MFC.PR.M To Reset To 5.542%

November 20th, 2024

Manulife Financial Corporation announced (on 2024-10-28):

that it does not intend to exercise its right to redeem all or any of its currently outstanding 14,000,000 Non-cumulative Rate Reset Class 1 Shares Series 17 (the “Series 17 Preferred Shares”) (TSX: MFC.PR.M) on December 19, 2024. As a result, subject to certain conditions described in the prospectus supplement dated August 11, 2014 relating to the issuance of the Series 17 Preferred Shares (the “Prospectus”), the holders of the Series 17 Preferred Shares have the right, at their option, to convert all or part of their Series 17 Preferred Shares on a one-for-one basis into Non-cumulative Floating Rate Class 1 Shares Series 18 of Manulife (the “Series 18 Preferred Shares”) on December 19, 2024. A formal notice of the right to convert Series 17 Preferred Shares into Series 18 Preferred Shares will be sent to the registered holders of the Series 17 Preferred Shares in accordance with the share conditions of the Series 17 Preferred Shares. Holders of Series 17 Preferred Shares are not required to elect to convert all or any part of their Series 17 Preferred Shares into Series 18 Preferred Shares. Holders who do not exercise their right to convert their Series 17 Preferred Shares into Series 18 Preferred Shares on such date will retain their Series 17 Preferred Shares, unless automatically converted in accordance with the conditions below.

The foregoing conversion right is subject to the conditions that: (i) if, after December 4, 2024, Manulife determines that there would be less than 1,000,000 Series 17 Preferred Shares outstanding on December 19, 2024, then all remaining Series 17 Preferred Shares will automatically be converted into an equal number of Series 18 Preferred Shares on December 19, 2024, and (ii) alternatively, if, after December 4, 2024, Manulife determines that there would be less than 1,000,000 Series 18 Preferred Shares outstanding on December 19, 2024, then no Series 17 Preferred Shares will be converted into Series 18 Preferred Shares. In either case, Manulife will give written notice to that effect to any registered holders of Series 17 Preferred Shares affected by the preceding minimums on or before December 12, 2024.

The dividend rate applicable to the Series 17 Preferred Shares for the 5-year period commencing on December 20, 2024, and ending on December 19, 2029, and the dividend rate applicable to the Series 18 Preferred Shares for the 3-month period commencing on December 20, 2024, and ending on March 19, 2025, will be determined and announced by way of a news release on November 20, 2024. Manulife will also give written notice of these dividend rates to the registered holders of Series 17 Preferred Shares.

Beneficial owners of Series 17 Preferred Shares who wish to exercise their right of conversion should instruct their broker or other nominee to exercise such right before 5:00 p.m. (Toronto time) on December 4, 2024. Conversion inquiries should be directed to Manulife’s Registrar and Transfer Agent, TSX Trust Company, at 1‑800-783-9495.

Subject to certain conditions described in the Prospectus, Manulife may redeem the Series 17 Preferred Shares, in whole or in part, on December 19, 2029 and on December 19 every five years thereafter and may redeem the Series 18 Preferred Shares, in whole or in part, after December 19, 2024.

The Toronto Stock Exchange (“TSX”) has conditionally approved the listing of the Series 18 Preferred Shares effective upon conversion. Listing of the Series 18 Preferred Shares is subject to Manulife fulfilling all the listing requirements of the TSX and, upon approval, the Series 18 Preferred Shares will be listed on the TSX under the trading symbol “MFC.PR.S”.

They have now further announced (but not yet on their website):

the applicable dividend rates for its Non-cumulative Rate Reset Class 1 Shares Series 17 (the “Series 17 Preferred Shares”) (TSX: MFC.PR.M) and Non-cumulative Floating Rate Class 1 Shares Series 18 (the “Series 18 Preferred Shares”).

