Archive for the ‘Market Action’ Category

October 2, 2023

Monday, October 2nd, 2023

I don’t usually mention NCIB notices because they’re so often meaningless, but Assiduous Reader PL sent me a note about the FFH NCIB today, so why not post it?

HIMIPref™ Preferred Indices
These values reflect the December 2008 revision of the HIMIPref™ Indices

Values are provisional and are finalized monthly
Index Mean
Current
Yield
(at bid)
Median
YTW
Median
Average
Trading
Value
Median
Mod Dur
(YTW)
Issues Day’s Perf. Index Value
Ratchet 0.00 % 0.00 % 0 0.00 0 0.2235 % 2,166.4
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.2235 % 4,155.1
Floater 11.24 % 11.41 % 34,092 8.56 2 0.2235 % 2,394.6
OpRet 0.00 % 0.00 % 0 0.00 0 -1.2471 % 3,288.8
SplitShare 5.09 % 8.24 % 44,071 1.94 7 -1.2471 % 3,927.6
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -1.2471 % 3,064.4
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 0.1152 % 2,488.2
Perpetual-Discount 6.90 % 7.08 % 44,485 12.39 31 0.1152 % 2,713.3
FixedReset Disc 6.03 % 9.21 % 100,981 10.64 56 0.1809 % 2,117.3
Insurance Straight 6.86 % 6.97 % 57,637 12.61 16 -0.0870 % 2,620.0
FloatingReset 11.14 % 11.30 % 39,878 8.63 1 1.0884 % 2,390.1
FixedReset Prem 0.00 % 0.00 % 0 0.00 1 0.1809 % 2,320.4
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 0.1809 % 2,164.3
FixedReset Ins Non 6.32 % 9.04 % 59,273 10.98 13 -0.1225 % 2,283.7
Performance Highlights
Issue Index Change Notes
PVS.PR.H SplitShare -3.88 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2027-02-28
Maturity Price : 25.00
Evaluated at bid price : 21.82
Bid-YTW : 9.31 %
PVS.PR.J SplitShare -2.47 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2028-02-29
Maturity Price : 25.00
Evaluated at bid price : 21.70
Bid-YTW : 8.15 %
POW.PR.D Perpetual-Discount -2.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-10-02
Maturity Price : 17.77
Evaluated at bid price : 17.77
Bid-YTW : 7.08 %
CU.PR.E Perpetual-Discount -2.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-10-02
Maturity Price : 17.56
Evaluated at bid price : 17.56
Bid-YTW : 7.09 %
PVS.PR.I SplitShare -2.10 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-10-31
Maturity Price : 25.00
Evaluated at bid price : 23.35
Bid-YTW : 8.50 %
MFC.PR.K FixedReset Ins Non -1.71 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-10-02
Maturity Price : 19.55
Evaluated at bid price : 19.55
Bid-YTW : 8.46 %
NA.PR.S FixedReset Disc -1.31 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-10-02
Maturity Price : 18.10
Evaluated at bid price : 18.10
Bid-YTW : 9.31 %
CU.PR.J Perpetual-Discount -1.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-10-02
Maturity Price : 16.82
Evaluated at bid price : 16.82
Bid-YTW : 7.17 %
NA.PR.E FixedReset Disc 1.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-10-02
Maturity Price : 20.15
Evaluated at bid price : 20.15
Bid-YTW : 8.28 %
SLF.PR.J FloatingReset 1.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-10-02
Maturity Price : 14.86
Evaluated at bid price : 14.86
Bid-YTW : 11.30 %
BIK.PR.A FixedReset Disc 1.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-10-02
Maturity Price : 21.00
Evaluated at bid price : 21.00
Bid-YTW : 9.83 %
CM.PR.T FixedReset Disc 1.17 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-10-02
Maturity Price : 22.66
Evaluated at bid price : 23.35
Bid-YTW : 8.05 %
PWF.PR.T FixedReset Disc 1.33 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-10-02
Maturity Price : 19.05
Evaluated at bid price : 19.05
Bid-YTW : 8.93 %
BN.PF.G FixedReset Disc 1.89 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-10-02
Maturity Price : 14.55
Evaluated at bid price : 14.55
Bid-YTW : 11.39 %
BMO.PR.E FixedReset Disc 2.65 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-10-02
Maturity Price : 22.41
Evaluated at bid price : 23.25
Bid-YTW : 7.62 %
CU.PR.D Perpetual-Discount 6.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-10-02
Maturity Price : 17.71
Evaluated at bid price : 17.71
Bid-YTW : 7.02 %
Volume Highlights
Issue Index Shares
Traded
Notes
RY.PR.M FixedReset Disc 55,700 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-10-02
Maturity Price : 16.75
Evaluated at bid price : 16.75
Bid-YTW : 9.49 %
RY.PR.J FixedReset Disc 19,700 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-10-02
Maturity Price : 17.87
Evaluated at bid price : 17.87
Bid-YTW : 9.32 %
BMO.PR.S FixedReset Disc 17,700 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-10-02
Maturity Price : 18.16
Evaluated at bid price : 18.16
Bid-YTW : 9.15 %
TD.PF.D FixedReset Disc 15,800 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-10-02
Maturity Price : 17.67
Evaluated at bid price : 17.67
Bid-YTW : 9.43 %
RY.PR.H FixedReset Disc 13,200 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-10-02
Maturity Price : 17.83
Evaluated at bid price : 17.83
Bid-YTW : 9.12 %
BMO.PR.E FixedReset Disc 12,600 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-10-02
Maturity Price : 22.41
Evaluated at bid price : 23.25
Bid-YTW : 7.62 %
There were 3 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
CU.PR.C FixedReset Disc Quote: 17.36 – 21.72
Spot Rate : 4.3600
Average : 2.6616

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-10-02
Maturity Price : 17.36
Evaluated at bid price : 17.36
Bid-YTW : 9.21 %

CU.PR.F Perpetual-Discount Quote: 16.41 – 18.43
Spot Rate : 2.0200
Average : 1.1539

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-10-02
Maturity Price : 16.41
Evaluated at bid price : 16.41
Bid-YTW : 6.96 %

POW.PR.B Perpetual-Discount Quote: 19.05 – 23.00
Spot Rate : 3.9500
Average : 3.1169

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-10-02
Maturity Price : 19.05
Evaluated at bid price : 19.05
Bid-YTW : 7.06 %

CU.PR.I FixedReset Disc Quote: 21.20 – 23.95
Spot Rate : 2.7500
Average : 2.0839

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-10-02
Maturity Price : 21.20
Evaluated at bid price : 21.20
Bid-YTW : 8.89 %

PVS.PR.H SplitShare Quote: 21.82 – 23.00
Spot Rate : 1.1800
Average : 0.8385

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2027-02-28
Maturity Price : 25.00
Evaluated at bid price : 21.82
Bid-YTW : 9.31 %

TD.PF.C FixedReset Disc Quote: 17.40 – 18.24
Spot Rate : 0.8400
Average : 0.5054

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-10-02
Maturity Price : 17.40
Evaluated at bid price : 17.40
Bid-YTW : 9.23 %

September 29, 2023

Friday, September 29th, 2023
HIMIPref™ Preferred Indices
These values reflect the December 2008 revision of the HIMIPref™ Indices

