Market Action

June 28, 2023

PerpetualDiscounts now yield 6.89%, equivalent to 8.96% interest at the standard equivalency factor of 1.3x. Long corporates yielded 5.10% on 2023-6-16 and since then the closing price has changed from 15.09 to 15.11, an increase of 13bp in price, with a Duration of 12.35 (BMO doesn’t specify whether this is Macaulay or Modified Duration; I will assume Modified) which implies a decrease in yield of about 1bp since 6/16 to 5.09%, so the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) has gapped upward to about 385bp from the 360bp reported June 21.

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 0.8772 % 2,221.4
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.8772 % 4,260.7
Floater 10.58 % 10.69 % 41,847 9.04 1 0.8772 % 2,455.5
OpRet 0.00 % 0.00 % 0 0.00 0 0.5007 % 3,262.2
SplitShare 5.15 % 8.57 % 50,579 2.17 6 0.5007 % 3,895.8
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.5007 % 3,039.6
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 -0.6790 % 2,545.8
Perpetual-Discount 6.70 % 6.89 % 40,156 12.63 31 -0.6790 % 2,776.0
FixedReset Disc 5.90 % 8.50 % 82,581 11.15 63 -0.1243 % 2,113.1
Insurance Straight 6.65 % 6.74 % 54,916 12.92 19 -0.5637 % 2,704.8
FloatingReset 11.50 % 11.11 % 32,180 8.75 2 -0.8556 % 2,351.4
FixedReset Prem 7.00 % 7.15 % 265,360 12.17 1 -0.1590 % 2,310.0
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 -0.1243 % 2,160.0
FixedReset Ins Non 6.40 % 7.96 % 91,071 11.56 9 -0.0490 % 2,304.3
Performance Highlights
Issue Index Change Notes
PWF.PR.P FixedReset Disc -5.54 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-06-28
Maturity Price : 11.76
Evaluated at bid price : 11.76
Bid-YTW : 9.87 %
CU.PR.F Perpetual-Discount -5.42 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-06-28
Maturity Price : 16.57
Evaluated at bid price : 16.57
Bid-YTW : 6.89 %
GWO.PR.L Insurance Straight -4.91 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-06-28
Maturity Price : 19.74
Evaluated at bid price : 19.74
Bid-YTW : 7.22 %
PWF.PR.L Perpetual-Discount -4.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-06-28
Maturity Price : 18.16
Evaluated at bid price : 18.16
Bid-YTW : 7.18 %
PWF.PF.A Perpetual-Discount -1.94 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-06-28
Maturity Price : 16.67
Evaluated at bid price : 16.67
Bid-YTW : 6.89 %
SLF.PR.C Insurance Straight -1.85 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-06-28
Maturity Price : 17.50
Evaluated at bid price : 17.50
Bid-YTW : 6.40 %
GWO.PR.G Insurance Straight -1.45 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-06-28
Maturity Price : 19.00
Evaluated at bid price : 19.00
Bid-YTW : 6.90 %
CU.PR.G Perpetual-Discount -1.43 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-06-28
Maturity Price : 17.25
Evaluated at bid price : 17.25
Bid-YTW : 6.61 %
SLF.PR.J FloatingReset -1.42 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-06-28
Maturity Price : 14.60
Evaluated at bid price : 14.60
Bid-YTW : 11.11 %
TRP.PR.A FixedReset Disc -1.40 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-06-28
Maturity Price : 13.41
Evaluated at bid price : 13.41
Bid-YTW : 10.07 %
PWF.PR.E Perpetual-Discount -1.18 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-06-28
Maturity Price : 20.06
Evaluated at bid price : 20.06
Bid-YTW : 7.00 %
BN.PF.J FixedReset Disc -1.17 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-06-28
Maturity Price : 20.36
Evaluated at bid price : 20.36
Bid-YTW : 8.22 %
GWO.PR.R Insurance Straight -1.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-06-28
Maturity Price : 17.82
Evaluated at bid price : 17.82
Bid-YTW : 6.79 %
ELF.PR.H Perpetual-Discount -1.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-06-28
Maturity Price : 20.20
Evaluated at bid price : 20.20
Bid-YTW : 6.97 %
POW.PR.A Perpetual-Discount -1.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-06-28
Maturity Price : 20.20
Evaluated at bid price : 20.20
Bid-YTW : 6.96 %
BN.PR.M Perpetual-Discount 1.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-06-28
Maturity Price : 17.20
Evaluated at bid price : 17.20
Bid-YTW : 6.96 %
MFC.PR.K FixedReset Ins Non 1.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-06-28
Maturity Price : 18.94
Evaluated at bid price : 18.94
Bid-YTW : 7.96 %
PVS.PR.G SplitShare 1.32 % YTW SCENARIO
Maturity Type : Option Certainty
Maturity Date : 2026-02-28
Maturity Price : 25.00
Evaluated at bid price : 23.10
Bid-YTW : 8.29 %
PVS.PR.J SplitShare 1.42 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2028-02-29
Maturity Price : 25.00
Evaluated at bid price : 21.40
Bid-YTW : 8.29 %
Volume Highlights
Issue Index Shares
Traded		 Notes
BMO.PR.W FixedReset Disc 59,100 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-06-28
Maturity Price : 16.90
Evaluated at bid price : 16.90
Bid-YTW : 8.64 %
SLF.PR.J FloatingReset 53,366 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-06-28
Maturity Price : 14.60
Evaluated at bid price : 14.60
Bid-YTW : 11.11 %
NA.PR.C FixedReset Prem 50,600 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-06-28
Maturity Price : 23.25
Evaluated at bid price : 25.11
Bid-YTW : 7.15 %
SLF.PR.E Insurance Straight 29,200 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-06-28
Maturity Price : 17.90
Evaluated at bid price : 17.90
Bid-YTW : 6.33 %
NA.PR.W FixedReset Disc 29,000 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-06-28
Maturity Price : 16.65
Evaluated at bid price : 16.65
Bid-YTW : 8.76 %
NA.PR.G FixedReset Disc 27,000 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-06-28
Maturity Price : 21.45
Evaluated at bid price : 21.75
Bid-YTW : 7.58 %
There were 10 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
PWF.PR.P FixedReset Disc Quote: 11.76 – 13.04
Spot Rate : 1.2800
Average : 0.7841

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-06-28
Maturity Price : 11.76
Evaluated at bid price : 11.76
Bid-YTW : 9.87 %
GWO.PR.L Insurance Straight Quote: 19.74 – 20.75
Spot Rate : 1.0100
Average : 0.5799

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-06-28
Maturity Price : 19.74
Evaluated at bid price : 19.74
Bid-YTW : 7.22 %
CU.PR.F Perpetual-Discount Quote: 16.57 – 17.57
Spot Rate : 1.0000
Average : 0.7040

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-06-28
Maturity Price : 16.57
Evaluated at bid price : 16.57
Bid-YTW : 6.89 %
BN.PF.A FixedReset Disc Quote: 19.00 – 20.00
Spot Rate : 1.0000
Average : 0.7040

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-06-28
Maturity Price : 19.00
Evaluated at bid price : 19.00
Bid-YTW : 8.82 %
PWF.PR.L Perpetual-Discount Quote: 18.16 – 19.07
Spot Rate : 0.9100
Average : 0.6266

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-06-28
Maturity Price : 18.16
Evaluated at bid price : 18.16
Bid-YTW : 7.18 %
PVS.PR.F SplitShare Quote: 23.90 – 24.40
Spot Rate : 0.5000
Average : 0.3113

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2024-09-30
Maturity Price : 25.00
Evaluated at bid price : 23.90
Bid-YTW : 8.84 %
Market Action

June 27, 2023

Inflation fell today, but not uniformly:

Canada’s inflation rate fell to 3.4 per cent in May – the lowest it’s been since June 2021.
…
Statistics Canada reported Tuesday the slowdown was largely due to lower gasoline prices compared to a year ago.

However, the long-awaited decline in food inflation has yet to come through in Canada. Grocery prices were up nine per cent on an annual basis, showing little improvement from April.

And so the markets were dovish:

The annual rate, which benefited from a comparison to last May’s strong price increases, is the slowest since June 2021 and broadly in line with the Bank of Canada’s expectation that inflation would cool to around 3% by mid-2023.

The average of two of the Bank of Canada’s core measures of underlying inflation, CPI-median and CPI-trim, came in at 3.9% compared with 4.3% in April.

The Canadian dollar and bond markets had minimal reaction to the 830 am ET inflation data, with the five-year government bond yield last quoted at 3.723%, well below the 15-year high of 3.896% last week. The five-year bond yield influences fixed mortgage rates as well as some guaranteed investment certificate terms. The Canadian dollar dipped slightly against its U.S. counterpart following the data but soon recovered.

Interest rate probabilities based on trading in swaps markets now show about a 57% chance that Bank of Canada will hike rates by another quarter of a percentage point at its next policy meeting on July 12. That’s down from about 64% prior to the data.