With respect to any Series 17 Preferred Shares that remain outstanding after December 19, 2024, holders thereof will be entitled to receive fixed rate non-cumulative preferential cash dividends on a quarterly basis, as and when declared by the Board of Directors of Manulife and subject to the provisions of the Insurance Companies Act (Canada). The dividend rate for the five-year period commencing on December 20, 2024, and ending on December 19, 2029, will be 5.54200% per annum or $0.346375 per share per quarter, being equal to the sum of the five-year Government of Canada bond yield as at November 20, 2024, plus 2.36%, as determined in accordance with the terms of the Series 17 Preferred Shares.

With respect to any Series 18 Preferred Shares that may be issued in connection with the conversion of the Series 17 Preferred Shares into the Series 18 Preferred Shares, holders thereof will be entitled to receive floating rate non-cumulative preferential cash dividends on a quarterly basis, calculated on the basis of the actual number of days elapsed in each quarterly floating rate period divided by 365, as and when declared by the Board of Directors of Manulife and subject to the provisions of the Insurance Companies Act (Canada). The dividend rate for the three-month period commencing on December 20, 2024, and ending on March 19, 2025, will be 1.44025% (5.84100% on an annualized basis) or $0.360063 per share, being equal to the sum of the three-month Government of Canada Treasury bill yield as at November 20, 2024, plus 2.36%, as determined in accordance with the terms of the Series 18 Preferred Shares.

Beneficial owners of Series 17 Preferred Shares who wish to exercise their right of conversion should instruct their broker or other nominee to exercise such right before 5:00 p.m. (Toronto time) on December 4, 2024. Conversion inquiries should be directed to Manulife’s Registrar and Transfer Agent, TSX Trust Company, at 1‑800‑783‑9495.

The Toronto Stock Exchange (“TSX”) has conditionally approved the listing of the Series 18 Preferred Shares effective upon conversion. Listing of the Series 18 Preferred Shares is subject to Manulife fulfilling all the listing requirements of the TSX and, upon approval, the Series 18 Preferred Shares will be listed on the TSX under the trading symbol “MFC.PR.S”.

MFC.PR.M was issued as a FixedReset, 3.90%+236, that commenced trading 2014-8-15 after being announced 2014-8-11. Notice of extension was published 2019-11-8. MFC.PR.M reset at 3.800% effective December 20, 2019. I recommended against conversion and there was no conversion. It is tracked by HIMIPref™ and is assigned to the FixedReset (Insurance, non-NVCC) subindex.

FFH Issues Senior Debt, Will Redeem Some Prefs, Maybe

November 20th, 2024

Fairfax Financial Holdings Limited has announced:

that it intends to offer (i) C$450 million in aggregate principal amount of Senior Notes due 2034 (the “2034 Notes”) to be priced at C$99.929 per C$100 principal amount, and (ii) C$250 million in aggregate principal amount of Senior Notes due 2054 (the “2054 Notes” and, together with the 2034 Notes, the “Senior Notes”) to be priced at C$100 per C$100 principal amount (the “Offering”). The Senior Notes will be offered through a syndicate of dealers to be led by BMO Nesbitt Burns Inc., CIBC World Markets Inc., RBC Dominion Securities Inc. and Scotia Capital Inc., as joint bookrunners, and including Merrill Lynch Canada Inc., National Bank Financial Inc., TD Securities Inc., Citigroup Global Markets Canada Inc., Desjardins Securities Inc., J.P. Morgan Securities Canada Inc., and Mizuho Securities Canada Inc., as agents. The 2034 Notes will pay a fixed rate of interest of 4.73% per annum and the 2054 Notes will pay a fixed rate of interest of 5.23% per annum. The Senior Notes will be unsecured obligations of Fairfax.

Fairfax intends to use the net proceeds of the Offering to redeem, in whole or in part, one or more series of its outstanding cumulative 5-year rate reset preferred shares or cumulative floating rate preferred shares (each such series, “Preferred Shares”) in accordance with their applicable terms. As of the date of this press release, Fairfax has not made any determination as to the specific series of Preferred Shares to be redeemed, nor the amount, timing or method of repayment. Any redemption of Preferred Shares will be subject to market conditions. Any proceeds not used to redeem Preferred Shares will be used for general corporate purposes. The Offering is expected to close on or about November 22, 2024, subject to the satisfaction of customary conditions.