Values are provisional and are finalized monthly
Index Mean
Current
Yield
(at bid)
Median
YTW
Median
Average
Trading
Value
Median
Mod Dur
(YTW)
Issues Day’s Perf. Index Value
Ratchet 0.00 % 0.00 % 0 0.00 0 -0.2675 % 2,161.5
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.2675 % 4,145.8
Floater 11.27 % 11.37 % 54,316 8.57 2 -0.2675 % 2,389.2
OpRet 0.00 % 0.00 % 0 0.00 0 -0.8764 % 3,330.4
SplitShare 5.07 % 8.28 % 44,410 2.23 7 -0.8764 % 3,977.2
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.8764 % 3,103.1
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 0.1078 % 2,485.4
Perpetual-Discount 6.87 % 7.07 % 43,404 12.46 33 0.1078 % 2,710.2
FixedReset Disc 5.96 % 9.18 % 100,999 10.61 55 0.4855 % 2,113.4
Insurance Straight 6.86 % 6.96 % 58,211 12.63 17 0.1079 % 2,622.2
FloatingReset 11.26 % 11.40 % 39,266 8.55 1 3.1579 % 2,364.4
FixedReset Prem 0.00 % 0.00 % 0 0.00 0 0.4855 % 2,316.2
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 0.4855 % 2,160.4
FixedReset Ins Non 6.56 % 8.64 % 122,275 11.07 11 -0.0521 % 2,286.5
Performance Highlights
Issue Index Change Notes
CU.PR.D Perpetual-Discount -6.29 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-29
Maturity Price : 16.69
Evaluated at bid price : 16.69
Bid-YTW : 7.45 %
PVS.PR.G SplitShare -2.32 % YTW SCENARIO
Maturity Type : Option Certainty
Maturity Date : 2026-02-28
Maturity Price : 25.00
Evaluated at bid price : 23.20
Bid-YTW : 8.44 %
PVS.PR.H SplitShare -1.94 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2027-02-28
Maturity Price : 25.00
Evaluated at bid price : 22.70
Bid-YTW : 7.97 %
PVS.PR.J SplitShare -1.33 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2028-02-29
Maturity Price : 25.00
Evaluated at bid price : 22.25
Bid-YTW : 7.48 %
PWF.PR.T FixedReset Disc -1.31 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-29
Maturity Price : 18.80
Evaluated at bid price : 18.80
Bid-YTW : 9.04 %
BN.PF.G FixedReset Disc -1.24 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-29
Maturity Price : 14.28
Evaluated at bid price : 14.28
Bid-YTW : 11.57 %
BIK.PR.A FixedReset Disc -1.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-29
Maturity Price : 20.76
Evaluated at bid price : 20.76
Bid-YTW : 9.93 %
RY.PR.Z FixedReset Disc 1.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-29
Maturity Price : 17.99
Evaluated at bid price : 17.99
Bid-YTW : 9.06 %
CU.PR.F Perpetual-Discount 1.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-29
Maturity Price : 16.49
Evaluated at bid price : 16.49
Bid-YTW : 6.92 %
CU.PR.E Perpetual-Discount 1.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-29
Maturity Price : 17.94
Evaluated at bid price : 17.94
Bid-YTW : 6.93 %
BN.PF.H FixedReset Disc 1.33 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-29
Maturity Price : 19.00
Evaluated at bid price : 19.00
Bid-YTW : 10.30 %
FTS.PR.G FixedReset Disc 1.44 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-29
Maturity Price : 19.02
Evaluated at bid price : 19.02
Bid-YTW : 8.46 %
POW.PR.D Perpetual-Discount 1.45 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-29
Maturity Price : 18.16
Evaluated at bid price : 18.16
Bid-YTW : 6.92 %
SLF.PR.J FloatingReset 3.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-29
Maturity Price : 14.70
Evaluated at bid price : 14.70
Bid-YTW : 11.40 %
BN.PF.A FixedReset Disc 32.39 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-29
Maturity Price : 18.68
Evaluated at bid price : 18.68
Bid-YTW : 9.76 %
Volume Highlights
Issue Index Shares
Traded
Notes
RY.PR.Z FixedReset Disc 88,134 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-29
Maturity Price : 17.99
Evaluated at bid price : 17.99
Bid-YTW : 9.06 %
TD.PF.E FixedReset Disc 81,639 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-29
Maturity Price : 17.95
Evaluated at bid price : 17.95
Bid-YTW : 9.27 %
GWO.PR.N FixedReset Ins Non 75,676 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-29
Maturity Price : 12.62
Evaluated at bid price : 12.62
Bid-YTW : 9.66 %
BN.PF.G FixedReset Disc 60,632 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-29
Maturity Price : 14.28
Evaluated at bid price : 14.28
Bid-YTW : 11.57 %
BMO.PR.T FixedReset Disc 57,493 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-29
Maturity Price : 17.27
Evaluated at bid price : 17.27
Bid-YTW : 9.37 %
CM.PR.O FixedReset Disc 56,100 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-29
Maturity Price : 17.81
Evaluated at bid price : 17.81
Bid-YTW : 9.05 %
There were 13 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
POW.PR.B Perpetual-Discount Quote: 19.12 – 23.00
Spot Rate : 3.8800
Average : 2.2035

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-29
Maturity Price : 19.12
Evaluated at bid price : 19.12
Bid-YTW : 7.03 %

CU.PR.D Perpetual-Discount Quote: 16.69 – 18.05
Spot Rate : 1.3600
Average : 0.7840

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-29
Maturity Price : 16.69
Evaluated at bid price : 16.69
Bid-YTW : 7.45 %

CU.PR.C FixedReset Disc Quote: 17.25 – 18.60
Spot Rate : 1.3500
Average : 0.7995

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-29
Maturity Price : 17.25
Evaluated at bid price : 17.25
Bid-YTW : 9.26 %

PVS.PR.G SplitShare Quote: 23.20 – 24.02
Spot Rate : 0.8200
Average : 0.5370

YTW SCENARIO
Maturity Type : Option Certainty
Maturity Date : 2026-02-28
Maturity Price : 25.00
Evaluated at bid price : 23.20
Bid-YTW : 8.44 %

BN.PR.N Perpetual-Discount Quote: 16.30 – 17.00
Spot Rate : 0.7000
Average : 0.4363

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-29
Maturity Price : 16.30
Evaluated at bid price : 16.30
Bid-YTW : 7.35 %

GWO.PR.I Insurance Straight Quote: 16.45 – 17.80
Spot Rate : 1.3500
Average : 1.1063

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-29
Maturity Price : 16.45
Evaluated at bid price : 16.45
Bid-YTW : 6.90 %

September 28, 2023

Thursday, September 28th, 2023
HIMIPref™ Preferred Indices
These values reflect the December 2008 revision of the HIMIPref™ Indices