Pre-CPI

Post-CPI

After intensive calculations, the Toronto Exchange has determined the ex-Dividend date for BNS.PR.J:

So I guess they’ll be paying a lot of overtime:

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 -0.0876 % 2,202.1
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.0876 % 4,223.7
Floater 10.67 % 10.79 % 42,156 8.97 1 -0.0876 % 2,434.1
OpRet 0.00 % 0.00 % 0 0.00 0 -0.2570 % 3,246.0
SplitShare 5.17 % 8.64 % 49,247 2.18 6 -0.2570 % 3,876.4
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.2570 % 3,024.5
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 0.2229 % 2,563.2
Perpetual-Discount 6.66 % 6.87 % 39,662 12.68 31 0.2229 % 2,795.0
FixedReset Disc 5.90 % 8.50 % 82,147 11.17 63 -0.3522 % 2,115.7
Insurance Straight 6.61 % 6.70 % 54,579 12.97 19 -0.2741 % 2,720.1
FloatingReset 11.40 % 10.94 % 29,796 8.87 2 0.3779 % 2,371.7
FixedReset Prem 6.99 % 7.14 % 245,795 12.19 1 -0.0795 % 2,313.6
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 -0.3522 % 2,162.7
FixedReset Ins Non 6.40 % 7.95 % 90,682 11.62 9 0.0368 % 2,305.4
Performance Highlights
Issue Index Change Notes
PVS.PR.K SplitShare -2.14 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2029-05-31
Maturity Price : 25.00
Evaluated at bid price : 20.60
Bid-YTW : 8.38 %
BIP.PR.B FixedReset Disc -1.50 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-06-27
Maturity Price : 20.98
Evaluated at bid price : 20.98
Bid-YTW : 9.23 %
FTS.PR.K FixedReset Disc -1.27 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-06-27
Maturity Price : 16.30
Evaluated at bid price : 16.30
Bid-YTW : 8.90 %
GWO.PR.T Insurance Straight -1.19 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-06-27
Maturity Price : 19.10
Evaluated at bid price : 19.10
Bid-YTW : 6.79 %
TRP.PR.A FixedReset Disc -1.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-06-27
Maturity Price : 13.60
Evaluated at bid price : 13.60
Bid-YTW : 9.94 %
RY.PR.M FixedReset Disc -1.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-06-27
Maturity Price : 17.35
Evaluated at bid price : 17.35
Bid-YTW : 8.42 %
POW.PR.B Perpetual-Discount -1.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-06-27
Maturity Price : 19.56
Evaluated at bid price : 19.56
Bid-YTW : 6.87 %
CM.PR.Y FixedReset Disc 1.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-06-27
Maturity Price : 23.33
Evaluated at bid price : 23.85
Bid-YTW : 7.52 %
SLF.PR.J FloatingReset 1.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-06-27
Maturity Price : 14.81
Evaluated at bid price : 14.81
Bid-YTW : 10.94 %
POW.PR.C Perpetual-Discount 1.31 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-06-27
Maturity Price : 21.33
Evaluated at bid price : 21.60
Bid-YTW : 6.73 %
ELF.PR.F Perpetual-Discount 1.72 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-06-27
Maturity Price : 19.53
Evaluated at bid price : 19.53
Bid-YTW : 6.95 %
SLF.PR.E Insurance Straight 2.17 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-06-27
Maturity Price : 17.90
Evaluated at bid price : 17.90
Bid-YTW : 6.33 %
CU.PR.F Perpetual-Discount 2.46 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-06-27
Maturity Price : 17.52
Evaluated at bid price : 17.52
Bid-YTW : 6.51 %
CU.PR.D Perpetual-Discount 5.44 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-06-27
Maturity Price : 19.00
Evaluated at bid price : 19.00
Bid-YTW : 6.53 %
MIC.PR.A Perpetual-Discount 7.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-06-27
Maturity Price : 19.50
Evaluated at bid price : 19.50
Bid-YTW : 6.98 %
Volume Highlights
Issue Index Shares
Traded		 Notes
TRP.PR.B FixedReset Disc 61,900 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-06-27
Maturity Price : 10.30
Evaluated at bid price : 10.30
Bid-YTW : 10.88 %
TD.PF.A FixedReset Disc 50,550 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-06-27
Maturity Price : 17.10
Evaluated at bid price : 17.10
Bid-YTW : 8.52 %
BN.PR.T FixedReset Disc 42,150 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-06-27
Maturity Price : 13.52
Evaluated at bid price : 13.52
Bid-YTW : 9.98 %
NA.PR.S FixedReset Disc 29,804 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-06-27
Maturity Price : 17.48
Evaluated at bid price : 17.48
Bid-YTW : 8.76 %
TD.PF.B FixedReset Disc 27,250 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-06-27
Maturity Price : 17.30
Evaluated at bid price : 17.30
Bid-YTW : 8.53 %
EIT.PR.A SplitShare 14,800 YTW SCENARIO
Maturity Type : Soft Maturity
Maturity Date : 2024-03-14
Maturity Price : 25.00
Evaluated at bid price : 24.27
Bid-YTW : 9.40 %
There were 7 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
MFC.PR.N FixedReset Ins Non Quote: 16.15 – 17.60
Spot Rate : 1.4500
Average : 0.8634

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-06-27
Maturity Price : 16.15
Evaluated at bid price : 16.15
Bid-YTW : 8.98 %
BMO.PR.S FixedReset Disc Quote: 17.75 – 18.99
Spot Rate : 1.2400
Average : 0.7169

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-06-27
Maturity Price : 17.75
Evaluated at bid price : 17.75
Bid-YTW : 8.50 %
CM.PR.O FixedReset Disc Quote: 17.22 – 18.00
Spot Rate : 0.7800
Average : 0.4748

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-06-27
Maturity Price : 17.22
Evaluated at bid price : 17.22
Bid-YTW : 8.52 %
RY.PR.M FixedReset Disc Quote: 17.35 – 18.00
Spot Rate : 0.6500
Average : 0.4446

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-06-27
Maturity Price : 17.35
Evaluated at bid price : 17.35
Bid-YTW : 8.42 %
MFC.PR.C Insurance Straight Quote: 17.41 – 18.35
Spot Rate : 0.9400
Average : 0.7360

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-06-27
Maturity Price : 17.41
Evaluated at bid price : 17.41
Bid-YTW : 6.52 %
NA.PR.S FixedReset Disc Quote: 17.48 – 18.00
Spot Rate : 0.5200
Average : 0.4288

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-06-27
Maturity Price : 17.48
Evaluated at bid price : 17.48
Bid-YTW : 8.76 %
Market Action

June 26, 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 0.5286 % 2,204.1
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.5286 % 4,227.4
Floater 10.66 % 10.77 % 42,183 8.99 1 0.5286 % 2,436.3
OpRet 0.00 % 0.00 % 0 0.00 0 -0.4896 % 3,254.3
SplitShare 5.16 % 8.75 % 45,614 2.18 6 -0.4896 % 3,886.3
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.4896 % 3,032.3
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 -0.3258 % 2,557.5
Perpetual-Discount 6.67 % 6.83 % 39,952 12.72 31 -0.3258 % 2,788.8
FixedReset Disc 5.88 % 8.49 % 82,321 11.12 63 0.1971 % 2,123.2
Insurance Straight 6.59 % 6.70 % 55,408 12.98 19 0.3818 % 2,727.6
FloatingReset 11.45 % 11.07 % 28,838 8.78 2 0.0344 % 2,362.7
FixedReset Prem 6.98 % 7.12 % 247,750 3.72 1 -0.1190 % 2,315.5
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 0.1971 % 2,170.4
FixedReset Ins Non 6.40 % 7.93 % 93,614 11.62 9 0.4864 % 2,304.6
Performance Highlights
Issue Index Change Notes
MIC.PR.A Perpetual-Discount -5.51 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-06-26
Maturity Price : 18.19
Evaluated at bid price : 18.19
Bid-YTW : 7.48 %
CU.PR.D Perpetual-Discount -5.36 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-06-26
Maturity Price : 18.02
Evaluated at bid price : 18.02
Bid-YTW : 6.89 %
CU.PR.I FixedReset Disc -1.89 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-06-26
Maturity Price : 22.04
Evaluated at bid price : 22.32
Bid-YTW : 7.85 %
PVS.PR.J SplitShare -1.87 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2028-02-29
Maturity Price : 25.00
Evaluated at bid price : 21.00
Bid-YTW : 8.75 %
POW.PR.C Perpetual-Discount -1.71 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-06-26
Maturity Price : 21.32
Evaluated at bid price : 21.32
Bid-YTW : 6.83 %
ELF.PR.F Perpetual-Discount -1.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-06-26
Maturity Price : 19.20
Evaluated at bid price : 19.20
Bid-YTW : 7.07 %
BN.PR.N Perpetual-Discount -1.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-06-26
Maturity Price : 17.01
Evaluated at bid price : 17.01
Bid-YTW : 7.04 %
IFC.PR.E Insurance Straight 1.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-06-26
Maturity Price : 20.20
Evaluated at bid price : 20.20
Bid-YTW : 6.48 %
RY.PR.M FixedReset Disc 1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-06-26
Maturity Price : 17.53
Evaluated at bid price : 17.53
Bid-YTW : 8.34 %
TRP.PR.A FixedReset Disc 1.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-06-26
Maturity Price : 13.75
Evaluated at bid price : 13.75
Bid-YTW : 9.83 %
CU.PR.J Perpetual-Discount 1.18 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-06-26
Maturity Price : 18.02
Evaluated at bid price : 18.02
Bid-YTW : 6.68 %
GWO.PR.N FixedReset Ins Non 1.24 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-06-26
Maturity Price : 12.25
Evaluated at bid price : 12.25
Bid-YTW : 8.94 %
PWF.PR.P FixedReset Disc 1.29 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-06-26
Maturity Price : 12.52
Evaluated at bid price : 12.52
Bid-YTW : 9.32 %
SLF.PR.C Insurance Straight 4.26 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-06-26
Maturity Price : 17.88
Evaluated at bid price : 17.88
Bid-YTW : 6.26 %
MFC.PR.I FixedReset Ins Non 4.38 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-06-26
Maturity Price : 20.98
Evaluated at bid price : 20.98
Bid-YTW : 7.73 %
PWF.PR.S Perpetual-Discount 5.56 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-06-26
Maturity Price : 18.05
Evaluated at bid price : 18.05
Bid-YTW : 6.79 %
TRP.PR.B FixedReset Disc 10.76 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-06-26
Maturity Price : 10.40
Evaluated at bid price : 10.40
Bid-YTW : 10.78 %
Volume Highlights
Issue Index Shares
Traded		 Notes
RY.PR.Z FixedReset Disc 26,300 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-06-26
Maturity Price : 17.37
Evaluated at bid price : 17.37
Bid-YTW : 8.50 %
FTS.PR.H FixedReset Disc 26,000 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-06-26
Maturity Price : 12.45
Evaluated at bid price : 12.45
Bid-YTW : 9.51 %
TRP.PR.D FixedReset Disc 12,500 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-06-26
Maturity Price : 15.66
Evaluated at bid price : 15.66
Bid-YTW : 9.77 %
TD.PF.B FixedReset Disc 12,400 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-06-26
Maturity Price : 17.35
Evaluated at bid price : 17.35
Bid-YTW : 8.50 %
TD.PF.J FixedReset Disc 12,300 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-06-26
Maturity Price : 20.89
Evaluated at bid price : 20.89
Bid-YTW : 7.60 %
EIT.PR.A SplitShare 10,700 YTW SCENARIO
Maturity Type : Soft Maturity
Maturity Date : 2024-03-14
Maturity Price : 25.00
Evaluated at bid price : 24.28
Bid-YTW : 9.30 %
There were 0 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
BMO.PR.W FixedReset Disc Quote: 16.93 – 25.10
Spot Rate : 8.1700
Average : 4.4197

