Archive for the ‘Market Action’ Category
Saturday, September 25th, 2021
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 |
0.4475 % |
2,576.1 |
| FixedFloater |
0.00 % |
0.00 % |
0 |
0.00 |
0 |
0.4475 % |
4,727.0 |
| Floater |
3.37 % |
3.36 % |
50,819 |
18.85 |
3 |
0.4475 % |
2,724.2 |
| OpRet |
0.00 % |
0.00 % |
0 |
0.00 |
0 |
-0.0708 % |
3,700.2 |
| SplitShare |
4.64 % |
3.97 % |
32,626 |
3.71 |
6 |
-0.0708 % |
4,418.8 |
| Interest-Bearing |
0.00 % |
0.00 % |
0 |
0.00 |
0 |
-0.0708 % |
3,447.8 |
| Perpetual-Premium |
5.01 % |
-11.32 % |
52,113 |
0.09 |
34 |
-0.1230 % |
3,313.9 |
| Perpetual-Discount |
0.00 % |
0.00 % |
0 |
0.00 |
0 |
-0.1230 % |
3,988.0 |
| FixedReset Disc |
3.97 % |
3.59 % |
105,930 |
18.23 |
40 |
-0.1726 % |
2,835.4 |
| Insurance Straight |
4.86 % |
-11.35 % |
80,646 |
0.09 |
21 |
-0.0945 % |
3,743.7 |
| FloatingReset |
3.07 % |
3.07 % |
30,822 |
19.55 |
1 |
1.8405 % |
2,582.4 |
| FixedReset Prem |
4.67 % |
3.21 % |
135,149 |
2.42 |
33 |
-0.0648 % |
2,758.9 |
| FixedReset Bank Non |
0.00 % |
0.00 % |
0 |
0.00 |
0 |
-0.1726 % |
2,898.3 |
| FixedReset Ins Non |
4.04 % |
3.30 % |
93,997 |
18.23 |
20 |
-0.0623 % |
2,946.7 |
| Performance Highlights |
| Issue |
Index |
Change |
Notes |
| PWF.PR.P |
FixedReset Disc |
-5.45 % |
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-24
Maturity Price : 16.65
Evaluated at bid price : 16.65
Bid-YTW : 3.59 % |
| IFC.PR.I |
Perpetual-Premium |
-1.82 % |
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-03-31
Maturity Price : 26.00
Evaluated at bid price : 27.00
Bid-YTW : 4.01 % |
| BAM.PR.T |
FixedReset Disc |
-1.48 % |
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-24
Maturity Price : 20.00
Evaluated at bid price : 20.00
Bid-YTW : 3.99 % |
| IFC.PR.E |
Insurance Straight |
-1.16 % |
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-06-30
Maturity Price : 26.00
Evaluated at bid price : 26.35
Bid-YTW : 3.14 % |
| PWF.PR.Z |
Perpetual-Premium |
-1.13 % |
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-07-31
Maturity Price : 25.25
Evaluated at bid price : 26.35
Bid-YTW : 4.11 % |
| BMO.PR.Y |
FixedReset Disc |
-1.00 % |
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-08-25
Maturity Price : 25.00
Evaluated at bid price : 24.75
Bid-YTW : 3.41 % |
| TRP.PR.D |
FixedReset Disc |
1.15 % |
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-24
Maturity Price : 21.07
Evaluated at bid price : 21.07
Bid-YTW : 4.01 % |
| TRP.PR.C |
FixedReset Disc |
1.34 % |
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-24
Maturity Price : 15.15
Evaluated at bid price : 15.15
Bid-YTW : 3.85 % |
| TRP.PR.F |
FloatingReset |
1.84 % |
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-24
Maturity Price : 16.60
Evaluated at bid price : 16.60
Bid-YTW : 3.07 % |
| Volume Highlights |
| Issue |
Index |
Shares
Traded |
Notes |
| TRP.PR.E |
FixedReset Disc |
153,710 |
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-24
Maturity Price : 20.80
Evaluated at bid price : 20.80
Bid-YTW : 4.02 % |
| SLF.PR.B |
Insurance Straight |
140,300 |
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-10-24
Maturity Price : 25.00
Evaluated at bid price : 24.99
Bid-YTW : 4.37 % |
| MFC.PR.C |
Insurance Straight |
133,443 |
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-10-24
Maturity Price : 25.00
Evaluated at bid price : 25.35
Bid-YTW : -11.35 % |
| TD.PF.J |
FixedReset Prem |
79,224 |
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-24
Maturity Price : 23.84
Evaluated at bid price : 25.40
Bid-YTW : 3.52 % |
| NA.PR.G |
FixedReset Prem |
76,069 |
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-24
Maturity Price : 23.75
Evaluated at bid price : 25.59
Bid-YTW : 3.59 % |
| BMO.PR.E |
FixedReset Prem |
56,100 |
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-24
Maturity Price : 23.72
Evaluated at bid price : 25.52
Bid-YTW : 3.50 % |
| There were 13 other index-included issues trading in excess of 10,000 shares. |
| Wide Spread Highlights |
| Issue |
Index |
Quote Data and Yield Notes |
| IFC.PR.I |
Perpetual-Premium |
Quote: 27.00 – 28.48
Spot Rate : 1.4800
Average : 0.9479
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-03-31
Maturity Price : 26.00
Evaluated at bid price : 27.00
Bid-YTW : 4.01 % |
| PWF.PR.P |
FixedReset Disc |
Quote: 16.65 – 17.74
Spot Rate : 1.0900
Average : 0.7682
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-24
Maturity Price : 16.65
Evaluated at bid price : 16.65
Bid-YTW : 3.59 % |
| GWO.PR.F |
Insurance Straight |
Quote: 26.70 – 27.70
Spot Rate : 1.0000
Average : 0.6898
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-10-24
Maturity Price : 25.00
Evaluated at bid price : 26.70
Bid-YTW : -62.81 % |
| CM.PR.Y |
FixedReset Prem |
Quote: 26.41 – 27.00
Spot Rate : 0.5900
Average : 0.3875
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-07-31
Maturity Price : 25.00
Evaluated at bid price : 26.41
Bid-YTW : 3.38 % |
| TRP.PR.G |
FixedReset Disc |
Quote: 23.55 – 24.06
Spot Rate : 0.5100
Average : 0.3751
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-24
Maturity Price : 22.62
Evaluated at bid price : 23.55
Bid-YTW : 3.91 % |
| IFC.PR.F |
Insurance Straight |
Quote: 26.35 – 26.90
Spot Rate : 0.5500
Average : 0.4216
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-09-30
Maturity Price : 26.00
Evaluated at bid price : 26.35
Bid-YTW : 3.69 % |
Posted in Market Action | No Comments »
Thursday, September 23rd, 2021
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 |
3.2337 % |
2,564.6 |
| FixedFloater |
0.00 % |
0.00 % |
0 |
0.00 |
0 |
3.2337 % |
4,705.9 |
| Floater |
3.39 % |
3.38 % |
48,151 |
18.79 |
3 |
3.2337 % |
2,712.1 |
| OpRet |
0.00 % |
0.00 % |
0 |
0.00 |
0 |
0.2775 % |
3,702.8 |
| SplitShare |
4.63 % |
3.98 % |
33,076 |
3.71 |
6 |
0.2775 % |
4,422.0 |
| Interest-Bearing |
0.00 % |
0.00 % |
0 |
0.00 |
0 |
0.2775 % |
3,450.2 |
| Perpetual-Premium |
5.01 % |
-11.93 % |
51,922 |
0.09 |
34 |
-0.0501 % |
3,317.9 |
| Perpetual-Discount |
0.00 % |
0.00 % |
0 |
0.00 |
0 |
-0.0501 % |
3,992.9 |
| FixedReset Disc |
3.97 % |
3.51 % |
110,306 |
17.91 |
40 |
0.3351 % |
2,840.3 |
| Insurance Straight |
4.86 % |
-14.19 % |
78,229 |
0.09 |
21 |
0.2899 % |
3,747.3 |
| FloatingReset |
3.13 % |
3.12 % |
30,113 |
19.41 |
1 |
-1.2121 % |
2,535.8 |
| FixedReset Prem |
4.67 % |
3.21 % |
135,993 |
2.42 |
33 |
0.0730 % |
2,760.7 |
| FixedReset Bank Non |
0.00 % |
0.00 % |
0 |
0.00 |
0 |
0.3351 % |
2,903.3 |
| FixedReset Ins Non |
4.04 % |
3.29 % |
94,906 |
18.26 |
20 |
0.2519 % |
2,948.6 |
| Performance Highlights |
| Issue |
Index |
Change |
Notes |
| TRP.PR.F |
FloatingReset |
-1.21 % |
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-23
Maturity Price : 16.30
Evaluated at bid price : 16.30
Bid-YTW : 3.12 % |
| TRP.PR.D |
FixedReset Disc |
1.12 % |
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-23
Maturity Price : 20.83
Evaluated at bid price : 20.83
Bid-YTW : 4.05 % |
| IFC.PR.E |
Insurance Straight |
1.18 % |
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-06-30
Maturity Price : 26.00
Evaluated at bid price : 26.66
Bid-YTW : 1.57 % |
| RY.PR.M |
FixedReset Disc |
1.24 % |
