Archive for the ‘Market Action’ Category

February 28, 2024

Thursday, February 29th, 2024

Sorry this is late!

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

V
alues are provisional and are finalized monthly
Index Mean
Current
Yield
(at bid)
Median
YTW
Median
Average
Trading< br>Value
Median
Mod Dur
(YTW)
Issues Day’s Perf. Index Value
Ratchet 0.00 % 0.00 % 0 0.0
0
0 -0.4894 % 2,357.7
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.4894 % 4,522.0
Floater 10.33 % 10.51 % 44,826 9.04 2 -0.4894 % 2,606.1
OpRet 0.00 % 0.
00 %
0 0.00 0 0.1274 % 3,389.6
SplitShare 4.97 % 7.51 % 50,989 1.88 7 0.1274 % 4,047.9
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.1274 % 3,158.4
Per
petual-Premium
0.00 % 0.00 % 0 0.00 0 -0.1904 % 2,629.1
Perpetual-Discount 6.54 % 6.74
%
44,899 12.85 33 -0.1904 % 2,866.9
FixedReset Disc 5.61 % 7.62 % 111,513 12.15 59 0.3868 % 2,363.2
Insurance Straight 6.42 % 6.54 % 59,095 13.19 21 -0.8252 % 2,82
4.1
FloatingReset 9.96 % 10.13 % 35,545 9.35 3 0.5877 % 2,599.4
FixedReset Prem 7.02 % 7.04 % 161,672 12.33 1 0.0000 % 2,486.5
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 0.3868 % 2,415.7
FixedReset Ins Non 5.53 % 7.22 % 80,103 12.34 14 0.045
1 %
2,569.1
Performance Highlights
Issue Index Change Notes
CU.PR.D Perpetual-Discount -5.97 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-28
Maturity Price : 18.10
Evaluated at bid price : 18.10
Bid-YTW : 6.82 %
BN.PF.F FixedReset Disc -3.18 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-28
Maturity Price : 18.25
Evaluated at bid price : 18.25
Bid-YTW : 8.94 %
FTS.PR.F Perpetual-Discount -2.65 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-28
Maturity Price : 19.50
Evaluated at bid price : 19.50
Bid-YTW : 6.33 %
FTS.PR.M FixedReset Disc -1.35 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-28
Maturity Price : 18.25
Evaluated at bid price : 18.25
Bid-YTW : 8.29 %
BN.PR.K Floater -1.31 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-28
Maturity Price : 12.05
Evaluated at bid price : 12.05
Bid-YTW : 10.78 %
MIC.PR.A Perpetual-Discount -1.28 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-28
Maturity Price : 19.25
Evaluated at bid price : 19.25
Bid-YTW : 7.17 %
BN.PF.I FixedReset Disc -1.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-28
Maturity Price : 20.00
Evaluated at bid price : 20.00
Bid-YTW : 8.91 %
GWO.PR.S Insurance Straight -1.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-28
Maturity Price : 19.75
Evaluated at bid price : 19.75
Bid-YTW : 6.65 %
RY.PR.J FixedReset Disc 1.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-28
Maturity Price : 20.15
Evaluated at bid price : 20.15
Bid-YTW : 7.64 %
BMO.PR.Y FixedReset Disc 1.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-28
Maturity Price : 20.00
Evaluated at bid price : 20.00
Bid-YTW : 7.57 %
FFH.PR.I FixedReset Disc 1.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-28
Maturity Price : 17.40
Evaluated at bid price : 17.40
Bid-YTW : 8.82 %
CU.PR.C FixedReset Disc 1.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-28
Maturity Price : 18.90
Evaluated at bid price : 18.90
Bid-YTW : 7.77 %
BIP.PR.F FixedReset Disc 1.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-28
Maturity Price : 20.60
Evaluated at bid price : 20.60
Bid-YTW : 7.91 %
SLF.PR.H FixedReset Ins Non 1.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-28
Maturity Price : 18.45
Evaluated at bid price : 18.45
Bid-YTW : 7.20 %
MFC.PR.F FixedReset Ins Non 1.24 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-28
Maturity Price : 14.70
Evaluated at bid price : 14.70
Bid-YTW : 7.85 %
SLF.PR.J FloatingReset 1.31 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-28
Maturity Price : 16.30
Evaluated at bid price : 16.30
Bid-YTW : 9.91 %
RY.PR.H FixedReset Disc 1.35 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-28
Maturity Price : 20.22
Evaluated at bid price : 20.22
Bid-YTW : 7.28 %
PWF.PR.T FixedReset Disc 1.39 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-28
Maturity Price : 20.48
Evaluated at bid price : 20.48
Bid-YTW : 7.25 %
TD.PF.D FixedReset Disc 1.41 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-28
Maturity Price : 20.15
Evaluated at bid price : 20.15
Bid-YTW : 7.66 %
CM.PR.P FixedReset Disc 1.60 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-28
Maturity Price : 19.00
Evaluated at bid price : 19.00
Bid-YTW : 7.61 %
TD.PF.B FixedReset Disc 1.61 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-28
Maturity Price : 21.66
Evaluated at bid price : 22.05
Bid-YTW : 6.69 %
TD.PF.E FixedReset Disc 1.91 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-28
Maturity Price : 20.30
Evaluated at bid price : 20.30
Bid-YTW : 7.62 %
GWO.PR.M Insurance Straight 1.95 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-28
Maturity Price : 22.58
Evaluated at bid price : 22.83
Bid-YTW : 6.35 %
RY.PR.Z FixedReset Disc 2.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-28
Maturity Price : 20.95
Evaluated at bid price : 20.95
Bid-YTW : 7.01 %
POW.PR.C Perpetual-Discount 2.27 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-28
Maturity Price : 22.22
Evaluated at bid price : 22.50
Bid-YTW : 6.54 %
BMO.PR.T FixedReset Disc 2.74 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-28
Maturity Price : 20.25
Evaluated at bid price : 20.25
Bid-YTW : 7.24 %
BMO.PR.S FixedReset Disc 3.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-28
Maturity Price : 21.59
Evaluated at bid price : 21.95
Bid-YTW : 6.81 %
TD.PF.A FixedReset Disc 3.71 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-28
Maturity Price : 21.26
Evaluated at bid price : 21.26
Bid-YTW : 6.88 %
BMO.PR.W FixedReset Disc 3.89 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-28
Maturity Price : 19.75
Evaluated at bid price : 19.75
Bid-YTW : 7.35 %
Volume Highlights
Issue Index Shares
Traded
Notes
B
MO.PR.S
FixedReset Disc 160,062 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-28
Maturity Price : 21.59
Evaluated at bid price : 21.95
Bid-YTW : 6.81 %
RY.PR.M FixedReset Disc 134,850 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-28
Maturity Price : 19.38
Evaluated at bid price : 19.38
Bid-YTW : 7.62 %
MFC.PR.F FixedReset Ins Non 91,100 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-28
Maturity Price : 14.70
Evaluated at bid price : 14.70
Bid-YTW : 7.85 %
NA.PR.S FixedReset Disc 47,150 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-28
Maturity Price : 20.73
Evaluated at bid price : 20.73
Bid-YTW : 7.34 %
MFC.PR.K FixedReset Ins Non 44,300 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-28
Maturity Price : 21.73
Evaluated at bid price : 22.10
Bid-YTW : 6.77 %
BMO.PR.T FixedReset Disc 37,940 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-28
Maturity Price : 20.25
Evaluated at bid price : 20.25
Bid-YTW : 7.24 %
There were 15 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
BMO.PR.W FixedReset Disc Quote: 19.75 – 22.50
Spot Rate : 2.7500
Average : 1.5473


YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-28
Maturity Price : 19.75
Evaluated at bid price : 19.75
Bid-YTW : 7.35 %
BN.PF.F FixedReset Disc Quote: 18.25 – 20.00
Spot Rate : 1.7500
Average : 1.0450


YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-28
Maturity Price : 18.25
Evaluated at bid price : 18.25
Bid-YTW : 8.94 %
TD.PF.C FixedReset Disc Quote: 19.85 – 21.00
Spot Rate : 1.1500
Average : 0.6728


YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-28
Maturity Price : 19.85
Evaluated at bid price : 19.85
Bid-YTW : 7.34 %
RY.PR.M FixedReset Disc Quote: 19.38 – 20.49
Spot Rate : 1.1100
Average : 0.6676


YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-28
Maturity Price : 19.38
Evaluated at bid price : 19.38
Bid-YTW : 7.62 %
GWO.PR.T Insurance Straight Quote: 18.67 – 20.10
Spot Rate : 1.4300
Average : 1.0659


YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-28
Maturity Price : 18.67
Evaluated at bid price : 18.67
Bid-YTW : 6.91 %
CU.PR.D Perpetual-Discount Quote: 18.10 – 19.20
Spot Rate : 1.1000
Average : 0.7838


YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-28
Maturity Price : 18.10
Evaluated at bid price : 18.10
Bid-YTW : 6.82 %