The Senior Notes will be offered in all provinces and territories of Canada pursuant to Fairfax’s base shelf prospectus dated October 11, 2023 (the “base shelf prospectus”), as supplemented by a prospectus supplement (the “shelf prospectus supplement”) to be filed with the Canadian securities regulators in all of the provinces and territories of Canada. Access to the shelf prospectus supplement, the corresponding base shelf prospectus and any amendment to such documents is provided in accordance with securities legislation relating to procedures for providing access to a shelf prospectus supplement, a base shelf prospectus and any amendment. The base shelf prospectus is accessible, and the shelf prospectus supplement will be accessible within two business days from the date hereof, through SEDAR+ at www.sedarplus.ca.

The Senior Notes are offered under the shelf prospectus supplement. An electronic or paper copy of the shelf prospectus supplement, the base shelf prospectus and any amendment to the documents may be obtained, without charge, from: BMO Nesbitt Burns Inc. at DCMCADSyndicateDesk@bmo.com, CIBC World Markets Inc. at mailbox.cibcdebtsyndication@cibc.com, RBC Dominion Securities Inc. at torontosyndicate@rbccm.com or Scotia Capital Inc. at syndicate.toronto@scotiabank.com; by providing the contact with an email address or address, as applicable. The base shelf prospectus and shelf prospectus supplement contain important, detailed information about Fairfax and the proposed Offering. Prospective investors should read the base shelf prospectus and shelf prospectus supplement (when filed) before making an investment decision.

This press release shall not constitute an offer to sell or the solicitation of an offer to buy nor shall there be any sale of the securities in any jurisdiction in which such offer, solicitation or sale would be unlawful prior to registration or qualification under the securities laws of any such jurisdiction. This press release is not an offer of securities for sale in the United States, and the securities may not be offered or sold in the United States absent registration or an exemption from the registration requirements. The securities have not been and will not be registered under the United States Securities Act of 1933, as amended.

Fairfax is a holding company which, through its subsidiaries, is primarily engaged in property and casualty insurance and reinsurance and the associated investment management.

This had a huge effect on the market yesterday – when word of the marketting for this issue got out – when most of the FFH preferreds scored returns in the 10-15% range, lifting the TXPR index up over 30bp all by themselves.

The most obvious candidate for redemption is FFH.PR.C, given that its next exchange date is 2024-12-31 and otherwise will reset at +315; but another good candidates is FFH.PR.M (2025-3-31, +398). FFH.PR.K is +351, but doesn’t reset until 2027-3-31; FFH.PR.E resets 2025-3-31, but is only +216. So you guess! There are 10-million shares outstanding of FFH.PR.C / FFH.PR.D (its FixedFloater counterpart) and 9.2-million of FFH.PR.M.

Affected issues are the FixedResets FFH.PR.C, FFH.PR.E, FFH.PR.G, FFH.PR.I, FFH.PR.K, FFH.PR.M and the FloatingResets FFH.PR.D, FFH.PR.F, FFH.PR.H and FFH.PR.J.

Thanks to Assiduous Reader prefman for bringing this to my attention!

November 20, 2024

November 20th, 2024

PerpetualDiscounts now yield 6.26%, equivalent to 8.14% interest at the standard equivalency factor of 1.3x. Long corporates yielded 4.90% on 2024-11-19 and since then the closing price of ZLC has changed from 15.35 to 15.26, a total return of -0.59%, implying an increase of yields of 5bp (BMO reports a duration of 12.47, but don’t disclose whether this is Macaulay or Modified; I will assume Modified) to 4.95%. Therefore, the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) has narrowed to 320bp from the 335bp reported November 13.