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-23
Maturity Price : 23.07
Evaluated at bid price : 24.55
Bid-YTW : 3.36 % |
| TRP.PR.B |
FixedReset Disc |
1.32 % |
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-23
Maturity Price : 13.07
Evaluated at bid price : 13.07
Bid-YTW : 3.95 % |
| BAM.PR.T |
FixedReset Disc |
1.35 % |
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-23
Maturity Price : 20.30
Evaluated at bid price : 20.30
Bid-YTW : 3.93 % |
| TRP.PR.C |
FixedReset Disc |
1.36 % |
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-23
Maturity Price : 14.95
Evaluated at bid price : 14.95
Bid-YTW : 3.90 % |
| GWO.PR.N |
FixedReset Ins Non |
1.60 % |
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-23
Maturity Price : 15.85
Evaluated at bid price : 15.85
Bid-YTW : 3.28 % |
| BAM.PR.B |
Floater |
2.17 % |
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-23
Maturity Price : 12.70
Evaluated at bid price : 12.70
Bid-YTW : 3.37 % |
| BAM.PF.E |
FixedReset Disc |
2.57 % |
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-23
Maturity Price : 21.26
Evaluated at bid price : 21.54
Bid-YTW : 3.99 % |
| BAM.PR.C |
Floater |
8.21 % |
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-23
Maturity Price : 12.66
Evaluated at bid price : 12.66
Bid-YTW : 3.38 % |
| Volume Highlights |
| Issue |
Index |
Shares
Traded |
Notes |
| GWO.PR.I |
Insurance Straight |
811,516 |
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-10-23
Maturity Price : 25.00
Evaluated at bid price : 25.38
Bid-YTW : -14.38 % |
| CU.PR.G |
Perpetual-Premium |
387,500 |
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-10-23
Maturity Price : 25.25
Evaluated at bid price : 25.35
Bid-YTW : 2.91 % |
| CIU.PR.A |
Perpetual-Premium |
310,000 |
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-10-23
Maturity Price : 25.00
Evaluated at bid price : 25.36
Bid-YTW : -9.24 % |
| MFC.PR.C |
Insurance Straight |
236,176 |
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-10-23
Maturity Price : 25.00
Evaluated at bid price : 25.41
Bid-YTW : -14.19 % |
| SLF.PR.E |
Insurance Straight |
215,500 |
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-10-23
Maturity Price : 25.00
Evaluated at bid price : 25.43
Bid-YTW : -16.59 % |
| SLF.PR.B |
Insurance Straight |
99,800 |
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-10-23
Maturity Price : 25.00
Evaluated at bid price : 24.99
Bid-YTW : 4.20 % |
| There were 23 other index-included issues trading in excess of 10,000 shares. |
| Wide Spread Highlights |
| Issue |
Index |
Quote Data and Yield Notes |
| POW.PR.D |
Perpetual-Premium |
Quote: 25.50 – 25.95
Spot Rate : 0.4500
Average : 0.3227
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-10-23
Maturity Price : 25.00
Evaluated at bid price : 25.50
Bid-YTW : -21.53 % |
| TRP.PR.F |
FloatingReset |
Quote: 16.30 – 17.14
Spot Rate : 0.8400
Average : 0.7229
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-23
Maturity Price : 16.30
Evaluated at bid price : 16.30
Bid-YTW : 3.12 % |
| MFC.PR.C |
Insurance Straight |
Quote: 25.41 – 25.98
Spot Rate : 0.5700
Average : 0.4536
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-10-23
Maturity Price : 25.00
Evaluated at bid price : 25.41
Bid-YTW : -14.19 % |
| CM.PR.T |
FixedReset Prem |
Quote: 26.26 – 26.60
Spot Rate : 0.3400
Average : 0.2360
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-04-30
Maturity Price : 25.00
Evaluated at bid price : 26.26
Bid-YTW : 3.50 % |
| PVS.PR.H |
SplitShare |
Quote: 25.75 – 26.50
Spot Rate : 0.7500
Average : 0.6590
YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2027-02-28
Maturity Price : 25.00
Evaluated at bid price : 25.75
Bid-YTW : 4.15 % |
| BAM.PF.C |
Perpetual-Premium |
Quote: 25.45 – 26.04
Spot Rate : 0.5900
Average : 0.5081
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-10-23
Maturity Price : 25.25
Evaluated at bid price : 25.45
Bid-YTW : -5.84 % |
Posted in Market Action | No Comments »
Wednesday, September 22nd, 2021
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 |
-1.2876 % |
2,484.3 |
| FixedFloater |
0.00 % |
0.00 % |
0 |
0.00 |
0 |
-1.2876 % |
4,558.5 |
| Floater |
3.50 % |
3.45 % |
50,031 |
18.65 |
3 |
-1.2876 % |
2,627.1 |
| OpRet |
0.00 % |
0.00 % |
0 |
0.00 |
0 |
0.0129 % |
3,692.6 |
| SplitShare |
4.65 % |
4.02 % |
34,431 |
3.72 |
6 |
0.0129 % |
4,409.7 |
| Interest-Bearing |
0.00 % |
0.00 % |
0 |
0.00 |
0 |
0.0129 % |
3,440.6 |
| Perpetual-Premium |
5.00 % |
-11.20 % |
52,692 |
0.09 |
34 |
0.0387 % |
3,319.6 |
| Perpetual-Discount |
0.00 % |
0.00 % |
0 |
0.00 |
0 |
0.0387 % |
3,994.9 |
| FixedReset Disc |
3.98 % |
3.51 % |
111,274 |
17.85 |
40 |
0.3385 % |
2,830.8 |
| Insurance Straight |
4.87 % |
-9.12 % |
78,877 |
0.08 |
21 |
0.0428 % |
3,736.4 |
| FloatingReset |
3.09 % |
3.09 % |
30,601 |
19.51 |
1 |
1.2270 % |
2,566.9 |
| FixedReset Prem |
4.67 % |
3.25 % |
133,722 |
2.42 |
33 |
0.1759 % |
2,758.7 |
| FixedReset Bank Non |
0.00 % |
0.00 % |
0 |
0.00 |
0 |
0.3385 % |
2,893.6 |
| FixedReset Ins Non |
4.05 % |
3.33 % |
94,879 |
18.20 |
20 |
0.1574 % |
2,941.2 |
| Performance Highlights |
| Issue |
Index |
Change |
Notes |
| BAM.PR.C |
Floater |
-6.62 % |
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-22
Maturity Price : 11.70
Evaluated at bid price : 11.70
Bid-YTW : 3.66 % |
| BAM.PF.E |
FixedReset Disc |
-2.42 % |
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-22
Maturity Price : 21.00
Evaluated at bid price : 21.00
Bid-YTW : 4.11 % |
| TRP.PR.D |
FixedReset Disc |
-1.25 % |
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-22
Maturity Price : 20.60
Evaluated at bid price : 20.60
Bid-YTW : 4.10 % |
| BAM.PR.B |
Floater |
-1.04 % |
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-22
Maturity Price : 12.43
Evaluated at bid price : 12.43
Bid-YTW : 3.45 % |
| TD.PF.D |
FixedReset Disc |
1.10 % |
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-22
Maturity Price : 23.20
Evaluated at bid price : 24.82
Bid-YTW : 3.51 % |
| TRP.PR.A |
FixedReset Disc |
1.11 % |
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-22
Maturity Price : 18.22
Evaluated at bid price : 18.22
Bid-YTW : 4.00 % |
| BAM.PR.X |
FixedReset Disc |
1.12 % |
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-22
Maturity Price : 17.10
Evaluated at bid price : 17.10
Bid-YTW : 3.91 % |
| TD.PF.K |
FixedReset Prem |
1.20 % |
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-22
Maturity Price : 23.70
Evaluated at bid price : 25.40
Bid-YTW : 3.44 % |
| TRP.PR.F |
FloatingReset |
1.23 % |
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-22
Maturity Price : 16.50
Evaluated at bid price : 16.50
Bid-YTW : 3.09 % |
| FTS.PR.H |
FixedReset Disc |
1.33 % |
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-22
Maturity Price : 15.20
Evaluated at bid price : 15.20
Bid-YTW : 3.69 % |
| TRP.PR.G |
FixedReset Disc |
1.52 % |
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-22
Maturity Price : 22.57
Evaluated at bid price : 23.45
Bid-YTW : 3.93 % |
| CU.PR.C |
FixedReset Disc |
1.80 % |
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-22
Maturity Price : 22.01
Evaluated at bid price : 22.60
Bid-YTW : 3.59 % |
| FTS.PR.K |