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-06-26
Maturity Price : 16.93
Evaluated at bid price : 16.93
Bid-YTW : 8.62 %
MFC.PR.M FixedReset Ins Non Quote: 16.60 – 20.45
Spot Rate : 3.8500
Average : 2.1728

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-06-26
Maturity Price : 16.60
Evaluated at bid price : 16.60
Bid-YTW : 8.91 %
IFC.PR.G FixedReset Ins Non Quote: 20.64 – 22.19
Spot Rate : 1.5500
Average : 0.9718

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-06-26
Maturity Price : 20.64
Evaluated at bid price : 20.64
Bid-YTW : 7.68 %
MIC.PR.A Perpetual-Discount Quote: 18.19 – 19.97
Spot Rate : 1.7800
Average : 1.2547

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-06-26
Maturity Price : 18.19
Evaluated at bid price : 18.19
Bid-YTW : 7.48 %
BMO.PR.Y FixedReset Disc Quote: 17.85 – 19.25
Spot Rate : 1.4000
Average : 0.9845

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-06-26
Maturity Price : 17.85
Evaluated at bid price : 17.85
Bid-YTW : 8.39 %
CU.PR.D Perpetual-Discount Quote: 18.02 – 19.15
Spot Rate : 1.1300
Average : 0.7627

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-06-26
Maturity Price : 18.02
Evaluated at bid price : 18.02
Bid-YTW : 6.89 %
Market Action

June 23, 2023

HIMIPref™ Preferred Indices
These values reflect the December 2008 revision of the HIMIPref™ Indices
Values are provisional and are finalized monthly
Index Mean
Current
Yield
(at bid)		 Median
YTW		 Median
Average
Trading
Value		 Median
Mod Dur
(YTW)		 Issues Day’s Perf. Index Value
Ratchet 0.00 % 0.00 % 0 0.00 0 -0.4386 % 2,192.5
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.4386 % 4,205.1
Floater 10.72 % 10.82 % 43,846 8.96 1 -0.4386 % 2,423.4
OpRet 0.00 % 0.00 % 0 0.00 0 0.1537 % 3,270.3
SplitShare 5.13 % 8.50 % 44,376 2.19 6 0.1537 % 3,905.5
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.1537 % 3,047.2
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 0.2042 % 2,565.8
Perpetual-Discount 6.65 % 6.83 % 39,663 12.69 31 0.2042 % 2,797.9
FixedReset Disc 5.89 % 8.54 % 83,581 11.02 63 -0.0352 % 2,119.0
Insurance Straight 6.62 % 6.70 % 57,316 12.98 19 -0.4305 % 2,717.2
FloatingReset 11.42 % 11.02 % 30,023 8.82 2 0.0344 % 2,361.9
FixedReset Prem 6.97 % 7.07 % 249,967 3.73 1 0.0000 % 2,318.2
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 -0.0352 % 2,166.1
FixedReset Ins Non 6.44 % 8.10 % 94,320 11.50 9 -0.6848 % 2,293.4
Performance Highlights
Issue Index Change Notes
TRP.PR.B FixedReset Disc -10.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-06-23
Maturity Price : 9.39
Evaluated at bid price : 9.39
Bid-YTW : 11.91 %
MFC.PR.I FixedReset Ins Non -5.37 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-06-23
Maturity Price : 20.10
Evaluated at bid price : 20.10
Bid-YTW : 8.10 %
PWF.PR.S Perpetual-Discount -4.31 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-06-23
Maturity Price : 17.10
Evaluated at bid price : 17.10
Bid-YTW : 7.16 %
SLF.PR.C Insurance Straight -3.38 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-06-23
Maturity Price : 17.15
Evaluated at bid price : 17.15
Bid-YTW : 6.53 %
SLF.PR.E Insurance Straight -2.67 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-06-23
Maturity Price : 17.52
Evaluated at bid price : 17.52
Bid-YTW : 6.46 %
IFC.PR.F Insurance Straight -1.69 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-06-23
Maturity Price : 20.30
Evaluated at bid price : 20.30
Bid-YTW : 6.57 %
CCS.PR.C Insurance Straight -1.58 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-06-23
Maturity Price : 18.70
Evaluated at bid price : 18.70
Bid-YTW : 6.73 %
POW.PR.C Perpetual-Discount -1.54 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-06-23
Maturity Price : 21.43
Evaluated at bid price : 21.69
Bid-YTW : 6.70 %
PWF.PR.G Perpetual-Discount -1.54 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-06-23
Maturity Price : 21.50
Evaluated at bid price : 21.76
Bid-YTW : 6.90 %
TD.PF.L FixedReset Disc -1.40 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-06-23
Maturity Price : 22.71
Evaluated at bid price : 23.29
Bid-YTW : 7.59 %
FTS.PR.F Perpetual-Discount 1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-06-23
Maturity Price : 19.90
Evaluated at bid price : 19.90
Bid-YTW : 6.23 %
CU.PR.I FixedReset Disc 1.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-06-23
Maturity Price : 22.35
Evaluated at bid price : 22.75
Bid-YTW : 7.73 %
BN.PR.N Perpetual-Discount 1.18 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-06-23
Maturity Price : 17.22
Evaluated at bid price : 17.22
Bid-YTW : 6.94 %
PVS.PR.K SplitShare 1.94 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2029-05-31
Maturity Price : 25.00
Evaluated at bid price : 21.00
Bid-YTW : 7.97 %
ELF.PR.F Perpetual-Discount 1.99 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-06-23
Maturity Price : 19.44
Evaluated at bid price : 19.44
Bid-YTW : 6.97 %
GWO.PR.T Insurance Straight 2.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-06-23
Maturity Price : 19.34
Evaluated at bid price : 19.34
Bid-YTW : 6.70 %
CU.PR.D Perpetual-Discount 5.66 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-06-23
Maturity Price : 19.04
Evaluated at bid price : 19.04
Bid-YTW : 6.51 %
BIP.PR.B FixedReset Disc 6.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-06-23
Maturity Price : 21.20
Evaluated at bid price : 21.20
Bid-YTW : 9.17 %
PWF.PR.H Perpetual-Discount 7.50 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-06-23
Maturity Price : 21.22
Evaluated at bid price : 21.22
Bid-YTW : 6.91 %
Volume Highlights
Issue Index Shares
Traded		 Notes
TD.PF.B FixedReset Disc 77,200 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-06-23
Maturity Price : 17.20
Evaluated at bid price : 17.20
Bid-YTW : 8.62 %
TD.PF.A FixedReset Disc 38,100 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-06-23
Maturity Price : 17.16
Evaluated at bid price : 17.16
Bid-YTW : 8.53 %
PWF.PR.G Perpetual-Discount 36,100 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-06-23
Maturity Price : 21.50
Evaluated at bid price : 21.76
Bid-YTW : 6.90 %
TD.PF.I FixedReset Disc 30,300 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-06-23
Maturity Price : 23.08
Evaluated at bid price : 24.62
Bid-YTW : 6.81 %
TRP.PR.A FixedReset Disc 25,747 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-06-23
Maturity Price : 13.60
Evaluated at bid price : 13.60
Bid-YTW : 9.99 %
BN.PF.C Perpetual-Discount 23,635 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-06-23
Maturity Price : 17.29
Evaluated at bid price : 17.29
Bid-YTW : 7.06 %
There were 8 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: 20.00 – 21.55
Spot Rate : 1.5500
Average : 1.0332

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-06-23
Maturity Price : 20.00
Evaluated at bid price : 20.00
Bid-YTW : 6.54 %
TRP.PR.B FixedReset Disc Quote: 9.39 – 10.46
Spot Rate : 1.0700
Average : 0.6032

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-06-23
Maturity Price : 9.39
Evaluated at bid price : 9.39
Bid-YTW : 11.91 %
PWF.PR.S Perpetual-Discount Quote: 17.10 – 18.40
Spot Rate : 1.3000
Average : 0.8624

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-06-23
Maturity Price : 17.10
Evaluated at bid price : 17.10
Bid-YTW : 7.16 %
MFC.PR.I FixedReset Ins Non Quote: 20.10 – 21.10
Spot Rate : 1.0000
Average : 0.5859

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-06-23
Maturity Price : 20.10
Evaluated at bid price : 20.10
Bid-YTW : 8.10 %
BIP.PR.E FixedReset Disc Quote: 20.05 – 21.28
Spot Rate : 1.2300
Average : 0.9749

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-06-23
Maturity Price : 20.05
Evaluated at bid price : 20.05
Bid-YTW : 8.46 %
SLF.PR.E Insurance Straight Quote: 17.52 – 18.16
Spot Rate : 0.6400
Average : 0.4388

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-06-23
Maturity Price : 17.52
Evaluated at bid price : 17.52
Bid-YTW : 6.46 %
Market Action

June 22, 2023

TXPR closed at 528.29, down 0.56% on the day. Volume today was 1.20-million, near the median of the past 21 trading days.