Values are provisional and are finalized monthly
Index Mean
Current
Yield
(at bid)
Median
YTW
Median
Average
Trading
Value
Median
Mod Dur
(YTW)
Issues Day’s Perf. Index Value
Ratchet 0.00 % 0.00 % 0 0.00 0 0.3579 % 2,167.3
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.3579 % 4,156.9
Floater 11.23 % 11.37 % 54,955 8.57 2 0.3579 % 2,395.7
OpRet 0.00 % 0.00 % 0 0.00 0 -0.0490 % 3,359.8
SplitShare 5.03 % 7.37 % 43,557 2.24 7 -0.0490 % 4,012.3
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.0490 % 3,130.6
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 0.0752 % 2,482.7
Perpetual-Discount 6.88 % 7.08 % 42,854 12.43 33 0.0752 % 2,707.3
FixedReset Disc 5.99 % 9.17 % 104,302 10.61 55 0.0137 % 2,103.2
Insurance Straight 6.87 % 6.96 % 60,321 12.63 17 -0.0294 % 2,619.4
FloatingReset 11.61 % 11.76 % 39,162 8.32 1 0.4937 % 2,292.0
FixedReset Prem 0.00 % 0.00 % 0 0.00 0 0.0137 % 2,305.0
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 0.0137 % 2,149.9
FixedReset Ins Non 6.56 % 8.63 % 124,173 11.09 11 0.5188 % 2,287.7
Performance Highlights
Issue Index Change Notes
BN.PF.A FixedReset Disc -25.70 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-28
Maturity Price : 14.11
Evaluated at bid price : 14.11
Bid-YTW : 12.97 %
BN.PF.B FixedReset Disc -2.94 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-28
Maturity Price : 16.50
Evaluated at bid price : 16.50
Bid-YTW : 10.44 %
CU.PR.D Perpetual-Discount -1.33 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-28
Maturity Price : 17.81
Evaluated at bid price : 17.81
Bid-YTW : 6.98 %
POW.PR.A Perpetual-Discount 1.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-28
Maturity Price : 20.15
Evaluated at bid price : 20.15
Bid-YTW : 6.98 %
BN.PF.G FixedReset Disc 1.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-28
Maturity Price : 14.46
Evaluated at bid price : 14.46
Bid-YTW : 11.43 %
MFC.PR.C Insurance Straight 1.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-28
Maturity Price : 16.53
Evaluated at bid price : 16.53
Bid-YTW : 6.88 %
TD.PF.E FixedReset Disc 1.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-28
Maturity Price : 17.95
Evaluated at bid price : 17.95
Bid-YTW : 9.27 %
RY.PR.O Perpetual-Discount 1.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-28
Maturity Price : 20.85
Evaluated at bid price : 20.85
Bid-YTW : 5.96 %
PWF.PR.T FixedReset Disc 1.33 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-28
Maturity Price : 19.05
Evaluated at bid price : 19.05
Bid-YTW : 8.92 %
MFC.PR.L FixedReset Ins Non 1.36 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-28
Maturity Price : 17.90
Evaluated at bid price : 17.90
Bid-YTW : 8.98 %
IFC.PR.C FixedReset Disc 1.47 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-28
Maturity Price : 16.55
Evaluated at bid price : 16.55
Bid-YTW : 9.36 %
RY.PR.N Perpetual-Discount 1.51 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-28
Maturity Price : 20.82
Evaluated at bid price : 20.82
Bid-YTW : 5.97 %
RY.PR.S FixedReset Disc 1.56 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-28
Maturity Price : 20.78
Evaluated at bid price : 20.78
Bid-YTW : 8.15 %
CM.PR.Y FixedReset Disc 1.57 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-28
Maturity Price : 23.40
Evaluated at bid price : 24.00
Bid-YTW : 8.07 %
IFC.PR.A FixedReset Ins Non 1.62 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-28
Maturity Price : 15.65
Evaluated at bid price : 15.65
Bid-YTW : 9.08 %
MFC.PR.N FixedReset Ins Non 1.82 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-28
Maturity Price : 16.80
Evaluated at bid price : 16.80
Bid-YTW : 9.46 %
BIP.PR.F FixedReset Disc 1.87 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-28
Maturity Price : 19.05
Evaluated at bid price : 19.05
Bid-YTW : 9.52 %
BN.PR.X FixedReset Disc 30.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-28
Maturity Price : 13.00
Evaluated at bid price : 13.00
Bid-YTW : 10.95 %
Volume Highlights
Issue Index Shares
Traded
Notes
BN.PF.G FixedReset Disc 100,603 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-28
Maturity Price : 14.46
Evaluated at bid price : 14.46
Bid-YTW : 11.43 %
TD.PF.K FixedReset Disc 71,993 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2023-10-31
Maturity Price : 25.00
Evaluated at bid price : 25.17
Bid-YTW : 5.74 %
TD.PF.B FixedReset Disc 62,222 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-28
Maturity Price : 18.33
Evaluated at bid price : 18.33
Bid-YTW : 8.93 %
RY.PR.Z FixedReset Disc 52,696 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-28
Maturity Price : 17.81
Evaluated at bid price : 17.81
Bid-YTW : 9.15 %
BMO.PR.S FixedReset Disc 36,789 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-28
Maturity Price : 18.33
Evaluated at bid price : 18.33
Bid-YTW : 9.05 %
BMO.PR.T FixedReset Disc 29,705 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-28
Maturity Price : 17.25
Evaluated at bid price : 17.25
Bid-YTW : 9.38 %
There were 8 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
BN.PF.A FixedReset Disc Quote: 14.11 – 19.00
Spot Rate : 4.8900
Average : 2.7344

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-28
Maturity Price : 14.11
Evaluated at bid price : 14.11
Bid-YTW : 12.97 %

CU.PR.I FixedReset Disc Quote: 21.30 – 23.95
Spot Rate : 2.6500
Average : 1.5219

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-28
Maturity Price : 21.30
Evaluated at bid price : 21.30
Bid-YTW : 8.84 %

GWO.PR.I Insurance Straight Quote: 16.45 – 17.70
Spot Rate : 1.2500
Average : 0.8391

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-28
Maturity Price : 16.45
Evaluated at bid price : 16.45
Bid-YTW : 6.89 %

PVS.PR.K SplitShare Quote: 20.80 – 21.50
Spot Rate : 0.7000
Average : 0.4388

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2029-05-31
Maturity Price : 25.00
Evaluated at bid price : 20.80
Bid-YTW : 8.33 %

BN.PF.B FixedReset Disc Quote: 16.50 – 17.16
Spot Rate : 0.6600
Average : 0.4111

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-28
Maturity Price : 16.50
Evaluated at bid price : 16.50
Bid-YTW : 10.44 %

PVS.PR.H SplitShare Quote: 23.15 – 23.85
Spot Rate : 0.7000
Average : 0.5343

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2027-02-28
Maturity Price : 25.00
Evaluated at bid price : 23.15
Bid-YTW : 7.32 %

September 27, 2023

Wednesday, September 27th, 2023

PerpetualDiscounts now yield 7.08%, equivalent to 9.20% interest at the standard equivalency factor of 1.3x. Long corporates yielded 5.63% on 2023-9-15 [BMO is now reporting a different number for the same date than the one they reported last week … this worries me] and since then the closing price has changed from 14.33 to 13.90, a decrease of 300bp in price, with a Duration of 11.99 [again, different from last week’s report for the same day] (BMO doesn’t specify whether this is Macaulay or Modified Duration; I will assume Modified) which implies an increase in yield of about 25bp since 9/15 [?] to 5.88%, so the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) has narrowed to 330bp from the 350bp reported September 20.

