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-24
Maturity Price : 21.00
Evaluated at bid price : 21.00
Bid-YTW : 6.73 %
GWO.PR.P Insurance Straight 1.46 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-24
Maturity Price : 20.10
Evaluated at bid price : 20.10
Bid-YTW : 6.81 %
BN.PR.N Perpetual-Discount 1.50 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-24
Maturity Price : 17.60
Evaluated at bid price : 17.60
Bid-YTW : 6.84 %
IFC.PR.F Insurance Straight 1.52 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-24
Maturity Price : 20.05
Evaluated at bid price : 20.05
Bid-YTW : 6.70 %
GWO.PR.R Insurance Straight 1.53 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-24
Maturity Price : 17.90
Evaluated at bid price : 17.90
Bid-YTW : 6.79 %
TRP.PR.G FixedReset Disc 1.54 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-24
Maturity Price : 16.50
Evaluated at bid price : 16.50
Bid-YTW : 9.48 %
BN.PF.I FixedReset Disc 1.55 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-24
Maturity Price : 19.60
Evaluated at bid price : 19.60
Bid-YTW : 9.13 %
GWO.PR.L Insurance Straight 1.59 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-24
Maturity Price : 21.15
Evaluated at bid price : 21.15
Bid-YTW : 6.77 %
PWF.PR.S Perpetual-Discount 1.60 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-24
Maturity Price : 17.74
Evaluated at bid price : 17.74
Bid-YTW : 6.81 %
RY.PR.J FixedReset Disc 1.64 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-24
Maturity Price : 19.16
Evaluated at bid price : 19.16
Bid-YTW : 8.22 %
BN.PF.G FixedReset Disc 1.67 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-24
Maturity Price : 15.25
Evaluated at bid price : 15.25
Bid-YTW : 10.29 %
BN.PR.X FixedReset Disc 1.68 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-24
Maturity Price : 15.10
Evaluated at bid price : 15.10
Bid-YTW : 9.05 %
TRP.PR.E FixedReset Disc 1.74 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-24
Maturity Price : 15.17
Evaluated at bid price : 15.17
Bid-YTW : 10.01 %
RY.PR.S FixedReset Disc 1.75 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-24
Maturity Price : 20.35
Evaluated at bid price : 20.35
Bid-YTW : 7.83 %
MFC.PR.Q FixedReset Ins Non 1.81 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-24
Maturity Price : 20.20
Evaluated at bid price : 20.20
Bid-YTW : 7.92 %
PVS.PR.G SplitShare 1.93 % YTW SCENARIO
Maturity Type : Option Certainty
Maturity Date : 2026-02-28
Maturity Price : 25.00
Evaluated at bid price : 23.80
Bid-YTW : 7.27 %
PVS.PR.J SplitShare 2.26 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2028-02-29
Maturity Price : 25.00
Evaluated at bid price : 22.18
Bid-YTW : 7.53 %
GWO.PR.Y Insurance Straight 2.30 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-24
Maturity Price : 16.91
Evaluated at bid price : 16.91
Bid-YTW : 6.74 %
BMO.PR.F FixedReset Disc 2.73 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-24
Maturity Price : 23.98
Evaluated at bid price : 24.50
Bid-YTW : 7.58 %
BN.PF.B FixedReset Disc 3.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-24
Maturity Price : 17.00
Evaluated at bid price : 17.00
Bid-YTW : 9.57 %
CU.PR.J Perpetual-Discount 3.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-24
Maturity Price : 17.95
Evaluated at bid price : 17.95
Bid-YTW : 6.74 %
Volume Highlights
Issue Index Shares
Traded		 Notes
NA.PR.S FixedReset Disc 161,000 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-24
Maturity Price : 18.00
Evaluated at bid price : 18.00
Bid-YTW : 8.66 %
TD.PF.B FixedReset Disc 42,400 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-24
Maturity Price : 17.60
Evaluated at bid price : 17.60
Bid-YTW : 8.61 %
FTS.PR.G FixedReset Disc 28,500 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-24
Maturity Price : 18.85
Evaluated at bid price : 18.85
Bid-YTW : 8.19 %
CM.PR.T FixedReset Disc 21,200 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-24
Maturity Price : 22.22
Evaluated at bid price : 22.95
Bid-YTW : 7.76 %
CM.PR.P FixedReset Disc 17,900 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-24
Maturity Price : 17.02
Evaluated at bid price : 17.02
Bid-YTW : 8.68 %
RY.PR.S FixedReset Disc 14,000 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-24
Maturity Price : 20.35
Evaluated at bid price : 20.35
Bid-YTW : 7.83 %
There were 5 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
TRP.PR.G FixedReset Disc Quote: 16.50 – 24.62
Spot Rate : 8.1200
Average : 5.4496

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

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

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

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

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

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

July 21, 2023

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

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

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

Five-year Canada yields were down to 3.85%.