February 27, 2024

Tuesday, February 27th, 2024
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 0.2453 % 2,369.3
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.2453 % 4,544.3
Floater 10.28 % 10.54 % 46,359 9.02 2 0.2453 % 2,618.9
OpRet 0.00 % 0.00 % 0 0.00 0 0.1944 % 3,385.3
SplitShare 4.97 % 7.50 % 47,190 1.89 7 0.1944 % 4,042.8
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.1944 % 3,154.3
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 -0.2301 % 2,634.1
Perpetual-Discount 6.52 % 6.74 % 46,744 12.86 33 -0.2301 % 2,872.3
FixedReset Disc 5.63 % 7.68 % 111,792 12.11 59 -0.0574 % 2,354.1
Insurance Straight 6.37 % 6.54 % 60,143 13.08 21 -0.1285 % 2,847.6
FloatingReset 10.01 % 10.16 % 35,955 9.34 3 -0.1892 % 2,584.2
FixedReset Prem 7.02 % 7.04 % 164,275 12.33 1 -0.5169 % 2,486.5
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 -0.0574 % 2,406.4
FixedReset Ins Non 5.53 % 7.27 % 78,562 12.39 14 -1.1959 % 2,567.9
Performance Highlights
Issue Index Change Notes
GWO.PR.T Insurance Straight -5.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-27
Maturity Price : 19.00
Evaluated at bid price : 19.00
Bid-YTW : 6.92 %
POW.PR.C Perpetual-Discount -2.48 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-27
Maturity Price : 21.75
Evaluated at bid price : 22.00
Bid-YTW : 6.69 %
RY.PR.Z FixedReset Disc -2.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-27
Maturity Price : 20.50
Evaluated at bid price : 20.50
Bid-YTW : 7.17 %
SLF.PR.H FixedReset Ins Non -1.94 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-27
Maturity Price : 18.25
Evaluated at bid price : 18.25
Bid-YTW : 7.27 %
SLF.PR.G FixedReset Ins Non -1.74 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-27
Maturity Price : 14.87
Evaluated at bid price : 14.87
Bid-YTW : 8.00 %
TD.PF.E FixedReset Disc -1.63 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-27
Maturity Price : 19.92
Evaluated at bid price : 19.92
Bid-YTW : 7.76 %
BN.PR.X FixedReset Disc -1.59 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-27
Maturity Price : 15.50
Evaluated at bid price : 15.50
Bid-YTW : 8.60 %
GWO.PR.N FixedReset Ins Non -1.43 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-27
Maturity Price : 13.75
Evaluated at bid price : 13.75
Bid-YTW : 8.29 %
CU.PR.G Perpetual-Discount -1.36 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-27
Maturity Price : 17.41
Evaluated at bid price : 17.41
Bid-YTW : 6.51 %
CU.PR.C FixedReset Disc -1.32 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-27
Maturity Price : 18.70
Evaluated at bid price : 18.70
Bid-YTW : 7.85 %
BMO.PR.Y FixedReset Disc 1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-27
Maturity Price : 19.80
Evaluated at bid price : 19.80
Bid-YTW : 7.64 %
BN.PF.B FixedReset Disc 1.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-27
Maturity Price : 19.56
Evaluated at bid price : 19.56
Bid-YTW : 8.17 %
BN.PF.I FixedReset Disc 1.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-27
Maturity Price : 20.25
Evaluated at bid price : 20.25
Bid-YTW : 8.80 %
PVS.PR.J SplitShare 1.34 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2028-02-29
Maturity Price : 25.00
Evaluated at bid price : 22.70
Bid-YTW : 7.08 %
GWO.PR.S Insurance Straight 1.40 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-27
Maturity Price : 20.30
Evaluated at bid price : 20.30
Bid-YTW : 6.60 %
SLF.PR.J FloatingReset 1.56 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-27
Maturity Price : 16.09
Evaluated at bid price : 16.09
Bid-YTW : 10.04 %
SLF.PR.C Insurance Straight 7.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-27
Maturity Price : 19.00
Evaluated at bid price : 19.00
Bid-YTW : 5.86 %
Volume Highlights
Issue Index Shares
Traded
Notes
SLF.PR.G FixedReset Ins Non 51,200 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-27
Maturity Price : 14.87
Evaluated at bid price : 14.87
Bid-YTW : 8.00 %
TD.PF.B FixedReset Disc 44,848 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-27
Maturity Price : 21.41
Evaluated at bid price : 21.70
Bid-YTW : 6.81 %
TD.PF.C FixedReset Disc 33,400 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-27
Maturity Price : 19.79
Evaluated at bid price : 19.79
Bid-YTW : 7.36 %
BN.PF.I FixedReset Disc 32,600 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-27
Maturity Price : 20.25
Evaluated at bid price : 20.25
Bid-YTW : 8.80 %
TD.PF.A FixedReset Disc 32,400 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-27
Maturity Price : 20.50
Evaluated at bid price : 20.50
Bid-YTW : 7.13 %
TD.PF.J FixedReset Disc 21,625 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-27
Maturity Price : 21.64
Evaluated at bid price : 21.95
Bid-YTW : 7.10 %
There were 12 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
IFC.PR.E Insurance Straight Quote: 18.50 – 20.97
Spot Rate : 2.4700
Average : 1.9633

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-27
Maturity Price : 18.50
Evaluated at bid price : 18.50
Bid-YTW : 7.18 %

GWO.PR.T Insurance Straight Quote: 19.00 – 20.03
Spot Rate : 1.0300
Average : 0.6667

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-27
Maturity Price : 19.00
Evaluated at bid price : 19.00
Bid-YTW : 6.92 %

POW.PR.C Perpetual-Discount Quote: 22.00 – 22.76
Spot Rate : 0.7600
Average : 0.5111

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-27
Maturity Price : 21.75
Evaluated at bid price : 22.00
Bid-YTW : 6.69 %

SLF.PR.H FixedReset Ins Non Quote: 18.25 – 19.15
Spot Rate : 0.9000
Average : 0.6608

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-27
Maturity Price : 18.25
Evaluated at bid price : 18.25
Bid-YTW : 7.27 %

RY.PR.Z FixedReset Disc Quote: 20.50 – 21.01
Spot Rate : 0.5100
Average : 0.3130

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-27
Maturity Price : 20.50
Evaluated at bid price : 20.50
Bid-YTW : 7.17 %

MFC.PR.J FixedReset Ins Non Quote: 22.00 – 22.58
Spot Rate : 0.5800
Average : 0.3832

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-27
Maturity Price : 21.68
Evaluated at bid price : 22.00
Bid-YTW : 7.06 %

February 26, 2024

Monday, February 26th, 2024
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 0.2459 % 2,363.5
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.2459 % 4,533.1
Floater 10.30 % 10.54 % 46,900 9.02 2 0.2459 % 2,612.5
OpRet 0.00 % 0.00 % 0 0.00 0 0.2131 % 3,378.8
SplitShare 4.98 % 7.46 % 48,743 1.89 7 0.2131 % 4,034.9
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.2131 % 3,148.2
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 -0.1819 % 2,640.2
Perpetual-Discount 6.51 % 6.72 % 46,593 12.89 33 -0.1819 % 2,879.0
FixedReset Disc 5.63 % 7.68 % 115,363 12.12 59 0.1666 % 2,355.5
Insurance Straight 6.36 % 6.54 % 60,942 13.08 21 -0.6382 % 2,851.3
FloatingReset 10.00 % 10.21 % 36,355 9.30 3 0.0379 % 2,589.1
FixedReset Prem 6.99 % 6.98 % 165,525 3.24 1 0.6000 % 2,499.4
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 0.1666 % 2,407.8
FixedReset Ins Non 5.47 % 7.24 % 81,748 12.29 14 0.2121 % 2,599.0
Performance Highlights
Issue Index Change Notes
IFC.PR.E Insurance Straight -10.45 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-26
Maturity Price : 18.50
Evaluated at bid price : 18.50
Bid-YTW : 7.18 %
BN.PR.X FixedReset Disc -2.48 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-26
Maturity Price : 15.75
Evaluated at bid price : 15.75
Bid-YTW : 8.46 %
GWO.PR.S Insurance Straight -2.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-26
Maturity Price : 20.02
Evaluated at bid price : 20.02
Bid-YTW : 6.69 %
BN.PF.I FixedReset Disc -1.91 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-26
Maturity Price : 20.01
Evaluated at bid price : 20.01
Bid-YTW : 8.90 %
FTS.PR.J Perpetual-Discount -1.81 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-26
Maturity Price : 19.00
Evaluated at bid price : 19.00
Bid-YTW : 6.29 %
RY.PR.N Perpetual-Discount -1.43 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-26
Maturity Price : 21.71
Evaluated at bid price : 22.00
Bid-YTW : 5.59 %
FTS.PR.F Perpetual-Discount -1.33 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-26
Maturity Price : 20.00
Evaluated at bid price : 20.00
Bid-YTW : 6.17 %
CCS.PR.C Insurance Straight -1.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-26
Maturity Price : 18.78
Evaluated at bid price : 18.78
Bid-YTW : 6.79 %
MFC.PR.M FixedReset Ins Non -1.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-26
Maturity Price : 19.13
Evaluated at bid price : 19.13
Bid-YTW : 7.82 %
CU.PR.H Perpetual-Discount 1.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-26
Maturity Price : 21.01
Evaluated at bid price : 21.01
Bid-YTW : 6.29 %
SLF.PR.D Insurance Straight 1.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-26
Maturity Price : 19.04
Evaluated at bid price : 19.04
Bid-YTW : 5.95 %
IFC.PR.G FixedReset Ins Non 1.44 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-26
Maturity Price : 21.53
Evaluated at bid price : 21.81
Bid-YTW : 7.15 %
GWO.PR.N FixedReset Ins Non 1.45 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-26
Maturity Price : 13.95
Evaluated at bid price : 13.95
Bid-YTW : 8.17 %
BIP.PR.A FixedReset Disc 2.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-26
Maturity Price : 18.15
Evaluated at bid price : 18.15
Bid-YTW : 9.61 %
MFC.PR.Q FixedReset Ins Non 2.84 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-26
Maturity Price : 21.48
Evaluated at bid price : 21.75
Bid-YTW : 7.16 %
BMO.PR.S FixedReset Disc 3.83 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-26
Maturity Price : 21.40
Evaluated at bid price : 21.40
Bid-YTW : 7.00 %
CU.PR.C FixedReset Disc 6.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-26
Maturity Price : 18.95
Evaluated at bid price : 18.95
Bid-YTW : 7.75 %
Volume Highlights
Issue Index Shares
Traded
Notes
POW.PR.G Perpetual-Discount 68,850 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-26
Maturity Price : 21.05
Evaluated at bid price : 21.05
Bid-YTW : 6.77 %
BN.PR.N Perpetual-Discount 61,800 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-26
Maturity Price : 17.25
Evaluated at bid price : 17.25
Bid-YTW : 7.03 %
BMO.PR.S FixedReset Disc 31,759 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-26
Maturity Price : 21.40
Evaluated at bid price : 21.40
Bid-YTW : 7.00 %
RY.PR.Z FixedReset Disc 28,019 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-26
Maturity Price : 20.95
Evaluated at bid price : 20.95
Bid-YTW : 7.01 %
SLF.PR.J FloatingReset 25,900 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-26
Maturity Price : 16.25
Evaluated at bid price : 16.25
Bid-YTW : 10.21 %
NA.PR.G FixedReset Disc 24,000 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-26
Maturity Price : 22.93
Evaluated at bid price : 24.32
Bid-YTW : 6.79 %
There were 7 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
IFC.PR.E Insurance Straight Quote: 18.50 – 20.97
Spot Rate : 2.4700
Average : 1.4078