HIMIPref™ Preferred Indices
These values reflect the December 2008 revision of the HIMIPref™ Indices

Values are provisional and are finalized monthly
Index Mean
Current
Yield
(at bid)
Median
YTW
Median
Average
Trading
Value
Median
Mod Dur
(YTW)
Issues Day’s Perf. Index Value
Ratchet 0.00 % 0.00 % 0 0.00 0 -0.4011 % 2,159.6
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.4011 % 4,142.1
Floater 11.28 % 11.39 % 55,770 8.57 2 -0.4011 % 2,387.1
OpRet 0.00 % 0.00 % 0 0.00 0 0.5854 % 3,361.5
SplitShare 5.02 % 7.27 % 42,599 2.25 7 0.5854 % 4,014.3
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.5854 % 3,132.1
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 -0.1567 % 2,480.8
Perpetual-Discount 6.89 % 7.08 % 43,418 12.40 33 -0.1567 % 2,705.2
FixedReset Disc 5.99 % 9.20 % 103,534 10.58 55 -0.6806 % 2,102.9
Insurance Straight 6.87 % 6.96 % 60,837 12.63 17 0.0425 % 2,620.2
FloatingReset 11.67 % 11.82 % 39,600 8.29 1 -0.1408 % 2,280.7
FixedReset Prem 0.00 % 0.00 % 0 0.00 0 -0.6806 % 2,304.7
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 -0.6806 % 2,149.6
FixedReset Ins Non 6.59 % 8.61 % 124,865 11.04 11 0.8936 % 2,275.9
Performance Highlights
Issue Index Change Notes
BN.PR.X FixedReset Disc -23.37 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-27
Maturity Price : 10.00
Evaluated at bid price : 10.00
Bid-YTW : 14.05 %
RY.PR.S FixedReset Disc -3.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-27
Maturity Price : 20.46
Evaluated at bid price : 20.46
Bid-YTW : 8.27 %
BIP.PR.F FixedReset Disc -2.35 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-27
Maturity Price : 18.70
Evaluated at bid price : 18.70
Bid-YTW : 9.70 %
MFC.PR.C Insurance Straight -1.80 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-27
Maturity Price : 16.35
Evaluated at bid price : 16.35
Bid-YTW : 6.95 %
RY.PR.M FixedReset Disc -1.75 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-27
Maturity Price : 16.85
Evaluated at bid price : 16.85
Bid-YTW : 9.42 %
BMO.PR.Y FixedReset Disc -1.62 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-27
Maturity Price : 17.60
Evaluated at bid price : 17.60
Bid-YTW : 9.27 %
CU.PR.F Perpetual-Discount -1.57 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-27
Maturity Price : 16.25
Evaluated at bid price : 16.25
Bid-YTW : 7.02 %
PWF.PR.T FixedReset Disc -1.57 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-27
Maturity Price : 18.80
Evaluated at bid price : 18.80
Bid-YTW : 9.03 %
TD.PF.D FixedReset Disc -1.50 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-27
Maturity Price : 17.76
Evaluated at bid price : 17.76
Bid-YTW : 9.37 %
TD.PF.E FixedReset Disc -1.39 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-27
Maturity Price : 17.75
Evaluated at bid price : 17.75
Bid-YTW : 9.36 %
TD.PF.C FixedReset Disc -1.31 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-27
Maturity Price : 17.35
Evaluated at bid price : 17.35
Bid-YTW : 9.25 %
RY.PR.H FixedReset Disc -1.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-27
Maturity Price : 17.70
Evaluated at bid price : 17.70
Bid-YTW : 9.17 %
TD.PF.A FixedReset Disc -1.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-27
Maturity Price : 18.01
Evaluated at bid price : 18.01
Bid-YTW : 8.95 %
GWO.PR.P Insurance Straight -1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-27
Maturity Price : 19.08
Evaluated at bid price : 19.08
Bid-YTW : 7.13 %
MFC.PR.K FixedReset Ins Non 1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-27
Maturity Price : 19.80
Evaluated at bid price : 19.80
Bid-YTW : 8.35 %
MFC.PR.N FixedReset Ins Non 1.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-27
Maturity Price : 16.50
Evaluated at bid price : 16.50
Bid-YTW : 9.63 %
ELF.PR.F Perpetual-Discount 1.63 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-27
Maturity Price : 19.30
Evaluated at bid price : 19.30
Bid-YTW : 7.03 %
IFC.PR.C FixedReset Disc 1.94 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-27
Maturity Price : 16.31
Evaluated at bid price : 16.31
Bid-YTW : 9.49 %
MFC.PR.M FixedReset Ins Non 2.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-27
Maturity Price : 17.01
Evaluated at bid price : 17.01
Bid-YTW : 9.54 %
CM.PR.S FixedReset Disc 2.66 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-27
Maturity Price : 19.96
Evaluated at bid price : 19.96
Bid-YTW : 8.14 %
BNS.PR.I FixedReset Disc 2.93 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-27
Maturity Price : 21.45
Evaluated at bid price : 21.75
Bid-YTW : 7.87 %
EIT.PR.A SplitShare 3.32 % YTW SCENARIO
Maturity Type : Soft Maturity
Maturity Date : 2024-03-14
Maturity Price : 25.00
Evaluated at bid price : 24.61
Bid-YTW : 8.73 %
SLF.PR.G FixedReset Ins Non 3.57 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-27
Maturity Price : 13.05
Evaluated at bid price : 13.05
Bid-YTW : 9.99 %
GWO.PR.N FixedReset Ins Non 4.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-27
Maturity Price : 12.51
Evaluated at bid price : 12.51
Bid-YTW : 9.73 %
SLF.PR.C Insurance Straight 6.65 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-27
Maturity Price : 17.00
Evaluated at bid price : 17.00
Bid-YTW : 6.59 %
Volume Highlights
Issue Index Shares
Traded
Notes
CU.PR.J Perpetual-Discount 126,300 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-27
Maturity Price : 17.10
Evaluated at bid price : 17.10
Bid-YTW : 7.04 %
TD.PF.K FixedReset Disc 106,324 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2023-10-31
Maturity Price : 25.00
Evaluated at bid price : 25.16
Bid-YTW : 6.01 %
FTS.PR.J Perpetual-Discount 102,115 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-27
Maturity Price : 18.40
Evaluated at bid price : 18.40
Bid-YTW : 6.54 %
POW.PR.G Perpetual-Discount 75,700 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-27
Maturity Price : 19.85
Evaluated at bid price : 19.85
Bid-YTW : 7.09 %
TD.PF.B FixedReset Disc 59,260 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-27
Maturity Price : 18.20
Evaluated at bid price : 18.20
Bid-YTW : 8.99 %
NA.PR.S FixedReset Disc 56,675 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-27
Maturity Price : 18.30
Evaluated at bid price : 18.30
Bid-YTW : 9.20 %
There were 20 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
BN.PR.X FixedReset Disc Quote: 10.00 – 13.10
Spot Rate : 3.1000
Average : 1.6869

