Category: Market Action

Market Action

September 13, 2023

PerpetualDiscounts now yield 7.05%, equivalent to 9.16% interest at the standard equivalency factor of 1.3x. Long corporates yielded 5.29% on 2023-8-31 and since then the closing price has changed from 14.59 to 14.39, a decrease of 137bp in price, with a Duration of 12.15 (BMO doesn’t specify whether this is Macaulay or Modified Duration; I will assume Modified) which implies an increase in yield of about 11bp since 8/31 to 5.40%, so the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) has remained consstant at the 375bp reported September 6.

Another trifecta today; new 52-week lows for TXPR, CPD and ZPR.

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 0.0439 % 2,204.0
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.0439 % 4,227.3
Floater 11.05 % 11.46 % 58,897 8.35 2 0.0439 % 2,436.2
OpRet 0.00 % 0.00 % 0 0.00 0 1.2288 % 3,358.8
SplitShare 5.03 % 7.49 % 44,745 2.29 7 1.2288 % 4,011.1
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 1.2288 % 3,129.6
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 -0.1635 % 2,502.1
Perpetual-Discount 6.83 % 7.05 % 47,348 12.43 33 -0.1635 % 2,728.5
FixedReset Disc 6.11 % 9.11 % 96,944 10.71 55 0.0270 % 2,059.7
Insurance Straight 6.85 % 6.96 % 63,975 12.66 17 -0.4512 % 2,626.9
FloatingReset 11.70 % 11.80 % 36,277 8.34 1 -0.4237 % 2,267.9
FixedReset Prem 0.00 % 0.00 % 0 0.00 0 0.0270 % 2,257.3
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 0.0270 % 2,105.4
FixedReset Ins Non 6.40 % 8.40 % 125,274 11.05 11 -0.0531 % 2,243.7
Performance Highlights
Issue Index Change Notes
NA.PR.C FixedReset Disc -2.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-13
Maturity Price : 22.84
Evaluated at bid price : 24.00
Bid-YTW : 7.70 %
NA.PR.G FixedReset Disc -1.81 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-13
Maturity Price : 21.11
Evaluated at bid price : 21.11
Bid-YTW : 8.15 %
SLF.PR.E Insurance Straight -1.74 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-13
Maturity Price : 16.97
Evaluated at bid price : 16.97
Bid-YTW : 6.66 %
SLF.PR.D Insurance Straight -1.69 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-13
Maturity Price : 16.90
Evaluated at bid price : 16.90
Bid-YTW : 6.61 %
SLF.PR.C Insurance Straight -1.51 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-13
Maturity Price : 17.00
Evaluated at bid price : 17.00
Bid-YTW : 6.57 %
SLF.PR.G FixedReset Ins Non -1.46 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-13
Maturity Price : 12.12
Evaluated at bid price : 12.12
Bid-YTW : 10.15 %
FTS.PR.J Perpetual-Discount -1.35 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-13
Maturity Price : 18.27
Evaluated at bid price : 18.27
Bid-YTW : 6.57 %
BN.PF.H FixedReset Disc -1.27 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-13
Maturity Price : 19.45
Evaluated at bid price : 19.45
Bid-YTW : 9.89 %
IFC.PR.A FixedReset Ins Non -1.27 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-13
Maturity Price : 15.58
Evaluated at bid price : 15.58
Bid-YTW : 8.95 %
CU.PR.E Perpetual-Discount -1.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-13
Maturity Price : 17.68
Evaluated at bid price : 17.68
Bid-YTW : 7.01 %
ELF.PR.F Perpetual-Discount -1.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-13
Maturity Price : 19.39
Evaluated at bid price : 19.39
Bid-YTW : 6.98 %
PVS.PR.H SplitShare 1.15 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2027-02-28
Maturity Price : 25.00
Evaluated at bid price : 22.96
Bid-YTW : 7.49 %
PWF.PF.A Perpetual-Discount 1.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-13
Maturity Price : 16.55
Evaluated at bid price : 16.55
Bid-YTW : 6.92 %
PVS.PR.G SplitShare 2.04 % YTW SCENARIO
Maturity Type : Option Certainty
Maturity Date : 2026-02-28
Maturity Price : 25.00
Evaluated at bid price : 24.00
Bid-YTW : 6.77 %
PVS.PR.J SplitShare 2.27 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2028-02-29
Maturity Price : 25.00
Evaluated at bid price : 22.10
Bid-YTW : 7.57 %
PVS.PR.K SplitShare 2.91 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2029-05-31
Maturity Price : 25.00
Evaluated at bid price : 21.20
Bid-YTW : 7.86 %
MFC.PR.N FixedReset Ins Non 4.17 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-13
Maturity Price : 16.75
Evaluated at bid price : 16.75
Bid-YTW : 9.04 %
Volume Highlights
Issue Index Shares
Traded		 Notes
TD.PF.C FixedReset Disc 96,770 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-13
Maturity Price : 16.40
Evaluated at bid price : 16.40
Bid-YTW : 9.32 %
FTS.PR.M FixedReset Disc 69,388 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-13
Maturity Price : 16.40
Evaluated at bid price : 16.40
Bid-YTW : 9.65 %
MFC.PR.N FixedReset Ins Non 56,911 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-13
Maturity Price : 16.75
Evaluated at bid price : 16.75
Bid-YTW : 9.04 %
BMO.PR.S FixedReset Disc 38,988 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-13
Maturity Price : 17.26
Evaluated at bid price : 17.26
Bid-YTW : 9.14 %
NA.PR.S FixedReset Disc 30,647 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-13
Maturity Price : 17.17
Evaluated at bid price : 17.17
Bid-YTW : 9.33 %
POW.PR.G Perpetual-Discount 19,218 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-13
Maturity Price : 20.21
Evaluated at bid price : 20.21
Bid-YTW : 7.08 %
There were 13 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
BN.PF.F FixedReset Disc Quote: 16.08 – 25.00
Spot Rate : 8.9200
Average : 7.8147

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-13
Maturity Price : 16.08
Evaluated at bid price : 16.08
Bid-YTW : 10.57 %
RY.PR.J FixedReset Disc Quote: 17.30 – 18.50
Spot Rate : 1.2000
Average : 0.7982

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-13
Maturity Price : 17.30
Evaluated at bid price : 17.30
Bid-YTW : 9.20 %
GWO.PR.Y Insurance Straight Quote: 16.35 – 17.10
Spot Rate : 0.7500
Average : 0.5372

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-13
Maturity Price : 16.35
Evaluated at bid price : 16.35
Bid-YTW : 6.91 %
BN.PR.R FixedReset Disc Quote: 12.88 – 14.00
Spot Rate : 1.1200
Average : 0.9097

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-13
Maturity Price : 12.88
Evaluated at bid price : 12.88
Bid-YTW : 11.03 %
FTS.PR.H FixedReset Disc Quote: 12.02 – 12.60
Spot Rate : 0.5800
Average : 0.3875

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-13
Maturity Price : 12.02
Evaluated at bid price : 12.02
Bid-YTW : 10.39 %
BN.PF.H FixedReset Disc Quote: 19.45 – 20.04
Spot Rate : 0.5900
Average : 0.4329

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-13
Maturity Price : 19.45
Evaluated at bid price : 19.45
Bid-YTW : 9.89 %
Market Action

September 12, 2023

New lows today for each of TXPR, CPD and ZPR. When will it end? Ah, well, for those of us with dividends to reinvest, this is good news, right?