CPD closed at 10.57, down 0.19% on the day. Volume was 29,500, below the median of the past 21 trading days.

ZPR closed at 8.85, up 0.11% on the day. Volume was 250,860, fourth-highest of the past 21 trading days.

Five-year Canada yields were up to 3.89%.

I’m going to go out on limb here and suggest that the recent updraft in the GOC-5 rate is due in part to Canadian retail sales:

Canadians have ramped up their retail spending in recent months, despite higher interest rates that are meant to slow their consumption and bring down the rate of inflation.

Retail sales rose by 1.1 per cent in April, after a 1.4-per-cent slide in March, Statistics Canada said in a report on Wednesday. The April result easily surpassed its previous estimate of a 0.2-per-cent gain. In volume terms, retail sales rose 0.3 per cent.

Further gains appear to be on the way: In its preliminary estimate on Wednesday, Statscan said retail sales rose an additional 0.5 per cent in May, although that number is subject to revision.
…
Statscan’s report showed a broad-based increase in retail spending. Sales rose 3.3 per cent at general merchandise retailers in April from March. Receipts were up 3.1 per cent at clothing retailers and by 1.5 per cent at food and beverage retailers.

There was, however, a decline at stores catering to the housing market. For instance, sales fell 1.3 per cent at electronics and appliance retailers in April.

… exacerbated by Powell’s June 21 remarks:

Jerome H. Powell, the chair of the Federal Reserve, told House lawmakers that the United States remains a “long way” away from low and stable inflation even 15 months into the central bank’s campaign to cool the economy and wrestle down rapid price increases.

Mr. Powell testified before the House Financial Services Committee on Wednesday. He told lawmakers that the labor market remained very tight and that inflation — while it has come down notably from its peak last summer — was still too fast. In light of that, the Fed could raise interest rates even higher than their current level of just above 5 percent.

“Inflation has moderated somewhat since the middle of last year,” Mr. Powell said. “Nonetheless, inflation pressures continue to run high, and the process of getting inflation back down to 2 percent has a long way to go.”

… and reports of UK inflation:

Britain’s inflation rate held steady in May, frustrating expectations that price increases would slow down, according to data released Wednesday, the day before the country’s central bank is widely expected to raise interest rates again.

Consumer prices rose 8.7 percent from a year earlier, the same as in April, the Office for National Statistics said. Economists had forecast that prices would dip slightly. The data is likely to compound concerns that Britain’s cost-of-living crisis may intensify in the coming months as mortgage holders confront the burden of higher interest rates pushed through to tackle stubbornly strong inflation.

The Bank of England is expected to lift interest rates on Thursday for a 13th consecutive time, by a quarter-point to 4.75 percent, the highest since early 2008.

But the BoE went for a bigger hike:

The Bank of England’s Monetary Policy Committee (MPC) sets monetary policy to meet the 2% inflation target, and in a way that helps to sustain growth and employment. At its meeting ending on 21 June 2023, the MPC voted by a majority of 7–2 to increase Bank Rate by 0.5 percentage points, to 5%. Two members preferred to maintain Bank Rate at 4.5%.

At the time of the previous MPC meeting and May Monetary Policy Report, the market-implied path for Bank Rate averaged just over 4% over the next three years. Since then, gilt yields have risen materially, particularly at shorter maturities, now suggesting a path for Bank Rate that averages around 5½%. Mortgage rates have also risen notably. The sterling effective exchange rate has appreciated further.

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 0.4405 % 2,202.1
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.4405 % 4,223.7
Floater 10.67 % 10.77 % 44,481 9.00 1 0.4405 % 2,434.1
OpRet 0.00 % 0.00 % 0 0.00 0 -0.3646 % 3,265.3
SplitShare 5.14 % 8.49 % 43,661 2.19 6 -0.3646 % 3,899.5
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.3646 % 3,042.5
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 -1.3134 % 2,560.6
Perpetual-Discount 6.66 % 6.81 % 39,761 12.72 31 -1.3134 % 2,792.2
FixedReset Disc 5.89 % 8.59 % 85,784 11.05 63 -0.4109 % 2,119.8
Insurance Straight 6.59 % 6.62 % 58,164 13.08 19 -0.5947 % 2,729.0
FloatingReset 11.42 % 11.02 % 28,019 8.83 2 0.0000 % 2,361.1
FixedReset Prem 6.97 % 7.07 % 253,282 3.73 1 0.0000 % 2,318.2
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 -0.4109 % 2,166.9
FixedReset Ins Non 6.40 % 7.90 % 94,250 11.56 9 0.2513 % 2,309.2
Performance Highlights
Issue Index Change Notes
PWF.PR.H Perpetual-Discount -8.36 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-06-22
Maturity Price : 19.74
Evaluated at bid price : 19.74
Bid-YTW : 7.44 %
BIP.PR.B FixedReset Disc -6.98 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-06-22
Maturity Price : 20.00
Evaluated at bid price : 20.00
Bid-YTW : 9.69 %
CU.PR.D Perpetual-Discount -6.63 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-06-22
Maturity Price : 18.02
Evaluated at bid price : 18.02
Bid-YTW : 6.89 %
MIC.PR.A Perpetual-Discount -3.66 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-06-22
Maturity Price : 19.19
Evaluated at bid price : 19.19
Bid-YTW : 7.08 %
GWO.PR.T Insurance Straight -3.37 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-06-22
Maturity Price : 18.92
Evaluated at bid price : 18.92
Bid-YTW : 6.85 %
CU.PR.I FixedReset Disc -2.85 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-06-22
Maturity Price : 22.17
Evaluated at bid price : 22.50
Bid-YTW : 7.82 %
ELF.PR.F Perpetual-Discount -2.76 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-06-22
Maturity Price : 19.06
Evaluated at bid price : 19.06
Bid-YTW : 7.12 %
BN.PF.H FixedReset Disc -2.65 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-06-22
Maturity Price : 19.48
Evaluated at bid price : 19.48
Bid-YTW : 9.45 %
GWO.PR.G Insurance Straight -2.55 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-06-22
Maturity Price : 19.10
Evaluated at bid price : 19.10
Bid-YTW : 6.85 %
IFC.PR.E Insurance Straight -2.38 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-06-22
Maturity Price : 20.06
Evaluated at bid price : 20.06
Bid-YTW : 6.52 %
PVS.PR.K SplitShare -1.90 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2029-05-31
Maturity Price : 25.00
Evaluated at bid price : 20.60
Bid-YTW : 8.35 %
BIP.PR.E FixedReset Disc -1.88 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-06-22
Maturity Price : 19.87
Evaluated at bid price : 19.87
Bid-YTW : 8.54 %
PWF.PR.S Perpetual-Discount -1.87 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-06-22
Maturity Price : 17.87
Evaluated at bid price : 17.87
Bid-YTW : 6.85 %
CU.PR.C FixedReset Disc -1.46 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-06-22
Maturity Price : 17.60
Evaluated at bid price : 17.60
Bid-YTW : 8.50 %
MFC.PR.J FixedReset Ins Non -1.42 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-06-22
Maturity Price : 20.81
Evaluated at bid price : 20.81
Bid-YTW : 7.66 %
TRP.PR.G FixedReset Disc -1.41 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-06-22
Maturity Price : 16.10
Evaluated at bid price : 16.10
Bid-YTW : 9.48 %
CU.PR.J Perpetual-Discount -1.32 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-06-22
Maturity Price : 17.96
Evaluated at bid price : 17.96
Bid-YTW : 6.70 %
MFC.PR.K FixedReset Ins Non -1.32 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-06-22
Maturity Price : 18.75
Evaluated at bid price : 18.75
Bid-YTW : 8.08 %
POW.PR.B Perpetual-Discount -1.30 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-06-22
Maturity Price : 19.90
Evaluated at bid price : 19.90
Bid-YTW : 6.74 %
TRP.PR.D FixedReset Disc -1.27 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-06-22
Maturity Price : 15.50
Evaluated at bid price : 15.50
Bid-YTW : 9.93 %
CU.PR.G Perpetual-Discount -1.25 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-06-22
Maturity Price : 17.45
Evaluated at bid price : 17.45
Bid-YTW : 6.53 %
TD.PF.J FixedReset Disc -1.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-06-22
Maturity Price : 21.01
Evaluated at bid price : 21.01
Bid-YTW : 7.58 %
PWF.PR.F Perpetual-Discount -1.21 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-06-22
Maturity Price : 19.65
Evaluated at bid price : 19.65
Bid-YTW : 6.81 %
PWF.PF.A Perpetual-Discount -1.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-06-22
Maturity Price : 17.05
Evaluated at bid price : 17.05
Bid-YTW : 6.73 %
CCS.PR.C Insurance Straight -1.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-06-22
Maturity Price : 19.00
Evaluated at bid price : 19.00
Bid-YTW : 6.62 %
IFC.PR.K Perpetual-Discount -1.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-06-22
Maturity Price : 20.20
Evaluated at bid price : 20.20
Bid-YTW : 6.54 %
GWO.PR.Y Insurance Straight -1.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-06-22
Maturity Price : 17.24
Evaluated at bid price : 17.24
Bid-YTW : 6.57 %
BN.PR.X FixedReset Disc 1.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-06-22
Maturity Price : 14.10
Evaluated at bid price : 14.10
Bid-YTW : 9.44 %
BN.PF.B FixedReset Disc 1.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-06-22
Maturity Price : 16.25
Evaluated at bid price : 16.25
Bid-YTW : 9.73 %
SLF.PR.C Insurance Straight 4.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-06-22
Maturity Price : 17.75
Evaluated at bid price : 17.75
Bid-YTW : 6.31 %
PWF.PR.L Perpetual-Discount 5.56 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-06-22
Maturity Price : 19.00
Evaluated at bid price : 19.00
Bid-YTW : 6.84 %
GWO.PR.N FixedReset Ins Non 10.91 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-06-22
Maturity Price : 12.20
Evaluated at bid price : 12.20
Bid-YTW : 9.02 %
Volume Highlights
Issue Index Shares
Traded		 Notes
BN.PR.R FixedReset Disc 54,762 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-06-22
Maturity Price : 13.05
Evaluated at bid price : 13.05
Bid-YTW : 10.36 %
RY.PR.H FixedReset Disc 27,268 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-06-22
Maturity Price : 17.16
Evaluated at bid price : 17.16
Bid-YTW : 8.64 %
BN.PF.F FixedReset Disc 22,412 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-06-22
Maturity Price : 15.80
Evaluated at bid price : 15.80
Bid-YTW : 10.19 %
TRP.PR.D FixedReset Disc 18,897 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-06-22
Maturity Price : 15.50
Evaluated at bid price : 15.50
Bid-YTW : 9.93 %
BN.PF.J FixedReset Disc 18,498 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-06-22
Maturity Price : 20.50
Evaluated at bid price : 20.50
Bid-YTW : 8.19 %
MFC.PR.J FixedReset Ins Non 16,300 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-06-22
Maturity Price : 20.81
Evaluated at bid price : 20.81
Bid-YTW : 7.66 %
There were 9 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
PWF.PR.H Perpetual-Discount Quote: 19.74 – 21.87
Spot Rate : 2.1300
Average : 1.2084