FixedReset Disc |
1.96 % |
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-22
Maturity Price : 20.80
Evaluated at bid price : 20.80
Bid-YTW : 3.67 % |
| BAM.PR.R |
FixedReset Disc |
2.71 % |
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-22
Maturity Price : 20.10
Evaluated at bid price : 20.10
Bid-YTW : 3.97 % |
| BAM.PR.K |
Floater |
3.94 % |
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-22
Maturity Price : 12.67
Evaluated at bid price : 12.67
Bid-YTW : 3.38 % |
| PWF.PR.P |
FixedReset Disc |
5.41 % |
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-22
Maturity Price : 17.55
Evaluated at bid price : 17.55
Bid-YTW : 3.40 % |
| Volume Highlights |
| Issue |
Index |
Shares
Traded |
Notes |
| BAM.PR.R |
FixedReset Disc |
215,000 |
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-22
Maturity Price : 20.10
Evaluated at bid price : 20.10
Bid-YTW : 3.97 % |
| CU.PR.G |
Perpetual-Premium |
78,700 |
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-09-01
Maturity Price : 25.00
Evaluated at bid price : 25.30
Bid-YTW : 3.51 % |
| BMO.PR.Y |
FixedReset Disc |
75,200 |
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-08-25
Maturity Price : 25.00
Evaluated at bid price : 24.85
Bid-YTW : 3.30 % |
| MFC.PR.C |
Insurance Straight |
55,300 |
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-10-22
Maturity Price : 25.00
Evaluated at bid price : 25.29
Bid-YTW : -8.90 % |
| BMO.PR.E |
FixedReset Prem |
45,700 |
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-22
Maturity Price : 23.68
Evaluated at bid price : 25.41
Bid-YTW : 3.52 % |
| MFC.PR.B |
Insurance Straight |
41,900 |
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-10-22
Maturity Price : 25.00
Evaluated at bid price : 25.30
Bid-YTW : -9.20 % |
| There were 14 other index-included issues trading in excess of 10,000 shares. |
| Wide Spread Highlights |
| Issue |
Index |
Quote Data and Yield Notes |
| BAM.PR.C |
Floater |
Quote: 11.70 – 12.70
Spot Rate : 1.0000
Average : 0.5605
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-22
Maturity Price : 11.70
Evaluated at bid price : 11.70
Bid-YTW : 3.66 % |
| GWO.PR.F |
Insurance Straight |
Quote: 26.55 – 27.55
Spot Rate : 1.0000
Average : 0.6454
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-10-22
Maturity Price : 25.00
Evaluated at bid price : 26.55
Bid-YTW : -58.30 % |
| BAM.PF.C |
Perpetual-Premium |
Quote: 25.34 – 26.04
Spot Rate : 0.7000
Average : 0.4182
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-10-22
Maturity Price : 25.25
Evaluated at bid price : 25.34
Bid-YTW : -0.81 % |
| BAM.PF.E |
FixedReset Disc |
Quote: 21.00 – 21.70
Spot Rate : 0.7000
Average : 0.4934
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-22
Maturity Price : 21.00
Evaluated at bid price : 21.00
Bid-YTW : 4.11 % |
| PVS.PR.H |
SplitShare |
Quote: 25.75 – 26.50
Spot Rate : 0.7500
Average : 0.5591
YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2027-02-28
Maturity Price : 25.00
Evaluated at bid price : 25.75
Bid-YTW : 4.14 % |
| TRP.PR.D |
FixedReset Disc |
Quote: 20.60 – 21.14
Spot Rate : 0.5400
Average : 0.3525
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-22
Maturity Price : 20.60
Evaluated at bid price : 20.60
Bid-YTW : 4.10 % |
Posted in Market Action | No Comments »
Wednesday, September 22nd, 2021
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 |
0.1881 % |
2,516.7 |
| FixedFloater |
0.00 % |
0.00 % |
0 |
0.00 |
0 |
0.1881 % |
4,618.0 |
| Floater |
3.45 % |
3.42 % |
50,310 |
18.71 |
3 |
0.1881 % |
2,661.4 |
| OpRet |
0.00 % |
0.00 % |
0 |
0.00 |
0 |
-0.1868 % |
3,692.1 |
| SplitShare |
4.65 % |
3.97 % |
34,332 |
3.72 |
6 |
-0.1868 % |
4,409.2 |
| Interest-Bearing |
0.00 % |
0.00 % |
0 |
0.00 |
0 |
-0.1868 % |
3,440.2 |
| Perpetual-Premium |
5.01 % |
-11.35 % |
53,509 |
0.09 |
34 |
-0.0660 % |
3,318.3 |
| Perpetual-Discount |
0.00 % |
0.00 % |
0 |
0.00 |
0 |
-0.0660 % |
3,993.4 |
| FixedReset Disc |
3.99 % |
3.59 % |
112,821 |
17.84 |
40 |
0.2251 % |
2,821.2 |
| Insurance Straight |
4.87 % |
-11.21 % |
81,776 |
0.09 |
21 |
0.0707 % |
3,734.8 |
| FloatingReset |
3.13 % |
3.12 % |
31,860 |
19.42 |
1 |
-3.5503 % |
2,535.8 |
| FixedReset Prem |
4.68 % |
3.26 % |
138,418 |
2.42 |
33 |
-0.0896 % |
2,753.8 |
| FixedReset Bank Non |
0.00 % |
0.00 % |
0 |
0.00 |
0 |
0.2251 % |
2,883.9 |
| FixedReset Ins Non |
4.06 % |
3.33 % |
95,590 |
18.20 |
20 |
0.3723 % |
2,936.5 |
| Performance Highlights |
| Issue |
Index |
Change |
Notes |
| TRP.PR.F |
FloatingReset |
-3.55 % |
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-21
Maturity Price : 16.30
Evaluated at bid price : 16.30
Bid-YTW : 3.12 % |
| TRP.PR.G |
FixedReset Disc |
-2.33 % |
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-21
Maturity Price : 22.38
Evaluated at bid price : 23.10
Bid-YTW : 4.00 % |
| TRP.PR.A |
FixedReset Disc |
-1.80 % |
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-21
Maturity Price : 18.02
Evaluated at bid price : 18.02
Bid-YTW : 4.04 % |
| FTS.PR.H |
FixedReset Disc |
-1.19 % |
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-21
Maturity Price : 15.00
Evaluated at bid price : 15.00
Bid-YTW : 3.73 % |
| MFC.PR.B |
Insurance Straight |
1.64 % |
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-10-21
Maturity Price : 25.00
Evaluated at bid price : 25.41
Bid-YTW : -14.32 % |
| BAM.PR.Z |
FixedReset Disc |
1.68 % |
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-21
Maturity Price : 23.77
Evaluated at bid price : 24.21
Bid-YTW : 3.99 % |
| MFC.PR.Q |
FixedReset Ins Non |
2.09 % |
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-21
Maturity Price : 23.62
Evaluated at bid price : 24.91
Bid-YTW : 3.44 % |
| CU.PR.C |
FixedReset Disc |
2.30 % |
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-21
Maturity Price : 21.75
Evaluated at bid price : 22.20
Bid-YTW : 3.67 % |
| BAM.PF.E |
FixedReset Disc |
2.38 % |
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-21
Maturity Price : 21.25
Evaluated at bid price : 21.52
Bid-YTW : 3.99 % |
| FTS.PR.K |
FixedReset Disc |
2.87 % |
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-21
Maturity Price : 20.40
Evaluated at bid price : 20.40
Bid-YTW : 3.75 % |
| NA.PR.W |
FixedReset Disc |
3.90 % |
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-21
Maturity Price : 23.04
Evaluated at bid price : 24.27
Bid-YTW : 3.26 % |
| BAM.PR.R |
FixedReset Disc |
4.15 % |
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-21
Maturity Price : 19.57
Evaluated at bid price : 19.57
Bid-YTW : 4.08 % |
| MFC.PR.F |
FixedReset Ins Non |
6.88 % |
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-21
Maturity Price : 17.10
Evaluated at bid price : 17.10
Bid-YTW : 3.36 % |
| Volume Highlights |
| Issue |
Index |
Shares
Traded |
Notes |
| TD.PF.A |
FixedReset Disc |
105,975 |
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-21
Maturity Price : 22.96
Evaluated at bid price : 24.00
Bid-YTW : 3.27 % |
| CM.PR.R |
FixedReset Prem |
105,160 |
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-07-31
Maturity Price : 25.00
Evaluated at bid price : 25.52
Bid-YTW : 2.73 % |
| MFC.PR.L |
FixedReset Ins Non |
100,100 |
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-21