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 % 2,203.1
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.0000 % 4,225.5
Floater 11.05 % 11.46 % 45,506 8.34 2 0.0000 % 2,435.2
OpRet 0.00 % 0.00 % 0 0.00 0 0.4426 % 3,318.0
SplitShare 5.09 % 7.73 % 43,371 2.29 7 0.4426 % 3,962.4
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.4426 % 3,091.6
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 -0.2615 % 2,506.2
Perpetual-Discount 6.82 % 7.03 % 46,747 12.44 33 -0.2615 % 2,732.9
FixedReset Disc 6.11 % 9.11 % 97,543 10.75 55 -0.2264 % 2,059.1
Insurance Straight 6.82 % 6.94 % 64,069 12.69 17 0.0390 % 2,638.9
FloatingReset 11.65 % 11.74 % 36,303 8.38 1 0.0000 % 2,277.5
FixedReset Prem 0.00 % 0.00 % 0 0.00 0 -0.2264 % 2,256.7
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 -0.2264 % 2,104.9
FixedReset Ins Non 6.40 % 8.40 % 124,568 11.04 11 -0.0955 % 2,244.9
Performance Highlights
Issue Index Change Notes
BN.PF.D Perpetual-Discount -3.80 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-12
Maturity Price : 16.70
Evaluated at bid price : 16.70
Bid-YTW : 7.53 %
BIP.PR.E FixedReset Disc -1.98 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-12
Maturity Price : 19.85
Evaluated at bid price : 19.85
Bid-YTW : 8.71 %
BN.PF.I FixedReset Disc -1.56 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-12
Maturity Price : 18.31
Evaluated at bid price : 18.31
Bid-YTW : 9.95 %
BN.PR.R FixedReset Disc -1.54 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-12
Maturity Price : 12.77
Evaluated at bid price : 12.77
Bid-YTW : 11.12 %
FTS.PR.F Perpetual-Discount -1.44 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-12
Maturity Price : 19.22
Evaluated at bid price : 19.22
Bid-YTW : 6.44 %
BN.PF.G FixedReset Disc -1.38 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-12
Maturity Price : 14.25
Evaluated at bid price : 14.25
Bid-YTW : 11.26 %
BIP.PR.F FixedReset Disc -1.28 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-12
Maturity Price : 18.46
Evaluated at bid price : 18.46
Bid-YTW : 9.37 %
ELF.PR.F Perpetual-Discount -1.26 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-12
Maturity Price : 19.60
Evaluated at bid price : 19.60
Bid-YTW : 6.90 %
PWF.PR.T FixedReset Disc -1.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-12
Maturity Price : 18.08
Evaluated at bid price : 18.08
Bid-YTW : 8.93 %
CU.PR.G Perpetual-Discount -1.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-12
Maturity Price : 16.50
Evaluated at bid price : 16.50
Bid-YTW : 6.89 %
CIU.PR.A Perpetual-Discount -1.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-12
Maturity Price : 16.50
Evaluated at bid price : 16.50
Bid-YTW : 7.05 %
FTS.PR.M FixedReset Disc -1.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-12
Maturity Price : 16.30
Evaluated at bid price : 16.30
Bid-YTW : 9.70 %
BN.PR.N Perpetual-Discount -1.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-12
Maturity Price : 16.80
Evaluated at bid price : 16.80
Bid-YTW : 7.25 %
PWF.PR.L Perpetual-Discount 1.39 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-12
Maturity Price : 18.27
Evaluated at bid price : 18.27
Bid-YTW : 7.11 %
PVS.PR.H SplitShare 2.99 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2027-02-28
Maturity Price : 25.00
Evaluated at bid price : 22.70
Bid-YTW : 7.85 %
Volume Highlights
Issue Index Shares
Traded		 Notes
CU.PR.E Perpetual-Discount 32,100 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-12
Maturity Price : 17.90
Evaluated at bid price : 17.90
Bid-YTW : 6.92 %
RY.PR.S FixedReset Disc 24,761 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-12
Maturity Price : 19.72
Evaluated at bid price : 19.72
Bid-YTW : 8.16 %
FTS.PR.F Perpetual-Discount 21,561 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-12
Maturity Price : 19.22
Evaluated at bid price : 19.22
Bid-YTW : 6.44 %
BN.PR.R FixedReset Disc 21,250 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-12
Maturity Price : 12.77
Evaluated at bid price : 12.77
Bid-YTW : 11.12 %
BIP.PR.E FixedReset Disc 21,073 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-12
Maturity Price : 19.85
Evaluated at bid price : 19.85
Bid-YTW : 8.71 %
PVS.PR.H SplitShare 20,500 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2027-02-28
Maturity Price : 25.00
Evaluated at bid price : 22.70
Bid-YTW : 7.85 %
There were 13 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
BN.PF.F FixedReset Disc Quote: 16.12 – 25.00
Spot Rate : 8.8800
Average : 6.6028

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-12
Maturity Price : 16.12
Evaluated at bid price : 16.12
Bid-YTW : 10.54 %
PWF.PR.Z Perpetual-Discount Quote: 18.55 – 19.72
Spot Rate : 1.1700
Average : 0.7295

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-12
Maturity Price : 18.55
Evaluated at bid price : 18.55
Bid-YTW : 7.07 %
TD.PF.C FixedReset Disc Quote: 16.35 – 17.26
Spot Rate : 0.9100
Average : 0.5508

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-12
Maturity Price : 16.35
Evaluated at bid price : 16.35
Bid-YTW : 9.35 %
TD.PF.L FixedReset Disc Quote: 23.10 – 23.96
Spot Rate : 0.8600
Average : 0.5942

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-12
Maturity Price : 22.30
Evaluated at bid price : 23.10
Bid-YTW : 7.90 %
GWO.PR.S Insurance Straight Quote: 18.90 – 19.70
Spot Rate : 0.8000
Average : 0.5537

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-12
Maturity Price : 18.90
Evaluated at bid price : 18.90
Bid-YTW : 6.98 %
BN.PR.X FixedReset Disc Quote: 13.32 – 14.00
Spot Rate : 0.6800
Average : 0.4416

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-12
Maturity Price : 13.32
Evaluated at bid price : 13.32
Bid-YTW : 10.49 %
Market Action

September 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 -0.2188 % 2,203.1
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.2188 % 4,225.5
Floater 11.05 % 11.46 % 46,106 8.35 2 -0.2188 % 2,435.2
OpRet 0.00 % 0.00 % 0 0.00 0 -0.6010 % 3,303.4
SplitShare 5.11 % 7.96 % 41,987 2.29 7 -0.6010 % 3,945.0
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.6010 % 3,078.0
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 -0.0242 % 2,512.8
Perpetual-Discount 6.80 % 7.03 % 47,237 12.47 33 -0.0242 % 2,740.1
FixedReset Disc 6.10 % 9.13 % 97,353 10.72 55 0.0849 % 2,063.8
Insurance Straight 6.82 % 6.94 % 64,794 12.69 17 0.1203 % 2,637.8
FloatingReset 11.65 % 11.74 % 36,086 8.38 1 -1.6667 % 2,277.5
FixedReset Prem 0.00 % 0.00 % 0 0.00 0 0.0849 % 2,261.8
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 0.0849 % 2,109.6
FixedReset Ins Non 6.39 % 8.40 % 123,925 11.05 11 -0.3069 % 2,247.0
Performance Highlights
Issue Index Change Notes
MFC.PR.N FixedReset Ins Non -3.60 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-11
Maturity Price : 16.08
Evaluated at bid price : 16.08
Bid-YTW : 9.40 %
PVS.PR.H SplitShare -3.33 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2027-02-28
Maturity Price : 25.00
Evaluated at bid price : 22.04
Bid-YTW : 8.81 %
IFC.PR.C FixedReset Disc -3.17 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-11
Maturity Price : 17.39
Evaluated at bid price : 17.39
Bid-YTW : 8.69 %
PWF.PR.L Perpetual-Discount -2.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-11
Maturity Price : 18.02
Evaluated at bid price : 18.02
Bid-YTW : 7.20 %
SLF.PR.J FloatingReset -1.67 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-11
Maturity Price : 14.16
Evaluated at bid price : 14.16
Bid-YTW : 11.74 %
SLF.PR.G FixedReset Ins Non -1.52 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-11
Maturity Price : 12.31
Evaluated at bid price : 12.31
Bid-YTW : 10.00 %
BIP.PR.F FixedReset Disc -1.32 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-11
Maturity Price : 18.70
Evaluated at bid price : 18.70
Bid-YTW : 9.25 %
BN.PR.X FixedReset Disc -1.26 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-11
Maturity Price : 13.36
Evaluated at bid price : 13.36
Bid-YTW : 10.46 %
CU.PR.G Perpetual-Discount 1.21 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-11
Maturity Price : 16.70
Evaluated at bid price : 16.70
Bid-YTW : 6.81 %
MFC.PR.L FixedReset Ins Non 1.52 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-11
Maturity Price : 16.75
Evaluated at bid price : 16.75
Bid-YTW : 9.11 %
BNS.PR.I FixedReset Disc 1.56 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-11
Maturity Price : 20.21
Evaluated at bid price : 20.21
Bid-YTW : 8.08 %
TD.PF.E FixedReset Disc 6.68 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-11
Maturity Price : 17.25
Evaluated at bid price : 17.25
Bid-YTW : 9.23 %
Volume Highlights
Issue Index Shares
Traded		 Notes
TD.PF.A FixedReset Disc 40,625 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-11
Maturity Price : 16.68
Evaluated at bid price : 16.68
Bid-YTW : 9.20 %
MFC.PR.N FixedReset Ins Non 37,100 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-11
Maturity Price : 16.08
Evaluated at bid price : 16.08
Bid-YTW : 9.40 %
MFC.PR.B Insurance Straight 25,025 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-11
Maturity Price : 17.23
Evaluated at bid price : 17.23
Bid-YTW : 6.79 %
BN.PR.T FixedReset Disc 21,034 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-11
Maturity Price : 12.99
Evaluated at bid price : 12.99
Bid-YTW : 10.89 %
SLF.PR.E Insurance Straight 20,198 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-11
Maturity Price : 17.32
Evaluated at bid price : 17.32
Bid-YTW : 6.52 %
BN.PR.B Floater 15,215 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-11
Maturity Price : 11.40
Evaluated at bid price : 11.40
Bid-YTW : 11.46 %
There were 2 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
GWO.PR.I Insurance Straight Quote: 16.41 – 19.00
Spot Rate : 2.5900
Average : 1.7749

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-11
Maturity Price : 16.41
Evaluated at bid price : 16.41
Bid-YTW : 6.89 %
CU.PR.J Perpetual-Discount Quote: 17.20 – 20.00
Spot Rate : 2.8000
Average : 2.1366

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-11
Maturity Price : 17.20
Evaluated at bid price : 17.20
Bid-YTW : 6.98 %
BN.PF.I FixedReset Disc Quote: 18.60 – 20.00
Spot Rate : 1.4000
Average : 0.8405

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-11
Maturity Price : 18.60
Evaluated at bid price : 18.60
Bid-YTW : 9.80 %
BN.PR.Z FixedReset Disc Quote: 17.75 – 19.09
Spot Rate : 1.3400
Average : 0.8396

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-11
Maturity Price : 17.75
Evaluated at bid price : 17.75
Bid-YTW : 9.65 %
CU.PR.C FixedReset Disc Quote: 16.90 – 18.50
Spot Rate : 1.6000
Average : 1.1439