HIMIPref™ Preferred Indices
These values reflect the December 2008 revision of the HIMIPref™ Indices
Values are provisional and are finalized monthly
Index Mean
Current
Yield
(at bid)		 Median
YTW		 Median
Average
Trading
Value		 Median
Mod Dur
(YTW)		 Issues Day’s Perf. Index Value
Ratchet 0.00 % 0.00 % 0 0.00 0 0.5217 % 2,233.0
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.5217 % 4,283.0
Floater 10.90 % 11.12 % 49,460 8.71 1 0.5217 % 2,468.3
OpRet 0.00 % 0.00 % 0 0.00 0 0.1552 % 3,318.9
SplitShare 5.08 % 8.04 % 46,226 2.40 7 0.1552 % 3,963.5
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.1552 % 3,092.5
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 0.1692 % 2,545.6
Perpetual-Discount 6.69 % 6.88 % 48,289 12.74 28 0.1692 % 2,775.9
FixedReset Disc 5.77 % 8.38 % 87,565 11.24 64 0.5134 % 2,162.9
Insurance Straight 6.65 % 6.81 % 56,158 12.77 19 0.4192 % 2,704.9
FloatingReset 11.39 % 11.06 % 36,684 8.74 2 0.7805 % 2,410.6
FixedReset Prem 7.00 % 6.85 % 276,083 3.72 1 0.0000 % 2,309.0
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 0.5134 % 2,210.9
FixedReset Ins Non 6.23 % 7.97 % 63,050 11.54 11 0.0103 % 2,301.1
Performance Highlights
Issue Index Change Notes
RY.PR.N Perpetual-Discount -2.25 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-21
Maturity Price : 21.26
Evaluated at bid price : 21.26
Bid-YTW : 5.87 %
SLF.PR.G FixedReset Ins Non -1.33 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-21
Maturity Price : 12.65
Evaluated at bid price : 12.65
Bid-YTW : 9.41 %
CU.PR.D Perpetual-Discount -1.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-21
Maturity Price : 18.14
Evaluated at bid price : 18.14
Bid-YTW : 6.88 %
FTS.PR.H FixedReset Disc 1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-21
Maturity Price : 12.88
Evaluated at bid price : 12.88
Bid-YTW : 9.38 %
RY.PR.M FixedReset Disc 1.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-21
Maturity Price : 18.19
Evaluated at bid price : 18.19
Bid-YTW : 8.17 %
SLF.PR.C Insurance Straight 1.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-21
Maturity Price : 17.85
Evaluated at bid price : 17.85
Bid-YTW : 6.31 %
CM.PR.O FixedReset Disc 1.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-21
Maturity Price : 17.95
Evaluated at bid price : 17.95
Bid-YTW : 8.31 %
TRP.PR.A FixedReset Disc 1.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-21
Maturity Price : 14.05
Evaluated at bid price : 14.05
Bid-YTW : 9.80 %
TD.PF.M FixedReset Disc 1.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-21
Maturity Price : 23.47
Evaluated at bid price : 24.00
Bid-YTW : 7.56 %
NA.PR.S FixedReset Disc 1.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-21
Maturity Price : 18.07
Evaluated at bid price : 18.07
Bid-YTW : 8.49 %
BN.PF.F FixedReset Disc 1.25 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-21
Maturity Price : 16.20
Evaluated at bid price : 16.20
Bid-YTW : 10.07 %
BN.PR.X FixedReset Disc 1.30 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-21
Maturity Price : 14.85
Evaluated at bid price : 14.85
Bid-YTW : 9.08 %
SLF.PR.J FloatingReset 1.35 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-21
Maturity Price : 15.00
Evaluated at bid price : 15.00
Bid-YTW : 11.06 %
CU.PR.C FixedReset Disc 1.39 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-21
Maturity Price : 18.25
Evaluated at bid price : 18.25
Bid-YTW : 8.29 %
MFC.PR.C Insurance Straight 1.45 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-21
Maturity Price : 17.50
Evaluated at bid price : 17.50
Bid-YTW : 6.52 %
BN.PF.H FixedReset Disc 1.56 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-21
Maturity Price : 20.15
Evaluated at bid price : 20.15
Bid-YTW : 9.25 %
IFC.PR.E Insurance Straight 1.63 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-21
Maturity Price : 19.30
Evaluated at bid price : 19.30
Bid-YTW : 6.82 %
SLF.PR.E Insurance Straight 1.71 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-21
Maturity Price : 17.80
Evaluated at bid price : 17.80
Bid-YTW : 6.40 %
BIP.PR.F FixedReset Disc 1.73 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-21
Maturity Price : 20.60
Evaluated at bid price : 20.60
Bid-YTW : 8.20 %
BN.PR.R FixedReset Disc 2.28 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-21
Maturity Price : 14.37
Evaluated at bid price : 14.37
Bid-YTW : 9.59 %
BIK.PR.A FixedReset Disc 2.62 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-21
Maturity Price : 22.10
Evaluated at bid price : 22.75
Bid-YTW : 8.51 %
BN.PF.E FixedReset Disc 3.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-21
Maturity Price : 15.10
Evaluated at bid price : 15.10
Bid-YTW : 9.94 %
PWF.PR.P FixedReset Disc 7.83 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-21
Maturity Price : 12.40
Evaluated at bid price : 12.40
Bid-YTW : 9.59 %
Volume Highlights
Issue Index Shares
Traded		 Notes
GWO.PR.Y Insurance Straight 241,700 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-21
Maturity Price : 16.53
Evaluated at bid price : 16.53
Bid-YTW : 6.89 %
PWF.PF.A Perpetual-Discount 241,177 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-21
Maturity Price : 16.31
Evaluated at bid price : 16.31
Bid-YTW : 6.94 %
GWO.PR.R Insurance Straight 240,894 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-21
Maturity Price : 17.63
Evaluated at bid price : 17.63
Bid-YTW : 6.89 %
CU.PR.J Perpetual-Discount 237,999 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-21
Maturity Price : 17.40
Evaluated at bid price : 17.40
Bid-YTW : 6.96 %
IFC.PR.E Insurance Straight 197,483 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-21
Maturity Price : 19.30
Evaluated at bid price : 19.30
Bid-YTW : 6.82 %
IFC.PR.K Perpetual-Discount 190,462 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-21
Maturity Price : 19.20
Evaluated at bid price : 19.20
Bid-YTW : 6.92 %
TD.PF.B FixedReset Disc 186,982 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-21
Maturity Price : 17.60
Evaluated at bid price : 17.60
Bid-YTW : 8.47 %
TD.PF.C FixedReset Disc 131,473 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-21
Maturity Price : 17.24
Evaluated at bid price : 17.24
Bid-YTW : 8.51 %
There were 98 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
BMO.PR.T FixedReset Disc Quote: 17.29 – 24.00
Spot Rate : 6.7100
Average : 3.8284