Maturity Price : 22.76
Evaluated at bid price : 23.50
Bid-YTW : 3.27 % |
| BIP.PR.C |
FixedReset Disc |
75,600 |
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-10-30
Maturity Price : 25.00
Evaluated at bid price : 24.98
Bid-YTW : 4.91 % |
| TD.PF.C |
FixedReset Disc |
68,500 |
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-21
Maturity Price : 23.04
Evaluated at bid price : 24.26
Bid-YTW : 3.27 % |
| BMO.PR.C |
FixedReset Prem |
56,040 |
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-05-25
Maturity Price : 25.00
Evaluated at bid price : 25.30
Bid-YTW : 3.18 % |
| There were 16 other index-included issues trading in excess of 10,000 shares. |
| Wide Spread Highlights |
| Issue |
Index |
Quote Data and Yield Notes |
| TRP.PR.G |
FixedReset Disc |
Quote: 23.10 – 23.89
Spot Rate : 0.7900
Average : 0.4842
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-21
Maturity Price : 22.38
Evaluated at bid price : 23.10
Bid-YTW : 4.00 % |
| MFC.PR.C |
Insurance Straight |
Quote: 25.31 – 25.98
Spot Rate : 0.6700
Average : 0.4204
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-10-21
Maturity Price : 25.00
Evaluated at bid price : 25.31
Bid-YTW : -9.96 % |
| BMO.PR.W |
FixedReset Disc |
Quote: 24.23 – 24.95
Spot Rate : 0.7200
Average : 0.4901
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-21
Maturity Price : 23.05
Evaluated at bid price : 24.23
Bid-YTW : 3.23 % |
| FTS.PR.F |
Perpetual-Premium |
Quote: 25.35 – 25.90
Spot Rate : 0.5500
Average : 0.3658
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-10-21
Maturity Price : 25.00
Evaluated at bid price : 25.35
Bid-YTW : -8.60 % |
| RY.PR.P |
Perpetual-Premium |
Quote: 26.80 – 27.29
Spot Rate : 0.4900
Average : 0.3401
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-10-21
Maturity Price : 26.00
Evaluated at bid price : 26.80
Bid-YTW : -25.41 % |
| RY.PR.N |
Perpetual-Premium |
Quote: 26.11 – 26.50
Spot Rate : 0.3900
Average : 0.2425
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-11-24
Maturity Price : 25.75
Evaluated at bid price : 26.11
Bid-YTW : -1.12 % |
Posted in Market Action | No Comments »
Monday, September 20th, 2021
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 |
-0.6939 % |
2,512.0 |
| FixedFloater |
0.00 % |
0.00 % |
0 |
0.00 |
0 |
-0.6939 % |
4,609.3 |
| Floater |
3.46 % |
3.43 % |
51,141 |
18.68 |
3 |
-0.6939 % |
2,656.4 |
| OpRet |
0.00 % |
0.00 % |
0 |
0.00 |
0 |
-0.1126 % |
3,699.0 |
| SplitShare |
4.64 % |
3.86 % |
34,708 |
3.72 |
6 |
-0.1126 % |
4,417.4 |
| Interest-Bearing |
0.00 % |
0.00 % |
0 |
0.00 |
0 |
-0.1126 % |
3,446.6 |
| Perpetual-Premium |
5.00 % |
-13.28 % |
54,016 |
0.09 |
34 |
-0.2022 % |
3,320.5 |
| Perpetual-Discount |
0.00 % |
0.00 % |
0 |
0.00 |
0 |
-0.2022 % |
3,996.0 |
| FixedReset Disc |
4.00 % |
3.58 % |
104,752 |
18.23 |
40 |
-0.7799 % |
2,814.9 |
| Insurance Straight |
4.88 % |
-9.64 % |
84,962 |
0.09 |
21 |
-0.2079 % |
3,732.2 |
| FloatingReset |
3.02 % |
3.01 % |
32,182 |
19.70 |
1 |
3.6810 % |
2,629.1 |
| FixedReset Prem |
4.68 % |
3.25 % |
131,016 |
2.43 |
33 |
-0.1154 % |
2,756.3 |
| FixedReset Bank Non |
0.00 % |
0.00 % |
0 |
0.00 |
0 |
-0.7799 % |
2,877.4 |
| FixedReset Ins Non |
4.07 % |
3.36 % |
93,977 |
18.16 |
20 |
-0.5361 % |
2,925.7 |
| Performance Highlights |
| Issue |
Index |
Change |
Notes |
| MFC.PR.F |
FixedReset Ins Non |
-6.71 % |
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-20
Maturity Price : 16.00
Evaluated at bid price : 16.00
Bid-YTW : 3.59 % |
| FTS.PR.K |
FixedReset Disc |
-5.12 % |
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-20
Maturity Price : 19.83
Evaluated at bid price : 19.83
Bid-YTW : 3.85 % |
| NA.PR.W |
FixedReset Disc |
-4.46 % |
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-20
Maturity Price : 22.60
Evaluated at bid price : 23.36
Bid-YTW : 3.43 % |
| BAM.PR.R |
FixedReset Disc |
-3.64 % |
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-20
Maturity Price : 18.79
Evaluated at bid price : 18.79
Bid-YTW : 4.25 % |
| BAM.PF.E |
FixedReset Disc |
-2.69 % |
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-20
Maturity Price : 21.02
Evaluated at bid price : 21.02
Bid-YTW : 4.11 % |
| MFC.PR.Q |
FixedReset Ins Non |
-2.67 % |
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-20
Maturity Price : 24.08
Evaluated at bid price : 24.40
Bid-YTW : 3.59 % |
| PWF.PR.P |
FixedReset Disc |
-2.00 % |
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-20
Maturity Price : 16.66
Evaluated at bid price : 16.66
Bid-YTW : 3.58 % |
| MFC.PR.B |
Insurance Straight |
-1.69 % |
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-20
Maturity Price : 24.68
Evaluated at bid price : 25.00
Bid-YTW : 4.66 % |
| BAM.PR.Z |
FixedReset Disc |
-1.45 % |
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-20
Maturity Price : 23.34
Evaluated at bid price : 23.81
Bid-YTW : 4.06 % |
| BAM.PR.B |
Floater |
-1.27 % |
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-20
Maturity Price : 12.47
Evaluated at bid price : 12.47
Bid-YTW : 3.43 % |
| IFC.PR.E |
Insurance Straight |
-1.25 % |
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-06-30
Maturity Price : 25.25
Evaluated at bid price : 26.12
Bid-YTW : 4.14 % |
| BMO.PR.Y |
FixedReset Disc |
-1.24 % |
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-20
Maturity Price : 23.15
Evaluated at bid price : 24.70
Bid-YTW : 3.42 % |
| FTS.PR.M |
FixedReset Disc |
-1.11 % |
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-20
Maturity Price : 21.96
Evaluated at bid price : 22.30
Bid-YTW : 3.85 % |
| FTS.PR.H |
FixedReset Disc |
-1.11 % |
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-20
Maturity Price : 15.18
Evaluated at bid price : 15.18
Bid-YTW : 3.69 % |
| TRP.PR.A |
FixedReset Disc |
1.83 % |
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-20
Maturity Price : 18.35
Evaluated at bid price : 18.35
Bid-YTW : 3.97 % |
| TRP.PR.F |
FloatingReset |
3.68 % |
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-20
Maturity Price : 16.90
Evaluated at bid price : 16.90
Bid-YTW : 3.01 % |
| Volume Highlights |
| Issue |
Index |
Shares
Traded |
Notes |
| TD.PF.A |
FixedReset Disc |
95,333 |
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-20
Maturity Price : 22.96
Evaluated at bid price : 24.00
Bid-YTW : 3.27 % |
| BMO.PR.T |
FixedReset Disc |
74,977 |
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-20
Maturity Price : 23.01
Evaluated at bid price : 24.06
Bid-YTW : 3.23 % |
| W.PR.M |
FixedReset Prem |
69,700 |
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-11-14
Maturity Price : 25.00
Evaluated at bid price : 25.30
Bid-YTW : 3.81 % |
| BMO.PR.Y |
FixedReset Disc |
55,415 |
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-20
Maturity Price : 23.15
Evaluated at bid price : 24.70
Bid-YTW : 3.42 % |
| IAF.PR.G |
FixedReset Ins Non |
51,600 |
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-20
Maturity Price : 24.58
Evaluated at bid price : 24.98
Bid-YTW : 3.70 % |
| BMO.PR.C |
FixedReset Prem |
44,500 |
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-05-25
Maturity Price : 25.00
Evaluated at bid price : 25.20
Bid-YTW : 3.77 % |