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-11
Maturity Price : 16.90
Evaluated at bid price : 16.90
Bid-YTW : 9.08 %
BN.PR.R FixedReset Disc Quote: 12.97 – 14.00
Spot Rate : 1.0300
Average : 0.6342

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-11
Maturity Price : 12.97
Evaluated at bid price : 12.97
Bid-YTW : 10.96 %
Market Action

September 8, 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 0.4837 % 2,207.9
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.4837 % 4,234.8
Floater 11.03 % 11.40 % 57,320 8.40 2 0.4837 % 2,440.5
OpRet 0.00 % 0.00 % 0 0.00 0 0.2796 % 3,323.4
SplitShare 5.08 % 7.56 % 42,067 2.30 7 0.2796 % 3,968.8
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.2796 % 3,096.6
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 0.2248 % 2,513.4
Perpetual-Discount 6.80 % 7.01 % 46,682 12.49 33 0.2248 % 2,740.8
FixedReset Disc 6.11 % 9.12 % 99,560 10.54 55 -0.1545 % 2,062.1
Insurance Straight 6.83 % 6.94 % 65,656 12.69 17 0.3393 % 2,634.7
FloatingReset 11.46 % 11.53 % 36,299 8.52 1 1.3371 % 2,316.1
FixedReset Prem 0.00 % 0.00 % 0 0.00 0 -0.1545 % 2,259.9
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 -0.1545 % 2,107.8
FixedReset Ins Non 6.37 % 8.37 % 125,900 11.08 11 -0.2797 % 2,253.9
Performance Highlights
Issue Index Change Notes
TD.PF.E FixedReset Disc -5.55 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-08
Maturity Price : 16.17
Evaluated at bid price : 16.17
Bid-YTW : 9.80 %
MFC.PR.L FixedReset Ins Non -3.79 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-08
Maturity Price : 16.50
Evaluated at bid price : 16.50
Bid-YTW : 9.24 %
BNS.PR.I FixedReset Disc -2.83 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-08
Maturity Price : 19.90
Evaluated at bid price : 19.90
Bid-YTW : 8.20 %
BN.PF.E FixedReset Disc -2.26 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-08
Maturity Price : 13.85
Evaluated at bid price : 13.85
Bid-YTW : 11.24 %
BN.PR.T FixedReset Disc -1.81 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-08
Maturity Price : 12.99
Evaluated at bid price : 12.99
Bid-YTW : 10.89 %
TD.PF.I FixedReset Disc -1.33 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-08
Maturity Price : 21.82
Evaluated at bid price : 22.20
Bid-YTW : 7.79 %
CU.PR.F Perpetual-Discount -1.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-08
Maturity Price : 16.40
Evaluated at bid price : 16.40
Bid-YTW : 6.93 %
PVS.PR.K SplitShare -1.20 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2029-05-31
Maturity Price : 25.00
Evaluated at bid price : 20.60
Bid-YTW : 8.44 %
RY.PR.J FixedReset Disc -1.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-08
Maturity Price : 17.30
Evaluated at bid price : 17.30
Bid-YTW : 9.18 %
CU.PR.D Perpetual-Discount -1.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-08
Maturity Price : 17.80
Evaluated at bid price : 17.80
Bid-YTW : 6.95 %
BN.PF.I FixedReset Disc 1.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-08
Maturity Price : 18.70
Evaluated at bid price : 18.70
Bid-YTW : 9.74 %
SLF.PR.G FixedReset Ins Non 1.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-08
Maturity Price : 12.50
Evaluated at bid price : 12.50
Bid-YTW : 9.85 %
MFC.PR.B Insurance Straight 1.17 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-08
Maturity Price : 17.30
Evaluated at bid price : 17.30
Bid-YTW : 6.76 %
SLF.PR.E Insurance Straight 1.24 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-08
Maturity Price : 17.21
Evaluated at bid price : 17.21
Bid-YTW : 6.56 %
SLF.PR.J FloatingReset 1.34 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-08
Maturity Price : 14.40
Evaluated at bid price : 14.40
Bid-YTW : 11.53 %
PVS.PR.J SplitShare 2.27 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2028-02-29
Maturity Price : 25.00
Evaluated at bid price : 21.58
Bid-YTW : 8.16 %
PWF.PR.L Perpetual-Discount 2.28 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-08
Maturity Price : 18.43
Evaluated at bid price : 18.43
Bid-YTW : 7.04 %
BN.PF.D Perpetual-Discount 2.42 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-08
Maturity Price : 17.35
Evaluated at bid price : 17.35
Bid-YTW : 7.23 %
SLF.PR.D Insurance Straight 3.26 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-08
Maturity Price : 17.09
Evaluated at bid price : 17.09
Bid-YTW : 6.53 %
RY.PR.M FixedReset Disc 5.48 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-08
Maturity Price : 16.56
Evaluated at bid price : 16.56
Bid-YTW : 9.17 %
Volume Highlights
Issue Index Shares
Traded		 Notes
GWO.PR.S Insurance Straight 28,600 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-08
Maturity Price : 18.90
Evaluated at bid price : 18.90
Bid-YTW : 6.97 %
IFC.PR.C FixedReset Disc 24,063 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-08
Maturity Price : 17.96
Evaluated at bid price : 17.96
Bid-YTW : 8.43 %
TD.PF.C FixedReset Disc 19,082 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-08
Maturity Price : 16.33
Evaluated at bid price : 16.33
Bid-YTW : 9.35 %
NA.PR.G FixedReset Disc 15,766 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-08
Maturity Price : 21.28
Evaluated at bid price : 21.28
Bid-YTW : 8.08 %
CM.PR.S FixedReset Disc 15,056 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-08
Maturity Price : 20.15
Evaluated at bid price : 20.15
Bid-YTW : 7.92 %
PWF.PR.T FixedReset Disc 14,540 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-08
Maturity Price : 18.21
Evaluated at bid price : 18.21
Bid-YTW : 8.86 %
There were 5 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: 16.10 – 25.00
Spot Rate : 8.9000
Average : 7.4130

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-08
Maturity Price : 16.10
Evaluated at bid price : 16.10
Bid-YTW : 10.54 %
GWO.PR.I Insurance Straight Quote: 16.27 – 17.90
Spot Rate : 1.6300
Average : 0.8812

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-08
Maturity Price : 16.27
Evaluated at bid price : 16.27
Bid-YTW : 6.94 %
CU.PR.F Perpetual-Discount Quote: 16.40 – 18.00
Spot Rate : 1.6000
Average : 1.2241

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-08
Maturity Price : 16.40
Evaluated at bid price : 16.40
Bid-YTW : 6.93 %
TD.PF.E FixedReset Disc Quote: 16.17 – 17.55
Spot Rate : 1.3800
Average : 1.0459

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-08
Maturity Price : 16.17
Evaluated at bid price : 16.17
Bid-YTW : 9.80 %
GWO.PR.S Insurance Straight Quote: 18.90 – 19.70
Spot Rate : 0.8000
Average : 0.4849

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-08
Maturity Price : 18.90
Evaluated at bid price : 18.90
Bid-YTW : 6.97 %
POW.PR.G Perpetual-Discount Quote: 20.25 – 21.15
Spot Rate : 0.9000
Average : 0.6021

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-08
Maturity Price : 20.25
Evaluated at bid price : 20.25
Bid-YTW : 7.06 %
Market Action