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-26
Maturity Price : 18.50
Evaluated at bid price : 18.50
Bid-YTW : 7.18 %

TD.PF.J FixedReset Disc Quote: 21.93 – 22.97
Spot Rate : 1.0400
Average : 0.6318

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-26
Maturity Price : 21.62
Evaluated at bid price : 21.93
Bid-YTW : 7.10 %

BN.PF.B FixedReset Disc Quote: 19.35 – 19.92
Spot Rate : 0.5700
Average : 0.3559

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-26
Maturity Price : 19.35
Evaluated at bid price : 19.35
Bid-YTW : 8.26 %

BN.PR.X FixedReset Disc Quote: 15.75 – 16.24
Spot Rate : 0.4900
Average : 0.3036

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-26
Maturity Price : 15.75
Evaluated at bid price : 15.75
Bid-YTW : 8.46 %

GWO.PR.S Insurance Straight Quote: 20.02 – 20.50
Spot Rate : 0.4800
Average : 0.3138

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-26
Maturity Price : 20.02
Evaluated at bid price : 20.02
Bid-YTW : 6.69 %

TD.PF.D FixedReset Disc Quote: 19.83 – 20.69
Spot Rate : 0.8600
Average : 0.6988

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-26
Maturity Price : 19.83
Evaluated at bid price : 19.83
Bid-YTW : 7.78 %

February 23, 2024

Friday, February 23rd, 2024
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 0.1231 % 2,357.7
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.1231 % 4,522.0
Floater 10.33 % 10.58 % 46,653 9.00 2 0.1231 % 2,606.1
OpRet 0.00 % 0.00 % 0 0.00 0 -0.2914 % 3,371.6
SplitShare 4.99 % 7.50 % 49,206 1.90 7 -0.2914 % 4,026.4
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.2914 % 3,141.5
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 0.1050 % 2,645.0
Perpetual-Discount 6.50 % 6.71 % 46,128 12.90 33 0.1050 % 2,884.2
FixedReset Disc 5.61 % 7.66 % 116,839 12.15 59 -0.3973 % 2,351.5
Insurance Straight 6.32 % 6.48 % 60,767 13.13 21 -0.3337 % 2,869.6
FloatingReset 10.06 % 10.26 % 35,824 9.28 3 0.0568 % 2,588.1
FixedReset Prem 7.03 % 7.03 % 165,836 12.36 1 -0.6359 % 2,484.5
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 -0.3973 % 2,403.8
FixedReset Ins Non 5.48 % 7.36 % 81,381 12.22 14 -0.9475 % 2,593.5
Performance Highlights
Issue Index Change Notes
CU.PR.C FixedReset Disc -7.75 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-23
Maturity Price : 17.85
Evaluated at bid price : 17.85
Bid-YTW : 8.19 %
MFC.PR.Q FixedReset Ins Non -3.86 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-23
Maturity Price : 21.15
Evaluated at bid price : 21.15
Bid-YTW : 7.36 %
BMO.PR.S FixedReset Disc -3.47 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-23
Maturity Price : 20.61
Evaluated at bid price : 20.61
Bid-YTW : 7.24 %
IFC.PR.G FixedReset Ins Non -2.93 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-23
Maturity Price : 21.50
Evaluated at bid price : 21.50
Bid-YTW : 7.25 %
MFC.PR.C Insurance Straight -2.58 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-23
Maturity Price : 18.85
Evaluated at bid price : 18.85
Bid-YTW : 6.09 %
SLF.PR.H FixedReset Ins Non -2.40 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-23
Maturity Price : 18.70
Evaluated at bid price : 18.70
Bid-YTW : 7.16 %
TD.PF.A FixedReset Disc -2.38 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-23
Maturity Price : 20.50
Evaluated at bid price : 20.50
Bid-YTW : 7.10 %
BIP.PR.A FixedReset Disc -2.26 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-23
Maturity Price : 17.77
Evaluated at bid price : 17.77
Bid-YTW : 9.78 %
MFC.PR.B Insurance Straight -2.18 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-23
Maturity Price : 19.32
Evaluated at bid price : 19.32
Bid-YTW : 6.14 %
SLF.PR.E Insurance Straight -2.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-23
Maturity Price : 18.91
Evaluated at bid price : 18.91
Bid-YTW : 6.06 %
NA.PR.G FixedReset Disc -1.82 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-23
Maturity Price : 22.90
Evaluated at bid price : 24.25
Bid-YTW : 6.79 %
SLF.PR.D Insurance Straight -1.62 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-23
Maturity Price : 18.81
Evaluated at bid price : 18.81
Bid-YTW : 6.02 %
POW.PR.A Perpetual-Discount -1.55 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-23
Maturity Price : 20.90
Evaluated at bid price : 20.90
Bid-YTW : 6.81 %
FTS.PR.K FixedReset Disc -1.33 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-23
Maturity Price : 18.60
Evaluated at bid price : 18.60
Bid-YTW : 7.63 %
PVS.PR.K SplitShare -1.27 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2029-05-31
Maturity Price : 25.00
Evaluated at bid price : 21.75
Bid-YTW : 7.49 %
FFH.PR.K FixedReset Disc -1.27 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-23
Maturity Price : 19.50
Evaluated at bid price : 19.50
Bid-YTW : 8.67 %
TD.PF.I FixedReset Disc -1.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-23
Maturity Price : 23.00
Evaluated at bid price : 24.26
Bid-YTW : 6.76 %
IFC.PR.A FixedReset Ins Non -1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-23
Maturity Price : 19.00
Evaluated at bid price : 19.00
Bid-YTW : 6.97 %
PWF.PR.G Perpetual-Discount 1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-23
Maturity Price : 22.12
Evaluated at bid price : 22.40
Bid-YTW : 6.66 %
BIK.PR.A FixedReset Disc 1.26 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-23
Maturity Price : 22.84
Evaluated at bid price : 24.15
Bid-YTW : 7.95 %
CIU.PR.A Perpetual-Discount 3.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-23
Maturity Price : 17.60
Evaluated at bid price : 17.60
Bid-YTW : 6.58 %
Volume Highlights
Issue Index Shares
Traded
Notes
BMO.PR.S FixedReset Disc 189,457 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-23
Maturity Price : 20.61
Evaluated at bid price : 20.61
Bid-YTW : 7.24 %
RY.PR.M FixedReset Disc 101,617 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-23
Maturity Price : 19.18
Evaluated at bid price : 19.18
Bid-YTW : 7.66 %
CM.PR.O FixedReset Disc 48,819 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-23
Maturity Price : 20.66
Evaluated at bid price : 20.66
Bid-YTW : 7.15 %
TD.PF.B FixedReset Disc 47,361 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-23
Maturity Price : 21.50
Evaluated at bid price : 21.50
Bid-YTW : 6.85 %
CM.PR.P FixedReset Disc 45,300 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-23
Maturity Price : 18.80
Evaluated at bid price : 18.80
Bid-YTW : 7.66 %
PVS.PR.K SplitShare 43,557 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2029-05-31
Maturity Price : 25.00
Evaluated at bid price : 21.75
Bid-YTW : 7.49 %
There were 14 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: 17.85 – 19.64
Spot Rate : 1.7900
Average : 1.0509