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

Values are provisional and are finalized monthly
Index Mean
Current
Yield
(at bid)
Median
YTW
Median
Average
Trading
Value
Median
Mod Dur
(YTW)
Issues Day’s Perf. Index Value
Ratchet 0.00 % 0.00 % 0 0.00 0 0.6983 % 2,175.3
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.6983 % 4,172.3
Floater 8.75 % 9.28 % 30,464 10.06 4 0.6983 % 2,404.5
OpRet 0.00 % 0.00 % 0 0.00 0 0.6868 % 3,635.8
SplitShare 4.75 % 4.99 % 79,168 3.00 6 0.6868 % 4,341.9
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.6868 % 3,387.7
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 -0.4789 % 2,803.2
Perpetual-Discount 6.14 % 6.26 % 47,859 13.49 31 -0.4789 % 3,056.7
FixedReset Disc 5.48 % 6.92 % 95,528 12.64 58 0.1983 % 2,696.4
Insurance Straight 6.00 % 6.15 % 60,173 13.62 21 -0.6133 % 3,019.0
FloatingReset 6.75 % 6.77 % 35,961 12.72 2 2.1348 % 3,218.3
FixedReset Prem 6.39 % 5.54 % 171,900 3.69 7 0.0828 % 2,592.9
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 0.1983 % 2,756.3
FixedReset Ins Non 5.24 % 6.26 % 71,392 13.56 14 -0.8640 % 2,802.0
Performance Highlights
Issue Index Change Notes
MFC.PR.C Insurance Straight -9.78 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-20
Maturity Price : 17.51
Evaluated at bid price : 17.51
Bid-YTW : 6.44 %
BN.PR.M Perpetual-Discount -5.61 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-20
Maturity Price : 17.85
Evaluated at bid price : 17.85
Bid-YTW : 6.78 %
BN.PF.D Perpetual-Discount -5.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-20
Maturity Price : 18.40
Evaluated at bid price : 18.40
Bid-YTW : 6.79 %
BN.PF.C Perpetual-Discount -4.17 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-20
Maturity Price : 18.40
Evaluated at bid price : 18.40
Bid-YTW : 6.72 %
FFH.PR.K FixedReset Disc -2.75 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-20
Maturity Price : 22.52
Evaluated at bid price : 23.00
Bid-YTW : 7.03 %
GWO.PR.S Insurance Straight -2.73 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-20
Maturity Price : 21.00
Evaluated at bid price : 21.00
Bid-YTW : 6.37 %
MFC.PR.N FixedReset Ins Non -1.91 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-20
Maturity Price : 20.87
Evaluated at bid price : 20.87
Bid-YTW : 6.49 %
BN.PR.N Perpetual-Discount -1.74 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-20
Maturity Price : 18.62
Evaluated at bid price : 18.62
Bid-YTW : 6.50 %
CU.PR.D Perpetual-Discount -1.49 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-20
Maturity Price : 19.80
Evaluated at bid price : 19.80
Bid-YTW : 6.22 %
ENB.PF.K FixedReset Disc -1.43 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-20
Maturity Price : 22.20
Evaluated at bid price : 22.67
Bid-YTW : 6.96 %
GWO.PR.G Insurance Straight -1.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-20
Maturity Price : 21.27
Evaluated at bid price : 21.27
Bid-YTW : 6.22 %
BN.PR.R FixedReset Disc 1.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-20
Maturity Price : 16.76
Evaluated at bid price : 16.76
Bid-YTW : 7.82 %
FFH.PR.I FixedReset Disc 1.27 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-20
Maturity Price : 21.32
Evaluated at bid price : 21.60
Bid-YTW : 6.76 %
BN.PF.I FixedReset Disc 1.32 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-20
Maturity Price : 22.55
Evaluated at bid price : 23.05
Bid-YTW : 7.39 %
BN.PR.B Floater 1.32 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-20
Maturity Price : 11.50
Evaluated at bid price : 11.50
Bid-YTW : 9.28 %
MIC.PR.A Perpetual-Discount 1.33 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-20
Maturity Price : 21.31
Evaluated at bid price : 21.31
Bid-YTW : 6.45 %
CU.PR.C FixedReset Disc 1.48 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-20
Maturity Price : 20.55
Evaluated at bid price : 20.55
Bid-YTW : 6.71 %
BN.PF.J FixedReset Disc 1.62 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-20
Maturity Price : 22.59
Evaluated at bid price : 23.28
Bid-YTW : 6.80 %
BN.PR.T FixedReset Disc 1.94 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-20
Maturity Price : 16.82
Evaluated at bid price : 16.82
Bid-YTW : 7.81 %
BN.PF.H FixedReset Disc 2.26 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-20
Maturity Price : 23.99
Evaluated at bid price : 24.44
Bid-YTW : 7.38 %
GWO.PR.T Insurance Straight 3.41 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-20
Maturity Price : 21.20
Evaluated at bid price : 21.20
Bid-YTW : 6.18 %
PVS.PR.K SplitShare 3.96 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2029-05-31
Maturity Price : 25.00
Evaluated at bid price : 24.95
Bid-YTW : 4.75 %
FFH.PR.F FloatingReset 4.84 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-20
Maturity Price : 20.80
Evaluated at bid price : 20.80
Bid-YTW : 7.00 %
Volume Highlights
Issue Index Shares
Traded
Notes
BN.PR.R FixedReset Disc 455,400 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-20
Maturity Price : 16.76
Evaluated at bid price : 16.76
Bid-YTW : 7.82 %
BN.PF.G FixedReset Disc 265,725 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-20
Maturity Price : 19.47
Evaluated at bid price : 19.47
Bid-YTW : 7.62 %
FFH.PR.C FixedReset Disc 101,047 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-20
Maturity Price : 24.15
Evaluated at bid price : 25.07
Bid-YTW : 6.32 %
ENB.PF.C FixedReset Disc 92,313 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-20
Maturity Price : 18.33
Evaluated at bid price : 18.33
Bid-YTW : 7.89 %
FFH.PR.D FloatingReset 62,869 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-20
Maturity Price : 24.61
Evaluated at bid price : 25.13
Bid-YTW : 6.77 %
FFH.PR.E FixedReset Disc 51,001 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-20
Maturity Price : 20.15
Evaluated at bid price : 20.15
Bid-YTW : 6.60 %
There were 22 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
IFC.PR.A FixedReset Ins Non Quote: 19.00 – 23.00
Spot Rate : 4.0000
Average : 2.2718