September 7, 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 -0.6987 % 2,197.3
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.6987 % 4,214.4
Floater 11.08 % 11.44 % 48,320 8.37 2 -0.6987 % 2,428.8
OpRet 0.00 % 0.00 % 0 0.00 0 -0.3406 % 3,314.1
SplitShare 5.10 % 7.65 % 41,439 2.30 7 -0.3406 % 3,957.7
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.3406 % 3,088.0
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 0.2140 % 2,507.8
Perpetual-Discount 6.81 % 7.01 % 46,887 12.49 33 0.2140 % 2,734.6
FixedReset Disc 6.10 % 9.06 % 99,385 10.65 55 -0.1821 % 2,065.3
Insurance Straight 6.85 % 6.93 % 60,830 12.69 17 0.3470 % 2,625.7
FloatingReset 11.63 % 11.70 % 36,907 8.42 1 -2.3368 % 2,285.6
FixedReset Prem 0.00 % 0.00 % 0 0.00 0 -0.1821 % 2,263.4
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 -0.1821 % 2,111.1
FixedReset Ins Non 6.36 % 8.36 % 127,408 11.09 11 0.5999 % 2,260.3
Performance Highlights
Issue Index Change Notes
RY.PR.M FixedReset Disc -6.71 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-07
Maturity Price : 15.70
Evaluated at bid price : 15.70
Bid-YTW : 9.61 %
PVS.PR.J SplitShare -4.09 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2028-02-29
Maturity Price : 25.00
Evaluated at bid price : 21.10
Bid-YTW : 8.73 %
SLF.PR.J FloatingReset -2.34 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-07
Maturity Price : 14.21
Evaluated at bid price : 14.21
Bid-YTW : 11.70 %
BN.PR.M Perpetual-Discount -2.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-07
Maturity Price : 16.75
Evaluated at bid price : 16.75
Bid-YTW : 7.26 %
BMO.PR.S FixedReset Disc -2.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-07
Maturity Price : 17.00
Evaluated at bid price : 17.00
Bid-YTW : 9.24 %
PWF.PR.L Perpetual-Discount -1.96 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-07
Maturity Price : 18.02
Evaluated at bid price : 18.02
Bid-YTW : 7.20 %
SLF.PR.D Insurance Straight -1.72 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-07
Maturity Price : 16.55
Evaluated at bid price : 16.55
Bid-YTW : 6.75 %
FTS.PR.H FixedReset Disc -1.64 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-07
Maturity Price : 12.02
Evaluated at bid price : 12.02
Bid-YTW : 10.34 %
BN.PR.R FixedReset Disc -1.51 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-07
Maturity Price : 13.05
Evaluated at bid price : 13.05
Bid-YTW : 10.85 %
BN.PF.C Perpetual-Discount 1.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-07
Maturity Price : 17.15
Evaluated at bid price : 17.15
Bid-YTW : 7.24 %
MFC.PR.M FixedReset Ins Non 1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-07
Maturity Price : 16.89
Evaluated at bid price : 16.89
Bid-YTW : 9.11 %
PVS.PR.G SplitShare 1.08 % YTW SCENARIO
Maturity Type : Option Certainty
Maturity Date : 2026-02-28
Maturity Price : 25.00
Evaluated at bid price : 23.50
Bid-YTW : 7.65 %
BNS.PR.I FixedReset Disc 1.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-07
Maturity Price : 20.48
Evaluated at bid price : 20.48
Bid-YTW : 7.94 %
MFC.PR.C Insurance Straight 1.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-07
Maturity Price : 16.75
Evaluated at bid price : 16.75
Bid-YTW : 6.76 %
POW.PR.G Perpetual-Discount 1.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-07
Maturity Price : 20.25
Evaluated at bid price : 20.25
Bid-YTW : 7.06 %
CU.PR.D Perpetual-Discount 1.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-07
Maturity Price : 18.00
Evaluated at bid price : 18.00
Bid-YTW : 6.87 %
CU.PR.G Perpetual-Discount 1.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-07
Maturity Price : 16.63
Evaluated at bid price : 16.63
Bid-YTW : 6.83 %
POW.PR.C Perpetual-Discount 1.17 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-07
Maturity Price : 21.33
Evaluated at bid price : 21.60
Bid-YTW : 6.83 %
CU.PR.F Perpetual-Discount 1.28 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-07
Maturity Price : 16.60
Evaluated at bid price : 16.60
Bid-YTW : 6.84 %
CU.PR.E Perpetual-Discount 1.37 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-07
Maturity Price : 17.80
Evaluated at bid price : 17.80
Bid-YTW : 6.95 %
MFC.PR.L FixedReset Ins Non 1.60 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-07
Maturity Price : 17.15
Evaluated at bid price : 17.15
Bid-YTW : 8.86 %
TD.PF.K FixedReset Disc 1.62 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-07
Maturity Price : 21.63
Evaluated at bid price : 22.00
Bid-YTW : 7.58 %
BN.PF.D Perpetual-Discount 1.93 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-07
Maturity Price : 16.94
Evaluated at bid price : 16.94
Bid-YTW : 7.41 %
SLF.PR.C Insurance Straight 3.56 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-07
Maturity Price : 17.14
Evaluated at bid price : 17.14
Bid-YTW : 6.51 %
MFC.PR.N FixedReset Ins Non 3.86 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-07
Maturity Price : 16.70
Evaluated at bid price : 16.70
Bid-YTW : 9.03 %
Volume Highlights
Issue Index Shares
Traded		 Notes
FTS.PR.G FixedReset Disc 129,100 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-07
Maturity Price : 18.49
Evaluated at bid price : 18.49
Bid-YTW : 8.36 %
CM.PR.P FixedReset Disc 53,921 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-07
Maturity Price : 16.19
Evaluated at bid price : 16.19
Bid-YTW : 9.32 %
PWF.PR.K Perpetual-Discount 42,900 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-07
Maturity Price : 17.83
Evaluated at bid price : 17.83
Bid-YTW : 7.06 %
BN.PR.B Floater 42,250 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-07
Maturity Price : 11.34
Evaluated at bid price : 11.34
Bid-YTW : 11.51 %
FTS.PR.M FixedReset Disc 37,570 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-07
Maturity Price : 16.45
Evaluated at bid price : 16.45
Bid-YTW : 9.58 %
IFC.PR.G FixedReset Ins Non 28,226 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-07
Maturity Price : 19.50
Evaluated at bid price : 19.50
Bid-YTW : 8.36 %
There were 10 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: 16.15 – 25.00
Spot Rate : 8.8500
Average : 5.7826

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-07
Maturity Price : 16.15
Evaluated at bid price : 16.15
Bid-YTW : 10.48 %
POW.PR.B Perpetual-Discount Quote: 19.29 – 20.80
Spot Rate : 1.5100
Average : 0.8417

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-07
Maturity Price : 19.29
Evaluated at bid price : 19.29
Bid-YTW : 7.08 %
CU.PR.J Perpetual-Discount Quote: 17.15 – 20.00
Spot Rate : 2.8500
Average : 2.2418

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-07
Maturity Price : 17.15
Evaluated at bid price : 17.15
Bid-YTW : 6.99 %
CU.PR.F Perpetual-Discount Quote: 16.60 – 18.00
Spot Rate : 1.4000
Average : 0.8120

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-07
Maturity Price : 16.60
Evaluated at bid price : 16.60
Bid-YTW : 6.84 %
RY.PR.M FixedReset Disc Quote: 15.70 – 16.70
Spot Rate : 1.0000
Average : 0.5787

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-07
Maturity Price : 15.70
Evaluated at bid price : 15.70
Bid-YTW : 9.61 %
PVS.PR.J SplitShare Quote: 21.10 – 22.40
Spot Rate : 1.3000
Average : 0.9174

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2028-02-29
Maturity Price : 25.00
Evaluated at bid price : 21.10
Bid-YTW : 8.73 %
Market Action

September 6, 2023

PerpetualDiscounts now yield 7.04%, equivalent to 9.15% interest at the standard equivalency factor of 1.3x. Long corporates yielded 5.29% on 2023-8-31 and since then the closing price has changed from 14.59 to 14.37, a decrease of 151bp in price, with a Duration of 12.15 (BMO doesn’t specify whether this is Macaulay or Modified Duration; I will assume Modified) which implies an increase in yield of about 12bp since 8/31 to 5.41%, so the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) has narrowed to 375bp from the 390bp reported August 30.

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 % 2,212.7
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.0000 % 4,244.0
Floater 11.00 % 11.39 % 47,449 8.41 2 0.0000 % 2,445.9
OpRet 0.00 % 0.00 % 0 0.00 0 -0.1669 % 3,325.4
SplitShare 5.08 % 7.66 % 40,254 2.30 7 -0.1669 % 3,971.3
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.1669 % 3,098.5
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 0.1949 % 2,502.4
Perpetual-Discount 6.83 % 7.04 % 47,182 12.46 33 0.1949 % 2,728.8
FixedReset Disc 6.08 % 9.03 % 100,658 10.77 55 -0.2135 % 2,069.0
Insurance Straight 6.88 % 6.94 % 63,298 12.70 17 0.2133 % 2,616.7
FloatingReset 11.36 % 11.42 % 37,459 8.60 1 -0.0687 % 2,340.3
FixedReset Prem 0.00 % 0.00 % 0 0.00 0 -0.2135 % 2,267.5
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 -0.2135 % 2,115.0
FixedReset Ins Non 6.39 % 8.41 % 127,153 11.04 11 -0.0265 % 2,246.8
Performance Highlights
Issue Index Change Notes
BN.PF.D Perpetual-Discount -5.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-06
Maturity Price : 16.62
Evaluated at bid price : 16.62
Bid-YTW : 7.55 %
PVS.PR.G SplitShare -1.90 % YTW SCENARIO
Maturity Type : Option Certainty
Maturity Date : 2026-02-28
Maturity Price : 25.00
Evaluated at bid price : 23.25
Bid-YTW : 8.12 %
BIK.PR.A FixedReset Disc -1.89 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-06
Maturity Price : 20.80
Evaluated at bid price : 20.80
Bid-YTW : 9.47 %
NA.PR.S FixedReset Disc -1.72 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-06
Maturity Price : 17.10
Evaluated at bid price : 17.10
Bid-YTW : 9.32 %
MFC.PR.K FixedReset Ins Non -1.50 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-06
Maturity Price : 19.70
Evaluated at bid price : 19.70
Bid-YTW : 7.92 %
BIP.PR.E FixedReset Disc -1.37 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-06
Maturity Price : 20.12
Evaluated at bid price : 20.12
Bid-YTW : 8.57 %
BN.PF.I FixedReset Disc -1.33 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-06
Maturity Price : 18.50
Evaluated at bid price : 18.50
Bid-YTW : 9.82 %
CU.PR.I FixedReset Disc -1.25 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-06
Maturity Price : 20.60
Evaluated at bid price : 20.60
Bid-YTW : 8.76 %
BN.PF.C Perpetual-Discount -1.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-06
Maturity Price : 16.98
Evaluated at bid price : 16.98
Bid-YTW : 7.31 %
TD.PF.E FixedReset Disc -1.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-06
Maturity Price : 17.06
Evaluated at bid price : 17.06
Bid-YTW : 9.29 %
TD.PF.I FixedReset Disc -1.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-06
Maturity Price : 22.03
Evaluated at bid price : 22.51
Bid-YTW : 7.66 %
MFC.PR.L FixedReset Ins Non 1.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-06
Maturity Price : 16.88
Evaluated at bid price : 16.88
Bid-YTW : 9.00 %
PWF.PF.A Perpetual-Discount 1.17 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-06
Maturity Price : 16.45
Evaluated at bid price : 16.45
Bid-YTW : 6.95 %
ELF.PR.F Perpetual-Discount 1.19 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-06
Maturity Price : 19.53
Evaluated at bid price : 19.53
Bid-YTW : 6.92 %
RY.PR.O Perpetual-Discount 1.50 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-06
Maturity Price : 21.00
Evaluated at bid price : 21.00
Bid-YTW : 5.89 %
SLF.PR.C Insurance Straight 1.53 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-06
Maturity Price : 16.55
Evaluated at bid price : 16.55
Bid-YTW : 6.74 %
BN.PF.F FixedReset Disc 1.65 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-06
Maturity Price : 16.01
Evaluated at bid price : 16.01
Bid-YTW : 10.57 %
BN.PR.R FixedReset Disc 1.92 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-06
Maturity Price : 13.25
Evaluated at bid price : 13.25
Bid-YTW : 10.70 %
BN.PR.M Perpetual-Discount 2.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-06
Maturity Price : 17.10
Evaluated at bid price : 17.10
Bid-YTW : 7.11 %
Volume Highlights
Issue Index Shares
Traded		 Notes
BN.PF.F FixedReset Disc 72,071 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-06
Maturity Price : 16.01
Evaluated at bid price : 16.01
Bid-YTW : 10.57 %
GWO.PR.S Insurance Straight 46,200 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-06
Maturity Price : 18.80
Evaluated at bid price : 18.80
Bid-YTW : 7.01 %
GWO.PR.N FixedReset Ins Non 40,100 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-06
Maturity Price : 11.86
Evaluated at bid price : 11.86
Bid-YTW : 9.66 %
BN.PR.Z FixedReset Disc 37,500 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-06
Maturity Price : 17.85
Evaluated at bid price : 17.85
Bid-YTW : 9.57 %
CIU.PR.A Perpetual-Discount 37,000 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-06
Maturity Price : 16.51
Evaluated at bid price : 16.51
Bid-YTW : 7.03 %
CM.PR.P FixedReset Disc 32,300 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-06
Maturity Price : 16.19
Evaluated at bid price : 16.19
Bid-YTW : 9.32 %
There were 17 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
CU.PR.J Perpetual-Discount Quote: 17.15 – 20.00
Spot Rate : 2.8500
Average : 1.5750