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-23
Maturity Price : 17.85
Evaluated at bid price : 17.85
Bid-YTW : 8.19 %

BN.PF.F FixedReset Disc Quote: 18.88 – 20.00
Spot Rate : 1.1200
Average : 0.6866

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-23
Maturity Price : 18.88
Evaluated at bid price : 18.88
Bid-YTW : 8.60 %

MFC.PR.Q FixedReset Ins Non Quote: 21.15 – 22.15
Spot Rate : 1.0000
Average : 0.6569

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-23
Maturity Price : 21.15
Evaluated at bid price : 21.15
Bid-YTW : 7.36 %

IFC.PR.G FixedReset Ins Non Quote: 21.50 – 22.63
Spot Rate : 1.1300
Average : 0.7891

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-23
Maturity Price : 21.50
Evaluated at bid price : 21.50
Bid-YTW : 7.25 %

BMO.PR.S FixedReset Disc Quote: 20.61 – 21.46
Spot Rate : 0.8500
Average : 0.5106

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-23
Maturity Price : 20.61
Evaluated at bid price : 20.61
Bid-YTW : 7.24 %

CU.PR.D Perpetual-Discount Quote: 19.30 – 20.60
Spot Rate : 1.3000
Average : 1.0484

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-23
Maturity Price : 19.30
Evaluated at bid price : 19.30
Bid-YTW : 6.39 %

February 22, 2024

Thursday, February 22nd, 2024
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 2.2232 % 2,354.8
FixedFloater 0.00 % 0.00 % 0 0.00 0 2.2232 % 4,516.5
Floater 10.34 % 10.62 % 28,224 8.97 2 2.2232 % 2,602.9
OpRet 0.00 % 0.00 % 0 0.00 0 -0.8667 % 3,381.4
SplitShare 4.98 % 7.39 % 49,253 1.90 7 -0.8667 % 4,038.1
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.8667 % 3,150.7
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 -0.2555 % 2,642.2
Perpetual-Discount 6.50 % 6.71 % 45,798 12.89 33 -0.2555 % 2,881.2
FixedReset Disc 5.59 % 7.66 % 112,146 12.16 59 0.1055 % 2,360.9
Insurance Straight 6.30 % 6.48 % 61,497 13.13 21 -0.1127 % 2,879.2
FloatingReset 10.06 % 10.26 % 36,227 9.27 3 -0.2079 % 2,586.7
FixedReset Prem 6.98 % 6.94 % 153,592 3.25 1 -0.4353 % 2,500.4
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 0.1055 % 2,413.3
FixedReset Ins Non 5.43 % 7.13 % 82,431 12.41 14 0.0996 % 2,618.3
Performance Highlights
Issue Index Change Notes
SLF.PR.C Insurance Straight -5.26 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-22
Maturity Price : 18.00
Evaluated at bid price : 18.00
Bid-YTW : 6.30 %
CIU.PR.A Perpetual-Discount -2.51 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-22
Maturity Price : 17.07
Evaluated at bid price : 17.07
Bid-YTW : 6.78 %
PVS.PR.J SplitShare -1.96 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2028-02-29
Maturity Price : 25.00
Evaluated at bid price : 22.50
Bid-YTW : 7.31 %
IFC.PR.I Insurance Straight -1.77 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-22
Maturity Price : 21.07
Evaluated at bid price : 21.07
Bid-YTW : 6.53 %
BIP.PR.F FixedReset Disc -1.62 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-22
Maturity Price : 20.71
Evaluated at bid price : 20.71
Bid-YTW : 8.01 %
RY.PR.H FixedReset Disc -1.49 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-22
Maturity Price : 19.82
Evaluated at bid price : 19.82
Bid-YTW : 7.38 %
PVS.PR.G SplitShare -1.41 % YTW SCENARIO
Maturity Type : Option Certainty
Maturity Date : 2026-02-28
Maturity Price : 25.00
Evaluated at bid price : 23.72
Bid-YTW : 7.63 %
BN.PF.H FixedReset Disc -1.38 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-22
Maturity Price : 21.50
Evaluated at bid price : 21.50
Bid-YTW : 8.75 %
RY.PR.O Perpetual-Discount -1.35 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-22
Maturity Price : 21.71
Evaluated at bid price : 22.00
Bid-YTW : 5.59 %
PVS.PR.I SplitShare -1.08 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-10-31
Maturity Price : 25.00
Evaluated at bid price : 23.71
Bid-YTW : 8.00 %
PWF.PR.G Perpetual-Discount -1.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-22
Maturity Price : 21.94
Evaluated at bid price : 22.17
Bid-YTW : 6.73 %
MFC.PR.M FixedReset Ins Non 1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-22
Maturity Price : 19.40
Evaluated at bid price : 19.40
Bid-YTW : 7.68 %
BN.PF.I FixedReset Disc 1.34 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-22
Maturity Price : 20.42
Evaluated at bid price : 20.42
Bid-YTW : 8.70 %
BN.PR.B Floater 1.50 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-22
Maturity Price : 12.17
Evaluated at bid price : 12.17
Bid-YTW : 10.65 %
GWO.PR.Y Insurance Straight 1.83 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-22
Maturity Price : 17.85
Evaluated at bid price : 17.85
Bid-YTW : 6.42 %
BN.PR.K Floater 2.95 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-22
Maturity Price : 12.20
Evaluated at bid price : 12.20
Bid-YTW : 10.62 %
FTS.PR.M FixedReset Disc 22.69 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-22
Maturity Price : 18.71
Evaluated at bid price : 18.71
Bid-YTW : 8.04 %
Volume Highlights
Issue Index Shares
Traded
Notes
RY.PR.S FixedReset Disc 161,950 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-22
Maturity Price : 21.87
Evaluated at bid price : 22.34
Bid-YTW : 6.71 %
SLF.PR.J FloatingReset 125,100 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-22
Maturity Price : 16.25
Evaluated at bid price : 16.25
Bid-YTW : 10.26 %
FTS.PR.I FloatingReset 68,000 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-22
Maturity Price : 15.85
Evaluated at bid price : 15.85
Bid-YTW : 10.39 %
BN.PF.G FixedReset Disc 57,500 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-22
Maturity Price : 17.05
Evaluated at bid price : 17.05
Bid-YTW : 9.12 %
MFC.PR.M FixedReset Ins Non 55,000 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-22
Maturity Price : 19.40
Evaluated at bid price : 19.40
Bid-YTW : 7.68 %
FTS.PR.M FixedReset Disc 50,000 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-22
Maturity Price : 18.71
Evaluated at bid price : 18.71
Bid-YTW : 8.04 %
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.D Perpetual-Discount Quote: 19.30 – 20.60
Spot Rate : 1.3000
Average : 0.7726

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-22
Maturity Price : 19.30
Evaluated at bid price : 19.30
Bid-YTW : 6.39 %

SLF.PR.C Insurance Straight Quote: 18.00 – 19.52
Spot Rate : 1.5200
Average : 1.0060

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-22
Maturity Price : 18.00
Evaluated at bid price : 18.00
Bid-YTW : 6.30 %

CU.PR.H Perpetual-Discount Quote: 20.80 – 22.00
Spot Rate : 1.2000
Average : 0.8712

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-22
Maturity Price : 20.80
Evaluated at bid price : 20.80
Bid-YTW : 6.35 %

CIU.PR.A Perpetual-Discount Quote: 17.07 – 17.85
Spot Rate : 0.7800
Average : 0.5032

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-22
Maturity Price : 17.07
Evaluated at bid price : 17.07
Bid-YTW : 6.78 %

PVS.PR.H SplitShare Quote: 23.31 – 24.16
Spot Rate : 0.8500
Average : 0.6080

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2027-02-28
Maturity Price : 25.00
Evaluated at bid price : 23.31
Bid-YTW : 7.21 %

CU.PR.E Perpetual-Discount Quote: 19.20 – 20.70
Spot Rate : 1.5000
Average : 1.2956

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-22
Maturity Price : 19.20
Evaluated at bid price : 19.20
Bid-YTW : 6.42 %

February 21, 2024

Wednesday, February 21st, 2024

PerpetualDiscounts now yield 6.70%, equivalent to 8.71% interest at the standard equivalency factor of 1.3x. Long corporates yielded 5.12% on 2024-2-20 and since then the closing price has changed from 15.06 to 15.03, a decline of 20bp with a duration (BMO doesn’t specify Macaulay or Modified; I will assume Modified) of 12.36, which implies an increase in yield fo 2bp, to 5.14%. Therefore, the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) has widened slightly (and perhaps spuriously) to 360bp from the 355bp reported February 14.