| There were 21 other index-included issues trading in excess of 10,000 shares. |
| Wide Spread Highlights |
| Issue |
Index |
Quote Data and Yield Notes |
| MFC.PR.F |
FixedReset Ins Non |
Quote: 16.00 – 17.42
Spot Rate : 1.4200
Average : 0.8909
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-20
Maturity Price : 16.00
Evaluated at bid price : 16.00
Bid-YTW : 3.59 % |
| NA.PR.W |
FixedReset Disc |
Quote: 23.36 – 24.37
Spot Rate : 1.0100
Average : 0.5589
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-20
Maturity Price : 22.60
Evaluated at bid price : 23.36
Bid-YTW : 3.43 % |
| ELF.PR.G |
Perpetual-Premium |
Quote: 25.00 – 26.00
Spot Rate : 1.0000
Average : 0.5680
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-20
Maturity Price : 24.68
Evaluated at bid price : 25.00
Bid-YTW : 4.81 % |
| BAM.PR.R |
FixedReset Disc |
Quote: 18.79 – 20.25
Spot Rate : 1.4600
Average : 1.0624
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-20
Maturity Price : 18.79
Evaluated at bid price : 18.79
Bid-YTW : 4.25 % |
| FTS.PR.K |
FixedReset Disc |
Quote: 19.83 – 20.83
Spot Rate : 1.0000
Average : 0.6178
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-20
Maturity Price : 19.83
Evaluated at bid price : 19.83
Bid-YTW : 3.85 % |
| PWF.PR.P |
FixedReset Disc |
Quote: 16.66 – 17.95
Spot Rate : 1.2900
Average : 1.0554
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-20
Maturity Price : 16.66
Evaluated at bid price : 16.66
Bid-YTW : 3.58 % |
Posted in Market Action | No Comments »
Saturday, September 18th, 2021
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 |
-0.7943 % |
2,529.5 |
| FixedFloater |
0.00 % |
0.00 % |
0 |
0.00 |
0 |
-0.7943 % |
4,641.5 |
| Floater |
3.43 % |
3.39 % |
53,190 |
18.79 |
3 |
-0.7943 % |
2,674.9 |
| OpRet |
0.00 % |
0.00 % |
0 |
0.00 |
0 |
-0.0129 % |
3,703.2 |
| SplitShare |
4.63 % |
3.75 % |
35,615 |
3.73 |
6 |
-0.0129 % |
4,422.4 |
| Interest-Bearing |
0.00 % |
0.00 % |
0 |
0.00 |
0 |
-0.0129 % |
3,450.5 |
| Perpetual-Premium |
5.01 % |
-17.79 % |
55,977 |
0.09 |
32 |
-0.0530 % |
3,327.2 |
| Perpetual-Discount |
0.00 % |
0.00 % |
0 |
0.00 |
0 |
-0.0530 % |
4,004.1 |
| FixedReset Disc |
4.01 % |
3.48 % |
102,596 |
17.94 |
42 |
-0.1039 % |
2,837.0 |
| Insurance Straight |
4.87 % |
-11.65 % |
83,898 |
0.09 |
21 |
-0.1002 % |
3,740.0 |
| FloatingReset |
3.14 % |
3.14 % |
30,329 |
19.39 |
1 |
0.0000 % |
2,535.8 |
| FixedReset Prem |
4.67 % |
3.22 % |
130,329 |
2.43 |
33 |
0.0672 % |
2,759.5 |
| FixedReset Bank Non |
0.00 % |
0.00 % |
0 |
0.00 |
0 |
-0.1039 % |
2,900.0 |
| FixedReset Ins Non |
4.05 % |
3.33 % |
94,719 |
18.29 |
20 |
-0.0581 % |
2,941.4 |
| Performance Highlights |
| Issue |
Index |
Change |
Notes |
| BAM.PR.R |
FixedReset Disc |
-3.03 % |
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-17
Maturity Price : 19.50
Evaluated at bid price : 19.50
Bid-YTW : 4.06 % |
| TRP.PR.A |
FixedReset Disc |
-2.65 % |
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-17
Maturity Price : 18.02
Evaluated at bid price : 18.02
Bid-YTW : 4.01 % |
| BAM.PR.K |
Floater |
-2.64 % |
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-17
Maturity Price : 12.19
Evaluated at bid price : 12.19
Bid-YTW : 3.51 % |
| CU.PR.C |
FixedReset Disc |
-2.03 % |
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-17
Maturity Price : 21.40
Evaluated at bid price : 21.70
Bid-YTW : 3.73 % |
| MFC.PR.F |
FixedReset Ins Non |
-1.72 % |
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-17
Maturity Price : 17.15
Evaluated at bid price : 17.15
Bid-YTW : 3.31 % |
| PWF.PR.S |
Perpetual-Premium |
-1.63 % |
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-04-30
Maturity Price : 25.00
Evaluated at bid price : 25.40
Bid-YTW : 3.17 % |
| TRP.PR.C |
FixedReset Disc |
-1.21 % |
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-17
Maturity Price : 14.72
Evaluated at bid price : 14.72
Bid-YTW : 3.91 % |
| BAM.PR.X |
FixedReset Disc |
-1.16 % |
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-17
Maturity Price : 17.05
Evaluated at bid price : 17.05
Bid-YTW : 3.87 % |
| RY.PR.J |
FixedReset Disc |
1.38 % |
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-05-24
Maturity Price : 25.00
Evaluated at bid price : 24.90
Bid-YTW : 3.39 % |
| RY.PR.M |
FixedReset Disc |
1.65 % |
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-17
Maturity Price : 23.09
Evaluated at bid price : 24.60
Bid-YTW : 3.32 % |
| BAM.PF.H |
FixedReset Prem |
2.94 % |
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-12-31
Maturity Price : 25.00
Evaluated at bid price : 27.30
Bid-YTW : 2.69 % |
| Volume Highlights |
| Issue |
Index |
Shares
Traded |
Notes |
| BAM.PF.B |
FixedReset Disc |
60,600 |
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-17
Maturity Price : 22.60
Evaluated at bid price : 23.16
Bid-YTW : 3.85 % |
| W.PR.M |
FixedReset Prem |
52,242 |
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-11-14
Maturity Price : 25.00
Evaluated at bid price : 25.30
Bid-YTW : 3.56 % |
| BAM.PR.T |
FixedReset Disc |
34,600 |
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-17
Maturity Price : 20.17
Evaluated at bid price : 20.17
Bid-YTW : 3.92 % |
| RY.PR.Z |
FixedReset Disc |
29,900 |
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-17
Maturity Price : 23.10
Evaluated at bid price : 24.16
Bid-YTW : 3.17 % |
| PWF.PR.P |
FixedReset Disc |
27,364 |
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-17
Maturity Price : 17.00
Evaluated at bid price : 17.00
Bid-YTW : 3.48 % |
| BMO.PR.Y |
FixedReset Disc |
20,553 |
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-08-25
Maturity Price : 25.00
Evaluated at bid price : 25.01
Bid-YTW : 3.11 % |
| 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.H |
Perpetual-Premium |
Quote: 26.00 – 27.00
Spot Rate : 1.0000
Average : 0.5908
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-10-17
Maturity Price : 25.00
Evaluated at bid price : 26.00
Bid-YTW : -30.33 % |
| BMO.PR.W |
FixedReset Disc |
Quote: 24.24 – 24.95
Spot Rate : 0.7100
Average : 0.4223
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-17
Maturity Price : 23.06
Evaluated at bid price : 24.24
Bid-YTW : 3.19 % |
| CU.PR.C |
FixedReset Disc |
Quote: 21.70 – 22.85
Spot Rate : 1.1500
Average : 0.9523
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-17
Maturity Price : 21.40
Evaluated at bid price : 21.70
Bid-YTW : 3.73 % |
| PWF.PR.S |
Perpetual-Premium |
Quote: 25.40 – 26.02
Spot Rate : 0.6200
Average : 0.4563
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-04-30
Maturity Price : 25.00
Evaluated at bid price : 25.40
Bid-YTW : 3.17 % |
| TRP.PR.A |
FixedReset Disc |
Quote: 18.02 – 18.58
Spot Rate : 0.5600
Average : 0.4062
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-17
Maturity Price : 18.02
Evaluated at bid price : 18.02
Bid-YTW : 4.01 % |
| PWF.PR.P |
FixedReset Disc |
Quote: 17.00 – 17.95
Spot Rate : 0.9500
Average : 0.7981
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-17
Maturity Price : 17.00
Evaluated at bid price : 17.00
Bid-YTW : 3.48 % |
Posted in Market Action | No Comments »
Thursday, September 16th, 2021
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 |
1.1516 % |