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-06-22
Maturity Price : 19.74
Evaluated at bid price : 19.74
Bid-YTW : 7.44 %
BIP.PR.B FixedReset Disc Quote: 20.00 – 21.64
Spot Rate : 1.6400
Average : 1.0554

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-06-22
Maturity Price : 20.00
Evaluated at bid price : 20.00
Bid-YTW : 9.69 %
CU.PR.D Perpetual-Discount Quote: 18.02 – 19.11
Spot Rate : 1.0900
Average : 0.6339

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-06-22
Maturity Price : 18.02
Evaluated at bid price : 18.02
Bid-YTW : 6.89 %
CM.PR.P FixedReset Disc Quote: 16.86 – 17.90
Spot Rate : 1.0400
Average : 0.6485

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-06-22
Maturity Price : 16.86
Evaluated at bid price : 16.86
Bid-YTW : 8.67 %
MIC.PR.A Perpetual-Discount Quote: 19.19 – 20.02
Spot Rate : 0.8300
Average : 0.6005

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-06-22
Maturity Price : 19.19
Evaluated at bid price : 19.19
Bid-YTW : 7.08 %
GWO.PR.T Insurance Straight Quote: 18.92 – 19.70
Spot Rate : 0.7800
Average : 0.5787

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-06-22
Maturity Price : 18.92
Evaluated at bid price : 18.92
Bid-YTW : 6.85 %
Market Action

June 21, 2023

PerpetualDiscounts now yield 6.73%, equivalent to 8.75% interest at the standard equivalency factor of 1.3x. Long corporates yielded 5.10% on 2023-6-16 and since then the closing price has changed from 15.09 to 15.01, a decrease of 53bp in price, with a Duration of 12.35 (BMO doesn’t specify whether this is Macaulay or Modified Duration; I will assume Modified) which implies an increase in yield of about 4bp since 6/16 to 5.14%, so the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) has widened to about 360bp from the 350bp reported June 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 0.0000 % 2,192.5
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.0000 % 4,205.1
Floater 10.72 % 10.82 % 46,235 8.97 1 0.0000 % 2,423.4
OpRet 0.00 % 0.00 % 0 0.00 0 -0.4284 % 3,277.3
SplitShare 5.12 % 8.32 % 43,005 2.19 6 -0.4284 % 3,913.7
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.4284 % 3,053.7
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 -0.5994 % 2,594.7
Perpetual-Discount 6.58 % 6.73 % 40,618 12.83 31 -0.5994 % 2,829.4
FixedReset Disc 5.86 % 8.57 % 86,584 11.07 63 -0.1356 % 2,128.5
Insurance Straight 6.55 % 6.58 % 54,614 13.14 19 -0.9524 % 2,745.3
FloatingReset 11.42 % 11.02 % 25,940 8.83 2 0.1722 % 2,361.1
FixedReset Prem 6.97 % 7.06 % 253,425 3.73 1 0.1988 % 2,318.2
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 -0.1356 % 2,175.8
FixedReset Ins Non 6.41 % 7.84 % 93,063 11.59 9 -1.2410 % 2,303.4
Performance Highlights
Issue Index Change Notes
GWO.PR.N FixedReset Ins Non -8.26 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-06-21
Maturity Price : 11.00
Evaluated at bid price : 11.00
Bid-YTW : 9.91 %
SLF.PR.C Insurance Straight -5.28 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-06-21
Maturity Price : 17.05
Evaluated at bid price : 17.05
Bid-YTW : 6.57 %
PWF.PR.L Perpetual-Discount -5.26 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-06-21
Maturity Price : 18.00
Evaluated at bid price : 18.00
Bid-YTW : 7.23 %
SLF.PR.D Insurance Straight -2.33 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-06-21
Maturity Price : 17.57
Evaluated at bid price : 17.57
Bid-YTW : 6.37 %
IFC.PR.K Perpetual-Discount -2.30 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-06-21
Maturity Price : 20.42
Evaluated at bid price : 20.42
Bid-YTW : 6.47 %
IFC.PR.A FixedReset Ins Non -1.84 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-06-21
Maturity Price : 17.04
Evaluated at bid price : 17.04
Bid-YTW : 7.81 %
PVS.PR.J SplitShare -1.61 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2028-02-29
Maturity Price : 25.00
Evaluated at bid price : 21.45
Bid-YTW : 8.19 %
PWF.PR.S Perpetual-Discount -1.57 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-06-21
Maturity Price : 18.21
Evaluated at bid price : 18.21
Bid-YTW : 6.72 %
IFC.PR.F Insurance Straight -1.53 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-06-21
Maturity Price : 20.65
Evaluated at bid price : 20.65
Bid-YTW : 6.46 %
IFC.PR.E Insurance Straight -1.44 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-06-21
Maturity Price : 20.55
Evaluated at bid price : 20.55
Bid-YTW : 6.36 %
PVS.PR.K SplitShare -1.41 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2029-05-31
Maturity Price : 25.00
Evaluated at bid price : 21.00
Bid-YTW : 7.96 %
NA.PR.E FixedReset Disc -1.41 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-06-21
Maturity Price : 20.31
Evaluated at bid price : 20.31
Bid-YTW : 7.97 %
ELF.PR.H Perpetual-Discount -1.36 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-06-21
Maturity Price : 20.27
Evaluated at bid price : 20.27
Bid-YTW : 6.94 %
CU.PR.D Perpetual-Discount -1.28 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-06-21
Maturity Price : 19.30
Evaluated at bid price : 19.30
Bid-YTW : 6.42 %
GWO.PR.S Insurance Straight -1.27 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-06-21
Maturity Price : 19.50
Evaluated at bid price : 19.50
Bid-YTW : 6.77 %
GWO.PR.R Insurance Straight -1.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-06-21
Maturity Price : 18.07
Evaluated at bid price : 18.07
Bid-YTW : 6.68 %
BIK.PR.A FixedReset Disc -1.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-06-21
Maturity Price : 21.82
Evaluated at bid price : 22.30
Bid-YTW : 8.59 %
BN.PR.M Perpetual-Discount -1.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-06-21
Maturity Price : 17.01
Evaluated at bid price : 17.01
Bid-YTW : 7.03 %
MFC.PR.C Insurance Straight -1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-06-21
Maturity Price : 17.47
Evaluated at bid price : 17.47
Bid-YTW : 6.49 %
TRP.PR.B FixedReset Disc 1.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-06-21
Maturity Price : 10.37
Evaluated at bid price : 10.37
Bid-YTW : 10.87 %
TRP.PR.C FixedReset Disc 1.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-06-21
Maturity Price : 10.62
Evaluated at bid price : 10.62
Bid-YTW : 10.90 %
TRP.PR.A FixedReset Disc 1.18 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-06-21
Maturity Price : 13.70
Evaluated at bid price : 13.70
Bid-YTW : 9.91 %
CU.PR.F Perpetual-Discount 2.53 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-06-21
Maturity Price : 17.45
Evaluated at bid price : 17.45
Bid-YTW : 6.53 %
Volume Highlights
Issue Index Shares
Traded		 Notes
TD.PF.K FixedReset Disc 354,100 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-06-21
Maturity Price : 21.61
Evaluated at bid price : 21.97
Bid-YTW : 7.31 %
MFC.PR.N FixedReset Ins Non 102,400 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-06-21
Maturity Price : 16.15
Evaluated at bid price : 16.15
Bid-YTW : 9.02 %
TD.PF.A FixedReset Disc 81,500 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-06-21
Maturity Price : 17.15
Evaluated at bid price : 17.15
Bid-YTW : 8.53 %
RY.PR.J FixedReset Disc 64,422 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-06-21
Maturity Price : 18.15
Evaluated at bid price : 18.15
Bid-YTW : 8.45 %
MFC.PR.M FixedReset Ins Non 53,700 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-06-21
Maturity Price : 16.60
Evaluated at bid price : 16.60
Bid-YTW : 8.95 %
BN.PF.G FixedReset Disc 25,900 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-06-21
Maturity Price : 14.60
Evaluated at bid price : 14.60
Bid-YTW : 10.45 %
There were 14 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
PWF.PR.L Perpetual-Discount Quote: 18.00 – 19.67
Spot Rate : 1.6700
Average : 1.0894