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 0.2523 % 2,303.6
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.2523 % 4,418.2
Floater 10.57 % 10.81 % 48,271 8.84 2 0.2523 % 2,546.3
OpRet 0.00 % 0.00 % 0 0.00 0 -0.7289 % 3,411.0
SplitShare 4.94 % 6.98 % 49,348 1.91 7 -0.7289 % 4,073.4
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.7289 % 3,178.3
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 0.0216 % 2,649.0
Perpetual-Discount 6.49 % 6.70 % 46,390 12.92 33 0.0216 % 2,888.6
FixedReset Disc 5.60 % 7.61 % 111,381 12.17 59 0.0033 % 2,358.4
Insurance Straight 6.29 % 6.50 % 62,181 13.13 21 -0.1986 % 2,882.5
FloatingReset 10.04 % 10.21 % 33,517 9.28 3 0.0757 % 2,592.1
FixedReset Prem 6.95 % 6.80 % 155,505 3.26 1 -0.3156 % 2,511.4
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 0.0033 % 2,410.8
FixedReset Ins Non 5.43 % 7.09 % 85,668 12.44 14 -0.0848 % 2,615.7
Performance Highlights
Issue Index Change Notes
FTS.PR.M FixedReset Disc -18.49 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-21
Maturity Price : 15.25
Evaluated at bid price : 15.25
Bid-YTW : 9.86 %
IFC.PR.E Insurance Straight -1.44 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-21
Maturity Price : 20.50
Evaluated at bid price : 20.50
Bid-YTW : 6.46 %
GWO.PR.P Insurance Straight -1.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-21
Maturity Price : 20.60
Evaluated at bid price : 20.60
Bid-YTW : 6.68 %
MFC.PR.L FixedReset Ins Non -1.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-21
Maturity Price : 19.49
Evaluated at bid price : 19.49
Bid-YTW : 7.50 %
SLF.PR.C Insurance Straight -1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-21
Maturity Price : 19.00
Evaluated at bid price : 19.00
Bid-YTW : 5.96 %
BN.PR.B Floater 1.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-21
Maturity Price : 11.99
Evaluated at bid price : 11.99
Bid-YTW : 10.81 %
BIP.PR.E FixedReset Disc 1.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-21
Maturity Price : 21.43
Evaluated at bid price : 21.43
Bid-YTW : 7.88 %
RY.PR.S FixedReset Disc 1.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-21
Maturity Price : 21.98
Evaluated at bid price : 22.50
Bid-YTW : 6.66 %
TD.PF.E FixedReset Disc 1.35 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-21
Maturity Price : 20.27
Evaluated at bid price : 20.27
Bid-YTW : 7.60 %
RY.PR.J FixedReset Disc 1.38 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-21
Maturity Price : 19.82
Evaluated at bid price : 19.82
Bid-YTW : 7.72 %
RY.PR.O Perpetual-Discount 1.59 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-21
Maturity Price : 22.00
Evaluated at bid price : 22.30
Bid-YTW : 5.51 %
CU.PR.J Perpetual-Discount 1.66 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-21
Maturity Price : 18.40
Evaluated at bid price : 18.40
Bid-YTW : 6.49 %
CU.PR.C FixedReset Disc 2.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-21
Maturity Price : 19.33
Evaluated at bid price : 19.33
Bid-YTW : 7.57 %
PWF.PR.P FixedReset Disc 2.27 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-21
Maturity Price : 14.40
Evaluated at bid price : 14.40
Bid-YTW : 8.33 %
TD.PF.A FixedReset Disc 2.33 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-21
Maturity Price : 21.08
Evaluated at bid price : 21.08
Bid-YTW : 6.90 %
BN.PF.G FixedReset Disc 2.72 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-21
Maturity Price : 17.00
Evaluated at bid price : 17.00
Bid-YTW : 9.15 %
Volume Highlights
Issue Index Shares
Traded
Notes
NA.PR.S FixedReset Disc 55,600 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-21
Maturity Price : 20.75
Evaluated at bid price : 20.75
Bid-YTW : 7.29 %
TD.PF.J FixedReset Disc 43,800 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-21
Maturity Price : 21.70
Evaluated at bid price : 22.04
Bid-YTW : 7.04 %
TD.PF.A FixedReset Disc 32,900 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-21
Maturity Price : 21.08
Evaluated at bid price : 21.08
Bid-YTW : 6.90 %
TD.PF.C FixedReset Disc 25,800 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-21
Maturity Price : 19.70
Evaluated at bid price : 19.70
Bid-YTW : 7.36 %
BN.PR.X FixedReset Disc 24,500 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-21
Maturity Price : 16.15
Evaluated at bid price : 16.15
Bid-YTW : 8.22 %
PWF.PR.F Perpetual-Discount 23,600 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-21
Maturity Price : 19.80
Evaluated at bid price : 19.80
Bid-YTW : 6.71 %
There were 12 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
FTS.PR.M FixedReset Disc Quote: 15.25 – 19.38
Spot Rate : 4.1300
Average : 2.2306

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-21
Maturity Price : 15.25
Evaluated at bid price : 15.25
Bid-YTW : 9.86 %

CU.PR.E Perpetual-Discount Quote: 19.20 – 20.75
Spot Rate : 1.5500
Average : 1.0716

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-21
Maturity Price : 19.20
Evaluated at bid price : 19.20
Bid-YTW : 6.42 %

MFC.PR.N FixedReset Ins Non Quote: 19.06 – 19.98
Spot Rate : 0.9200
Average : 0.6061

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-21
Maturity Price : 19.06
Evaluated at bid price : 19.06
Bid-YTW : 7.67 %

BN.PR.R FixedReset Disc Quote: 14.80 – 15.70
Spot Rate : 0.9000
Average : 0.6437

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-21
Maturity Price : 14.80
Evaluated at bid price : 14.80
Bid-YTW : 9.29 %

GWO.PR.P Insurance Straight Quote: 20.60 – 21.10
Spot Rate : 0.5000
Average : 0.3118

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-21
Maturity Price : 20.60
Evaluated at bid price : 20.60
Bid-YTW : 6.68 %

GWO.PR.Y Insurance Straight Quote: 17.53 – 18.35
Spot Rate : 0.8200
Average : 0.6790

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-21
Maturity Price : 17.53
Evaluated at bid price : 17.53
Bid-YTW : 6.54 %

February 20, 2024

Tuesday, February 20th, 2024

January’s inflation number was promising, but one swallow doesn’t make a summer!

Canada’s inflation rate fell far enough in January to place it within the Bank of Canada’s target range, surprising analysts and reigniting speculation about a potential interest-rate cut this spring.

The Consumer Price Index rose 2.9 per cent in January on an annual basis, down from 3.4 per cent in December, Statistics Canada said Tuesday in a report. Financial analysts were expecting a slight easing to 3.3 per cent.

With that result, the headline inflation rate has fallen back within the Bank of Canada’s target range of 1 per cent to 3 per cent, for only the second time since consumer prices began to flare up in 2021. (The central bank aims for 2 per cent, the midpoint of that range.) Inflation is also tracking lower than the bank’s estimate for this quarter.

Meanwhile, inflation continues to be a pressing concern in the housing market. Shelter prices rose 6.2 per cent from a year earlier, picking up from December’s 6-per-cent pace. Rents accelerated to a 7.9-per-cent increase, from 7.7 per cent.