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-20
Maturity Price : 19.00
Evaluated at bid price : 19.00
Bid-YTW : 6.51 %

MFC.PR.C Insurance Straight Quote: 17.51 – 19.50
Spot Rate : 1.9900
Average : 1.1434

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-20
Maturity Price : 17.51
Evaluated at bid price : 17.51
Bid-YTW : 6.44 %

BN.PR.M Perpetual-Discount Quote: 17.85 – 19.32
Spot Rate : 1.4700
Average : 0.9611

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-20
Maturity Price : 17.85
Evaluated at bid price : 17.85
Bid-YTW : 6.78 %

BN.PF.C Perpetual-Discount Quote: 18.40 – 19.65
Spot Rate : 1.2500
Average : 0.8749

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-20
Maturity Price : 18.40
Evaluated at bid price : 18.40
Bid-YTW : 6.72 %

FFH.PR.K FixedReset Disc Quote: 23.00 – 24.00
Spot Rate : 1.0000
Average : 0.6516

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-20
Maturity Price : 22.52
Evaluated at bid price : 23.00
Bid-YTW : 7.03 %

GWO.PR.S Insurance Straight Quote: 21.00 – 21.99
Spot Rate : 0.9900
Average : 0.6441

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-20
Maturity Price : 21.00
Evaluated at bid price : 21.00
Bid-YTW : 6.37 %

November 19, 2024

November 19th, 2024

Canadian inflation is reported to have ticked up a little in October:

The Consumer Price Index rose at an annual rate of 2 per cent in October, up from 1.6 per cent in September, Statistics Canada said Tuesday in a report. Financial analysts were expecting an upturn to 1.9 per cent.