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

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

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

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

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

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

July 20, 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 0.4367 % 2,221.4
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.4367 % 4,260.7
Floater 10.96 % 11.17 % 45,801 8.67 1 0.4367 % 2,455.5
OpRet 0.00 % 0.00 % 0 0.00 0 0.6748 % 3,313.8
SplitShare 5.09 % 8.04 % 44,691 2.40 7 0.6748 % 3,957.3
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.6748 % 3,087.7
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 0.2105 % 2,541.3
Perpetual-Discount 6.70 % 6.88 % 44,747 12.73 28 0.2105 % 2,771.2
FixedReset Disc 5.80 % 8.39 % 81,046 11.22 64 0.3466 % 2,151.8
Insurance Straight 6.68 % 6.83 % 52,045 12.75 19 -0.0821 % 2,693.6
FloatingReset 11.48 % 11.21 % 35,496 8.65 2 -0.6741 % 2,392.0
FixedReset Prem 7.00 % 6.84 % 255,631 3.72 1 0.0000 % 2,309.0
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 0.3466 % 2,199.6
FixedReset Ins Non 6.23 % 7.97 % 65,195 11.54 11 0.1710 % 2,300.8
Performance Highlights
Issue Index Change Notes
SLF.PR.E Insurance Straight -1.96 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-20
Maturity Price : 17.50
Evaluated at bid price : 17.50
Bid-YTW : 6.51 %
MFC.PR.L FixedReset Ins Non -1.73 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-20
Maturity Price : 17.00
Evaluated at bid price : 17.00
Bid-YTW : 8.72 %
BIK.PR.A FixedReset Disc -1.69 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-20
Maturity Price : 21.73
Evaluated at bid price : 22.17
Bid-YTW : 8.74 %
SLF.PR.G FixedReset Ins Non -1.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-20
Maturity Price : 12.82
Evaluated at bid price : 12.82
Bid-YTW : 9.29 %
SLF.PR.J FloatingReset -1.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-20
Maturity Price : 14.80
Evaluated at bid price : 14.80
Bid-YTW : 11.21 %
MFC.PR.I FixedReset Ins Non 1.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-20
Maturity Price : 20.99
Evaluated at bid price : 20.99
Bid-YTW : 7.83 %
PWF.PR.T FixedReset Disc 1.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-20
Maturity Price : 18.85
Evaluated at bid price : 18.85
Bid-YTW : 8.19 %
MFC.PR.B Insurance Straight 1.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-20
Maturity Price : 17.69
Evaluated at bid price : 17.69
Bid-YTW : 6.67 %
BMO.PR.S FixedReset Disc 1.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-20
Maturity Price : 18.35
Evaluated at bid price : 18.35
Bid-YTW : 8.36 %
BIP.PR.B FixedReset Disc 1.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-20
Maturity Price : 21.00
Evaluated at bid price : 21.00
Bid-YTW : 9.34 %
PVS.PR.H SplitShare 1.12 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2027-02-28
Maturity Price : 25.00
Evaluated at bid price : 22.55
Bid-YTW : 8.11 %
CU.PR.D Perpetual-Discount 1.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-20
Maturity Price : 18.35
Evaluated at bid price : 18.35
Bid-YTW : 6.80 %
POW.PR.C Perpetual-Discount 1.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-20
Maturity Price : 21.49
Evaluated at bid price : 21.75
Bid-YTW : 6.72 %
PVS.PR.K SplitShare 1.18 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2029-05-31
Maturity Price : 25.00
Evaluated at bid price : 21.40
Bid-YTW : 7.70 %
TRP.PR.D FixedReset Disc 1.18 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-20
Maturity Price : 15.38
Evaluated at bid price : 15.38
Bid-YTW : 9.96 %
PVS.PR.G SplitShare 1.26 % YTW SCENARIO
Maturity Type : Option Certainty
Maturity Date : 2026-02-28
Maturity Price : 25.00
Evaluated at bid price : 23.35
Bid-YTW : 8.04 %
PVS.PR.I SplitShare 1.29 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-10-31
Maturity Price : 25.00
Evaluated at bid price : 23.50
Bid-YTW : 7.99 %
TRP.PR.E FixedReset Disc 1.37 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-20
Maturity Price : 14.80
Evaluated at bid price : 14.80
Bid-YTW : 10.09 %
BN.PF.H FixedReset Disc 1.48 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-20
Maturity Price : 19.84
Evaluated at bid price : 19.84
Bid-YTW : 9.39 %
RY.PR.O Perpetual-Discount 1.60 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-20
Maturity Price : 21.59
Evaluated at bid price : 21.59
Bid-YTW : 5.78 %
BIP.PR.E FixedReset Disc 1.68 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-20
Maturity Price : 21.20
Evaluated at bid price : 21.20
Bid-YTW : 8.08 %
TRP.PR.A FixedReset Disc 1.68 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-20
Maturity Price : 13.89
Evaluated at bid price : 13.89
Bid-YTW : 9.91 %
BN.PF.G FixedReset Disc 1.69 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-20
Maturity Price : 15.00
Evaluated at bid price : 15.00
Bid-YTW : 10.31 %
BN.PR.X FixedReset Disc 1.73 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-20
Maturity Price : 14.66
Evaluated at bid price : 14.66
Bid-YTW : 9.19 %
BN.PR.T FixedReset Disc 2.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-20
Maturity Price : 14.25
Evaluated at bid price : 14.25
Bid-YTW : 9.64 %
BN.PR.R FixedReset Disc 2.26 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-20
Maturity Price : 14.05
Evaluated at bid price : 14.05
Bid-YTW : 9.79 %
MFC.PR.K FixedReset Ins Non 2.30 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-20
Maturity Price : 19.54
Evaluated at bid price : 19.54
Bid-YTW : 7.84 %
RY.PR.N Perpetual-Discount 2.35 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-20
Maturity Price : 21.75
Evaluated at bid price : 21.75
Bid-YTW : 5.73 %
Volume Highlights
Issue Index Shares
Traded		 Notes
NA.PR.C FixedReset Prem 202,100 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2027-11-15
Maturity Price : 25.00
Evaluated at bid price : 25.10
Bid-YTW : 6.84 %
CU.PR.C FixedReset Disc 117,000 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-20
Maturity Price : 18.00
Evaluated at bid price : 18.00
Bid-YTW : 8.40 %
TRP.PR.G FixedReset Disc 115,200 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-20
Maturity Price : 16.25
Evaluated at bid price : 16.25
Bid-YTW : 9.49 %
TD.PF.M FixedReset Disc 48,233 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-20
Maturity Price : 23.16
Evaluated at bid price : 23.71
Bid-YTW : 7.65 %
BMO.PR.E FixedReset Disc 34,657 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-20
Maturity Price : 21.48
Evaluated at bid price : 21.80
Bid-YTW : 7.55 %
TD.PF.K FixedReset Disc 34,600 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-20
Maturity Price : 21.56
Evaluated at bid price : 21.90
Bid-YTW : 7.33 %
There were 22 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
TRP.PR.G FixedReset Disc Quote: 16.25 – 24.62
Spot Rate : 8.3700
Average : 4.4311

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-20
Maturity Price : 16.25
Evaluated at bid price : 16.25
Bid-YTW : 9.49 %
BN.PF.F FixedReset Disc Quote: 16.00 – 19.00
Spot Rate : 3.0000
Average : 1.6159

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-20
Maturity Price : 16.00
Evaluated at bid price : 16.00
Bid-YTW : 10.19 %
TRP.PR.A FixedReset Disc Quote: 13.89 – 15.00
Spot Rate : 1.1100
Average : 0.7721

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-20
Maturity Price : 13.89
Evaluated at bid price : 13.89
Bid-YTW : 9.91 %
MFC.PR.J FixedReset Ins Non Quote: 20.52 – 21.32
Spot Rate : 0.8000
Average : 0.4678

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-20
Maturity Price : 20.52
Evaluated at bid price : 20.52
Bid-YTW : 7.85 %
FTS.PR.M FixedReset Disc Quote: 17.00 – 17.80
Spot Rate : 0.8000
Average : 0.4792

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-20
Maturity Price : 17.00
Evaluated at bid price : 17.00
Bid-YTW : 9.07 %
TD.PF.C FixedReset Disc Quote: 17.25 – 17.79
Spot Rate : 0.5400
Average : 0.3110

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-20
Maturity Price : 17.25
Evaluated at bid price : 17.25
Bid-YTW : 8.50 %
Market Action

July 19, 2023

PerpetualDiscounts now yield 6.89%, equivalent to 8.96% interest at the standard equivalency factor of 1.3x. Long corporates yielded 5.14% on 2023-7-14 and since then the closing price has changed from 14.93 to 15.03, an increase of 67bp in price, with a Duration of 12.29 (BMO doesn’t specify whether this is Macaulay or Modified Duration; I will assume Modified) which implies a decrease in yield of about 5bp since 7/14 to 5.09%, so the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) has widened to 385bp from the 375bp reported July 12.