2,549.8 |
| FixedFloater |
0.00 % |
0.00 % |
0 |
0.00 |
0 |
1.1516 % |
4,678.7 |
| Floater |
3.41 % |
3.40 % |
52,842 |
18.77 |
3 |
1.1516 % |
2,696.3 |
| OpRet |
0.00 % |
0.00 % |
0 |
0.00 |
0 |
0.0161 % |
3,703.7 |
| SplitShare |
4.63 % |
3.62 % |
35,909 |
1.01 |
6 |
0.0161 % |
4,423.0 |
| Interest-Bearing |
0.00 % |
0.00 % |
0 |
0.00 |
0 |
0.0161 % |
3,451.0 |
| Perpetual-Premium |
5.01 % |
-17.43 % |
56,362 |
0.09 |
32 |
0.0024 % |
3,329.0 |
| Perpetual-Discount |
0.00 % |
0.00 % |
0 |
0.00 |
0 |
0.0024 % |
4,006.2 |
| FixedReset Disc |
4.01 % |
3.48 % |
102,382 |
18.01 |
42 |
0.0721 % |
2,840.0 |
| Insurance Straight |
4.86 % |
-13.15 % |
85,089 |
0.09 |
21 |
-0.0074 % |
3,743.7 |
| FloatingReset |
3.14 % |
3.14 % |
28,089 |
19.39 |
1 |
0.0000 % |
2,535.8 |
| FixedReset Prem |
4.67 % |
3.20 % |
132,236 |
2.44 |
33 |
-0.1424 % |
2,757.6 |
| FixedReset Bank Non |
0.00 % |
0.00 % |
0 |
0.00 |
0 |
0.0721 % |
2,903.0 |
| FixedReset Ins Non |
4.05 % |
3.33 % |
98,619 |
18.29 |
20 |
-0.0452 % |
2,943.1 |
| Performance Highlights |
| Issue |
Index |
Change |
Notes |
| BAM.PF.H |
FixedReset Prem |
-2.86 % |
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-12-31
Maturity Price : 25.00
Evaluated at bid price : 26.52
Bid-YTW : 3.44 % |
| RY.PR.M |
FixedReset Disc |
-1.63 % |
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-16
Maturity Price : 22.92
Evaluated at bid price : 24.20
Bid-YTW : 3.40 % |
| BAM.PF.G |
FixedReset Disc |
-1.35 % |
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-16
Maturity Price : 22.14
Evaluated at bid price : 22.65
Bid-YTW : 3.94 % |
| RY.PR.J |
FixedReset Disc |
-1.25 % |
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-16
Maturity Price : 23.12
Evaluated at bid price : 24.56
Bid-YTW : 3.48 % |
| BIP.PR.A |
FixedReset Disc |
1.01 % |
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-16
Maturity Price : 22.92
Evaluated at bid price : 24.09
Bid-YTW : 4.41 % |
| BAM.PR.X |
FixedReset Disc |
1.11 % |
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-16
Maturity Price : 17.25
Evaluated at bid price : 17.25
Bid-YTW : 3.83 % |
| MFC.PR.F |
FixedReset Ins Non |
1.75 % |
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-16
Maturity Price : 17.45
Evaluated at bid price : 17.45
Bid-YTW : 3.26 % |
| BAM.PR.K |
Floater |
2.71 % |
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-16
Maturity Price : 12.52
Evaluated at bid price : 12.52
Bid-YTW : 3.42 % |
| TRP.PR.A |
FixedReset Disc |
2.72 % |
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-16
Maturity Price : 18.51
Evaluated at bid price : 18.51
Bid-YTW : 3.90 % |
| BAM.PF.E |
FixedReset Disc |
3.00 % |
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-16
Maturity Price : 21.34
Evaluated at bid price : 21.65
Bid-YTW : 3.93 % |
| BAM.PR.R |
FixedReset Disc |
7.03 % |
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-16
Maturity Price : 20.11
Evaluated at bid price : 20.11
Bid-YTW : 3.93 % |
| Volume Highlights |
| Issue |
Index |
Shares
Traded |
Notes |
| CU.PR.F |
Perpetual-Premium |
163,900 |
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-06-01
Maturity Price : 25.00
Evaluated at bid price : 25.32
Bid-YTW : 2.97 % |
| CU.PR.C |
FixedReset Disc |
100,900 |
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-16
Maturity Price : 21.72
Evaluated at bid price : 22.15
Bid-YTW : 3.64 % |
| W.PR.M |
FixedReset Prem |
95,200 |
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-11-14
Maturity Price : 25.00
Evaluated at bid price : 25.30
Bid-YTW : 3.50 % |
| GWO.PR.I |
Insurance Straight |
54,139 |
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-10-16
Maturity Price : 25.00
Evaluated at bid price : 25.30
Bid-YTW : -11.77 % |
| RY.PR.S |
FixedReset Prem |
42,580 |
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-16
Maturity Price : 23.69
Evaluated at bid price : 25.64
Bid-YTW : 3.18 % |
| GWO.PR.R |
Insurance Straight |
41,265 |
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-10-16
Maturity Price : 25.25
Evaluated at bid price : 25.55
Bid-YTW : -11.51 % |
| There were 22 other index-included issues trading in excess of 10,000 shares. |
| Wide Spread Highlights |
| Issue |
Index |
Quote Data and Yield Notes |
| PVS.PR.G |
SplitShare |
Quote: 26.06 – 27.06
Spot Rate : 1.0000
Average : 0.5923
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-10-16
Maturity Price : 26.00
Evaluated at bid price : 26.06
Bid-YTW : 3.33 % |
| BAM.PF.H |
FixedReset Prem |
Quote: 26.52 – 27.69
Spot Rate : 1.1700
Average : 0.7933
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-12-31
Maturity Price : 25.00
Evaluated at bid price : 26.52
Bid-YTW : 3.44 % |
| PWF.PR.P |
FixedReset Disc |
Quote: 17.00 – 17.80
Spot Rate : 0.8000
Average : 0.6317
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-16
Maturity Price : 17.00
Evaluated at bid price : 17.00
Bid-YTW : 3.48 % |
| RY.PR.J |
FixedReset Disc |
Quote: 24.56 – 25.00
Spot Rate : 0.4400
Average : 0.3096
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-16
Maturity Price : 23.12
Evaluated at bid price : 24.56
Bid-YTW : 3.48 % |
| BAM.PF.G |
FixedReset Disc |
Quote: 22.65 – 23.10
Spot Rate : 0.4500
Average : 0.3201
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-16
Maturity Price : 22.14
Evaluated at bid price : 22.65
Bid-YTW : 3.94 % |
| IFC.PR.I |
Perpetual-Premium |
Quote: 27.36 – 28.40
Spot Rate : 1.0400
Average : 0.9440
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-03-31
Maturity Price : 26.00
Evaluated at bid price : 27.36
Bid-YTW : 3.57 % |
Posted in Market Action | No Comments »
Thursday, September 16th, 2021
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 |
-0.1337 % |
2,520.7 |
| FixedFloater |
0.00 % |
0.00 % |
0 |
0.00 |
0 |
-0.1337 % |
4,625.4 |
| Floater |
3.44 % |
3.41 % |
53,637 |
18.74 |
3 |
-0.1337 % |
2,665.7 |
| OpRet |
0.00 % |
0.00 % |
0 |
0.00 |
0 |
0.0225 % |
3,703.1 |
| SplitShare |
4.63 % |
3.74 % |
33,343 |
3.74 |
6 |
0.0225 % |
4,422.3 |
| Interest-Bearing |
0.00 % |
0.00 % |
0 |
0.00 |
0 |
0.0225 % |
3,450.4 |
| Perpetual-Premium |
5.01 % |
-16.70 % |
57,063 |
0.09 |
32 |
0.1473 % |
3,328.9 |
| Perpetual-Discount |
0.00 % |
0.00 % |
0 |
0.00 |
0 |
0.1473 % |
4,006.1 |
| FixedReset Disc |
4.01 % |
3.48 % |
101,862 |
17.99 |
42 |
-0.1737 % |
2,837.9 |
| Insurance Straight |
4.86 % |
-12.65 % |
88,028 |
0.09 |
21 |
0.1579 % |
3,744.0 |
| FloatingReset |
3.14 % |
3.14 % |
29,254 |
19.39 |
1 |
-4.1176 % |
2,535.8 |
| FixedReset Prem |
4.67 % |
3.10 % |
133,536 |
2.44 |
33 |
0.0306 % |
2,761.6 |
| FixedReset Bank Non |
0.00 % |
0.00 % |
0 |
0.00 |
0 |
-0.1737 % |
2,900.9 |
| FixedReset Ins Non |
4.05 % |
3.32 % |
102,343 |
18.31 |
20 |
-0.0129 % |
2,944.5 |
| Performance Highlights |
| Issue |
Index |
Change |
Notes |
| BAM.PR.R |
FixedReset Disc |
-6.52 % |
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-15
Maturity Price : 18.79
Evaluated at bid price : 18.79
Bid-YTW : 4.21 % |
| TRP.PR.F |
FloatingReset |
-4.12 % |
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-15
Maturity Price : 16.30
Evaluated at bid price : 16.30
Bid-YTW : 3.14 % |
| BAM.PF.E |
FixedReset Disc |
-3.13 % |
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-15