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-06-21
Maturity Price : 18.00
Evaluated at bid price : 18.00
Bid-YTW : 7.23 %
GWO.PR.N FixedReset Ins Non Quote: 11.00 – 12.20
Spot Rate : 1.2000
Average : 0.6978

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-06-21
Maturity Price : 11.00
Evaluated at bid price : 11.00
Bid-YTW : 9.91 %
BMO.PR.Y FixedReset Disc Quote: 17.97 – 19.25
Spot Rate : 1.2800
Average : 0.8964

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-06-21
Maturity Price : 17.97
Evaluated at bid price : 17.97
Bid-YTW : 8.38 %
SLF.PR.C Insurance Straight Quote: 17.05 – 18.00
Spot Rate : 0.9500
Average : 0.6320

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-06-21
Maturity Price : 17.05
Evaluated at bid price : 17.05
Bid-YTW : 6.57 %
BIP.PR.F FixedReset Disc Quote: 19.19 – 19.89
Spot Rate : 0.7000
Average : 0.4201

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-06-21
Maturity Price : 19.19
Evaluated at bid price : 19.19
Bid-YTW : 8.70 %
BIP.PR.E FixedReset Disc Quote: 20.25 – 21.28
Spot Rate : 1.0300
Average : 0.7665

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-06-21
Maturity Price : 20.25
Evaluated at bid price : 20.25
Bid-YTW : 8.38 %
Issue Comments

DGS.PR.A : DBRS Downgrades to Pfd-3(low)

DBRS has announced that it:

downgraded its rating on the Preferred Shares issued by Dividend Growth Split Corp. (the Company) to Pfd-3 (low) from Pfd-3. The Preferred Shares have experienced a considerable drop in downside protection (to 31.5% in June 2023 from 38.9% in May 2022) as a result of the decline in the portfolio’s net asset value (NAV) in response to the volatility in the stock market, which was triggered by the mix of the global high inflationary environment, tighter monetary policies, and various geopolitical events, such as the Russia-Ukraine war. The Company’s maturity date is September 27, 2024. The board of directors may extend the term of the Company and the shares by successive terms of up to five years, provided that shareholders are given an optional retraction right at the end of each successive term.

The Company invests in a portfolio consisting primarily of equity securities of Canadian dividend growth companies. In addition, the Company may hold up to 20% of the total assets of the portfolio directly in global dividend growth companies or indirectly through exchange-traded funds for diversification and improved return potential. To qualify for inclusion in the portfolio, at the time of investment and at the time of each periodic reconstitution and/or rebalancing, each dividend growth company included directly in the portfolio must (1) have a market capitalization of at least $2.0 billion and (2) have a history of dividend growth. Investments will generally be equal weighted at the time of investment; however, after rebalancing the portfolio, the Company may hold nonequal weight positions.

Dividends received from the portfolio are used to pay fixed cumulative quarterly dividends equal to $0.55 per annum (p.a.) to each Preferred Shareholder, yielding 5.5% on the original issue price of $10.00. Holders of Class A Shares receive monthly distributions targeted at $1.20 p.a. The NAV test in place prevents any distributions to the Class A Shares if the Company’s NAV falls below 1.5 times (x) the principal amount of the outstanding Preferred Shares. Distributions to the Class A Shares are currently suspended.

As of June 8, 2023, the downside protection stood at 31.5%, compared with 38.9% as on May 30, 2022. Dividend coverage based on the current dividend yield on the portfolio was 0.6x. Without giving consideration to the capital appreciation potential or any source of income other than the dividends earned by the portfolio, the targeted monthly distributions to the Class A Shares are likely to create a grind on the portfolio’s NAV equivalent to 1.4% over the remaining term to maturity. The Company can write covered call options for some or all of the portfolio’s common shares to generate additional income to supplement the dividends received on the portfolio. The Company can engage in securities lending.

Considering the amount of downside protection, the term extension, and the projected grind on the portfolio, DBRS Morningstar downgraded the rating on the Preferred Shares to Pfd-3 (low) from Pfd-3.

The main constraints to the rating are as follows:

(1) The downside protection available to holders of the Preferred Shares depends on the value and dividend policies of the securities in the portfolio. In current times, valuation is exposed to market fluctuations resulting from high inflation, economic slowdown, global supply chain disruptions, and the Russia-Ukraine war.

(2) Volatility of price and changes in the dividend policies of the underlying issuers may result in significant reductions in the Preferred Shares’ dividend coverage or downside protection from time to time.

(3) Dividends and interest received on the portfolio are currently unable to fully cover distributions on the Preferred Shares.

(4) The Company relies on the portfolio manager to generate additional income, through option writing, to meet distributions and other trust expenses without having to liquidate the portfolio’s securities.

(5) Stated monthly distributions on the Class A Shares will likely create a grind on the portfolio. This risk is mitigated by an asset coverage test of 1.5x that ensures sufficient levels of downside protection to the holders of the Preferred Shares.

DGS.PR.A has a Whole Unit NAVPU of 14.75 as of 2023-6-15. It’s a big issue, with over 48-million Whole Units (preferred share + Capital Unit) outstanding as of 2023-6-21.

Market Action

June 20, 2023

TXPR closed at 532.23, down 0.51% on the day. Volume today was 1.15-million, near the median of the past 21 trading days.

CPD closed at 10.62, down 0.66% on the day. Volume was 65,390, above the median of the past 21 trading days.

ZPR closed at 8.88, down 0.67% on the day. Volume was 149,620, above the median of the past 21 trading days.

Five-year Canada yields were up a bit to 3.73%.

HIMIPref™ Preferred Indices
These values reflect the December 2008 revision of the HIMIPref™ Indices
Values are provisional and are finalized monthly
Index Mean
Current
Yield
(at bid)		 Median
YTW		 Median
Average
Trading
Value		 Median
Mod Dur
(YTW)		 Issues Day’s Perf. Index Value
Ratchet 0.00 % 0.00 % 0 0.00 0 -0.4386 % 2,192.5
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.4386 % 4,205.1
Floater 10.72 % 10.81 % 46,755 8.97 1 -0.4386 % 2,423.4
OpRet 0.00 % 0.00 % 0 0.00 0 0.0363 % 3,291.4
SplitShare 5.10 % 8.38 % 42,850 2.20 6 0.0363 % 3,930.6
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0363 % 3,066.8
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 -0.6218 % 2,610.3
Perpetual-Discount 6.54 % 6.73 % 40,511 12.85 31 -0.6218 % 2,846.4
FixedReset Disc 5.85 % 8.50 % 84,162 11.07 63 -0.3157 % 2,131.4
Insurance Straight 6.49 % 6.53 % 54,422 13.21 19 -0.4275 % 2,771.7
FloatingReset 11.44 % 11.01 % 27,005 8.84 2 -1.0562 % 2,357.1
FixedReset Prem 6.99 % 7.11 % 263,114 3.74 1 -0.3566 % 2,313.6
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 -0.3157 % 2,178.8
FixedReset Ins Non 6.33 % 7.81 % 92,438 11.62 9 -0.4460 % 2,332.4
Performance Highlights
Issue Index Change Notes
CU.PR.F Perpetual-Discount -6.48 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-06-20
Maturity Price : 17.02
Evaluated at bid price : 17.02
Bid-YTW : 6.69 %
SLF.PR.E Insurance Straight -3.28 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-06-20
Maturity Price : 18.00
Evaluated at bid price : 18.00
Bid-YTW : 6.29 %
CU.PR.G Perpetual-Discount -3.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-06-20
Maturity Price : 17.75
Evaluated at bid price : 17.75
Bid-YTW : 6.41 %
BIK.PR.A FixedReset Disc -2.68 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-06-20
Maturity Price : 21.98
Evaluated at bid price : 22.55
Bid-YTW : 8.49 %
BIP.PR.E FixedReset Disc -2.38 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-06-20
Maturity Price : 20.06
Evaluated at bid price : 20.06
Bid-YTW : 8.45 %
RY.PR.O Perpetual-Discount -2.32 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-06-20
Maturity Price : 21.05
Evaluated at bid price : 21.05
Bid-YTW : 5.89 %
RY.PR.N Perpetual-Discount -2.30 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-06-20
Maturity Price : 21.20
Evaluated at bid price : 21.20
Bid-YTW : 5.85 %
TRP.PR.B FixedReset Disc -2.29 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-06-20
Maturity Price : 10.26
Evaluated at bid price : 10.26
Bid-YTW : 10.97 %
TRP.PR.C FixedReset Disc -1.69 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-06-20
Maturity Price : 10.50
Evaluated at bid price : 10.50
Bid-YTW : 11.01 %
GWO.PR.I Insurance Straight -1.65 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-06-20
Maturity Price : 17.33
Evaluated at bid price : 17.33
Bid-YTW : 6.53 %
IFC.PR.K Perpetual-Discount -1.42 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-06-20
Maturity Price : 20.90
Evaluated at bid price : 20.90
Bid-YTW : 6.32 %
BMO.PR.E FixedReset Disc -1.38 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-06-20
Maturity Price : 21.50
Evaluated at bid price : 21.50
Bid-YTW : 7.59 %
GWO.PR.N FixedReset Ins Non -1.32 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-06-20
Maturity Price : 11.99
Evaluated at bid price : 11.99
Bid-YTW : 9.16 %
IFC.PR.G FixedReset Ins Non -1.29 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-06-20
Maturity Price : 20.74
Evaluated at bid price : 20.74
Bid-YTW : 7.68 %
TD.PF.B FixedReset Disc -1.26 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-06-20
Maturity Price : 17.28
Evaluated at bid price : 17.28
Bid-YTW : 8.58 %
PWF.PR.L Perpetual-Discount -1.25 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-06-20
Maturity Price : 19.00
Evaluated at bid price : 19.00
Bid-YTW : 6.84 %
PWF.PR.G Perpetual-Discount -1.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-06-20
Maturity Price : 22.07
Evaluated at bid price : 22.30
Bid-YTW : 6.73 %
BMO.PR.S FixedReset Disc -1.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-06-20
Maturity Price : 17.60
Evaluated at bid price : 17.60
Bid-YTW : 8.61 %
SLF.PR.J FloatingReset -1.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-06-20
Maturity Price : 14.64
Evaluated at bid price : 14.64
Bid-YTW : 11.01 %
FTS.PR.G FixedReset Disc -1.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-06-20
Maturity Price : 18.40
Evaluated at bid price : 18.40
Bid-YTW : 8.15 %
MFC.PR.C Insurance Straight -1.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-06-20
Maturity Price : 17.65
Evaluated at bid price : 17.65
Bid-YTW : 6.43 %
BN.PF.E FixedReset Disc -1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-06-20
Maturity Price : 14.26
Evaluated at bid price : 14.26
Bid-YTW : 10.37 %
TRP.PR.F FloatingReset -1.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-06-20
Maturity Price : 14.40
Evaluated at bid price : 14.40
Bid-YTW : 12.11 %
TD.PF.A FixedReset Disc 1.24 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-06-20
Maturity Price : 17.20
Evaluated at bid price : 17.20
Bid-YTW : 8.50 %
IFC.PR.F Insurance Straight 1.26 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-06-20
Maturity Price : 20.97
Evaluated at bid price : 20.97
Bid-YTW : 6.35 %
CCS.PR.C Insurance Straight 1.32 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-06-20
Maturity Price : 19.25
Evaluated at bid price : 19.25
Bid-YTW : 6.53 %
BN.PF.J FixedReset Disc 2.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-06-20
Maturity Price : 20.80
Evaluated at bid price : 20.80
Bid-YTW : 8.07 %
MIC.PR.A Perpetual-Discount 4.33 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-06-20
Maturity Price : 20.02
Evaluated at bid price : 20.02
Bid-YTW : 6.78 %
Volume Highlights
Issue Index Shares
Traded		 Notes
TRP.PR.E FixedReset Disc 104,285 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-06-20
Maturity Price : 15.15
Evaluated at bid price : 15.15
Bid-YTW : 9.90 %
GWO.PR.N FixedReset Ins Non 36,060 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-06-20
Maturity Price : 11.99
Evaluated at bid price : 11.99
Bid-YTW : 9.16 %
IFC.PR.C FixedReset Disc 24,340 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-06-20
Maturity Price : 17.30
Evaluated at bid price : 17.30
Bid-YTW : 8.34 %
TRP.PR.C FixedReset Disc 23,348 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-06-20
Maturity Price : 10.50
Evaluated at bid price : 10.50
Bid-YTW : 11.01 %
CM.PR.P FixedReset Disc 23,100 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-06-20
Maturity Price : 16.84
Evaluated at bid price : 16.84
Bid-YTW : 8.67 %
TRP.PR.D FixedReset Disc 21,100 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-06-20
Maturity Price : 15.55
Evaluated at bid price : 15.55
Bid-YTW : 9.89 %
There were 16 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
CU.PR.F Perpetual-Discount Quote: 17.02 – 18.02
Spot Rate : 1.0000
Average : 0.6277