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 % 2,211.8
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.0000 % 4,242.2
Floater 11.00 % 11.22 % 45,535 8.65 1 0.0000 % 2,444.8
OpRet 0.00 % 0.00 % 0 0.00 0 0.7872 % 3,291.5
SplitShare 5.12 % 8.45 % 42,590 2.40 7 0.7872 % 3,930.8
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.7872 % 3,067.0
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 0.1231 % 2,536.0
Perpetual-Discount 6.72 % 6.89 % 45,557 12.71 28 0.1231 % 2,765.4
FixedReset Disc 5.82 % 8.43 % 80,054 11.18 64 0.3935 % 2,144.4
Insurance Straight 6.67 % 6.82 % 50,256 12.77 19 0.4891 % 2,695.8
FloatingReset 11.40 % 11.10 % 35,798 8.73 2 0.6104 % 2,408.2
FixedReset Prem 7.00 % 6.84 % 236,694 3.73 1 0.0000 % 2,309.0
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 0.3935 % 2,192.0
FixedReset Ins Non 6.24 % 8.00 % 64,824 11.55 11 -0.1035 % 2,296.9
Performance Highlights
Issue Index Change Notes
MFC.PR.K FixedReset Ins Non -2.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-19
Maturity Price : 19.10
Evaluated at bid price : 19.10
Bid-YTW : 8.03 %
CM.PR.Y FixedReset Disc -1.43 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-19
Maturity Price : 23.52
Evaluated at bid price : 24.05
Bid-YTW : 7.56 %
FTS.PR.H FixedReset Disc -1.32 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-19
Maturity Price : 12.75
Evaluated at bid price : 12.75
Bid-YTW : 9.47 %
BIP.PR.F FixedReset Disc -1.32 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-19
Maturity Price : 20.25
Evaluated at bid price : 20.25
Bid-YTW : 8.34 %
BIP.PR.A FixedReset Disc -1.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-19
Maturity Price : 16.92
Evaluated at bid price : 16.92
Bid-YTW : 10.22 %
MFC.PR.B Insurance Straight -1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-19
Maturity Price : 17.50
Evaluated at bid price : 17.50
Bid-YTW : 6.74 %
CM.PR.Q FixedReset Disc 1.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-19
Maturity Price : 17.93
Evaluated at bid price : 17.93
Bid-YTW : 8.46 %
RY.PR.J FixedReset Disc 1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-19
Maturity Price : 18.85
Evaluated at bid price : 18.85
Bid-YTW : 8.23 %
TD.PF.E FixedReset Disc 1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-19
Maturity Price : 18.42
Evaluated at bid price : 18.42
Bid-YTW : 8.35 %
RY.PR.H FixedReset Disc 1.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-19
Maturity Price : 17.80
Evaluated at bid price : 17.80
Bid-YTW : 8.43 %
SLF.PR.G FixedReset Ins Non 1.17 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-19
Maturity Price : 12.95
Evaluated at bid price : 12.95
Bid-YTW : 9.20 %
BN.PR.Z FixedReset Disc 1.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-19
Maturity Price : 19.05
Evaluated at bid price : 19.05
Bid-YTW : 8.71 %
BN.PF.B FixedReset Disc 1.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-19
Maturity Price : 16.45
Evaluated at bid price : 16.45
Bid-YTW : 9.73 %
SLF.PR.J FloatingReset 1.29 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-19
Maturity Price : 14.95
Evaluated at bid price : 14.95
Bid-YTW : 11.10 %
IFC.PR.A FixedReset Ins Non 1.39 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-19
Maturity Price : 16.81
Evaluated at bid price : 16.81
Bid-YTW : 8.00 %
CU.PR.C FixedReset Disc 1.42 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-19
Maturity Price : 17.85
Evaluated at bid price : 17.85
Bid-YTW : 8.47 %
BN.PF.H FixedReset Disc 1.66 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-19
Maturity Price : 19.55
Evaluated at bid price : 19.55
Bid-YTW : 9.52 %
BIP.PR.E FixedReset Disc 1.71 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-19
Maturity Price : 20.85
Evaluated at bid price : 20.85
Bid-YTW : 8.21 %
BN.PR.R FixedReset Disc 2.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-19
Maturity Price : 13.74
Evaluated at bid price : 13.74
Bid-YTW : 9.99 %
PVS.PR.K SplitShare 2.17 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2029-05-31
Maturity Price : 25.00
Evaluated at bid price : 21.15
Bid-YTW : 7.94 %
PVS.PR.J SplitShare 2.32 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2028-02-29
Maturity Price : 25.00
Evaluated at bid price : 21.60
Bid-YTW : 8.17 %
SLF.PR.E Insurance Straight 3.42 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-19
Maturity Price : 17.85
Evaluated at bid price : 17.85
Bid-YTW : 6.38 %
BN.PF.I FixedReset Disc 6.53 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-19
Maturity Price : 19.10
Evaluated at bid price : 19.10
Bid-YTW : 9.26 %
IFC.PR.E Insurance Straight 6.72 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-19
Maturity Price : 19.05
Evaluated at bid price : 19.05
Bid-YTW : 6.91 %
Volume Highlights
Issue Index Shares
Traded		 Notes
TD.PF.D FixedReset Disc 103,900 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-19
Maturity Price : 18.26
Evaluated at bid price : 18.26
Bid-YTW : 8.41 %
TD.PF.E FixedReset Disc 74,295 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-19
Maturity Price : 18.42
Evaluated at bid price : 18.42
Bid-YTW : 8.35 %
BN.PF.G FixedReset Disc 53,345 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-19
Maturity Price : 14.75
Evaluated at bid price : 14.75
Bid-YTW : 10.47 %
ELF.PR.H Perpetual-Discount 51,200 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-19
Maturity Price : 20.10
Evaluated at bid price : 20.10
Bid-YTW : 6.90 %
ELF.PR.F Perpetual-Discount 50,000 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-19
Maturity Price : 19.40
Evaluated at bid price : 19.40
Bid-YTW : 6.89 %
TRP.PR.D FixedReset Disc 34,217 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-19
Maturity Price : 15.20
Evaluated at bid price : 15.20
Bid-YTW : 10.07 %
There were 8 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
BMO.PR.W FixedReset Disc Quote: 17.09 – 19.00
Spot Rate : 1.9100
Average : 1.3714