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 0.3376 % 2,297.8
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.3376 % 4,407.1
Floater 10.60 % 10.88 % 30,281 8.79 2 0.3376 % 2,539.8
OpRet 0.00 % 0.00 % 0 0.00 0 0.1976 % 3,436.0
SplitShare 4.90 % 7.19 % 49,436 1.88 7 0.1976 % 4,103.3
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.1976 % 3,201.6
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 0.1774 % 2,648.4
Perpetual-Discount 6.49 % 6.68 % 46,720 12.93 33 0.1774 % 2,888.0
FixedReset Disc 5.60 % 7.68 % 112,990 12.12 59 -0.1865 % 2,358.4
Insurance Straight 6.28 % 6.50 % 62,420 13.14 21 0.2663 % 2,888.2
FloatingReset 10.05 % 10.20 % 33,829 9.30 3 -0.2641 % 2,590.1
FixedReset Prem 6.93 % 6.69 % 156,911 3.26 1 0.0000 % 2,519.3
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 -0.1865 % 2,410.7
FixedReset Ins Non 5.43 % 7.08 % 85,245 12.45 14 -0.2611 % 2,617.9
Performance Highlights
Issue Index Change Notes
BN.PF.G FixedReset Disc -2.82 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-20
Maturity Price : 16.55
Evaluated at bid price : 16.55
Bid-YTW : 9.39 %
RY.PR.J FixedReset Disc -2.25 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-20
Maturity Price : 19.55
Evaluated at bid price : 19.55
Bid-YTW : 7.83 %
FTS.PR.I FloatingReset -2.17 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-20
Maturity Price : 15.75
Evaluated at bid price : 15.75
Bid-YTW : 10.45 %
PWF.PR.P FixedReset Disc -2.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-20
Maturity Price : 14.08
Evaluated at bid price : 14.08
Bid-YTW : 8.51 %
MFC.PR.M FixedReset Ins Non -1.65 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-20
Maturity Price : 19.10
Evaluated at bid price : 19.10
Bid-YTW : 7.80 %
NA.PR.S FixedReset Disc -1.58 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-20
Maturity Price : 20.55
Evaluated at bid price : 20.55
Bid-YTW : 7.36 %
IFC.PR.C FixedReset Ins Non -1.53 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-20
Maturity Price : 19.30
Evaluated at bid price : 19.30
Bid-YTW : 7.56 %
CU.PR.G Perpetual-Discount -1.52 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-20
Maturity Price : 17.50
Evaluated at bid price : 17.50
Bid-YTW : 6.47 %
FTS.PR.M FixedReset Disc -1.47 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-20
Maturity Price : 18.71
Evaluated at bid price : 18.71
Bid-YTW : 8.04 %
FTS.PR.K FixedReset Disc -1.31 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-20
Maturity Price : 18.85
Evaluated at bid price : 18.85
Bid-YTW : 7.53 %
BMO.PR.S FixedReset Disc -1.30 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-20
Maturity Price : 21.27
Evaluated at bid price : 21.27
Bid-YTW : 7.01 %
BIP.PR.B FixedReset Disc -1.29 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-20
Maturity Price : 21.67
Evaluated at bid price : 22.11
Bid-YTW : 8.93 %
POW.PR.D Perpetual-Discount -1.29 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-20
Maturity Price : 19.20
Evaluated at bid price : 19.20
Bid-YTW : 6.61 %
FFH.PR.C FixedReset Disc -1.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-20
Maturity Price : 20.15
Evaluated at bid price : 20.15
Bid-YTW : 8.39 %
CU.PR.J Perpetual-Discount -1.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-20
Maturity Price : 18.10
Evaluated at bid price : 18.10
Bid-YTW : 6.60 %
GWO.PR.N FixedReset Ins Non -1.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-20
Maturity Price : 13.75
Evaluated at bid price : 13.75
Bid-YTW : 8.24 %
BN.PR.X FixedReset Disc 1.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-20
Maturity Price : 16.10
Evaluated at bid price : 16.10
Bid-YTW : 8.24 %
SLF.PR.C Insurance Straight 1.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-20
Maturity Price : 19.20
Evaluated at bid price : 19.20
Bid-YTW : 5.89 %
PWF.PR.S Perpetual-Discount 1.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-20
Maturity Price : 18.20
Evaluated at bid price : 18.20
Bid-YTW : 6.68 %
PWF.PR.O Perpetual-Discount 1.35 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-20
Maturity Price : 21.54
Evaluated at bid price : 21.80
Bid-YTW : 6.72 %
CM.PR.P FixedReset Disc 1.36 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-20
Maturity Price : 18.65
Evaluated at bid price : 18.65
Bid-YTW : 7.72 %
TD.PF.B FixedReset Disc 1.44 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-20
Maturity Price : 21.49
Evaluated at bid price : 21.81
Bid-YTW : 6.74 %
SLF.PR.J FloatingReset 1.49 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-20
Maturity Price : 16.40
Evaluated at bid price : 16.40
Bid-YTW : 10.16 %
TD.PF.C FixedReset Disc 1.49 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-20
Maturity Price : 19.80
Evaluated at bid price : 19.80
Bid-YTW : 7.32 %
BN.PR.M Perpetual-Discount 1.49 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-20
Maturity Price : 17.75
Evaluated at bid price : 17.75
Bid-YTW : 6.82 %
CU.PR.H Perpetual-Discount 1.68 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-20
Maturity Price : 21.15
Evaluated at bid price : 21.15
Bid-YTW : 6.24 %
PVS.PR.J SplitShare 1.99 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2028-02-29
Maturity Price : 25.00
Evaluated at bid price : 23.10
Bid-YTW : 6.89 %
MFC.PR.B Insurance Straight 2.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-20
Maturity Price : 19.75
Evaluated at bid price : 19.75
Bid-YTW : 6.00 %
RY.PR.N Perpetual-Discount 2.52 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-20
Maturity Price : 22.04
Evaluated at bid price : 22.35
Bid-YTW : 5.50 %
Volume Highlights
Issue Index Shares
Traded
Notes
CM.PR.P FixedReset Disc 100,623 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-20
Maturity Price : 18.65
Evaluated at bid price : 18.65
Bid-YTW : 7.72 %
TD.PF.B FixedReset Disc 36,373 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-20
Maturity Price : 21.49
Evaluated at bid price : 21.81
Bid-YTW : 6.74 %
GWO.PR.I Insurance Straight 30,625 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-20
Maturity Price : 17.95
Evaluated at bid price : 17.95
Bid-YTW : 6.38 %
TD.PF.J FixedReset Disc 27,867 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-20
Maturity Price : 21.65
Evaluated at bid price : 21.97
Bid-YTW : 7.06 %
CM.PR.O FixedReset Disc 24,914 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-20
Maturity Price : 20.76
Evaluated at bid price : 20.76
Bid-YTW : 7.11 %
RY.PR.Z FixedReset Disc 23,719 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-20
Maturity Price : 21.06
Evaluated at bid price : 21.06
Bid-YTW : 6.93 %
There were 11 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
MFC.PR.L FixedReset Ins Non Quote: 19.70 – 24.06
Spot Rate : 4.3600
Average : 3.3330

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-20
Maturity Price : 19.70
Evaluated at bid price : 19.70
Bid-YTW : 7.41 %

IFC.PR.K Insurance Straight Quote: 20.75 – 25.00
Spot Rate : 4.2500
Average : 3.3352

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-20
Maturity Price : 20.75
Evaluated at bid price : 20.75
Bid-YTW : 6.44 %

TD.PF.A FixedReset Disc Quote: 20.60 – 22.00
Spot Rate : 1.4000
Average : 0.8753

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-20
Maturity Price : 20.60
Evaluated at bid price : 20.60
Bid-YTW : 7.06 %

GWO.PR.G Insurance Straight Quote: 20.15 – 20.94
Spot Rate : 0.7900
Average : 0.4703

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-20
Maturity Price : 20.15
Evaluated at bid price : 20.15
Bid-YTW : 6.57 %

IFC.PR.I Insurance Straight Quote: 21.45 – 23.25
Spot Rate : 1.8000
Average : 1.4972

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-20
Maturity Price : 21.45
Evaluated at bid price : 21.45
Bid-YTW : 6.41 %

FFH.PR.G FixedReset Disc Quote: 16.50 – 17.41
Spot Rate : 0.9100
Average : 0.6252

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-20
Maturity Price : 16.50
Evaluated at bid price : 16.50
Bid-YTW : 8.89 %

February 16, 2024

Friday, February 16th, 2024

US PPI came out hotter than expected today:

Wholesale inflation, as measured by the Producer Price Index, rose more than expected in January, adding to a disappointing inflation picture for the month.

The Producer Price Index rose 0.3% last month, resulting in an annual increase of 0.9%, according to Bureau of Labor Statistics data released Friday. Despite coming in hotter than economists had expected (a projected 0.7% annual gain, according to FactSet), the annual rate is in line with what was seen during the last quarter of 2023.

When stripping out the food and energy categories, which tend to be volatile, core PPI jumped 0.5% for the month, bringing the yearly increase to 2%, a hotter reading than December’s 1.7%.