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-06
Maturity Price : 17.15
Evaluated at bid price : 17.15
Bid-YTW : 6.99 %
FTS.PR.M FixedReset Disc Quote: 16.50 – 18.00
Spot Rate : 1.5000
Average : 0.8647

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-06
Maturity Price : 16.50
Evaluated at bid price : 16.50
Bid-YTW : 9.55 %
BN.PF.F FixedReset Disc Quote: 16.01 – 19.00
Spot Rate : 2.9900
Average : 2.4195

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-06
Maturity Price : 16.01
Evaluated at bid price : 16.01
Bid-YTW : 10.57 %
BN.PR.Z FixedReset Disc Quote: 17.85 – 19.09
Spot Rate : 1.2400
Average : 0.7430

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-06
Maturity Price : 17.85
Evaluated at bid price : 17.85
Bid-YTW : 9.57 %
CU.PR.I FixedReset Disc Quote: 20.60 – 23.75
Spot Rate : 3.1500
Average : 2.7272

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-06
Maturity Price : 20.60
Evaluated at bid price : 20.60
Bid-YTW : 8.76 %
MFC.PR.M FixedReset Ins Non Quote: 16.72 – 18.00
Spot Rate : 1.2800
Average : 0.8742

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-06
Maturity Price : 16.72
Evaluated at bid price : 16.72
Bid-YTW : 9.20 %
Market Action

September 5, 2023

Enbridge has spent a lot of money:

Enbridge Inc. has signed a US$14 billion cash-and-debt deal that represents a major vote of confidence by the Canadian company in the future of natural gas.

The Calgary-based energy infrastructure giant said Tuesday it will purchase three U.S.-based utility companies – The East Ohio Gas Company, Questar Gas Company and its related Wexpro companies, and the Public Service Company of North Carolina – all of which are owned by Virginia-based Dominion Energy Inc.

Enbridge, which plans to finance the deal through a combination of US$9.4 billion of cash consideration and US$4.6 billion of assumed debt, said the deal will double the scale of its gas utility business and will serve to balance its asset mix evenly between natural gas and renewables, and liquids.

I’m not sure what the credit implications might be.

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 0.0874 % 2,212.7
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.0874 % 4,244.0
Floater 11.00 % 11.39 % 46,647 8.41 2 0.0874 % 2,445.9
OpRet 0.00 % 0.00 % 0 0.00 0 -0.3020 % 3,331.0
SplitShare 5.07 % 7.59 % 41,588 2.31 7 -0.3020 % 3,977.9
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.3020 % 3,103.7
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 0.3291 % 2,497.6
Perpetual-Discount 6.84 % 7.04 % 47,880 12.46 33 0.3291 % 2,723.5
FixedReset Disc 6.07 % 9.03 % 98,479 10.80 55 0.4107 % 2,073.4
Insurance Straight 6.89 % 6.96 % 58,798 12.68 17 -0.0885 % 2,611.1
FloatingReset 11.35 % 11.41 % 39,012 8.61 1 -0.6143 % 2,341.9
FixedReset Prem 0.00 % 0.00 % 0 0.00 0 0.4107 % 2,272.3
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 0.4107 % 2,119.5
FixedReset Ins Non 6.39 % 8.46 % 117,717 10.99 11 0.1701 % 2,247.4
Performance Highlights
Issue Index Change Notes
SLF.PR.C Insurance Straight -2.40 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-05
Maturity Price : 16.30
Evaluated at bid price : 16.30
Bid-YTW : 6.85 %
PVS.PR.H SplitShare -1.72 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2027-02-28
Maturity Price : 25.00
Evaluated at bid price : 22.85
Bid-YTW : 7.59 %
POW.PR.C Perpetual-Discount -1.63 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-05
Maturity Price : 21.15
Evaluated at bid price : 21.15
Bid-YTW : 6.99 %
MFC.PR.C Insurance Straight -1.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-05
Maturity Price : 16.57
Evaluated at bid price : 16.57
Bid-YTW : 6.83 %
CU.PR.E Perpetual-Discount -1.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-05
Maturity Price : 17.56
Evaluated at bid price : 17.56
Bid-YTW : 7.04 %
CU.PR.D Perpetual-Discount -1.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-05
Maturity Price : 17.80
Evaluated at bid price : 17.80
Bid-YTW : 6.95 %
TD.PF.J FixedReset Disc 1.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-05
Maturity Price : 21.00
Evaluated at bid price : 21.00
Bid-YTW : 7.73 %
PWF.PR.T FixedReset Disc 1.33 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-05
Maturity Price : 18.26
Evaluated at bid price : 18.26
Bid-YTW : 8.80 %
BN.PR.X FixedReset Disc 1.49 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-05
Maturity Price : 13.61
Evaluated at bid price : 13.61
Bid-YTW : 10.23 %
BN.PF.H FixedReset Disc 1.56 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-05
Maturity Price : 19.55
Evaluated at bid price : 19.55
Bid-YTW : 9.80 %
TD.PF.K FixedReset Disc 1.77 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-05
Maturity Price : 21.52
Evaluated at bid price : 21.84
Bid-YTW : 7.64 %
BN.PR.N Perpetual-Discount 2.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-05
Maturity Price : 16.97
Evaluated at bid price : 16.97
Bid-YTW : 7.16 %
BN.PF.C Perpetual-Discount 2.63 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-05
Maturity Price : 17.19
Evaluated at bid price : 17.19
Bid-YTW : 7.22 %
CU.PR.I FixedReset Disc 2.71 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-05
Maturity Price : 20.86
Evaluated at bid price : 20.86
Bid-YTW : 8.65 %
PWF.PR.G Perpetual-Discount 3.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-05
Maturity Price : 21.15
Evaluated at bid price : 21.15
Bid-YTW : 7.09 %
BN.PF.D Perpetual-Discount 3.24 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-05
Maturity Price : 17.50
Evaluated at bid price : 17.50
Bid-YTW : 7.17 %
BIP.PR.F FixedReset Disc 5.67 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-05
Maturity Price : 19.02
Evaluated at bid price : 19.02
Bid-YTW : 9.05 %
Volume Highlights
Issue Index Shares
Traded		 Notes
BN.PF.D Perpetual-Discount 49,800 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-05
Maturity Price : 17.50
Evaluated at bid price : 17.50
Bid-YTW : 7.17 %
BN.PF.E FixedReset Disc 29,160 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-05
Maturity Price : 14.05
Evaluated at bid price : 14.05
Bid-YTW : 11.04 %
MFC.PR.K FixedReset Ins Non 19,830 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-05
Maturity Price : 20.00
Evaluated at bid price : 20.00
Bid-YTW : 7.80 %
GWO.PR.I Insurance Straight 19,000 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-05
Maturity Price : 16.35
Evaluated at bid price : 16.35
Bid-YTW : 6.90 %
NA.PR.C FixedReset Disc 13,830 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-05
Maturity Price : 23.10
Evaluated at bid price : 24.65
Bid-YTW : 7.45 %
BN.PF.C Perpetual-Discount 12,600 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-05
Maturity Price : 17.19
Evaluated at bid price : 17.19
Bid-YTW : 7.22 %
There were 5 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: 15.75 – 19.00
Spot Rate : 3.2500
Average : 1.7940

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-05
Maturity Price : 15.75
Evaluated at bid price : 15.75
Bid-YTW : 10.74 %
CU.PR.I FixedReset Disc Quote: 20.86 – 23.75
Spot Rate : 2.8900
Average : 2.2636

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-05
Maturity Price : 20.86
Evaluated at bid price : 20.86
Bid-YTW : 8.65 %
CU.PR.C FixedReset Disc Quote: 17.06 – 18.50
Spot Rate : 1.4400
Average : 0.8812

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-05
Maturity Price : 17.06
Evaluated at bid price : 17.06
Bid-YTW : 8.96 %
POW.PR.G Perpetual-Discount Quote: 20.10 – 21.15
Spot Rate : 1.0500
Average : 0.6027

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-05
Maturity Price : 20.10
Evaluated at bid price : 20.10
Bid-YTW : 7.11 %
IFC.PR.C FixedReset Disc Quote: 17.70 – 18.75
Spot Rate : 1.0500
Average : 0.6560

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-05
Maturity Price : 17.70
Evaluated at bid price : 17.70
Bid-YTW : 8.52 %
BN.PR.M Perpetual-Discount Quote: 16.75 – 17.37
Spot Rate : 0.6200
Average : 0.3906

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-05
Maturity Price : 16.75
Evaluated at bid price : 16.75
Bid-YTW : 7.26 %
Market Action

September 1, 2023

TXPR closed at 510.46, up 0.50% on the day. Volume today was 1.05-million, below the median of the past 21 trading days.