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-19
Maturity Price : 17.09
Evaluated at bid price : 17.09
Bid-YTW : 8.68 %
BIP.PR.E FixedReset Disc Quote: 20.85 – 22.00
Spot Rate : 1.1500
Average : 0.7069

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-19
Maturity Price : 20.85
Evaluated at bid price : 20.85
Bid-YTW : 8.21 %
BN.PF.A FixedReset Disc Quote: 19.88 – 20.90
Spot Rate : 1.0200
Average : 0.6384

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-19
Maturity Price : 19.88
Evaluated at bid price : 19.88
Bid-YTW : 8.57 %
CU.PR.G Perpetual-Discount Quote: 16.80 – 18.12
Spot Rate : 1.3200
Average : 0.9617

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-19
Maturity Price : 16.80
Evaluated at bid price : 16.80
Bid-YTW : 6.82 %
TD.PF.J FixedReset Disc Quote: 20.90 – 21.50
Spot Rate : 0.6000
Average : 0.3477

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-19
Maturity Price : 20.90
Evaluated at bid price : 20.90
Bid-YTW : 7.54 %
BN.PF.G FixedReset Disc Quote: 14.75 – 15.39
Spot Rate : 0.6400
Average : 0.4040

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-19
Maturity Price : 14.75
Evaluated at bid price : 14.75
Bid-YTW : 10.47 %
Market Action

July 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 0.4386 % 2,211.8
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.4386 % 4,242.2
Floater 11.00 % 11.21 % 44,079 8.65 1 0.4386 % 2,444.8
OpRet 0.00 % 0.00 % 0 0.00 0 -0.8306 % 3,265.8
SplitShare 5.16 % 8.56 % 42,221 2.40 7 -0.8306 % 3,900.1
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.8306 % 3,043.0
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 0.0224 % 2,532.9
Perpetual-Discount 6.72 % 6.90 % 44,370 12.71 28 0.0224 % 2,762.0
FixedReset Disc 5.84 % 8.44 % 79,338 11.16 64 0.2110 % 2,136.0
Insurance Straight 6.70 % 6.81 % 51,963 12.79 19 -0.4558 % 2,682.7
FloatingReset 11.47 % 11.24 % 34,032 8.64 2 -0.6067 % 2,393.6
FixedReset Prem 7.00 % 6.83 % 239,308 3.73 1 0.0000 % 2,309.0
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 0.2110 % 2,183.4
FixedReset Ins Non 6.23 % 7.96 % 65,736 11.55 11 0.1555 % 2,299.3
Performance Highlights
Issue Index Change Notes
IFC.PR.E Insurance Straight -6.59 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-18
Maturity Price : 17.85
Evaluated at bid price : 17.85
Bid-YTW : 7.38 %
BN.PF.I FixedReset Disc -3.81 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-18
Maturity Price : 17.93
Evaluated at bid price : 17.93
Bid-YTW : 9.83 %
PVS.PR.J SplitShare -2.72 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2028-02-29
Maturity Price : 25.00
Evaluated at bid price : 21.11
Bid-YTW : 8.74 %
PVS.PR.K SplitShare -1.90 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2029-05-31
Maturity Price : 25.00
Evaluated at bid price : 20.70
Bid-YTW : 8.37 %
SLF.PR.J FloatingReset -1.27 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-18
Maturity Price : 14.76
Evaluated at bid price : 14.76
Bid-YTW : 11.24 %
PVS.PR.H SplitShare -1.16 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2027-02-28
Maturity Price : 25.00
Evaluated at bid price : 22.09
Bid-YTW : 8.74 %
TRP.PR.A FixedReset Disc -1.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-18
Maturity Price : 13.58
Evaluated at bid price : 13.58
Bid-YTW : 10.12 %
BN.PF.G FixedReset Disc 1.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-18
Maturity Price : 14.75
Evaluated at bid price : 14.75
Bid-YTW : 10.47 %
BIP.PR.A FixedReset Disc 1.18 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-18
Maturity Price : 17.10
Evaluated at bid price : 17.10
Bid-YTW : 10.12 %
NA.PR.S FixedReset Disc 1.19 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-18
Maturity Price : 17.82
Evaluated at bid price : 17.82
Bid-YTW : 8.60 %
BN.PF.H FixedReset Disc 1.21 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-18
Maturity Price : 19.23
Evaluated at bid price : 19.23
Bid-YTW : 9.67 %
PWF.PR.H Perpetual-Discount 1.31 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-18
Maturity Price : 20.90
Evaluated at bid price : 20.90
Bid-YTW : 6.92 %
NA.PR.W FixedReset Disc 1.39 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-18
Maturity Price : 16.78
Evaluated at bid price : 16.78
Bid-YTW : 8.69 %
TRP.PR.B FixedReset Disc 1.40 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-18
Maturity Price : 10.90
Evaluated at bid price : 10.90
Bid-YTW : 10.52 %
MFC.PR.L FixedReset Ins Non 2.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-18
Maturity Price : 17.25
Evaluated at bid price : 17.25
Bid-YTW : 8.59 %
BIP.PR.F FixedReset Disc 2.24 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-18
Maturity Price : 20.52
Evaluated at bid price : 20.52
Bid-YTW : 8.23 %
PWF.PR.P FixedReset Disc 2.95 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-18
Maturity Price : 11.50
Evaluated at bid price : 11.50
Bid-YTW : 10.27 %
Volume Highlights
Issue Index Shares
Traded		 Notes
TD.PF.K FixedReset Disc 39,423 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-18
Maturity Price : 21.54
Evaluated at bid price : 21.88
Bid-YTW : 7.34 %
TD.PF.E FixedReset Disc 34,600 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-18
Maturity Price : 18.23
Evaluated at bid price : 18.23
Bid-YTW : 8.43 %
BN.PF.G FixedReset Disc 28,578 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-18
Maturity Price : 14.75
Evaluated at bid price : 14.75
Bid-YTW : 10.47 %
TD.PF.D FixedReset Disc 26,100 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-18
Maturity Price : 18.20
Evaluated at bid price : 18.20
Bid-YTW : 8.43 %
BN.PF.J FixedReset Disc 24,307 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-18
Maturity Price : 20.11
Evaluated at bid price : 20.11
Bid-YTW : 8.43 %
TRP.PR.D FixedReset Disc 23,600 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-18
Maturity Price : 15.22
Evaluated at bid price : 15.22
Bid-YTW : 10.06 %
There were 12 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
GWO.PR.G Insurance Straight Quote: 19.12 – 21.00
Spot Rate : 1.8800
Average : 1.0371

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-18
Maturity Price : 19.12
Evaluated at bid price : 19.12
Bid-YTW : 6.88 %
IFC.PR.E Insurance Straight Quote: 17.85 – 19.05
Spot Rate : 1.2000
Average : 0.7166