The inflation rate was guided higher by less flattering year-over-year calculations for gasoline prices and hefty increases in property taxes. On a monthly basis, the CPI rose 0.4 per cent.

But Tuesday’s report also showed that core measures of inflation – which strip out volatile movements in the CPI – heated up last month, an unwelcome development. This could prompt the BoC to shift back to rate cuts of a quarter-percentage-point after its half-point reduction in October.

Property taxes rose 6 per cent in October, year-over-year, up from 4.9 per cent in 2023 and the largest increase since 1992. Statscan makes an annual update to its property tax numbers in every October CPI report.

How market bets and economist views for future BoC rate cuts have shifted after today’s inflation data

Over all, housing inflation is trending lower. Shelter prices rose 4.8 per cent in October, year-over-year, compared with 5 per cent in September. Mortgage interest cost increases are slowing as the BoC cuts interest rates, and rents rose by an annual 7.3 per cent, down from 8.2 per cent in September. Still, national rents have jumped 25 per cent since the end of 2019, underscoring the financial headwinds facing millions of Canadians.

and then:

Implied probabilities in swaps markets now suggest a 72 per cent chance of a 25 basis point cut on Dec. 11, and a 28 per cent chance that the bank will follow up with another jumbo 50 basis point cut, according to LSEG data.

Just prior to the inflation data, markets were pricing in 61 per cent odds of the 25 basis point cut.


Pre-Announcement

Post-Announcement

Interesting to see that the projected 2025-12-10 rate has ticked up to 2.81% from 2.78%.

Fairfax issues single-handedly lifted the market today, following reported reports (thanks, IrateAR!) that FFH will be issuing an LRCN-like sub-debt issue. We’ll see what gets reported tomorrow.