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 0.8511 % 2,290.0
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.8511 % 4,392.3
Floater 10.63 % 10.93 % 31,495 8.77 2 0.8511 % 2,531.3
OpRet 0.00 % 0.00 % 0 0.00 0 0.0659 % 3,429.3
SplitShare 4.91 % 7.18 % 48,891 1.89 7 0.0659 % 4,095.3
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0659 % 3,195.3
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 -0.2385 % 2,643.7
Perpetual-Discount 6.50 % 6.69 % 45,709 12.95 33 -0.2385 % 2,882.8
FixedReset Disc 5.59 % 7.76 % 114,485 12.03 59 -0.0621 % 2,362.8
Insurance Straight 6.30 % 6.50 % 63,122 13.15 21 -0.0623 % 2,880.5
FloatingReset 10.04 % 10.23 % 34,118 9.32 3 0.4358 % 2,597.0
FixedReset Prem 6.93 % 6.67 % 158,343 3.27 1 0.3960 % 2,519.3
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 -0.0621 % 2,415.2
FixedReset Ins Non 5.41 % 7.17 % 84,661 12.40 14 0.2914 % 2,624.8
Performance Highlights
Issue Index Change Notes
BN.PF.I FixedReset Disc -3.38 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-16
Maturity Price : 20.00
Evaluated at bid price : 20.00
Bid-YTW : 8.96 %
BN.PR.M Perpetual-Discount -2.35 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-16
Maturity Price : 17.49
Evaluated at bid price : 17.49
Bid-YTW : 6.92 %
GWO.PR.Y Insurance Straight -2.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-16
Maturity Price : 17.60
Evaluated at bid price : 17.60
Bid-YTW : 6.51 %
CM.PR.P FixedReset Disc -1.50 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-16
Maturity Price : 18.40
Evaluated at bid price : 18.40
Bid-YTW : 7.94 %
TD.PF.C FixedReset Disc -1.46 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-16
Maturity Price : 19.51
Evaluated at bid price : 19.51
Bid-YTW : 7.55 %
PWF.PR.Z Perpetual-Discount -1.34 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-16
Maturity Price : 19.19
Evaluated at bid price : 19.19
Bid-YTW : 6.79 %
PWF.PR.O Perpetual-Discount -1.33 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-16
Maturity Price : 21.51
Evaluated at bid price : 21.51
Bid-YTW : 6.82 %
BN.PR.B Floater -1.25 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-16
Maturity Price : 11.85
Evaluated at bid price : 11.85
Bid-YTW : 10.93 %
MFC.PR.B Insurance Straight -1.18 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-16
Maturity Price : 19.32
Evaluated at bid price : 19.32
Bid-YTW : 6.13 %
RY.PR.S FixedReset Disc -1.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-16
Maturity Price : 21.81
Evaluated at bid price : 22.25
Bid-YTW : 6.84 %
PWF.PR.G Perpetual-Discount -1.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-16
Maturity Price : 22.06
Evaluated at bid price : 22.35
Bid-YTW : 6.66 %
BN.PF.E FixedReset Disc -1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-16
Maturity Price : 16.25
Evaluated at bid price : 16.25
Bid-YTW : 9.44 %
FFH.PR.M FixedReset Disc 1.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-16
Maturity Price : 22.34
Evaluated at bid price : 22.80
Bid-YTW : 8.32 %
FFH.PR.I FixedReset Disc 1.17 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-16
Maturity Price : 17.30
Evaluated at bid price : 17.30
Bid-YTW : 8.94 %
FFH.PR.K FixedReset Disc 1.29 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-16
Maturity Price : 19.70
Evaluated at bid price : 19.70
Bid-YTW : 8.66 %
POW.PR.D Perpetual-Discount 1.30 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-16
Maturity Price : 19.45
Evaluated at bid price : 19.45
Bid-YTW : 6.52 %
IFC.PR.E Insurance Straight 1.47 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-16
Maturity Price : 20.70
Evaluated at bid price : 20.70
Bid-YTW : 6.39 %
TD.PF.B FixedReset Disc 1.65 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-16
Maturity Price : 21.50
Evaluated at bid price : 21.50
Bid-YTW : 6.96 %
CU.PR.H Perpetual-Discount 1.66 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-16
Maturity Price : 20.80
Evaluated at bid price : 20.80
Bid-YTW : 6.34 %
IFC.PR.A FixedReset Ins Non 1.70 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-16
Maturity Price : 19.17
Evaluated at bid price : 19.17
Bid-YTW : 6.99 %
BN.PR.K Floater 3.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-16
Maturity Price : 11.85
Evaluated at bid price : 11.85
Bid-YTW : 10.93 %
Volume Highlights
Issue Index Shares
Traded
Notes
CM.PR.P FixedReset Disc 50,300 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-16
Maturity Price : 18.40
Evaluated at bid price : 18.40
Bid-YTW : 7.94 %
IFC.PR.A FixedReset Ins Non 49,241 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-16
Maturity Price : 19.17
Evaluated at bid price : 19.17
Bid-YTW : 6.99 %
RY.PR.M FixedReset Disc 15,800 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-16
Maturity Price : 19.10
Evaluated at bid price : 19.10
Bid-YTW : 7.79 %
NA.PR.S FixedReset Disc 14,130 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-16
Maturity Price : 20.88
Evaluated at bid price : 20.88
Bid-YTW : 7.36 %
RY.PR.H FixedReset Disc 10,785 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-16
Maturity Price : 20.05
Evaluated at bid price : 20.05
Bid-YTW : 7.41 %
POW.PR.D Perpetual-Discount 10,400 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-16
Maturity Price : 19.45
Evaluated at bid price : 19.45
Bid-YTW : 6.52 %
There were 2 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
IFC.PR.K Insurance Straight Quote: 20.90 – 25.15
Spot Rate : 4.2500
Average : 2.3323

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-16
Maturity Price : 20.90
Evaluated at bid price : 20.90
Bid-YTW : 6.39 %

IFC.PR.I Insurance Straight Quote: 21.45 – 23.25
Spot Rate : 1.8000
Average : 1.1652

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-16
Maturity Price : 21.45
Evaluated at bid price : 21.45
Bid-YTW : 6.40 %

MFC.PR.I FixedReset Ins Non Quote: 22.75 – 23.89
Spot Rate : 1.1400
Average : 0.6548

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-16
Maturity Price : 22.22
Evaluated at bid price : 22.75
Bid-YTW : 7.17 %

BN.PF.F FixedReset Disc Quote: 18.90 – 20.00
Spot Rate : 1.1000
Average : 0.6506

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-16
Maturity Price : 18.90
Evaluated at bid price : 18.90
Bid-YTW : 8.71 %

BN.PR.M Perpetual-Discount Quote: 17.49 – 18.75
Spot Rate : 1.2600
Average : 0.9004

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-16
Maturity Price : 17.49
Evaluated at bid price : 17.49
Bid-YTW : 6.92 %

FTS.PR.F Perpetual-Discount Quote: 20.23 – 21.00
Spot Rate : 0.7700
Average : 0.4935

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-16
Maturity Price : 20.23
Evaluated at bid price : 20.23
Bid-YTW : 6.08 %

February 15, 2024

Thursday, February 15th, 2024
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 -1.0526 % 2,270.7
FixedFloater 0.00 % 0.00 % 0 0.00 0 -1.0526 % 4,355.2
Floater 10.72 % 10.78 % 49,541 8.87 2 -1.0526 % 2,509.9
OpRet 0.00 % 0.00 % 0 0.00 0 -0.3938 % 3,427.0
SplitShare 4.91 % 7.18 % 50,883 1.90 7 -0.3938 % 4,092.6
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.3938 % 3,193.2
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 0.2004 % 2,650.0
Perpetual-Discount 6.48 % 6.64 % 45,907 12.98 33 0.2004 % 2,889.7
FixedReset Disc 5.58 % 7.73 % 118,601 12.03 59 0.3166 % 2,364.2
Insurance Straight 6.29 % 6.48 % 65,237 13.16 21 0.3537 % 2,882.3
FloatingReset 10.08 % 10.28 % 35,413 9.24 3 -0.8826 % 2,585.7
FixedReset Prem 6.96 % 6.79 % 159,744 3.27 1 -0.1582 % 2,509.4
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 0.3166 % 2,416.7
FixedReset Ins Non 5.43 % 7.21 % 88,080 12.38 14 0.0037 % 2,617.1
Performance Highlights
Issue Index Change Notes
BN.PR.K Floater -3.36 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-15
Maturity Price : 11.50
Evaluated at bid price : 11.50
Bid-YTW : 11.26 %
CU.PR.H Perpetual-Discount -2.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-15
Maturity Price : 20.46
Evaluated at bid price : 20.46
Bid-YTW : 6.45 %
PVS.PR.J SplitShare -1.91 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2028-02-29
Maturity Price : 25.00
Evaluated at bid price : 22.56
Bid-YTW : 7.54 %
PVS.PR.H SplitShare -1.21 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2027-02-28
Maturity Price : 25.00
Evaluated at bid price : 23.71
Bid-YTW : 6.99 %
BN.PF.G FixedReset Disc -1.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-15
Maturity Price : 16.97
Evaluated at bid price : 16.97
Bid-YTW : 9.28 %
RY.PR.J FixedReset Disc 1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-15
Maturity Price : 19.90
Evaluated at bid price : 19.90
Bid-YTW : 7.80 %
FTS.PR.J Perpetual-Discount 1.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-15
Maturity Price : 19.51
Evaluated at bid price : 19.51
Bid-YTW : 6.11 %
PWF.PR.G Perpetual-Discount 1.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-15
Maturity Price : 22.33
Evaluated at bid price : 22.60
Bid-YTW : 6.59 %
FTS.PR.K FixedReset Disc 1.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-15
Maturity Price : 18.92
Evaluated at bid price : 18.92
Bid-YTW : 7.62 %
TD.PF.C FixedReset Disc 1.18 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-15
Maturity Price : 19.80
Evaluated at bid price : 19.80
Bid-YTW : 7.44 %
BN.PF.H FixedReset Disc 1.21 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-15
Maturity Price : 21.44
Evaluated at bid price : 21.78
Bid-YTW : 8.71 %
BN.PR.B Floater 1.27 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-15
Maturity Price : 12.00
Evaluated at bid price : 12.00
Bid-YTW : 10.78 %
CCS.PR.C Insurance Straight 1.29 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-15
Maturity Price : 18.90
Evaluated at bid price : 18.90
Bid-YTW : 6.73 %
BMO.PR.S FixedReset Disc 1.42 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-15
Maturity Price : 21.45
Evaluated at bid price : 21.45
Bid-YTW : 7.06 %
BIK.PR.A FixedReset Disc 1.47 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-15
Maturity Price : 22.83
Evaluated at bid price : 24.15
Bid-YTW : 8.04 %
BN.PR.Z FixedReset Disc 1.64 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-15
Maturity Price : 19.80
Evaluated at bid price : 19.80
Bid-YTW : 8.37 %
BN.PF.I FixedReset Disc 1.77 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-15
Maturity Price : 20.70
Evaluated at bid price : 20.70
Bid-YTW : 8.66 %
FTS.PR.G FixedReset Disc 2.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-15
Maturity Price : 21.08
Evaluated at bid price : 21.08
Bid-YTW : 7.05 %
FTS.PR.F Perpetual-Discount 2.21 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-15
Maturity Price : 20.35
Evaluated at bid price : 20.35
Bid-YTW : 6.05 %
MIC.PR.A Perpetual-Discount 2.65 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-15
Maturity Price : 19.00
Evaluated at bid price : 19.00
Bid-YTW : 7.24 %
GWO.PR.Y Insurance Straight 3.45 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-15
Maturity Price : 18.00
Evaluated at bid price : 18.00
Bid-YTW : 6.36 %
Volume Highlights
Issue Index Shares
Traded
Notes
CM.PR.O FixedReset Disc 450,886 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-15
Maturity Price : 20.65
Evaluated at bid price : 20.65
Bid-YTW : 7.26 %
BMO.PR.S FixedReset Disc 106,876 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-15
Maturity Price : 21.45
Evaluated at bid price : 21.45
Bid-YTW : 7.06 %
TD.PF.B FixedReset Disc 70,861 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-15
Maturity Price : 21.15
Evaluated at bid price : 21.15
Bid-YTW : 7.08 %
BMO.PR.W FixedReset Disc 55,289 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-15
Maturity Price : 19.10
Evaluated at bid price : 19.10
Bid-YTW : 7.68 %
NA.PR.S FixedReset Disc 41,075 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-15
Maturity Price : 20.93
Evaluated at bid price : 20.93
Bid-YTW : 7.34 %
RY.PR.Z FixedReset Disc 39,115 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-15
Maturity Price : 20.97
Evaluated at bid price : 20.97
Bid-YTW : 7.08 %
There were 5 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
TD.PF.B FixedReset Disc Quote: 21.15 – 24.10
Spot Rate : 2.9500
Average : 1.6945