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-18
Maturity Price : 17.85
Evaluated at bid price : 17.85
Bid-YTW : 7.38 %
BN.PF.I FixedReset Disc Quote: 17.93 – 19.06
Spot Rate : 1.1300
Average : 0.7344

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-18
Maturity Price : 17.93
Evaluated at bid price : 17.93
Bid-YTW : 9.83 %
RY.PR.H FixedReset Disc Quote: 17.60 – 18.38
Spot Rate : 0.7800
Average : 0.4640

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-18
Maturity Price : 17.60
Evaluated at bid price : 17.60
Bid-YTW : 8.52 %
PVS.PR.K SplitShare Quote: 20.70 – 21.50
Spot Rate : 0.8000
Average : 0.5839

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2029-05-31
Maturity Price : 25.00
Evaluated at bid price : 20.70
Bid-YTW : 8.37 %
PVS.PR.I SplitShare Quote: 23.25 – 23.95
Spot Rate : 0.7000
Average : 0.4978

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-10-31
Maturity Price : 25.00
Evaluated at bid price : 23.25
Bid-YTW : 8.48 %
Market Action

July 17, 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 -0.2625 % 2,202.1
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.2625 % 4,223.7
Floater 11.05 % 11.26 % 44,412 8.62 1 -0.2625 % 2,434.1
OpRet 0.00 % 0.00 % 0 0.00 0 0.2944 % 3,293.2
SplitShare 5.12 % 8.37 % 42,144 2.40 7 0.2944 % 3,932.8
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.2944 % 3,068.5
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 -0.0485 % 2,532.3
Perpetual-Discount 6.73 % 6.89 % 41,655 12.72 28 -0.0485 % 2,761.3
FixedReset Disc 5.85 % 8.47 % 76,400 11.12 64 0.0569 % 2,131.5
Insurance Straight 6.67 % 6.82 % 50,786 12.78 19 -0.2795 % 2,695.0
FloatingReset 11.40 % 11.09 % 32,801 8.74 2 1.0903 % 2,408.2
FixedReset Prem 7.00 % 6.83 % 241,306 3.73 1 0.0000 % 2,309.0
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 0.0569 % 2,178.8
FixedReset Ins Non 6.24 % 7.97 % 66,587 11.54 11 -0.2431 % 2,295.7
Performance Highlights
Issue Index Change Notes
PWF.PR.P FixedReset Disc -11.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-17
Maturity Price : 11.17
Evaluated at bid price : 11.17
Bid-YTW : 10.54 %
SLF.PR.E Insurance Straight -4.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-17
Maturity Price : 17.26
Evaluated at bid price : 17.26
Bid-YTW : 6.59 %
MFC.PR.L FixedReset Ins Non -2.59 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-17
Maturity Price : 16.90
Evaluated at bid price : 16.90
Bid-YTW : 8.77 %
PWF.PR.H Perpetual-Discount -2.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-17
Maturity Price : 20.63
Evaluated at bid price : 20.63
Bid-YTW : 7.01 %
BN.PF.G FixedReset Disc -1.48 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-17
Maturity Price : 14.60
Evaluated at bid price : 14.60
Bid-YTW : 10.57 %
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 : 23.06
Bid-YTW : 8.55 %
MFC.PR.C Insurance Straight -1.32 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-17
Maturity Price : 17.25
Evaluated at bid price : 17.25
Bid-YTW : 6.61 %
PWF.PR.S Perpetual-Discount -1.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-17
Maturity Price : 17.50
Evaluated at bid price : 17.50
Bid-YTW : 6.89 %
TRP.PR.D FixedReset Disc 1.19 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-17
Maturity Price : 15.26
Evaluated at bid price : 15.26
Bid-YTW : 10.03 %
BIK.PR.A FixedReset Disc 1.62 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-17
Maturity Price : 21.99
Evaluated at bid price : 22.56
Bid-YTW : 8.57 %
SLF.PR.J FloatingReset 2.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-17
Maturity Price : 14.95
Evaluated at bid price : 14.95
Bid-YTW : 11.09 %
FTS.PR.K FixedReset Disc 2.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-17
Maturity Price : 16.74
Evaluated at bid price : 16.74
Bid-YTW : 8.81 %
BMO.PR.Y FixedReset Disc 2.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-17
Maturity Price : 17.99
Evaluated at bid price : 17.99
Bid-YTW : 8.45 %
PVS.PR.K SplitShare 2.18 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2029-05-31
Maturity Price : 25.00
Evaluated at bid price : 21.10
Bid-YTW : 7.98 %
Volume Highlights
Issue Index Shares
Traded		 Notes
PVS.PR.K SplitShare 24,800 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2029-05-31
Maturity Price : 25.00
Evaluated at bid price : 21.10
Bid-YTW : 7.98 %
TRP.PR.A FixedReset Disc 20,300 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-17
Maturity Price : 13.73
Evaluated at bid price : 13.73
Bid-YTW : 10.01 %
CU.PR.J Perpetual-Discount 15,100 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-17
Maturity Price : 17.36
Evaluated at bid price : 17.36
Bid-YTW : 6.97 %
TRP.PR.B FixedReset Disc 12,800 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-17
Maturity Price : 10.75
Evaluated at bid price : 10.75
Bid-YTW : 10.65 %
SLF.PR.J FloatingReset 11,300 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-17
Maturity Price : 14.95
Evaluated at bid price : 14.95
Bid-YTW : 11.09 %
There were 0 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
BMO.PR.T FixedReset Disc Quote: 17.10 – 24.00
Spot Rate : 6.9000
Average : 3.7483

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-17
Maturity Price : 17.10
Evaluated at bid price : 17.10
Bid-YTW : 8.73 %
BMO.PR.W FixedReset Disc Quote: 16.97 – 19.00
Spot Rate : 2.0300
Average : 1.1656

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-17
Maturity Price : 16.97
Evaluated at bid price : 16.97
Bid-YTW : 8.74 %
PWF.PR.P FixedReset Disc Quote: 11.17 – 13.03
Spot Rate : 1.8600
Average : 1.1572

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-17
Maturity Price : 11.17
Evaluated at bid price : 11.17
Bid-YTW : 10.54 %
SLF.PR.E Insurance Straight Quote: 17.26 – 18.10
Spot Rate : 0.8400
Average : 0.4873

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-17
Maturity Price : 17.26
Evaluated at bid price : 17.26
Bid-YTW : 6.59 %
NA.PR.W FixedReset Disc Quote: 16.55 – 17.29
Spot Rate : 0.7400
Average : 0.4758

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-17
Maturity Price : 16.55
Evaluated at bid price : 16.55
Bid-YTW : 8.81 %
TRP.PR.A FixedReset Disc Quote: 13.73 – 15.00
Spot Rate : 1.2700
Average : 1.0659