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-27
Maturity Price : 10.00
Evaluated at bid price : 10.00
Bid-YTW : 14.05 %

RY.PR.N Perpetual-Discount Quote: 20.51 – 22.00
Spot Rate : 1.4900
Average : 0.9867

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-27
Maturity Price : 20.51
Evaluated at bid price : 20.51
Bid-YTW : 6.06 %

TD.PF.I FixedReset Disc Quote: 22.75 – 23.91
Spot Rate : 1.1600
Average : 0.7707

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-27
Maturity Price : 22.18
Evaluated at bid price : 22.75
Bid-YTW : 7.87 %

MFC.PR.M FixedReset Ins Non Quote: 17.01 – 18.00
Spot Rate : 0.9900
Average : 0.6415

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-27
Maturity Price : 17.01
Evaluated at bid price : 17.01
Bid-YTW : 9.54 %

TD.PF.E FixedReset Disc Quote: 17.75 – 18.85
Spot Rate : 1.1000
Average : 0.7640

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-27
Maturity Price : 17.75
Evaluated at bid price : 17.75
Bid-YTW : 9.36 %

BIK.PR.A FixedReset Disc Quote: 20.88 – 21.75
Spot Rate : 0.8700
Average : 0.6355

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-27
Maturity Price : 20.88
Evaluated at bid price : 20.88
Bid-YTW : 9.86 %

September 26, 2023

Tuesday, September 26th, 2023
HIMIPref™ Preferred Indices
These values reflect the December 2008 revision of the HIMIPref™ Indices

Values are provisional and are finalized monthly
Index Mean
Current
Yield
(at bid)
Median
YTW
Median
Average
Trading
Value
Median
Mod Dur
(YTW)
Issues Day’s Perf. Index Value
Ratchet 0.00 % 0.00 % 0 0.00 0 0.3578 % 2,168.3
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.3578 % 4,158.8
Floater 11.23 % 11.34 % 56,697 8.60 2 0.3578 % 2,396.7
OpRet 0.00 % 0.00 % 0 0.00 0 -0.5576 % 3,341.9
SplitShare 5.05 % 7.29 % 42,926 2.25 7 -0.5576 % 3,990.9
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.5576 % 3,113.9
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 0.4262 % 2,484.7
Perpetual-Discount 6.87 % 7.07 % 44,284 12.43 33 0.4262 % 2,709.5
FixedReset Disc 5.95 % 9.13 % 104,469 10.57 55 -0.2715 % 2,117.4
Insurance Straight 6.87 % 6.94 % 60,990 12.66 17 0.1212 % 2,619.1
FloatingReset 11.65 % 11.80 % 38,948 8.31 1 0.1410 % 2,284.0
FixedReset Prem 0.00 % 0.00 % 0 0.00 0 -0.2715 % 2,320.5
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 -0.2715 % 2,164.4
FixedReset Ins Non 6.65 % 8.59 % 125,421 10.96 11 0.0476 % 2,255.7
Performance Highlights
Issue Index Change Notes
EIT.PR.A SplitShare -3.76 % YTW SCENARIO
Maturity Type : Soft Maturity
Maturity Date : 2024-03-14
Maturity Price : 25.00
Evaluated at bid price : 23.82
Bid-YTW : 16.17 %
BNS.PR.I FixedReset Disc -3.74 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-26
Maturity Price : 21.13
Evaluated at bid price : 21.13
Bid-YTW : 8.12 %
CM.PR.S FixedReset Disc -3.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-26
Maturity Price : 19.80
Evaluated at bid price : 19.80
Bid-YTW : 8.36 %
RY.PR.J FixedReset Disc -2.51 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-26
Maturity Price : 17.50
Evaluated at bid price : 17.50
Bid-YTW : 9.50 %
RY.PR.Z FixedReset Disc -2.37 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-26
Maturity Price : 17.70
Evaluated at bid price : 17.70
Bid-YTW : 9.20 %
RY.PR.O Perpetual-Discount -2.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-26
Maturity Price : 20.55
Evaluated at bid price : 20.55
Bid-YTW : 6.04 %
BN.PF.A FixedReset Disc -2.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-26
Maturity Price : 18.94
Evaluated at bid price : 18.94
Bid-YTW : 9.62 %
BMO.PR.F FixedReset Disc -2.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-26
Maturity Price : 23.17
Evaluated at bid price : 23.85
Bid-YTW : 8.19 %
IFC.PR.C FixedReset Disc -1.54 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-26
Maturity Price : 16.00
Evaluated at bid price : 16.00
Bid-YTW : 9.65 %
RY.PR.N Perpetual-Discount -1.43 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-26
Maturity Price : 20.70
Evaluated at bid price : 20.70
Bid-YTW : 6.00 %
BIP.PR.E FixedReset Disc -1.30 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-26
Maturity Price : 19.75
Evaluated at bid price : 19.75
Bid-YTW : 9.04 %
MFC.PR.K FixedReset Ins Non -1.26 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-26
Maturity Price : 19.60
Evaluated at bid price : 19.60
Bid-YTW : 8.43 %
BN.PF.H FixedReset Disc -1.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-26
Maturity Price : 18.81
Evaluated at bid price : 18.81
Bid-YTW : 10.40 %
TD.PF.C FixedReset Disc 1.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-26
Maturity Price : 17.58
Evaluated at bid price : 17.58
Bid-YTW : 9.13 %
BN.PF.G FixedReset Disc 1.19 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-26
Maturity Price : 14.45
Evaluated at bid price : 14.45
Bid-YTW : 11.44 %
BIP.PR.F FixedReset Disc 3.51 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-26
Maturity Price : 19.15
Evaluated at bid price : 19.15
Bid-YTW : 9.47 %
POW.PR.C Perpetual-Discount 14.92 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-26
Maturity Price : 21.03
Evaluated at bid price : 21.03
Bid-YTW : 6.93 %
Volume Highlights
Issue Index Shares
Traded
Notes
NA.PR.G FixedReset Disc 363,867 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-26
Maturity Price : 21.84
Evaluated at bid price : 22.30
Bid-YTW : 8.08 %
TD.PF.K FixedReset Disc 230,175 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2023-10-31
Maturity Price : 25.00
Evaluated at bid price : 25.16
Bid-YTW : 5.84 %
BMO.PR.E FixedReset Disc 84,498 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-26
Maturity Price : 21.98
Evaluated at bid price : 22.51
Bid-YTW : 7.87 %
NA.PR.S FixedReset Disc 63,600 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-26
Maturity Price : 18.34
Evaluated at bid price : 18.34
Bid-YTW : 9.17 %
NA.PR.W FixedReset Disc 63,244 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-26
Maturity Price : 16.75
Evaluated at bid price : 16.75
Bid-YTW : 9.53 %
BMO.PR.F FixedReset Disc 59,312 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-26
Maturity Price : 23.17
Evaluated at bid price : 23.85
Bid-YTW : 8.19 %
There were 22 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
GWO.PR.I Insurance Straight Quote: 16.45 – 17.80
Spot Rate : 1.3500
Average : 0.7490

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-26
Maturity Price : 16.45
Evaluated at bid price : 16.45
Bid-YTW : 6.89 %

BNS.PR.I FixedReset Disc Quote: 21.13 – 22.35
Spot Rate : 1.2200
Average : 0.6849