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-15
Maturity Price : 21.15
Evaluated at bid price : 21.15
Bid-YTW : 7.08 %

BN.PR.M Perpetual-Discount Quote: 17.91 – 18.75
Spot Rate : 0.8400
Average : 0.5061

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-15
Maturity Price : 17.91
Evaluated at bid price : 17.91
Bid-YTW : 6.75 %

PVS.PR.J SplitShare Quote: 22.56 – 23.48
Spot Rate : 0.9200
Average : 0.7286

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2028-02-29
Maturity Price : 25.00
Evaluated at bid price : 22.56
Bid-YTW : 7.54 %

CU.PR.C FixedReset Disc Quote: 19.00 – 19.66
Spot Rate : 0.6600
Average : 0.4700

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-15
Maturity Price : 19.00
Evaluated at bid price : 19.00
Bid-YTW : 7.79 %

BN.PR.T FixedReset Disc Quote: 15.07 – 15.70
Spot Rate : 0.6300
Average : 0.4448

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-15
Maturity Price : 15.07
Evaluated at bid price : 15.07
Bid-YTW : 9.26 %

BN.PR.R FixedReset Disc Quote: 14.80 – 15.90
Spot Rate : 1.1000
Average : 0.9202

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-15
Maturity Price : 14.80
Evaluated at bid price : 14.80
Bid-YTW : 9.41 %

February 14, 2024

Wednesday, February 14th, 2024

PerpetualDiscounts now yield 6.66%, equivalent to 8.66% interest at the standard equivalency factor of 1.3x. Long corporates yielded 5.12% on 2024-2-14, so there is no need to adjust the figure for the timing of the measurement! The pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) has widened sharply to 355bp from the 330bp reported February 7.

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 0.5930 % 2,294.9
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.5930 % 4,401.6
Floater 10.61 % 10.87 % 30,886 8.81 2 0.5930 % 2,536.6
OpRet 0.00 % 0.00 % 0 0.00 0 0.0418 % 3,440.5
SplitShare 4.89 % 7.15 % 50,943 1.90 7 0.0418 % 4,108.7
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0418 % 3,205.8
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 0.3404 % 2,644.7
Perpetual-Discount 6.50 % 6.66 % 47,641 12.96 33 0.3404 % 2,884.0
FixedReset Disc 5.60 % 7.78 % 117,665 12.04 59 0.0432 % 2,356.8
Insurance Straight 6.31 % 6.51 % 65,417 13.14 21 0.2944 % 2,872.2
FloatingReset 9.99 % 10.25 % 35,520 9.27 3 0.1881 % 2,608.7
FixedReset Prem 6.95 % 6.73 % 164,971 3.28 1 -0.2367 % 2,513.4
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 0.0432 % 2,409.1
FixedReset Ins Non 5.43 % 7.18 % 90,893 12.38 14 0.1922 % 2,617.0
Performance Highlights
Issue Index Change Notes
RY.PR.J FixedReset Disc -1.75 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-14
Maturity Price : 19.70
Evaluated at bid price : 19.70
Bid-YTW : 7.87 %
BN.PR.Z FixedReset Disc -1.17 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-14
Maturity Price : 19.48
Evaluated at bid price : 19.48
Bid-YTW : 8.51 %
PWF.PR.T FixedReset Disc 1.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-14
Maturity Price : 20.20
Evaluated at bid price : 20.20
Bid-YTW : 7.39 %
PVS.PR.H SplitShare 1.05 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2027-02-28
Maturity Price : 25.00
Evaluated at bid price : 24.00
Bid-YTW : 6.54 %
PWF.PR.Z Perpetual-Discount 1.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-14
Maturity Price : 19.41
Evaluated at bid price : 19.41
Bid-YTW : 6.71 %
POW.PR.A Perpetual-Discount 1.18 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-14
Maturity Price : 21.35
Evaluated at bid price : 21.35
Bid-YTW : 6.65 %
BN.PR.K Floater 1.19 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-14
Maturity Price : 11.90
Evaluated at bid price : 11.90
Bid-YTW : 10.87 %
IFC.PR.K Insurance Straight 1.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-14
Maturity Price : 20.75
Evaluated at bid price : 20.75
Bid-YTW : 6.43 %
SLF.PR.G FixedReset Ins Non 1.33 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-14
Maturity Price : 15.20
Evaluated at bid price : 15.20
Bid-YTW : 7.99 %
CU.PR.C FixedReset Disc 1.34 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-14
Maturity Price : 18.90
Evaluated at bid price : 18.90
Bid-YTW : 7.83 %
CM.PR.O FixedReset Disc 1.68 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-14
Maturity Price : 20.60
Evaluated at bid price : 20.60
Bid-YTW : 7.27 %
BN.PF.J FixedReset Disc 2.21 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-14
Maturity Price : 20.80
Evaluated at bid price : 20.80
Bid-YTW : 8.14 %
CU.PR.H Perpetual-Discount 2.50 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-14
Maturity Price : 20.91
Evaluated at bid price : 20.91
Bid-YTW : 6.30 %
GWO.PR.Y Insurance Straight 2.59 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-14
Maturity Price : 17.40
Evaluated at bid price : 17.40
Bid-YTW : 6.58 %
BMO.PR.Y FixedReset Disc 3.70 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-14
Maturity Price : 19.60
Evaluated at bid price : 19.60
Bid-YTW : 7.78 %
Volume Highlights
Issue Index Shares
Traded
Notes
RY.PR.Z FixedReset Disc 124,376 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-14
Maturity Price : 20.92
Evaluated at bid price : 20.92
Bid-YTW : 7.09 %
BMO.PR.T FixedReset Disc 61,400 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-14
Maturity Price : 19.70
Evaluated at bid price : 19.70
Bid-YTW : 7.51 %
CM.PR.O FixedReset Disc 58,625 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-14
Maturity Price : 20.60
Evaluated at bid price : 20.60
Bid-YTW : 7.27 %
BMO.PR.W FixedReset Disc 50,725 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-14
Maturity Price : 19.00
Evaluated at bid price : 19.00
Bid-YTW : 7.71 %
TD.PF.A FixedReset Disc 47,900 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-14
Maturity Price : 20.50
Evaluated at bid price : 20.50
Bid-YTW : 7.21 %
BN.PF.B FixedReset Disc 32,418 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-14
Maturity Price : 19.40
Evaluated at bid price : 19.40
Bid-YTW : 8.32 %
There were 13 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
TD.PF.J FixedReset Disc Quote: 21.90 – 22.99
Spot Rate : 1.0900
Average : 0.6473

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-14
Maturity Price : 21.60
Evaluated at bid price : 21.90
Bid-YTW : 7.16 %

BN.PR.R FixedReset Disc Quote: 14.80 – 15.90
Spot Rate : 1.1000
Average : 0.7231

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-14
Maturity Price : 14.80
Evaluated at bid price : 14.80
Bid-YTW : 9.41 %

PVS.PR.H SplitShare Quote: 24.00 – 25.00
Spot Rate : 1.0000
Average : 0.6341

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2027-02-28
Maturity Price : 25.00
Evaluated at bid price : 24.00
Bid-YTW : 6.54 %

BN.PF.H FixedReset Disc Quote: 21.52 – 22.35
Spot Rate : 0.8300
Average : 0.5382

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-14
Maturity Price : 21.52
Evaluated at bid price : 21.52
Bid-YTW : 8.82 %

BIP.PR.E FixedReset Disc Quote: 21.31 – 22.23
Spot Rate : 0.9200
Average : 0.6940

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-14
Maturity Price : 21.31
Evaluated at bid price : 21.31
Bid-YTW : 7.99 %

BN.PF.C Perpetual-Discount Quote: 17.65 – 18.29
Spot Rate : 0.6400
Average : 0.4153

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-14
Maturity Price : 17.65
Evaluated at bid price : 17.65
Bid-YTW : 7.00 %