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-17
Maturity Price : 13.73
Evaluated at bid price : 13.73
Bid-YTW : 10.01 %
Market Action

July 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 0.7048 % 2,207.9
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.7048 % 4,234.8
Floater 11.02 % 11.22 % 44,171 8.66 1 0.7048 % 2,440.5
OpRet 0.00 % 0.00 % 0 0.00 0 0.2134 % 3,283.5
SplitShare 5.14 % 8.40 % 41,432 2.42 7 0.2134 % 3,921.2
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.2134 % 3,059.5
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 -0.0224 % 2,533.5
Perpetual-Discount 6.72 % 6.89 % 41,158 12.73 28 -0.0224 % 2,762.7
FixedReset Disc 5.86 % 8.51 % 78,191 11.07 64 0.4031 % 2,130.3
Insurance Straight 6.65 % 6.81 % 52,928 12.79 19 -0.0339 % 2,702.6
FloatingReset 11.52 % 12.17 % 59,186 8.06 2 0.0000 % 2,382.2
FixedReset Prem 7.00 % 6.81 % 242,704 3.74 1 -0.1194 % 2,309.0
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 0.4031 % 2,177.6
FixedReset Ins Non 6.33 % 8.11 % 68,796 11.28 11 0.5146 % 2,301.3
Performance Highlights
Issue Index Change Notes
BMO.PR.Y FixedReset Disc -1.29 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-14
Maturity Price : 17.62
Evaluated at bid price : 17.62
Bid-YTW : 8.61 %
TD.PF.L FixedReset Disc -1.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-14
Maturity Price : 22.53
Evaluated at bid price : 23.11
Bid-YTW : 7.59 %
BN.PR.X FixedReset Disc 1.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-14
Maturity Price : 14.40
Evaluated at bid price : 14.40
Bid-YTW : 9.34 %
FTS.PR.G FixedReset Disc 1.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-14
Maturity Price : 18.50
Evaluated at bid price : 18.50
Bid-YTW : 8.19 %
IFC.PR.C FixedReset Disc 1.19 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-14
Maturity Price : 17.83
Evaluated at bid price : 17.83
Bid-YTW : 8.19 %
BN.PF.J FixedReset Disc 1.21 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-14
Maturity Price : 20.01
Evaluated at bid price : 20.01
Bid-YTW : 8.46 %
TD.PF.E FixedReset Disc 1.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-14
Maturity Price : 18.15
Evaluated at bid price : 18.15
Bid-YTW : 8.46 %
BIP.PR.F FixedReset Disc 1.67 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-14
Maturity Price : 20.04
Evaluated at bid price : 20.04
Bid-YTW : 8.42 %
BIP.PR.E FixedReset Disc 1.68 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-14
Maturity Price : 20.52
Evaluated at bid price : 20.52
Bid-YTW : 8.34 %
BN.PF.G FixedReset Disc 1.86 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-14
Maturity Price : 14.82
Evaluated at bid price : 14.82
Bid-YTW : 10.41 %
PVS.PR.J SplitShare 1.89 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2028-02-29
Maturity Price : 25.00
Evaluated at bid price : 21.60
Bid-YTW : 8.14 %
PWF.PR.G Perpetual-Discount 2.33 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-14
Maturity Price : 21.49
Evaluated at bid price : 21.49
Bid-YTW : 6.90 %
BIP.PR.B FixedReset Disc 2.88 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-14
Maturity Price : 20.75
Evaluated at bid price : 20.75
Bid-YTW : 9.44 %
MFC.PR.I FixedReset Ins Non 2.90 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-14
Maturity Price : 20.93
Evaluated at bid price : 20.93
Bid-YTW : 7.84 %
TRP.PR.E FixedReset Disc 4.36 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-14
Maturity Price : 14.60
Evaluated at bid price : 14.60
Bid-YTW : 10.21 %
TRP.PR.C FixedReset Disc 5.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-14
Maturity Price : 11.70
Evaluated at bid price : 11.70
Bid-YTW : 9.98 %
Volume Highlights
Issue Index Shares
Traded		 Notes
TRP.PR.C FixedReset Disc 187,700 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-14
Maturity Price : 11.70
Evaluated at bid price : 11.70
Bid-YTW : 9.98 %
GWO.PR.N FixedReset Ins Non 95,000 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-14
Maturity Price : 12.41
Evaluated at bid price : 12.41
Bid-YTW : 8.98 %
TRP.PR.B FixedReset Disc 39,220 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-14
Maturity Price : 10.75
Evaluated at bid price : 10.75
Bid-YTW : 10.64 %
BIP.PR.A FixedReset Disc 33,400 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-14
Maturity Price : 16.91
Evaluated at bid price : 16.91
Bid-YTW : 10.21 %
CM.PR.O FixedReset Disc 28,810 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-14
Maturity Price : 17.75
Evaluated at bid price : 17.75
Bid-YTW : 8.39 %
TD.PF.J FixedReset Disc 25,400 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-14
Maturity Price : 20.76
Evaluated at bid price : 20.76
Bid-YTW : 7.59 %
There were 11 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
TRP.PR.A FixedReset Disc Quote: 13.63 – 15.00
Spot Rate : 1.3700
Average : 0.8420

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-14
Maturity Price : 13.63
Evaluated at bid price : 13.63
Bid-YTW : 10.07 %
CM.PR.P FixedReset Disc Quote: 16.70 – 17.90
Spot Rate : 1.2000
Average : 0.8015

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-14
Maturity Price : 16.70
Evaluated at bid price : 16.70
Bid-YTW : 8.70 %
CU.PR.G Perpetual-Discount Quote: 16.93 – 18.12
Spot Rate : 1.1900
Average : 0.9182

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-14
Maturity Price : 16.93
Evaluated at bid price : 16.93
Bid-YTW : 6.76 %
TD.PF.L FixedReset Disc Quote: 23.11 – 23.70
Spot Rate : 0.5900
Average : 0.3402

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-14
Maturity Price : 22.53
Evaluated at bid price : 23.11
Bid-YTW : 7.59 %
BN.PF.A FixedReset Disc Quote: 19.84 – 20.50
Spot Rate : 0.6600
Average : 0.4595

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-14
Maturity Price : 19.84
Evaluated at bid price : 19.84
Bid-YTW : 8.57 %
SLF.PR.J FloatingReset Quote: 14.65 – 15.28
Spot Rate : 0.6300
Average : 0.4564

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-14
Maturity Price : 14.65
Evaluated at bid price : 14.65
Bid-YTW : 11.31 %
Market Action