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 0.5104 % 2,160.2
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.5104 % 4,143.3
Floater 8.81 % 9.34 % 30,611 10.02 4 0.5104 % 2,387.8
OpRet 0.00 % 0.00 % 0 0.00 0 -0.5372 % 3,611.0
SplitShare 4.78 % 4.97 % 61,446 2.12 6 -0.5372 % 4,312.3
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.5372 % 3,364.6
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 0.2400 % 2,816.6
Perpetual-Discount 6.11 % 6.28 % 47,474 13.47 31 0.2400 % 3,071.4
FixedReset Disc 5.49 % 6.88 % 91,259 12.60 58 1.0107 % 2,691.1
Insurance Straight 5.96 % 6.12 % 59,710 13.65 21 0.7645 % 3,037.6
FloatingReset 6.90 % 6.77 % 33,191 12.72 2 8.3092 % 3,151.0
FixedReset Prem 6.39 % 5.54 % 169,957 3.70 7 -0.3247 % 2,590.7
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 1.0107 % 2,750.9
FixedReset Ins Non 5.20 % 6.28 % 72,253 13.40 14 0.5046 % 2,826.4
Performance Highlights
Issue Index Change Notes
PVS.PR.K SplitShare -4.23 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2029-05-31
Maturity Price : 25.00
Evaluated at bid price : 24.00
Bid-YTW : 5.73 %
TD.PF.I FixedReset Prem -1.12 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2027-10-31
Maturity Price : 25.00
Evaluated at bid price : 25.71
Bid-YTW : 5.41 %
IFC.PR.A FixedReset Ins Non -1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-19
Maturity Price : 19.00
Evaluated at bid price : 19.00
Bid-YTW : 6.51 %
BN.PF.B FixedReset Disc 1.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-19
Maturity Price : 20.51
Evaluated at bid price : 20.51
Bid-YTW : 7.32 %
PVS.PR.G SplitShare 1.24 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-02-28
Maturity Price : 25.00
Evaluated at bid price : 25.31
Bid-YTW : 3.98 %
MFC.PR.M FixedReset Ins Non 1.28 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-19
Maturity Price : 21.74
Evaluated at bid price : 22.15
Bid-YTW : 6.28 %
ENB.PR.H FixedReset Disc 1.32 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-19
Maturity Price : 19.92
Evaluated at bid price : 19.92
Bid-YTW : 6.92 %
BN.PR.K Floater 1.33 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-19
Maturity Price : 11.43
Evaluated at bid price : 11.43
Bid-YTW : 9.34 %
FFH.PR.M FixedReset Disc 1.34 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-03-31
Maturity Price : 25.00
Evaluated at bid price : 25.03
Bid-YTW : 6.67 %
MFC.PR.Q FixedReset Ins Non 1.39 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-19
Maturity Price : 22.97
Evaluated at bid price : 24.15
Bid-YTW : 6.01 %
CU.PR.D Perpetual-Discount 1.46 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-19
Maturity Price : 20.10
Evaluated at bid price : 20.10
Bid-YTW : 6.13 %
PWF.PR.Z Perpetual-Discount 1.83 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-19
Maturity Price : 20.64
Evaluated at bid price : 20.64
Bid-YTW : 6.31 %
IFC.PR.G FixedReset Ins Non 1.98 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-19
Maturity Price : 22.98
Evaluated at bid price : 24.18
Bid-YTW : 6.01 %
BIP.PR.A FixedReset Disc 2.31 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-19
Maturity Price : 21.69
Evaluated at bid price : 22.10
Bid-YTW : 7.53 %
BN.PR.M Perpetual-Discount 2.55 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-19
Maturity Price : 18.91
Evaluated at bid price : 18.91
Bid-YTW : 6.39 %
FFH.PR.K FixedReset Disc 4.19 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-19
Maturity Price : 22.90
Evaluated at bid price : 23.65
Bid-YTW : 6.82 %
FFH.PR.D FloatingReset 5.72 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-19
Maturity Price : 24.61
Evaluated at bid price : 25.13
Bid-YTW : 6.77 %
FFH.PR.C FixedReset Disc 6.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-19
Maturity Price : 24.13
Evaluated at bid price : 25.05
Bid-YTW : 6.32 %
FFH.PR.F FloatingReset 11.77 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-19
Maturity Price : 19.84
Evaluated at bid price : 19.84
Bid-YTW : 7.34 %
FFH.PR.I FixedReset Disc 13.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-19
Maturity Price : 21.33
Evaluated at bid price : 21.33
Bid-YTW : 6.86 %
FFH.PR.E FixedReset Disc 13.84 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-19
Maturity Price : 20.15
Evaluated at bid price : 20.15
Bid-YTW : 6.60 %
FFH.PR.G FixedReset Disc 14.33 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-19
Maturity Price : 20.35
Evaluated at bid price : 20.35
Bid-YTW : 6.88 %
GWO.PR.T Insurance Straight 18.84 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-19
Maturity Price : 20.50
Evaluated at bid price : 20.50
Bid-YTW : 6.40 %
Volume Highlights
Issue Index Shares
Traded
Notes
FFH.PR.D FloatingReset 228,320 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-19
Maturity Price : 24.61
Evaluated at bid price : 25.13
Bid-YTW : 6.77 %
TD.PF.A FixedReset Disc 117,604 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-19
Maturity Price : 22.20
Evaluated at bid price : 22.87
Bid-YTW : 5.77 %
FFH.PR.G FixedReset Disc 100,846 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-19
Maturity Price : 20.35
Evaluated at bid price : 20.35
Bid-YTW : 6.88 %
FFH.PR.I FixedReset Disc 100,742 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-19
Maturity Price : 21.33
Evaluated at bid price : 21.33
Bid-YTW : 6.86 %
NA.PR.S FixedReset Disc 87,200 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-19
Maturity Price : 23.15
Evaluated at bid price : 24.85
Bid-YTW : 5.71 %
FTS.PR.H FixedReset Disc 75,500 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-19
Maturity Price : 15.48
Evaluated at bid price : 15.48
Bid-YTW : 7.28 %
There were 22 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
MFC.PR.K FixedReset Ins Non Quote: 24.39 – 25.88
Spot Rate : 1.4900
Average : 0.8468