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-06-20
Maturity Price : 17.02
Evaluated at bid price : 17.02
Bid-YTW : 6.69 %
RY.PR.N Perpetual-Discount Quote: 21.20 – 22.04
Spot Rate : 0.8400
Average : 0.5406

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-06-20
Maturity Price : 21.20
Evaluated at bid price : 21.20
Bid-YTW : 5.85 %
RY.PR.O Perpetual-Discount Quote: 21.05 – 21.84
Spot Rate : 0.7900
Average : 0.5754

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-06-20
Maturity Price : 21.05
Evaluated at bid price : 21.05
Bid-YTW : 5.89 %
RY.PR.J FixedReset Disc Quote: 18.25 – 18.82
Spot Rate : 0.5700
Average : 0.3686

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-06-20
Maturity Price : 18.25
Evaluated at bid price : 18.25
Bid-YTW : 8.40 %
CU.PR.G Perpetual-Discount Quote: 17.75 – 18.70
Spot Rate : 0.9500
Average : 0.7635

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-06-20
Maturity Price : 17.75
Evaluated at bid price : 17.75
Bid-YTW : 6.41 %
BIP.PR.E FixedReset Disc Quote: 20.06 – 20.70
Spot Rate : 0.6400
Average : 0.4776

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-06-20
Maturity Price : 20.06
Evaluated at bid price : 20.06
Bid-YTW : 8.45 %
Market Action

June 19, 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 0.4405 % 2,202.1
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.4405 % 4,223.7
Floater 10.67 % 10.76 % 47,214 9.01 1 0.4405 % 2,434.1
OpRet 0.00 % 0.00 % 0 0.00 0 0.2184 % 3,290.2
SplitShare 5.10 % 8.38 % 42,249 2.20 6 0.2184 % 3,929.2
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.2184 % 3,065.7
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 -0.0457 % 2,626.6
Perpetual-Discount 6.50 % 6.67 % 39,852 12.88 31 -0.0457 % 2,864.2
FixedReset Disc 5.84 % 8.47 % 84,133 11.17 63 -0.0758 % 2,138.2
Insurance Straight 6.46 % 6.56 % 54,304 13.17 19 -0.8371 % 2,783.6
FloatingReset 11.32 % 10.89 % 26,152 8.92 2 -0.0681 % 2,382.2
FixedReset Prem 6.96 % 7.01 % 266,773 3.74 1 -0.0396 % 2,321.9
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 -0.0758 % 2,185.7
FixedReset Ins Non 6.30 % 7.75 % 87,839 11.69 9 -0.0301 % 2,342.8
Performance Highlights
Issue Index Change Notes
IFC.PR.F Insurance Straight -3.67 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-06-19
Maturity Price : 20.71
Evaluated at bid price : 20.71
Bid-YTW : 6.43 %
GWO.PR.M Insurance Straight -3.25 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-06-19
Maturity Price : 21.43
Evaluated at bid price : 21.43
Bid-YTW : 6.81 %
BN.PF.J FixedReset Disc -3.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-06-19
Maturity Price : 20.36
Evaluated at bid price : 20.36
Bid-YTW : 8.24 %
TD.PF.A FixedReset Disc -2.36 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-06-19
Maturity Price : 16.99
Evaluated at bid price : 16.99
Bid-YTW : 8.60 %
SLF.PR.C Insurance Straight -2.17 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-06-19
Maturity Price : 18.00
Evaluated at bid price : 18.00
Bid-YTW : 6.21 %
CCS.PR.C Insurance Straight -1.91 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-06-19
Maturity Price : 19.00
Evaluated at bid price : 19.00
Bid-YTW : 6.62 %
GWO.PR.Y Insurance Straight -1.68 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-06-19
Maturity Price : 17.60
Evaluated at bid price : 17.60
Bid-YTW : 6.43 %
RY.PR.Z FixedReset Disc -1.65 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-06-19
Maturity Price : 17.26
Evaluated at bid price : 17.26
Bid-YTW : 8.60 %
BN.PF.H FixedReset Disc -1.24 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-06-19
Maturity Price : 19.95
Evaluated at bid price : 19.95
Bid-YTW : 9.23 %
GWO.PR.L Insurance Straight -1.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-06-19
Maturity Price : 21.05
Evaluated at bid price : 21.05
Bid-YTW : 6.75 %
BMO.PR.S FixedReset Disc -1.17 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-06-19
Maturity Price : 17.80
Evaluated at bid price : 17.80
Bid-YTW : 8.51 %
POW.PR.C Perpetual-Discount -1.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-06-19
Maturity Price : 22.12
Evaluated at bid price : 22.40
Bid-YTW : 6.60 %
TRP.PR.A FixedReset Disc 1.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-06-19
Maturity Price : 13.60
Evaluated at bid price : 13.60
Bid-YTW : 9.98 %
CU.PR.J Perpetual-Discount 1.21 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-06-19
Maturity Price : 18.42
Evaluated at bid price : 18.42
Bid-YTW : 6.52 %
CU.PR.G Perpetual-Discount 1.33 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-06-19
Maturity Price : 18.30
Evaluated at bid price : 18.30
Bid-YTW : 6.22 %
BN.PF.F FixedReset Disc 1.59 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-06-19
Maturity Price : 16.00
Evaluated at bid price : 16.00
Bid-YTW : 10.06 %
PVS.PR.K SplitShare 1.67 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2029-05-31
Maturity Price : 25.00
Evaluated at bid price : 21.25
Bid-YTW : 7.71 %
BNS.PR.I FixedReset Disc 2.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-06-19
Maturity Price : 20.40
Evaluated at bid price : 20.40
Bid-YTW : 7.71 %
TRP.PR.G FixedReset Disc 2.19 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-06-19
Maturity Price : 16.35
Evaluated at bid price : 16.35
Bid-YTW : 9.33 %
SLF.PR.E Insurance Straight 2.25 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-06-19
Maturity Price : 18.61
Evaluated at bid price : 18.61
Bid-YTW : 6.08 %
BN.PF.E FixedReset Disc 3.52 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-06-19
Maturity Price : 14.41
Evaluated at bid price : 14.41
Bid-YTW : 10.26 %
Volume Highlights
Issue Index Shares
Traded		 Notes
RY.PR.J FixedReset Disc 130,000 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-06-19
Maturity Price : 18.35
Evaluated at bid price : 18.35
Bid-YTW : 8.36 %
CM.PR.O FixedReset Disc 22,800 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-06-19
Maturity Price : 17.45
Evaluated at bid price : 17.45
Bid-YTW : 8.57 %
BN.PR.X FixedReset Disc 21,800 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-06-19
Maturity Price : 14.00
Evaluated at bid price : 14.00
Bid-YTW : 9.50 %
BIP.PR.F FixedReset Disc 21,400 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-06-19
Maturity Price : 19.20
Evaluated at bid price : 19.20
Bid-YTW : 8.69 %
PWF.PR.P FixedReset Disc 20,600 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-06-19
Maturity Price : 12.57
Evaluated at bid price : 12.57
Bid-YTW : 9.33 %
TRP.PR.D FixedReset Disc 19,900 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-06-19
Maturity Price : 15.61
Evaluated at bid price : 15.61
Bid-YTW : 9.85 %
There were 6 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
PVS.PR.K SplitShare Quote: 21.25 – 22.35
Spot Rate : 1.1000
Average : 0.6950