CPD closed at 10.19, up 0.59% on the day. Volume was 60,450, fourth-highest of the past 21 trading days.

ZPR closed at 8.50, up 0.12% on the day. Volume was 137,690, above the median of the past 21 trading days.

Five-year Canada yields were down to 3.88%.

Gains – particularly in equities – have been attributed to a hope that policy rates have peaked:

The Labor Department’s report showed the August unemployment rate rose to 3.8% while wage growth slowed. Nonfarm payrolls rose more than expected, though data for July was revised lower to 157,000 job additions.

The data added to recent macroeconomic evidence that the Federal Reserve is winning its battle against inflation, and it cemented expectations the central bank is near the end of its interest rate hiking cycle.
…
Interest rate futures suggest traders see a 93% chance the Fed will keep interest rates unchanged at its meeting later this month, according to CME’s FedWatch tool.

… while in Canada, GDP numbers disappointed:

Canada’s economy unexpectedly contracted in the second quarter at an annualized rate of 0.2%, while real GDP was most likely unchanged in July after a 0.2% fall in June, Statistics Canada said.

The second-quarter reading was far lower than the Bank of Canada’s forecast for a 1.5% annualized GDP growth as well as the 1.2% gain expected by analysts.

The quarterly slowdown was largely due to declines in housing investment, smaller inventory accumulation, as well as slower international exports and household spending, Statistics Canada said.

The month-over-month decline in June was in line with forecasts. Statscan also downwardly revised May GDP growth to a 0.2% increase from an initial report of 0.3% growth. First-quarter annualized growth rate was also downwardly revised to 2.6% from 3.1%.

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 1.0155 % 2,210.8
FixedFloater 0.00 % 0.00 % 0 0.00 0 1.0155 % 4,240.3
Floater 11.01 % 11.37 % 48,592 8.43 2 1.0155 % 2,443.7
OpRet 0.00 % 0.00 % 0 0.00 0 -0.0590 % 3,341.1
SplitShare 5.04 % 7.22 % 41,754 2.03 8 -0.0590 % 3,990.0
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.0590 % 3,113.1
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 0.7985 % 2,489.4
Perpetual-Discount 6.89 % 7.03 % 48,793 12.46 31 0.7985 % 2,714.5
FixedReset Disc 6.10 % 9.17 % 97,333 10.57 56 0.1690 % 2,065.0
Insurance Straight 6.88 % 6.95 % 58,592 12.69 18 0.1761 % 2,613.4
FloatingReset 11.35 % 11.40 % 39,182 8.63 1 0.0000 % 2,356.3
FixedReset Prem 7.14 % 7.53 % 216,895 11.91 1 0.4082 % 2,263.0
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 0.1690 % 2,110.8
FixedReset Ins Non 6.59 % 8.52 % 112,185 10.98 10 0.0569 % 2,243.6
Performance Highlights
Issue Index Change Notes
BIP.PR.F FixedReset Disc -8.21 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-01
Maturity Price : 18.00
Evaluated at bid price : 18.00
Bid-YTW : 9.69 %
PWF.PR.G Perpetual-Discount -3.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-01
Maturity Price : 20.51
Evaluated at bid price : 20.51
Bid-YTW : 7.31 %
PVS.PR.K SplitShare -1.88 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2029-05-31
Maturity Price : 25.00
Evaluated at bid price : 20.85
Bid-YTW : 8.16 %
TD.PF.E FixedReset Disc -1.88 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-01
Maturity Price : 17.25
Evaluated at bid price : 17.25
Bid-YTW : 9.30 %
PWF.PR.T FixedReset Disc -1.53 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-01
Maturity Price : 18.02
Evaluated at bid price : 18.02
Bid-YTW : 9.05 %
TD.PF.I FixedReset Disc -1.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-01
Maturity Price : 22.12
Evaluated at bid price : 22.65
Bid-YTW : 7.68 %
MFC.PR.L FixedReset Ins Non 1.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-01
Maturity Price : 16.67
Evaluated at bid price : 16.67
Bid-YTW : 9.24 %
FTS.PR.M FixedReset Disc 1.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-01
Maturity Price : 16.35
Evaluated at bid price : 16.35
Bid-YTW : 9.75 %
POW.PR.G Perpetual-Discount 1.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-01
Maturity Price : 20.03
Evaluated at bid price : 20.03
Bid-YTW : 7.12 %
BN.PF.E FixedReset Disc 1.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-01
Maturity Price : 14.00
Evaluated at bid price : 14.00
Bid-YTW : 11.21 %
MFC.PR.C Insurance Straight 1.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-01
Maturity Price : 16.75
Evaluated at bid price : 16.75
Bid-YTW : 6.75 %
TD.PF.L FixedReset Disc 1.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-01
Maturity Price : 22.61
Evaluated at bid price : 23.25
Bid-YTW : 7.92 %
TD.PF.D FixedReset Disc 1.18 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-01
Maturity Price : 17.20
Evaluated at bid price : 17.20
Bid-YTW : 9.33 %
CU.PR.G Perpetual-Discount 1.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-01
Maturity Price : 16.40
Evaluated at bid price : 16.40
Bid-YTW : 6.92 %
BN.PR.K Floater 1.24 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-01
Maturity Price : 11.45
Evaluated at bid price : 11.45
Bid-YTW : 11.37 %
CU.PR.C FixedReset Disc 1.26 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-01
Maturity Price : 16.90
Evaluated at bid price : 16.90
Bid-YTW : 9.14 %
CU.PR.I FixedReset Disc 1.30 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-01
Maturity Price : 20.31
Evaluated at bid price : 20.31
Bid-YTW : 8.96 %
BN.PF.G FixedReset Disc 1.33 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-01
Maturity Price : 14.45
Evaluated at bid price : 14.45
Bid-YTW : 11.19 %
BIK.PR.A FixedReset Disc 1.34 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-01
Maturity Price : 21.20
Evaluated at bid price : 21.20
Bid-YTW : 9.39 %
POW.PR.B Perpetual-Discount 1.37 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-01
Maturity Price : 19.23
Evaluated at bid price : 19.23
Bid-YTW : 7.09 %
BN.PF.J FixedReset Disc 1.40 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-01
Maturity Price : 18.87
Evaluated at bid price : 18.87
Bid-YTW : 9.32 %
POW.PR.D Perpetual-Discount 1.45 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-01
Maturity Price : 18.14
Evaluated at bid price : 18.14
Bid-YTW : 7.02 %
PWF.PR.F Perpetual-Discount 1.51 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-01
Maturity Price : 18.88
Evaluated at bid price : 18.88
Bid-YTW : 7.06 %
BN.PR.M Perpetual-Discount 1.52 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-01
Maturity Price : 16.70
Evaluated at bid price : 16.70
Bid-YTW : 7.27 %
BN.PR.R FixedReset Disc 1.56 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-01
Maturity Price : 13.05
Evaluated at bid price : 13.05
Bid-YTW : 10.97 %
PWF.PR.K Perpetual-Discount 1.66 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-01
Maturity Price : 17.75
Evaluated at bid price : 17.75
Bid-YTW : 7.08 %
BN.PR.Z FixedReset Disc 1.67 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-01
Maturity Price : 17.69
Evaluated at bid price : 17.69
Bid-YTW : 9.73 %
PWF.PF.A Perpetual-Discount 1.69 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-01
Maturity Price : 16.25
Evaluated at bid price : 16.25
Bid-YTW : 7.03 %
PVS.PR.H SplitShare 1.75 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2027-02-28
Maturity Price : 25.00
Evaluated at bid price : 23.25
Bid-YTW : 7.01 %
BN.PF.D Perpetual-Discount 1.80 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-01
Maturity Price : 16.95
Evaluated at bid price : 16.95
Bid-YTW : 7.40 %
BN.PF.I FixedReset Disc 1.92 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-01
Maturity Price : 18.60
Evaluated at bid price : 18.60
Bid-YTW : 9.85 %
PWF.PR.L Perpetual-Discount 2.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-01
Maturity Price : 18.38
Evaluated at bid price : 18.38
Bid-YTW : 7.04 %
BN.PF.C Perpetual-Discount 2.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-01
Maturity Price : 16.75
Evaluated at bid price : 16.75
Bid-YTW : 7.41 %
CU.PR.D Perpetual-Discount 2.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-01
Maturity Price : 17.99
Evaluated at bid price : 17.99
Bid-YTW : 6.87 %
SLF.PR.C Insurance Straight 2.45 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-01
Maturity Price : 16.70
Evaluated at bid price : 16.70
Bid-YTW : 6.68 %
PWF.PR.Z Perpetual-Discount 2.63 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-01
Maturity Price : 18.75
Evaluated at bid price : 18.75
Bid-YTW : 6.97 %
BN.PF.H FixedReset Disc 2.94 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-01
Maturity Price : 19.25
Evaluated at bid price : 19.25
Bid-YTW : 10.04 %
POW.PR.C Perpetual-Discount 3.86 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-01
Maturity Price : 21.50
Evaluated at bid price : 21.50
Bid-YTW : 6.87 %
Volume Highlights
Issue Index Shares
Traded		 Notes
PWF.PR.Z Perpetual-Discount 43,900 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-01
Maturity Price : 18.75
Evaluated at bid price : 18.75
Bid-YTW : 6.97 %
IFC.PR.G FixedReset Ins Non 39,200 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-01
Maturity Price : 19.31
Evaluated at bid price : 19.31
Bid-YTW : 8.52 %
RY.PR.J FixedReset Disc 27,600 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-01
Maturity Price : 17.45
Evaluated at bid price : 17.45
Bid-YTW : 9.19 %
BN.PR.N Perpetual-Discount 22,200 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-01
Maturity Price : 16.60
Evaluated at bid price : 16.60
Bid-YTW : 7.32 %
MFC.PR.K FixedReset Ins Non 20,900 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-01
Maturity Price : 19.85
Evaluated at bid price : 19.85
Bid-YTW : 7.98 %
TD.PF.K FixedReset Disc 18,500 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-01
Maturity Price : 21.46
Evaluated at bid price : 21.46
Bid-YTW : 7.90 %
There were 14 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: 18.00 – 19.65
Spot Rate : 1.6500
Average : 0.9249