Maturity Price : 21.02
Evaluated at bid price : 21.02
Bid-YTW : 4.07 % |
| CU.PR.C |
FixedReset Disc |
-1.57 % |
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-15
Maturity Price : 21.62
Evaluated at bid price : 22.00
Bid-YTW : 3.67 % |
| MFC.PR.F |
FixedReset Ins Non |
-1.44 % |
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-15
Maturity Price : 17.15
Evaluated at bid price : 17.15
Bid-YTW : 3.31 % |
| TRP.PR.A |
FixedReset Disc |
-1.26 % |
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-15
Maturity Price : 18.02
Evaluated at bid price : 18.02
Bid-YTW : 4.01 % |
| BIP.PR.A |
FixedReset Disc |
-1.20 % |
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-15
Maturity Price : 22.81
Evaluated at bid price : 23.85
Bid-YTW : 4.46 % |
| IFC.PR.A |
FixedReset Ins Non |
1.04 % |
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-15
Maturity Price : 20.46
Evaluated at bid price : 20.46
Bid-YTW : 3.19 % |
| TRP.PR.E |
FixedReset Disc |
1.17 % |
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-15
Maturity Price : 20.79
Evaluated at bid price : 20.79
Bid-YTW : 3.99 % |
| PWF.PR.S |
Perpetual-Premium |
1.33 % |
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-10-15
Maturity Price : 25.25
Evaluated at bid price : 25.82
Bid-YTW : -14.64 % |
| FTS.PR.K |
FixedReset Disc |
1.34 % |
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-15
Maturity Price : 21.16
Evaluated at bid price : 21.16
Bid-YTW : 3.57 % |
| PWF.PR.K |
Perpetual-Premium |
1.57 % |
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-10-15
Maturity Price : 25.00
Evaluated at bid price : 25.85
Bid-YTW : -26.33 % |
| TRP.PR.C |
FixedReset Disc |
2.40 % |
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-15
Maturity Price : 14.93
Evaluated at bid price : 14.93
Bid-YTW : 3.86 % |
| Volume Highlights |
| Issue |
Index |
Shares
Traded |
Notes |
| BIP.PR.F |
FixedReset Prem |
135,700 |
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2023-12-31
Maturity Price : 25.00
Evaluated at bid price : 25.72
Bid-YTW : 3.71 % |
| SLF.PR.B |
Insurance Straight |
97,000 |
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-10-15
Maturity Price : 25.00
Evaluated at bid price : 24.98
Bid-YTW : 3.40 % |
| RY.PR.Z |
FixedReset Disc |
38,150 |
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-15
Maturity Price : 23.08
Evaluated at bid price : 24.12
Bid-YTW : 3.17 % |
| IAF.PR.B |
Insurance Straight |
23,900 |
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-10-15
Maturity Price : 25.00
Evaluated at bid price : 25.12
Bid-YTW : -3.50 % |
| TD.PF.H |
FixedReset Prem |
21,538 |
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-10-31
Maturity Price : 25.00
Evaluated at bid price : 25.24
Bid-YTW : 2.07 % |
| PWF.PR.P |
FixedReset Disc |
18,600 |
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-15
Maturity Price : 17.00
Evaluated at bid price : 17.00
Bid-YTW : 3.48 % |
| There were 6 other index-included issues trading in excess of 10,000 shares. |
| Wide Spread Highlights |
| Issue |
Index |
Quote Data and Yield Notes |
| BAM.PR.R |
FixedReset Disc |
Quote: 18.79 – 20.29
Spot Rate : 1.5000
Average : 0.8922
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-15
Maturity Price : 18.79
Evaluated at bid price : 18.79
Bid-YTW : 4.21 % |
| FTS.PR.J |
FixedReset Disc |
Quote: 25.65 – 26.65
Spot Rate : 1.0000
Average : 0.6854
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-10-15
Maturity Price : 25.25
Evaluated at bid price : 25.65
Bid-YTW : -11.89 % |
| BAM.PF.E |
FixedReset Disc |
Quote: 21.02 – 22.00
Spot Rate : 0.9800
Average : 0.6699
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-15
Maturity Price : 21.02
Evaluated at bid price : 21.02
Bid-YTW : 4.07 % |
| TRP.PR.F |
FloatingReset |
Quote: 16.30 – 17.14
Spot Rate : 0.8400
Average : 0.5519
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-15
Maturity Price : 16.30
Evaluated at bid price : 16.30
Bid-YTW : 3.14 % |
| IFC.PR.I |
Perpetual-Premium |
Quote: 27.33 – 28.40
Spot Rate : 1.0700
Average : 0.8388
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-03-31
Maturity Price : 26.00
Evaluated at bid price : 27.33
Bid-YTW : 3.60 % |
| BAM.PR.Z |
FixedReset Disc |
Quote: 24.31 – 24.90
Spot Rate : 0.5900
Average : 0.4385
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-15
Maturity Price : 23.89
Evaluated at bid price : 24.31
Bid-YTW : 3.94 % |
Posted in Market Action | No Comments »
Wednesday, September 15th, 2021
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 |
-1.6311 % |
2,524.1 |
| FixedFloater |
0.00 % |
0.00 % |
0 |
0.00 |
0 |
-1.6311 % |
4,631.6 |
| Floater |
3.44 % |
3.40 % |
55,539 |
18.78 |
3 |
-1.6311 % |
2,669.2 |
| OpRet |
0.00 % |
0.00 % |
0 |
0.00 |
0 |
0.1644 % |
3,702.2 |
| SplitShare |
4.63 % |
3.74 % |
34,714 |
3.74 |
6 |
0.1644 % |
4,421.3 |
| Interest-Bearing |
0.00 % |
0.00 % |
0 |
0.00 |
0 |
0.1644 % |
3,449.6 |
| Perpetual-Premium |
5.03 % |
-13.44 % |
56,637 |
0.09 |
31 |
-0.1691 % |
3,324.0 |
| Perpetual-Discount |
4.67 % |
-16.84 % |
71,363 |
0.09 |
1 |
-0.9743 % |
4,000.3 |
| FixedReset Disc |
4.00 % |
3.43 % |
103,252 |
17.94 |
42 |
-0.0296 % |
2,842.9 |
| Insurance Straight |
4.87 % |
-11.62 % |
84,367 |
0.09 |
21 |
-0.3000 % |
3,738.1 |
| FloatingReset |
3.01 % |
3.01 % |
28,648 |
19.72 |
1 |
2.4096 % |
2,644.6 |
| FixedReset Prem |
4.67 % |
3.15 % |
136,305 |
2.44 |
33 |
-0.1246 % |
2,760.7 |
| FixedReset Bank Non |
0.00 % |
0.00 % |
0 |
0.00 |
0 |
-0.0296 % |
2,906.0 |
| FixedReset Ins Non |
4.05 % |
3.30 % |
103,401 |
18.35 |
20 |
0.1464 % |
2,944.8 |
| Performance Highlights |
| Issue |
Index |
Change |
Notes |
| BAM.PR.K |
Floater |
-1.73 % |
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-14
Maturity Price : 12.19
Evaluated at bid price : 12.19
Bid-YTW : 3.51 % |
| MFC.PR.C |
Insurance Straight |
-1.64 % |
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-10-14
Maturity Price : 25.00
Evaluated at bid price : 25.15
Bid-YTW : -3.51 % |
| CU.PR.I |
FixedReset Prem |
-1.08 % |
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-12-01
Maturity Price : 25.00
Evaluated at bid price : 26.51
Bid-YTW : 3.02 % |
| PWF.PR.P |
FixedReset Disc |
-1.05 % |
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-14
Maturity Price : 17.00
Evaluated at bid price : 17.00
Bid-YTW : 3.48 % |
| SLF.PR.H |
FixedReset Ins Non |
1.04 % |
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-14
Maturity Price : 22.42
Evaluated at bid price : 23.26
Bid-YTW : 3.16 % |
| BAM.PF.J |
FixedReset Prem |
1.18 % |
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-12-31
Maturity Price : 25.00
Evaluated at bid price : 25.70
Bid-YTW : 2.40 % |
| MFC.PR.F |
FixedReset Ins Non |
1.46 % |
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-14
Maturity Price : 17.40
Evaluated at bid price : 17.40
Bid-YTW : 3.26 % |
| TRP.PR.F |
FloatingReset |
2.41 % |
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-14
Maturity Price : 17.00
Evaluated at bid price : 17.00
Bid-YTW : 3.01 % |
| SLF.PR.G |
FixedReset Ins Non |
2.45 % |
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-14
Maturity Price : 16.70
Evaluated at bid price : 16.70