July 13, 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 0.1765 % 2,192.5
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.1765 % 4,205.1
Floater 11.10 % 11.30 % 44,902 8.61 1 0.1765 % 2,423.4
OpRet 0.00 % 0.00 % 0 0.00 0 0.2833 % 3,276.5
SplitShare 5.15 % 8.53 % 42,113 2.42 7 0.2833 % 3,912.9
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.2833 % 3,053.0
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 0.0952 % 2,534.1
Perpetual-Discount 6.72 % 6.88 % 41,573 12.74 28 0.0952 % 2,763.3
FixedReset Disc 5.88 % 8.71 % 77,907 10.90 64 0.0173 % 2,121.7
Insurance Straight 6.65 % 6.82 % 52,297 12.79 19 0.5448 % 2,703.5
FloatingReset 11.41 % 12.04 % 59,303 8.14 2 -0.6768 % 2,382.2
FixedReset Prem 6.99 % 6.78 % 245,898 3.74 1 0.1195 % 2,311.8
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 0.0173 % 2,168.8
FixedReset Ins Non 6.40 % 8.32 % 69,435 11.07 11 -0.0260 % 2,289.5
Performance Highlights
Issue Index Change Notes
TRP.PR.E FixedReset Disc -3.85 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-13
Maturity Price : 13.99
Evaluated at bid price : 13.99
Bid-YTW : 10.86 %
BIP.PR.B FixedReset Disc -3.49 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-13
Maturity Price : 20.17
Evaluated at bid price : 20.17
Bid-YTW : 9.83 %
MFC.PR.I FixedReset Ins Non -2.45 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-13
Maturity Price : 20.34
Evaluated at bid price : 20.34
Bid-YTW : 8.19 %
PWF.PR.G Perpetual-Discount -2.37 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-13
Maturity Price : 21.00
Evaluated at bid price : 21.00
Bid-YTW : 7.06 %
BIK.PR.A FixedReset Disc -2.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-13
Maturity Price : 21.73
Evaluated at bid price : 22.17
Bid-YTW : 8.87 %
RY.PR.N Perpetual-Discount -1.87 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-13
Maturity Price : 20.95
Evaluated at bid price : 20.95
Bid-YTW : 5.95 %
BN.PF.H FixedReset Disc -1.61 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-13
Maturity Price : 19.00
Evaluated at bid price : 19.00
Bid-YTW : 9.90 %
SLF.PR.J FloatingReset -1.35 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-13
Maturity Price : 14.65
Evaluated at bid price : 14.65
Bid-YTW : 11.18 %
BN.PF.J FixedReset Disc -1.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-13
Maturity Price : 19.77
Evaluated at bid price : 19.77
Bid-YTW : 8.68 %
CU.PR.G Perpetual-Discount 1.37 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-13
Maturity Price : 17.00
Evaluated at bid price : 17.00
Bid-YTW : 6.73 %
RY.PR.M FixedReset Disc 1.38 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-13
Maturity Price : 17.60
Evaluated at bid price : 17.60
Bid-YTW : 8.57 %
TRP.PR.B FixedReset Disc 1.42 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-13
Maturity Price : 10.75
Evaluated at bid price : 10.75
Bid-YTW : 10.89 %
PWF.PR.P FixedReset Disc 1.44 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-13
Maturity Price : 12.66
Evaluated at bid price : 12.66
Bid-YTW : 9.60 %
MFC.PR.L FixedReset Ins Non 1.47 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-13
Maturity Price : 17.25
Evaluated at bid price : 17.25
Bid-YTW : 8.77 %
BIP.PR.F FixedReset Disc 1.49 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-13
Maturity Price : 19.71
Evaluated at bid price : 19.71
Bid-YTW : 8.73 %
SLF.PR.C Insurance Straight 1.60 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-13
Maturity Price : 17.83
Evaluated at bid price : 17.83
Bid-YTW : 6.30 %
TRP.PR.C FixedReset Disc 1.92 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-13
Maturity Price : 11.14
Evaluated at bid price : 11.14
Bid-YTW : 10.66 %
CM.PR.Y FixedReset Disc 2.31 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-07-31
Maturity Price : 25.00
Evaluated at bid price : 24.40
Bid-YTW : 7.39 %
IFC.PR.F Insurance Straight 3.68 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-13
Maturity Price : 19.70
Evaluated at bid price : 19.70
Bid-YTW : 6.80 %
TD.PF.E FixedReset Disc 5.41 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-13
Maturity Price : 17.93
Evaluated at bid price : 17.93
Bid-YTW : 8.71 %
Volume Highlights
Issue Index Shares
Traded		 Notes
TD.PF.J FixedReset Disc 42,200 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-13
Maturity Price : 20.72
Evaluated at bid price : 20.72
Bid-YTW : 7.71 %
TD.PF.E FixedReset Disc 37,200 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-13
Maturity Price : 17.93
Evaluated at bid price : 17.93
Bid-YTW : 8.71 %
BN.PF.I FixedReset Disc 32,554 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-13
Maturity Price : 18.80
Evaluated at bid price : 18.80
Bid-YTW : 9.51 %
CU.PR.C FixedReset Disc 25,300 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-13
Maturity Price : 17.35
Evaluated at bid price : 17.35
Bid-YTW : 8.84 %
GWO.PR.R Insurance Straight 20,643 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-13
Maturity Price : 17.67
Evaluated at bid price : 17.67
Bid-YTW : 6.87 %
RY.PR.H FixedReset Disc 19,700 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-13
Maturity Price : 17.46
Evaluated at bid price : 17.46
Bid-YTW : 8.76 %
There were 10 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
CCS.PR.C Insurance Straight Quote: 18.80 – 19.80
Spot Rate : 1.0000
Average : 0.6589

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-13
Maturity Price : 18.80
Evaluated at bid price : 18.80
Bid-YTW : 6.72 %
MFC.PR.I FixedReset Ins Non Quote: 20.34 – 21.10
Spot Rate : 0.7600
Average : 0.4757

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-13
Maturity Price : 20.34
Evaluated at bid price : 20.34
Bid-YTW : 8.19 %
PVS.PR.J SplitShare Quote: 21.20 – 22.14
Spot Rate : 0.9400
Average : 0.6645

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2028-02-29
Maturity Price : 25.00
Evaluated at bid price : 21.20
Bid-YTW : 8.61 %
PWF.PR.G Perpetual-Discount Quote: 21.00 – 21.65
Spot Rate : 0.6500
Average : 0.4436

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-13
Maturity Price : 21.00
Evaluated at bid price : 21.00
Bid-YTW : 7.06 %
BIP.PR.B FixedReset Disc Quote: 20.17 – 20.90
Spot Rate : 0.7300
Average : 0.5631

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-13
Maturity Price : 20.17
Evaluated at bid price : 20.17
Bid-YTW : 9.83 %
TRP.PR.E FixedReset Disc Quote: 13.99 – 14.70
Spot Rate : 0.7100
Average : 0.5451

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-07-13
Maturity Price : 13.99
Evaluated at bid price : 13.99
Bid-YTW : 10.86 %