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-01
Maturity Price : 18.00
Evaluated at bid price : 18.00
Bid-YTW : 9.69 %
PWF.PR.Z Perpetual-Discount Quote: 18.75 – 19.72
Spot Rate : 0.9700
Average : 0.5859

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-01
Maturity Price : 18.75
Evaluated at bid price : 18.75
Bid-YTW : 6.97 %
BN.PF.D Perpetual-Discount Quote: 16.95 – 18.00
Spot Rate : 1.0500
Average : 0.7212

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-01
Maturity Price : 16.95
Evaluated at bid price : 16.95
Bid-YTW : 7.40 %
PWF.PR.G Perpetual-Discount Quote: 20.51 – 21.35
Spot Rate : 0.8400
Average : 0.5188

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-01
Maturity Price : 20.51
Evaluated at bid price : 20.51
Bid-YTW : 7.31 %
TD.PF.M FixedReset Disc Quote: 23.35 – 24.03
Spot Rate : 0.6800
Average : 0.4785

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-01
Maturity Price : 22.78
Evaluated at bid price : 23.35
Bid-YTW : 8.13 %
MFC.PR.B Insurance Straight Quote: 16.98 – 17.49
Spot Rate : 0.5100
Average : 0.3224

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-01
Maturity Price : 16.98
Evaluated at bid price : 16.98
Bid-YTW : 6.88 %
Market Action

August 31, 2023

Sorry it’s late!

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 -0.4833 % 2,188.6
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.4833 % 4,197.7
Floater 11.13 % 11.48 % 55,141 8.36 2 -0.4833 % 2,419.2
OpRet 0.00 % 0.00 % 0 0.00 0 0.1396 % 3,343.1
SplitShare 5.04 % 7.22 % 43,367 2.04 8 0.1396 % 3,992.3
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.1396 % 3,115.0
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 0.2242 % 2,469.6
Perpetual-Discount 6.95 % 7.13 % 48,358 12.34 31 0.2242 % 2,693.0
FixedReset Disc 6.07 % 9.18 % 100,878 10.61 56 0.1170 % 2,061.5
Insurance Straight 6.90 % 6.95 % 57,272 12.65 18 0.2074 % 2,608.8
FloatingReset 11.35 % 11.39 % 39,680 8.63 1 -1.0135 % 2,356.3
FixedReset Prem 7.17 % 7.56 % 217,506 11.88 1 -1.2097 % 2,253.8
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 0.1170 % 2,107.3
FixedReset Ins Non 6.60 % 8.51 % 106,150 10.98 10 -0.0398 % 2,242.3
Performance Highlights
Issue Index Change Notes
SLF.PR.C Insurance Straight -2.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-31
Maturity Price : 16.30
Evaluated at bid price : 16.30
Bid-YTW : 6.84 %
FTS.PR.H FixedReset Disc -1.54 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-31
Maturity Price : 12.11
Evaluated at bid price : 12.11
Bid-YTW : 10.41 %
TD.PF.D FixedReset Disc -1.51 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-31
Maturity Price : 17.00
Evaluated at bid price : 17.00
Bid-YTW : 9.43 %
RY.PR.J FixedReset Disc -1.42 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-31
Maturity Price : 17.30
Evaluated at bid price : 17.30
Bid-YTW : 9.26 %
FTS.PR.M FixedReset Disc -1.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-31
Maturity Price : 16.18
Evaluated at bid price : 16.18
Bid-YTW : 9.85 %
NA.PR.C FixedReset Prem -1.21 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-31
Maturity Price : 23.04
Evaluated at bid price : 24.50
Bid-YTW : 7.56 %
TD.PF.A FixedReset Disc -1.18 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-31
Maturity Price : 16.68
Evaluated at bid price : 16.68
Bid-YTW : 9.28 %
MFC.PR.N FixedReset Ins Non -1.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-31
Maturity Price : 16.08
Evaluated at bid price : 16.08
Bid-YTW : 9.49 %
SLF.PR.J FloatingReset -1.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-31
Maturity Price : 14.65
Evaluated at bid price : 14.65
Bid-YTW : 11.39 %
TD.PF.B FixedReset Disc 1.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-31
Maturity Price : 17.05
Evaluated at bid price : 17.05
Bid-YTW : 9.21 %
PWF.PR.S Perpetual-Discount 1.18 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-31
Maturity Price : 17.20
Evaluated at bid price : 17.20
Bid-YTW : 7.08 %
PVS.PR.K SplitShare 1.19 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2029-05-31
Maturity Price : 25.00
Evaluated at bid price : 21.25
Bid-YTW : 7.76 %
BN.PF.G FixedReset Disc 1.21 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-31
Maturity Price : 14.26
Evaluated at bid price : 14.26
Bid-YTW : 11.33 %
TD.PF.L FixedReset Disc 1.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-31
Maturity Price : 22.25
Evaluated at bid price : 23.00
Bid-YTW : 8.00 %
CM.PR.T FixedReset Disc 1.26 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-31
Maturity Price : 21.99
Evaluated at bid price : 22.56
Bid-YTW : 8.16 %
BN.PF.I FixedReset Disc 1.45 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-31
Maturity Price : 18.25
Evaluated at bid price : 18.25
Bid-YTW : 10.02 %
SLF.PR.E Insurance Straight 1.45 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-31
Maturity Price : 16.79
Evaluated at bid price : 16.79
Bid-YTW : 6.71 %
BMO.PR.F FixedReset Disc 2.65 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-31
Maturity Price : 22.99
Evaluated at bid price : 23.64
Bid-YTW : 7.98 %
Volume Highlights
Issue Index Shares
Traded		 Notes
TD.PF.A FixedReset Disc 86,722 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-31
Maturity Price : 16.68
Evaluated at bid price : 16.68
Bid-YTW : 9.28 %
IFC.PR.G FixedReset Ins Non 65,438 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-31
Maturity Price : 19.31
Evaluated at bid price : 19.31
Bid-YTW : 8.51 %
TD.PF.B FixedReset Disc 50,289 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-31
Maturity Price : 17.05
Evaluated at bid price : 17.05
Bid-YTW : 9.21 %
GWO.PR.N FixedReset Ins Non 45,900 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-31
Maturity Price : 11.80
Evaluated at bid price : 11.80
Bid-YTW : 9.84 %
RY.PR.H FixedReset Disc 38,343 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-31
Maturity Price : 16.95
Evaluated at bid price : 16.95
Bid-YTW : 9.19 %
CM.PR.Q FixedReset Disc 30,517 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-31
Maturity Price : 17.06
Evaluated at bid price : 17.06
Bid-YTW : 9.28 %
There were 10 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
CU.PR.I FixedReset Disc Quote: 20.05 – 21.99
Spot Rate : 1.9400
Average : 1.4635

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-31
Maturity Price : 20.05
Evaluated at bid price : 20.05
Bid-YTW : 9.07 %
BIK.PR.A FixedReset Disc Quote: 20.92 – 21.84
Spot Rate : 0.9200
Average : 0.5319

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-31
Maturity Price : 20.92
Evaluated at bid price : 20.92
Bid-YTW : 9.51 %
BN.PF.A FixedReset Disc Quote: 19.43 – 20.50
Spot Rate : 1.0700
Average : 0.7221

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-31
Maturity Price : 19.43
Evaluated at bid price : 19.43
Bid-YTW : 9.23 %
POW.PR.D Perpetual-Discount Quote: 17.88 – 18.75
Spot Rate : 0.8700
Average : 0.5507

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-31
Maturity Price : 17.88
Evaluated at bid price : 17.88
Bid-YTW : 7.12 %
PVS.PR.J SplitShare Quote: 21.80 – 22.85
Spot Rate : 1.0500
Average : 0.8202

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2028-02-29
Maturity Price : 25.00
Evaluated at bid price : 21.80
Bid-YTW : 7.85 %
CM.PR.T FixedReset Disc Quote: 22.56 – 23.25
Spot Rate : 0.6900
Average : 0.4679

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-31
Maturity Price : 21.99
Evaluated at bid price : 22.56
Bid-YTW : 8.16 %
Market Action

August 30, 2023

PerpetualDiscounts now yield 7.14%, equivalent to 9.28% interest at the standard equivalency factor of 1.3x. Long corporates yielded 5.40% on 2023-8-25 and since then the closing price has changed from 14.52 to 14.56, an increase of 28bp in price, with a Duration of 12.07 (BMO doesn’t specify whether this is Macaulay or Modified Duration; I will assume Modified) which implies a decrease in yield of about 2bp since 8/25 to 5.38%, so the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) has remained constant at the 390bp reported August 23.