Bid-YTW : 3.25 % |
| CU.PR.C |
FixedReset Disc |
3.00 % |
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-14
Maturity Price : 21.85
Evaluated at bid price : 22.35
Bid-YTW : 3.60 % |
| Volume Highlights |
| Issue |
Index |
Shares
Traded |
Notes |
| BAM.PR.R |
FixedReset Disc |
83,200 |
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-14
Maturity Price : 20.10
Evaluated at bid price : 20.10
Bid-YTW : 3.93 % |
| GWO.PR.N |
FixedReset Ins Non |
72,200 |
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-14
Maturity Price : 15.30
Evaluated at bid price : 15.30
Bid-YTW : 3.35 % |
| MFC.PR.F |
FixedReset Ins Non |
54,775 |
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-14
Maturity Price : 17.40
Evaluated at bid price : 17.40
Bid-YTW : 3.26 % |
| RY.PR.H |
FixedReset Disc |
37,157 |
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-14
Maturity Price : 23.07
Evaluated at bid price : 24.18
Bid-YTW : 3.20 % |
| BMO.PR.S |
FixedReset Disc |
32,614 |
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-14
Maturity Price : 23.18
Evaluated at bid price : 24.35
Bid-YTW : 3.26 % |
| SLF.PR.G |
FixedReset Ins Non |
28,000 |
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-14
Maturity Price : 16.70
Evaluated at bid price : 16.70
Bid-YTW : 3.25 % |
| There were 15 other index-included issues trading in excess of 10,000 shares. |
| Wide Spread Highlights |
| Issue |
Index |
Quote Data and Yield Notes |
| BAM.PR.X |
FixedReset Disc |
Quote: 17.07 – 17.80
Spot Rate : 0.7300
Average : 0.5096
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-14
Maturity Price : 17.07
Evaluated at bid price : 17.07
Bid-YTW : 3.87 % |
| TD.PF.B |
FixedReset Disc |
Quote: 24.01 – 24.45
Spot Rate : 0.4400
Average : 0.2767
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-14
Maturity Price : 23.00
Evaluated at bid price : 24.01
Bid-YTW : 3.26 % |
| BAM.PR.K |
Floater |
Quote: 12.19 – 12.77
Spot Rate : 0.5800
Average : 0.4369
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-14
Maturity Price : 12.19
Evaluated at bid price : 12.19
Bid-YTW : 3.51 % |
| BAM.PR.M |
Perpetual-Premium |
Quote: 25.38 – 25.89
Spot Rate : 0.5100
Average : 0.3681
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-10-14
Maturity Price : 25.00
Evaluated at bid price : 25.38
Bid-YTW : -15.52 % |
| BIP.PR.F |
FixedReset Prem |
Quote: 25.70 – 26.11
Spot Rate : 0.4100
Average : 0.2701
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2023-12-31
Maturity Price : 25.00
Evaluated at bid price : 25.70
Bid-YTW : 3.74 % |
| BAM.PR.T |
FixedReset Disc |
Quote: 20.02 – 20.80
Spot Rate : 0.7800
Average : 0.6407
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-14
Maturity Price : 20.02
Evaluated at bid price : 20.02
Bid-YTW : 3.94 % |
Posted in Market Action | No Comments »
Monday, September 13th, 2021
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 |
0.1845 % |
2,566.0 |
| FixedFloater |
0.00 % |
0.00 % |
0 |
0.00 |
0 |
0.1845 % |
4,708.4 |
| Floater |
3.38 % |
3.41 % |
56,471 |
18.63 |
3 |
0.1845 % |
2,713.5 |
| OpRet |
0.00 % |
0.00 % |
0 |
0.00 |
0 |
0.0443 % |
3,696.2 |
| SplitShare |
4.58 % |
3.56 % |
32,627 |
3.22 |
7 |
0.0443 % |
4,414.0 |
| Interest-Bearing |
0.00 % |
0.00 % |
0 |
0.00 |
0 |
0.0443 % |
3,444.0 |
| Perpetual-Premium |
5.12 % |
-18.62 % |
53,579 |
0.09 |
25 |
0.0261 % |
3,329.7 |
| Perpetual-Discount |
4.61 % |
-4.20 % |
72,416 |
0.08 |
8 |
-0.0883 % |
4,039.6 |
| FixedReset Disc |
3.95 % |
3.39 % |
122,207 |
18.22 |
40 |
0.1205 % |
2,843.7 |
| Insurance Straight |
4.85 % |
-16.81 % |
80,599 |
0.09 |
22 |
0.1416 % |
3,749.4 |
| FloatingReset |
2.80 % |
3.08 % |
28,131 |
19.54 |
2 |
-0.0312 % |
2,582.4 |
| FixedReset Prem |
4.75 % |
2.95 % |
137,240 |
2.17 |
30 |
0.0116 % |
2,764.2 |
| FixedReset Bank Non |
0.00 % |
0.00 % |
0 |
0.00 |
0 |
0.1205 % |
2,906.8 |
| FixedReset Ins Non |
4.05 % |
3.31 % |
103,770 |
18.27 |
20 |
-0.3198 % |
2,940.5 |
| Performance Highlights |
| Issue |
Index |
Change |
Notes |
| SLF.PR.G |
FixedReset Ins Non |
-2.98 % |
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-13
Maturity Price : 16.30
Evaluated at bid price : 16.30
Bid-YTW : 3.33 % |
| MFC.PR.F |
FixedReset Ins Non |
-2.67 % |
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-13
Maturity Price : 17.15
Evaluated at bid price : 17.15
Bid-YTW : 3.31 % |
| GWO.PR.N |
FixedReset Ins Non |
-2.23 % |
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-13
Maturity Price : 15.35
Evaluated at bid price : 15.35
Bid-YTW : 3.34 % |
| BAM.PF.E |
FixedReset Disc |
2.87 % |
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-13
Maturity Price : 21.61
Evaluated at bid price : 21.86
Bid-YTW : 3.95 % |
| Volume Highlights |
| Issue |
Index |
Shares
Traded |
Notes |
| GWO.PR.N |
FixedReset Ins Non |
125,500 |
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-13
Maturity Price : 15.35
Evaluated at bid price : 15.35
Bid-YTW : 3.34 % |
| BMO.PR.W |
FixedReset Disc |
100,235 |
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-13
Maturity Price : 23.05
Evaluated at bid price : 24.22
Bid-YTW : 3.20 % |
| SLF.PR.G |
FixedReset Ins Non |
76,830 |
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-13
Maturity Price : 16.30
Evaluated at bid price : 16.30
Bid-YTW : 3.33 % |
| MFC.PR.F |
FixedReset Ins Non |
64,600 |
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-13
Maturity Price : 17.15
Evaluated at bid price : 17.15
Bid-YTW : 3.31 % |
| BIP.PR.F |
FixedReset Prem |
53,800 |
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2023-12-31
Maturity Price : 25.00
Evaluated at bid price : 25.70
Bid-YTW : 3.74 % |
| RY.PR.Z |
FixedReset Disc |
41,700 |
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-13
Maturity Price : 23.09
Evaluated at bid price : 24.15
Bid-YTW : 3.17 % |
| There were 9 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: 21.70 – 22.95
Spot Rate : 1.2500
Average : 1.0205
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-13
Maturity Price : 21.40
Evaluated at bid price : 21.70
Bid-YTW : 3.73 % |
| SLF.PR.H |
FixedReset Ins Non |
Quote: 23.02 – 23.45
Spot Rate : 0.4300
Average : 0.2797
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-13
Maturity Price : 22.29
Evaluated at bid price : 23.02
Bid-YTW : 3.20 % |
| SLF.PR.G |
FixedReset Ins Non |
Quote: 16.30 – 16.80
Spot Rate : 0.5000
Average : 0.3535
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-13
Maturity Price : 16.30
Evaluated at bid price : 16.30
Bid-YTW : 3.33 % |
| GWO.PR.Q |
Insurance Straight |
Quote: 25.52 – 25.90
Spot Rate : 0.3800
Average : 0.2630
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-10-30
Maturity Price : 25.00
Evaluated at bid price : 25.52
Bid-YTW : -12.32 % |
| RY.PR.P |
Perpetual-Premium |
Quote: 27.03 – 27.49
Spot Rate : 0.4600
Average : 0.3598
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-10-13
Maturity Price : 26.00
Evaluated at bid price : 27.03
Bid-YTW : -35.36 % |
| BAM.PR.T |
FixedReset Disc |
Quote: 20.23 – 20.80
Spot Rate : 0.5700
Average : 0.4879
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-13
Maturity Price : 20.23
Evaluated at bid price : 20.23
Bid-YTW : 3.96 % |
Posted in Market Action | No Comments »