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-26
Maturity Price : 21.13
Evaluated at bid price : 21.13
Bid-YTW : 8.12 %

EIT.PR.A SplitShare Quote: 23.82 – 24.82
Spot Rate : 1.0000
Average : 0.5343

YTW SCENARIO
Maturity Type : Soft Maturity
Maturity Date : 2024-03-14
Maturity Price : 25.00
Evaluated at bid price : 23.82
Bid-YTW : 16.17 %

BN.PR.R FixedReset Disc Quote: 12.81 – 13.76
Spot Rate : 0.9500
Average : 0.6287

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-26
Maturity Price : 12.81
Evaluated at bid price : 12.81
Bid-YTW : 11.39 %

CU.PR.E Perpetual-Discount Quote: 17.80 – 18.50
Spot Rate : 0.7000
Average : 0.4264

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-26
Maturity Price : 17.80
Evaluated at bid price : 17.80
Bid-YTW : 6.98 %

SLF.PR.C Insurance Straight Quote: 15.94 – 17.09
Spot Rate : 1.1500
Average : 0.8790

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

September 25, 2023

Monday, September 25th, 2023

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

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

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

Five-year Canada yields were up to 4.33%.

Equities were flattish, with the pundits looking at bonds:

Canada’s main stock index rose on Monday as energy shares rallied, but the market was still trading near its lowest level in four weeks as investors worried about interest rates being kept at elevated levels for longer than previously expected. The Canadian 10-year bond yield climbed above the 4% threshold to its highest in nearly 16 years.

The Canadian five-year bond yield – closely watched because of its influence on popular terms of fixed mortgage rates – also rose to a 16-year high on Monday, reaching 4.33%.

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

HIMIPref™ Preferred Indices
These values reflect the December 2008 revision of the HIMIPref™ Indices

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

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-25
Maturity Price : 18.30
Evaluated at bid price : 18.30
Bid-YTW : 7.96 %

PWF.PR.T FixedReset Disc Quote: 18.95 – 19.95
Spot Rate : 1.0000
Average : 0.6018

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-25
Maturity Price : 18.95
Evaluated at bid price : 18.95
Bid-YTW : 8.96 %

SLF.PR.C Insurance Straight Quote: 15.94 – 16.90
Spot Rate : 0.9600
Average : 0.5818

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-25
Maturity Price : 15.94
Evaluated at bid price : 15.94
Bid-YTW : 7.03 %

ELF.PR.F Perpetual-Discount Quote: 18.99 – 20.48
Spot Rate : 1.4900
Average : 1.1454

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-25
Maturity Price : 18.99
Evaluated at bid price : 18.99
Bid-YTW : 7.15 %

BN.PF.J FixedReset Disc Quote: 18.15 – 18.96
Spot Rate : 0.8100
Average : 0.4689

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-25
Maturity Price : 18.15
Evaluated at bid price : 18.15
Bid-YTW : 9.73 %

GWO.PR.N FixedReset Ins Non Quote: 11.96 – 12.80
Spot Rate : 0.8400
Average : 0.4989

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

September 23, 2023

Friday, September 22nd, 2023
HIMIPref™ Preferred Indices
These values reflect the December 2008 revision of the HIMIPref™ Indices

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

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-22
Maturity Price : 18.30
Evaluated at bid price : 18.30
Bid-YTW : 7.96 %

ELF.PR.F Perpetual-Discount Quote: 19.25 – 20.48
Spot Rate : 1.2300
Average : 0.7676

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-22
Maturity Price : 19.25
Evaluated at bid price : 19.25
Bid-YTW : 7.04 %

BN.PF.C Perpetual-Discount Quote: 16.50 – 17.50
Spot Rate : 1.0000
Average : 0.6908

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-22
Maturity Price : 16.50
Evaluated at bid price : 16.50
Bid-YTW : 7.40 %

BN.PF.I FixedReset Disc Quote: 17.54 – 18.51
Spot Rate : 0.9700
Average : 0.6932

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-22
Maturity Price : 17.54
Evaluated at bid price : 17.54
Bid-YTW : 10.47 %

FTS.PR.G FixedReset Disc Quote: 18.36 – 18.90
Spot Rate : 0.5400
Average : 0.3489

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-22
Maturity Price : 18.36
Evaluated at bid price : 18.36
Bid-YTW : 8.74 %

TD.PF.K FixedReset Disc Quote: 21.76 – 22.35
Spot Rate : 0.5900
Average : 0.4332

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

September 21, 2023

Thursday, September 21st, 2023

Higher for longer?:

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

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

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

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

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

This all arises from the famous dotplot:

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

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

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

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

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

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

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

HIMIPref™ Preferred Indices
These values reflect the December 2008 revision of the HIMIPref™ Indices

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

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-21
Maturity Price : 20.08
Evaluated at bid price : 20.08
Bid-YTW : 8.57 %

MFC.PR.L FixedReset Ins Non Quote: 17.40 – 18.40
Spot Rate : 1.0000
Average : 0.6019

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-21
Maturity Price : 17.40
Evaluated at bid price : 17.40
Bid-YTW : 9.20 %

POW.PR.C Perpetual-Discount Quote: 20.33 – 21.30
Spot Rate : 0.9700
Average : 0.5955

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-21
Maturity Price : 20.33
Evaluated at bid price : 20.33
Bid-YTW : 7.16 %

POW.PR.A Perpetual-Discount Quote: 19.65 – 20.38
Spot Rate : 0.7300
Average : 0.4523

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-21
Maturity Price : 19.65
Evaluated at bid price : 19.65
Bid-YTW : 7.15 %

SLF.PR.G FixedReset Ins Non Quote: 12.51 – 13.20
Spot Rate : 0.6900
Average : 0.4410

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-21
Maturity Price : 12.51
Evaluated at bid price : 12.51
Bid-YTW : 10.34 %

GWO.PR.S Insurance Straight Quote: 18.90 – 19.70
Spot Rate : 0.8000
Average : 0.5641

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

September 20, 2023

Wednesday, September 20th, 2023

The FOMC held steady today:

Recent indicators suggest that economic activity has been expanding at a solid pace. Job gains have slowed in recent months but remain strong, 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 maintain the target range for the federal funds rate at 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; Adriana D. Kugler; Lorie K. Logan; and Christopher J. Waller.

… but bond yields rose anyway:

The TSX ended nearly unchanged, but both U.S. and Canadian bond yields rose sharply. U.S. two-year yields reached 5.152%, the highest since 2006, and the Canadian two-year bond yield rose more than 10 basis points to above 5%, its highest since 2001. The Canadian five-year bond yield – influential on fixed mortgage rates – climbed to 16-year highs for the second day in a row.

Fed funds futures traders are still pricing in only a partial chance of a further rate hike, with a 29% probability in November and 43% chance by December, according to the CME Group’s FedWatch Tool.

The Bank of Canada has also kept the door open to further tightening. It wanted to send the message that interest rates would not be coming down soon when it left them at a 22-year high after a policy meeting on Sept. 6, minutes showed Wednesday.

Data on Tuesday showed Canada’s annual inflation rate jumping to 4.0% in August from 3.3% in July.