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2029-05-31
Maturity Price : 25.00
Evaluated at bid price : 21.25
Bid-YTW : 7.71 %
BMO.PR.W FixedReset Disc Quote: 16.95 – 17.69
Spot Rate : 0.7400
Average : 0.4742

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-06-19
Maturity Price : 16.95
Evaluated at bid price : 16.95
Bid-YTW : 8.65 %
BN.PR.X FixedReset Disc Quote: 14.00 – 14.55
Spot Rate : 0.5500
Average : 0.3379

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-06-19
Maturity Price : 14.00
Evaluated at bid price : 14.00
Bid-YTW : 9.50 %
TD.PF.A FixedReset Disc Quote: 16.99 – 17.49
Spot Rate : 0.5000
Average : 0.3085

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-06-19
Maturity Price : 16.99
Evaluated at bid price : 16.99
Bid-YTW : 8.60 %
BMO.PR.T FixedReset Disc Quote: 17.01 – 17.44
Spot Rate : 0.4300
Average : 0.2717

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-06-19
Maturity Price : 17.01
Evaluated at bid price : 17.01
Bid-YTW : 8.68 %
MIC.PR.A Perpetual-Discount Quote: 19.19 – 20.30
Spot Rate : 1.1100
Average : 0.9555

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-06-19
Maturity Price : 19.19
Evaluated at bid price : 19.19
Bid-YTW : 7.08 %
Market Action

June 16, 2023

The New York Fed released its Underlying Inflation Gauge update today:

  • The UIG “full data set” measure for May is currently estimated at 3.5%, a 0.5 percentage point decrease from the current estimate of the previous month.
  • The “prices-only” measure for May is currently estimated at 3.0%, a 0.4 percentage point decrease from the current estimate of the previous month.
  • The twelve-month change in the May CPI was +4.0%, a 0.9 percentage point decrease from the previous month.
    • -For May 2023, trend CPI inflation is estimated to be in the 3.0% to 3.5% range, a lower and slightly narrower range than April, with a 0.4 percentage point decrease on its lower bound and a 0.5 percentage point decrease on its upper bound.
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 0.8889 % 2,192.5
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.8889 % 4,205.1
Floater 10.72 % 10.80 % 46,987 8.99 1 0.8889 % 2,423.4
OpRet 0.00 % 0.00 % 0 0.00 0 -0.1962 % 3,283.0
SplitShare 5.11 % 8.13 % 41,764 2.21 6 -0.1962 % 3,920.6
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.1962 % 3,059.0
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 -0.2684 % 2,627.8
Perpetual-Discount 6.49 % 6.68 % 40,138 12.90 31 -0.2684 % 2,865.5
FixedReset Disc 5.83 % 8.35 % 85,145 11.29 63 -0.0061 % 2,139.8
Insurance Straight 6.41 % 6.49 % 54,903 13.28 19 -0.1628 % 2,807.1
FloatingReset 11.31 % 10.86 % 27,037 8.95 2 0.4103 % 2,383.8
FixedReset Prem 6.96 % 6.98 % 276,296 3.75 1 0.0000 % 2,322.8
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 -0.0061 % 2,187.3
FixedReset Ins Non 6.06 % 7.68 % 88,874 11.77 9 0.1327 % 2,343.5
Performance Highlights
Issue Index Change Notes
MIC.PR.A Perpetual-Discount -4.29 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-06-16
Maturity Price : 19.19
Evaluated at bid price : 19.19
Bid-YTW : 7.07 %
BNS.PR.I FixedReset Disc -2.91 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-06-16
Maturity Price : 20.00
Evaluated at bid price : 20.00
Bid-YTW : 7.79 %
BN.PF.E FixedReset Disc -2.32 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-06-16
Maturity Price : 13.92
Evaluated at bid price : 13.92
Bid-YTW : 10.52 %
BIP.PR.E FixedReset Disc -2.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-06-16
Maturity Price : 20.70
Evaluated at bid price : 20.70
Bid-YTW : 8.14 %
PVS.PR.K SplitShare -2.11 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2029-05-31
Maturity Price : 25.00
Evaluated at bid price : 20.90
Bid-YTW : 8.04 %
RY.PR.O Perpetual-Discount -1.74 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-06-16
Maturity Price : 21.50
Evaluated at bid price : 21.50
Bid-YTW : 5.76 %
CCS.PR.C Insurance Straight -1.73 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-06-16
Maturity Price : 19.37
Evaluated at bid price : 19.37
Bid-YTW : 6.49 %
CM.PR.O FixedReset Disc -1.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-06-16
Maturity Price : 17.30
Evaluated at bid price : 17.30
Bid-YTW : 8.57 %
CU.PR.J Perpetual-Discount -1.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-06-16
Maturity Price : 18.20
Evaluated at bid price : 18.20
Bid-YTW : 6.60 %
TD.PF.A FixedReset Disc -1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-06-16
Maturity Price : 17.40
Evaluated at bid price : 17.40
Bid-YTW : 8.34 %
PWF.PR.K Perpetual-Discount -1.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-06-16
Maturity Price : 18.76
Evaluated at bid price : 18.76
Bid-YTW : 6.72 %
BN.PR.Z FixedReset Disc 1.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-06-16
Maturity Price : 19.30
Evaluated at bid price : 19.30
Bid-YTW : 8.46 %
TD.PF.L FixedReset Disc 1.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-06-16
Maturity Price : 23.18
Evaluated at bid price : 23.78
Bid-YTW : 7.36 %
ELF.PR.H Perpetual-Discount 1.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-06-16
Maturity Price : 20.80
Evaluated at bid price : 20.80
Bid-YTW : 6.75 %
FTS.PR.G FixedReset Disc 1.36 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-06-16
Maturity Price : 18.65
Evaluated at bid price : 18.65
Bid-YTW : 7.96 %
PWF.PR.P FixedReset Disc 1.61 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-06-16
Maturity Price : 12.62
Evaluated at bid price : 12.62
Bid-YTW : 9.22 %
BN.PF.A FixedReset Disc 1.82 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-06-16
Maturity Price : 19.06
Evaluated at bid price : 19.06
Bid-YTW : 8.75 %
TRP.PR.A FixedReset Disc 1.89 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-06-16
Maturity Price : 13.45
Evaluated at bid price : 13.45
Bid-YTW : 10.00 %
Volume Highlights
Issue Index Shares
Traded		 Notes
FTS.PR.M FixedReset Disc 102,300 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-06-16
Maturity Price : 16.66
Evaluated at bid price : 16.66
Bid-YTW : 9.06 %
BMO.PR.W FixedReset Disc 52,035 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-06-16
Maturity Price : 17.01
Evaluated at bid price : 17.01
Bid-YTW : 8.54 %
TD.PF.K FixedReset Disc 36,700 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-06-16
Maturity Price : 21.70
Evaluated at bid price : 22.10
Bid-YTW : 7.20 %
CM.PR.P FixedReset Disc 25,000 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-06-16
Maturity Price : 17.00
Evaluated at bid price : 17.00
Bid-YTW : 8.52 %
BN.PF.B FixedReset Disc 21,496 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-06-16
Maturity Price : 16.07
Evaluated at bid price : 16.07
Bid-YTW : 9.75 %
BN.PR.R FixedReset Disc 13,700 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-06-16
Maturity Price : 13.02
Evaluated at bid price : 13.02
Bid-YTW : 10.30 %
There were 2 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: 17.94 – 22.72
Spot Rate : 4.7800
Average : 2.9671

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-06-16
Maturity Price : 17.94
Evaluated at bid price : 17.94
Bid-YTW : 8.28 %
IFC.PR.F Insurance Straight Quote: 21.50 – 23.50
Spot Rate : 2.0000
Average : 1.3650

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-06-16
Maturity Price : 21.50
Evaluated at bid price : 21.50
Bid-YTW : 6.19 %
MIC.PR.A Perpetual-Discount Quote: 19.19 – 20.25
Spot Rate : 1.0600
Average : 0.7861

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-06-16
Maturity Price : 19.19
Evaluated at bid price : 19.19
Bid-YTW : 7.07 %
CU.PR.G Perpetual-Discount Quote: 18.06 – 19.00
Spot Rate : 0.9400
Average : 0.7332

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-06-16
Maturity Price : 18.06
Evaluated at bid price : 18.06
Bid-YTW : 6.30 %
PVS.PR.G SplitShare Quote: 22.80 – 23.75
Spot Rate : 0.9500
Average : 0.7674

YTW SCENARIO
Maturity Type : Option Certainty
Maturity Date : 2026-02-28
Maturity Price : 25.00
Evaluated at bid price : 22.80
Bid-YTW : 8.72 %
BN.PF.E FixedReset Disc Quote: 13.92 – 14.70
Spot Rate : 0.7800
Average : 0.5992

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-06-16
Maturity Price : 13.92
Evaluated at bid price : 13.92
Bid-YTW : 10.52 %