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 0.2202 % 2,199.2
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.2202 % 4,218.1
Floater 11.07 % 11.42 % 55,827 8.41 2 0.2202 % 2,430.9
OpRet 0.00 % 0.00 % 0 0.00 0 -0.6297 % 3,338.4
SplitShare 5.05 % 7.23 % 45,136 2.04 8 -0.6297 % 3,986.7
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.6297 % 3,110.6
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 -0.2167 % 2,464.1
Perpetual-Discount 6.96 % 7.14 % 48,829 12.32 31 -0.2167 % 2,687.0
FixedReset Disc 6.08 % 9.14 % 102,355 10.63 56 0.0325 % 2,059.1
Insurance Straight 6.91 % 6.98 % 57,796 12.65 18 -0.6611 % 2,603.4
FloatingReset 11.23 % 11.27 % 39,977 8.71 1 1.0239 % 2,380.5
FixedReset Prem 7.08 % 7.40 % 217,704 3.60 1 -0.2414 % 2,281.4
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 0.0325 % 2,104.8
FixedReset Ins Non 6.59 % 8.56 % 101,509 11.01 10 0.0228 % 2,243.2
Performance Highlights
Issue Index Change Notes
POW.PR.C Perpetual-Discount -3.27 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-30
Maturity Price : 20.70
Evaluated at bid price : 20.70
Bid-YTW : 7.14 %
BMO.PR.F FixedReset Disc -2.83 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-30
Maturity Price : 22.26
Evaluated at bid price : 23.03
Bid-YTW : 8.19 %
PVS.PR.J SplitShare -2.50 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2028-02-29
Maturity Price : 25.00
Evaluated at bid price : 21.80
Bid-YTW : 7.85 %
CU.PR.G Perpetual-Discount -2.31 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-30
Maturity Price : 16.07
Evaluated at bid price : 16.07
Bid-YTW : 7.06 %
FTS.PR.F Perpetual-Discount -1.57 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-30
Maturity Price : 19.39
Evaluated at bid price : 19.39
Bid-YTW : 6.37 %
GWO.PR.N FixedReset Ins Non -1.49 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-30
Maturity Price : 11.81
Evaluated at bid price : 11.81
Bid-YTW : 9.83 %
TD.PF.M FixedReset Disc -1.49 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-30
Maturity Price : 22.63
Evaluated at bid price : 23.18
Bid-YTW : 8.18 %
SLF.PR.E Insurance Straight -1.43 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-30
Maturity Price : 16.55
Evaluated at bid price : 16.55
Bid-YTW : 6.81 %
PWF.PR.T FixedReset Disc -1.41 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-30
Maturity Price : 18.12
Evaluated at bid price : 18.12
Bid-YTW : 8.99 %
CU.PR.D Perpetual-Discount -1.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-30
Maturity Price : 17.60
Evaluated at bid price : 17.60
Bid-YTW : 7.02 %
TD.PF.B FixedReset Disc -1.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-30
Maturity Price : 16.86
Evaluated at bid price : 16.86
Bid-YTW : 9.31 %
CU.PR.C FixedReset Disc -1.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-30
Maturity Price : 16.78
Evaluated at bid price : 16.78
Bid-YTW : 9.20 %
SLF.PR.J FloatingReset 1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-30
Maturity Price : 14.80
Evaluated at bid price : 14.80
Bid-YTW : 11.27 %
BN.PF.I FixedReset Disc 1.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-30
Maturity Price : 17.99
Evaluated at bid price : 17.99
Bid-YTW : 10.16 %
BN.PR.Z FixedReset Disc 1.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-30
Maturity Price : 17.50
Evaluated at bid price : 17.50
Bid-YTW : 9.83 %
GWO.PR.R Insurance Straight 1.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-30
Maturity Price : 17.15
Evaluated at bid price : 17.15
Bid-YTW : 7.01 %
BN.PR.M Perpetual-Discount 1.17 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-30
Maturity Price : 16.40
Evaluated at bid price : 16.40
Bid-YTW : 7.41 %
GWO.PR.G Insurance Straight 1.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-30
Maturity Price : 18.60
Evaluated at bid price : 18.60
Bid-YTW : 7.00 %
BIP.PR.E FixedReset Disc 1.29 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-30
Maturity Price : 20.35
Evaluated at bid price : 20.35
Bid-YTW : 8.54 %
BN.PF.H FixedReset Disc 1.36 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-30
Maturity Price : 18.65
Evaluated at bid price : 18.65
Bid-YTW : 10.34 %
IFC.PR.K Perpetual-Discount 1.38 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-30
Maturity Price : 19.15
Evaluated at bid price : 19.15
Bid-YTW : 7.00 %
GWO.PR.P Insurance Straight 1.49 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-30
Maturity Price : 19.25
Evaluated at bid price : 19.25
Bid-YTW : 7.03 %
PWF.PR.S Perpetual-Discount 1.49 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-30
Maturity Price : 17.00
Evaluated at bid price : 17.00
Bid-YTW : 7.17 %
RY.PR.J FixedReset Disc 1.50 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-30
Maturity Price : 17.55
Evaluated at bid price : 17.55
Bid-YTW : 9.13 %
BN.PF.A FixedReset Disc 1.52 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-30
Maturity Price : 19.35
Evaluated at bid price : 19.35
Bid-YTW : 9.27 %
TD.PF.D FixedReset Disc 1.53 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-30
Maturity Price : 17.26
Evaluated at bid price : 17.26
Bid-YTW : 9.29 %
BIP.PR.B FixedReset Disc 2.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-30
Maturity Price : 21.15
Evaluated at bid price : 21.15
Bid-YTW : 9.47 %
BN.PF.J FixedReset Disc 2.78 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-30
Maturity Price : 18.50
Evaluated at bid price : 18.50
Bid-YTW : 9.50 %
TD.PF.E FixedReset Disc 3.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-30
Maturity Price : 17.56
Evaluated at bid price : 17.56
Bid-YTW : 9.14 %
Volume Highlights
Issue Index Shares
Traded		 Notes
BN.PR.K Floater 126,500 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-30
Maturity Price : 11.36
Evaluated at bid price : 11.36
Bid-YTW : 11.46 %
GWO.PR.H Insurance Straight 79,300 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-30
Maturity Price : 17.38
Evaluated at bid price : 17.38
Bid-YTW : 6.99 %
SLF.PR.C Insurance Straight 76,420 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-30
Maturity Price : 16.64
Evaluated at bid price : 16.64
Bid-YTW : 6.70 %
BN.PF.F FixedReset Disc 73,800 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-30
Maturity Price : 15.51
Evaluated at bid price : 15.51
Bid-YTW : 11.03 %
NA.PR.S FixedReset Disc 49,600 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-30
Maturity Price : 17.35
Evaluated at bid price : 17.35
Bid-YTW : 9.31 %
BN.PF.E FixedReset Disc 47,200 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-30
Maturity Price : 13.85
Evaluated at bid price : 13.85
Bid-YTW : 11.32 %
There were 28 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
MFC.PR.M FixedReset Ins Non Quote: 16.50 – 18.00
Spot Rate : 1.5000
Average : 0.9860

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-30
Maturity Price : 16.50
Evaluated at bid price : 16.50
Bid-YTW : 9.44 %
BMO.PR.F FixedReset Disc Quote: 23.03 – 23.92
Spot Rate : 0.8900
Average : 0.5379

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-30
Maturity Price : 22.26
Evaluated at bid price : 23.03
Bid-YTW : 8.19 %
TD.PF.L FixedReset Disc Quote: 22.72 – 23.96
Spot Rate : 1.2400
Average : 0.9566

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-30
Maturity Price : 22.09
Evaluated at bid price : 22.72
Bid-YTW : 8.10 %
POW.PR.C Perpetual-Discount Quote: 20.70 – 21.50
Spot Rate : 0.8000
Average : 0.5306

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-30
Maturity Price : 20.70
Evaluated at bid price : 20.70
Bid-YTW : 7.14 %
PVS.PR.J SplitShare Quote: 21.80 – 22.60
Spot Rate : 0.8000
Average : 0.5682

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2028-02-29
Maturity Price : 25.00
Evaluated at bid price : 21.80
Bid-YTW : 7.85 %
PVS.PR.H SplitShare Quote: 22.90 – 23.50
Spot Rate : 0.6000
Average : 0.4444

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2027-02-28
Maturity Price : 25.00
Evaluated at bid price : 22.90
Bid-YTW : 7.48 %