Implied interest rate probabilities in credit markets now suggest almost a 50% chance the Bank of Canada will hike interest rates again at its next meeting in October. That’s up from about 40% on Tuesday and 20% prior to this week’s inflation report.

This follows yesterday’s announcement of Canadian inflation:

Canada’s annual inflation rate accelerated sharply for the second month in a row, raising the odds that the Bank of Canada could deliver at least one more interest rate increase this year despite hitting pause on monetary policy tightening earlier this month.

The Consumer Price Index rose 4 per cent in August from a year earlier, up from 3.3 per cent in July and the highest annual inflation rate since April, Statistics Canada said Tuesday. Bay Street analysts were expecting inflation to clock in at 3.8 per cent.

The larger-than-expected increase was driven by gasoline prices, which have surged in recent months after oil-production cuts by Saudi Arabia and Russia. But it was more than just energy prices pushing up headline inflation.

Shelter costs accelerated for both renters and homeowners facing higher mortgage payments. While grocery prices grew less quickly in August than in July, food inflation remains far above most other components of the Consumer Price Index.

PerpetualDiscounts now yield 7.01%, equivalent to 9.11% interest at the standard equivalency factor of 1.3x. Long corporates yielded 5.48% on 2023-9-15 and since then the closing price has changed from 14.33 to 14.12, a decrease of 147bp in price, with a Duration of 12.08 (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 9/15 to 5.60%, so the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) has narrowed sharply to 350bp from the 375bp reported September 13.

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 % 2,166.4
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.0000 % 4,155.1
Floater 11.24 % 11.35 % 40,369 8.61 2 0.0000 % 2,394.6
OpRet 0.00 % 0.00 % 0 0.00 0 0.1658 % 3,359.4
SplitShare 5.03 % 7.32 % 38,746 2.27 7 0.1658 % 4,011.8
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.1658 % 3,130.2
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 0.1864 % 2,506.9
Perpetual-Discount 6.81 % 7.01 % 44,521 12.47 33 0.1864 % 2,733.6
FixedReset Disc 6.10 % 9.15 % 99,362 10.63 55 0.2580 % 2,064.0
Insurance Straight 6.83 % 6.92 % 63,028 12.70 17 0.0847 % 2,633.3
FloatingReset 11.55 % 11.67 % 35,224 8.41 1 -1.9863 % 2,301.7
FixedReset Prem 0.00 % 0.00 % 0 0.00 0 0.2580 % 2,261.9
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 0.2580 % 2,109.8
FixedReset Ins Non 6.64 % 8.38 % 129,519 11.25 11 0.3726 % 2,248.8
Performance Highlights
Issue Index Change Notes
SLF.PR.J FloatingReset -1.99 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-20
Maturity Price : 14.31
Evaluated at bid price : 14.31
Bid-YTW : 11.67 %
CM.PR.S FixedReset Disc -1.44 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-20
Maturity Price : 19.86
Evaluated at bid price : 19.86
Bid-YTW : 8.13 %
CIU.PR.A Perpetual-Discount -1.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-20
Maturity Price : 16.60
Evaluated at bid price : 16.60
Bid-YTW : 7.02 %
IFC.PR.E Insurance Straight 1.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-20
Maturity Price : 19.20
Evaluated at bid price : 19.20
Bid-YTW : 6.81 %
BN.PF.D Perpetual-Discount 1.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-20
Maturity Price : 16.80
Evaluated at bid price : 16.80
Bid-YTW : 7.34 %
BN.PR.M Perpetual-Discount 1.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-20
Maturity Price : 16.50
Evaluated at bid price : 16.50
Bid-YTW : 7.25 %
MFC.PR.L FixedReset Ins Non 1.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-20
Maturity Price : 17.25
Evaluated at bid price : 17.25
Bid-YTW : 8.98 %
BN.PR.X FixedReset Disc 1.17 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-20
Maturity Price : 12.95
Evaluated at bid price : 12.95
Bid-YTW : 10.67 %
PVS.PR.K SplitShare 1.35 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2029-05-31
Maturity Price : 25.00
Evaluated at bid price : 20.95
Bid-YTW : 8.14 %
PWF.PR.T FixedReset Disc 1.37 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-20
Maturity Price : 18.45
Evaluated at bid price : 18.45
Bid-YTW : 8.88 %
RY.PR.O Perpetual-Discount 1.45 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-20
Maturity Price : 21.05
Evaluated at bid price : 21.05
Bid-YTW : 5.89 %
IFC.PR.A FixedReset Ins Non 1.54 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-20
Maturity Price : 15.80
Evaluated at bid price : 15.80
Bid-YTW : 8.75 %
BIP.PR.E FixedReset Disc 1.56 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-20
Maturity Price : 19.50
Evaluated at bid price : 19.50
Bid-YTW : 8.95 %
FTS.PR.H FixedReset Disc 1.89 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-20
Maturity Price : 12.43
Evaluated at bid price : 12.43
Bid-YTW : 10.22 %
BIP.PR.F FixedReset Disc 2.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-20
Maturity Price : 18.65
Evaluated at bid price : 18.65
Bid-YTW : 9.40 %
Volume Highlights
Issue Index Shares
Traded
Notes
CU.PR.J Perpetual-Discount 73,850 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-20
Maturity Price : 17.15
Evaluated at bid price : 17.15
Bid-YTW : 7.01 %
GWO.PR.R Insurance Straight 65,875 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-20
Maturity Price : 17.30
Evaluated at bid price : 17.30
Bid-YTW : 6.98 %
FTS.PR.J Perpetual-Discount 43,125 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-20
Maturity Price : 18.47
Evaluated at bid price : 18.47
Bid-YTW : 6.51 %
BNS.PR.I FixedReset Disc 33,450 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-20
Maturity Price : 20.56
Evaluated at bid price : 20.56
Bid-YTW : 8.05 %
CM.PR.P FixedReset Disc 28,500 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-20
Maturity Price : 16.19
Evaluated at bid price : 16.19
Bid-YTW : 9.49 %
CM.PR.Q FixedReset Disc 21,700 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-20
Maturity Price : 17.02
Evaluated at bid price : 17.02
Bid-YTW : 9.35 %
There were 8 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
MFC.PR.J FixedReset Ins Non Quote: 19.90 – 21.92
Spot Rate : 2.0200
Average : 1.2682

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-20
Maturity Price : 19.90
Evaluated at bid price : 19.90
Bid-YTW : 8.28 %

BN.PF.C Perpetual-Discount Quote: 16.54 – 17.50
Spot Rate : 0.9600
Average : 0.5948

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-20
Maturity Price : 16.54
Evaluated at bid price : 16.54
Bid-YTW : 7.38 %

BN.PF.G FixedReset Disc Quote: 14.19 – 15.40
Spot Rate : 1.2100
Average : 0.8760

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-20
Maturity Price : 14.19
Evaluated at bid price : 14.19
Bid-YTW : 11.29 %

SLF.PR.J FloatingReset Quote: 14.31 – 14.89
Spot Rate : 0.5800
Average : 0.3845

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-20
Maturity Price : 14.31
Evaluated at bid price : 14.31
Bid-YTW : 11.67 %

PWF.PR.Z Perpetual-Discount Quote: 18.69 – 19.30
Spot Rate : 0.6100
Average : 0.4683

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-20
Maturity Price : 18.69
Evaluated at bid price : 18.69
Bid-YTW : 7.02 %

TD.PF.J FixedReset Disc Quote: 20.45 – 20.85
Spot Rate : 0.4000
Average : 0.2843

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-20
Maturity Price : 20.45
Evaluated at bid price : 20.45
Bid-YTW : 8.05 %

September 19, 2023

Tuesday, September 19th, 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 0.6736 % 2,166.4
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.6736 % 4,155.1
Floater 11.24 % 11.35 % 39,906 8.61 2 0.6736 % 2,394.6
OpRet 0.00 % 0.00 % 0 0.00 0 -0.0184 % 3,353.8
SplitShare 5.03 % 7.32 % 39,624 2.27 7 -0.0184 % 4,005.2
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.0184 % 3,125.0
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 -0.3521 % 2,502.2
Perpetual-Discount 6.83 % 7.00 % 45,247 12.46 33 -0.3521 % 2,728.5
FixedReset Disc 6.12 % 9.15 % 100,881 10.53 55 -0.1737 % 2,058.6
Insurance Straight 6.84 % 6.91 % 65,139 12.71 17 -0.4118 % 2,631.1
FloatingReset 11.32 % 11.43 % 35,335 8.56 1 0.0000 % 2,348.3
FixedReset Prem 0.00 % 0.00 % 0 0.00 0 -0.1737 % 2,256.1
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 -0.1737 % 2,104.4
FixedReset Ins Non 6.66 % 8.38 % 128,583 11.25 11 -0.0638 % 2,240.5
Performance Highlights
Issue Index Change Notes
BN.PR.X FixedReset Disc -1.92 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-19
Maturity Price : 12.80
Evaluated at bid price : 12.80
Bid-YTW : 10.79 %
TD.PF.I FixedReset Disc -1.90 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-19
Maturity Price : 21.85
Evaluated at bid price : 22.24
Bid-YTW : 7.86 %
BN.PF.I FixedReset Disc -1.61 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-19
Maturity Price : 17.72
Evaluated at bid price : 17.72
Bid-YTW : 10.17 %
PWF.PR.E Perpetual-Discount -1.46 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-19
Maturity Price : 19.55
Evaluated at bid price : 19.55
Bid-YTW : 7.17 %
BN.PF.G FixedReset Disc -1.40 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-19
Maturity Price : 14.08
Evaluated at bid price : 14.08
Bid-YTW : 11.37 %
BN.PF.A FixedReset Disc -1.40 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-19
Maturity Price : 19.08
Evaluated at bid price : 19.08
Bid-YTW : 9.22 %
BN.PF.C Perpetual-Discount -1.26 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-19
Maturity Price : 16.45
Evaluated at bid price : 16.45
Bid-YTW : 7.42 %
GWO.PR.G Insurance Straight -1.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-19
Maturity Price : 18.63
Evaluated at bid price : 18.63
Bid-YTW : 7.02 %
RY.PR.Z FixedReset Disc -1.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-19
Maturity Price : 17.25
Evaluated at bid price : 17.25
Bid-YTW : 9.10 %
BN.PR.Z FixedReset Disc -1.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-19
Maturity Price : 17.40
Evaluated at bid price : 17.40
Bid-YTW : 9.72 %
FTS.PR.F Perpetual-Discount -1.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-19
Maturity Price : 19.25
Evaluated at bid price : 19.25
Bid-YTW : 6.44 %
MFC.PR.K FixedReset Ins Non -1.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-19
Maturity Price : 19.50
Evaluated at bid price : 19.50
Bid-YTW : 8.15 %
CU.PR.D Perpetual-Discount -1.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-19
Maturity Price : 17.90
Evaluated at bid price : 17.90
Bid-YTW : 6.93 %
BN.PF.D Perpetual-Discount -1.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-19
Maturity Price : 16.62
Evaluated at bid price : 16.62
Bid-YTW : 7.42 %
BN.PR.N Perpetual-Discount -1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-19
Maturity Price : 16.18
Evaluated at bid price : 16.18
Bid-YTW : 7.39 %
TD.PF.K FixedReset Disc 1.19 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-19
Maturity Price : 21.73
Evaluated at bid price : 22.13
Bid-YTW : 7.67 %
ELF.PR.F Perpetual-Discount 1.19 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-19
Maturity Price : 19.50
Evaluated at bid price : 19.50
Bid-YTW : 6.95 %
NA.PR.G FixedReset Disc 1.62 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-19
Maturity Price : 21.28
Evaluated at bid price : 21.28
Bid-YTW : 8.20 %
Volume Highlights
Issue Index Shares
Traded
Notes
FTS.PR.K FixedReset Disc 169,269 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-19
Maturity Price : 16.47
Evaluated at bid price : 16.47
Bid-YTW : 9.38 %
CM.PR.S FixedReset Disc 53,539 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-19
Maturity Price : 20.15
Evaluated at bid price : 20.15
Bid-YTW : 8.01 %
PWF.PF.A Perpetual-Discount 47,000 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-19
Maturity Price : 16.41
Evaluated at bid price : 16.41
Bid-YTW : 6.99 %
BMO.PR.E FixedReset Disc 40,326 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-19
Maturity Price : 21.55
Evaluated at bid price : 21.55
Bid-YTW : 7.96 %
TD.PF.C FixedReset Disc 38,821 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-19
Maturity Price : 16.45
Evaluated at bid price : 16.45
Bid-YTW : 9.42 %
FTS.PR.M FixedReset Disc 29,779 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-19
Maturity Price : 16.35
Evaluated at bid price : 16.35
Bid-YTW : 9.80 %
There were 13 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
MFC.PR.I FixedReset Ins Non Quote: 20.09 – 24.24
Spot Rate : 4.1500
Average : 2.2092

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-19
Maturity Price : 20.09
Evaluated at bid price : 20.09
Bid-YTW : 8.37 %

FTS.PR.M FixedReset Disc Quote: 16.35 – 18.00
Spot Rate : 1.6500
Average : 0.9139

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-19
Maturity Price : 16.35
Evaluated at bid price : 16.35
Bid-YTW : 9.80 %

BIP.PR.F FixedReset Disc Quote: 18.26 – 18.86
Spot Rate : 0.6000
Average : 0.3738

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-19
Maturity Price : 18.26
Evaluated at bid price : 18.26
Bid-YTW : 9.60 %

NA.PR.W FixedReset Disc Quote: 15.90 – 16.69
Spot Rate : 0.7900
Average : 0.5677

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-19
Maturity Price : 15.90
Evaluated at bid price : 15.90
Bid-YTW : 9.69 %

BN.PR.X FixedReset Disc Quote: 12.80 – 13.95
Spot Rate : 1.1500
Average : 0.9732

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-19
Maturity Price : 12.80
Evaluated at bid price : 12.80
Bid-YTW : 10.79 %

TD.PF.I FixedReset Disc Quote: 22.24 – 22.90
Spot Rate : 0.6600
Average : 0.4878

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-19
Maturity Price : 21.85
Evaluated at bid price : 22.24
Bid-YTW : 7.86 %