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-19
Maturity Price : 23.04
Evaluated at bid price : 24.39
Bid-YTW : 5.78 %

PVS.PR.K SplitShare Quote: 24.00 – 25.10
Spot Rate : 1.1000
Average : 0.6038

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2029-05-31
Maturity Price : 25.00
Evaluated at bid price : 24.00
Bid-YTW : 5.73 %

ENB.PF.C FixedReset Disc Quote: 18.22 – 19.00
Spot Rate : 0.7800
Average : 0.5584

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-19
Maturity Price : 18.22
Evaluated at bid price : 18.22
Bid-YTW : 7.93 %

BN.PF.J FixedReset Disc Quote: 22.91 – 23.45
Spot Rate : 0.5400
Average : 0.3619

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-19
Maturity Price : 22.37
Evaluated at bid price : 22.91
Bid-YTW : 6.91 %

BN.PF.B FixedReset Disc Quote: 20.51 – 21.34
Spot Rate : 0.8300
Average : 0.6641

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-19
Maturity Price : 20.51
Evaluated at bid price : 20.51
Bid-YTW : 7.32 %

BN.PF.G FixedReset Disc Quote: 19.42 – 19.94
Spot Rate : 0.5200
Average : 0.3922

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-19
Maturity Price : 19.42
Evaluated at bid price : 19.42
Bid-YTW : 7.64 %

November 18, 2024

November 18th, 2024
HIMIPref™ Preferred Indices
These values reflect the December 2008 revision of the HIMIPref™ Indices

Values are provisional and are finalized monthly
Index Mean
Current
Yield
(at bid)
Median
YTW
Median
Average
Trading
Value
Median
Mod Dur
(YTW)
Issues Day’s Perf. Index Value
Ratchet 0.00 % 0.00 % 0 0.00 0 -0.0213 % 2,149.3
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.0213 % 4,122.3
Floater 8.86 % 9.38 % 31,052 9.99 4 -0.0213 % 2,375.7
OpRet 0.00 % 0.00 % 0 0.00 0 0.1727 % 3,630.5
SplitShare 4.76 % 4.98 % 73,459 3.01 6 0.1727 % 4,335.6
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.1727 % 3,382.8
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 0.0385 % 2,809.9
Perpetual-Discount 6.13 % 6.26 % 49,376 13.50 31 0.0385 % 3,064.1
FixedReset Disc 5.55 % 7.01 % 89,305 12.47 58 0.2903 % 2,664.2
Insurance Straight 6.01 % 6.14 % 62,026 13.63 21 -0.5599 % 3,014.5
FloatingReset 7.47 % 7.18 % 30,632 12.24 2 1.5904 % 2,909.3
FixedReset Prem 6.37 % 5.53 % 171,007 3.70 7 0.1654 % 2,599.2
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 0.2903 % 2,723.3
FixedReset Ins Non 5.22 % 6.36 % 72,168 13.33 14 0.1168 % 2,812.2
Performance Highlights
Issue Index Change Notes
GWO.PR.T Insurance Straight -18.82 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-18
Maturity Price : 17.25
Evaluated at bid price : 17.25
Bid-YTW : 7.62 %
BN.PR.M Perpetual-Discount -3.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-18
Maturity Price : 18.44
Evaluated at bid price : 18.44
Bid-YTW : 6.56 %
PWF.PR.Z Perpetual-Discount -2.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-18
Maturity Price : 20.27
Evaluated at bid price : 20.27
Bid-YTW : 6.43 %
ENB.PR.D FixedReset Disc -1.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-18
Maturity Price : 17.66
Evaluated at bid price : 17.66
Bid-YTW : 7.82 %
BN.PF.C Perpetual-Discount -1.19 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-18
Maturity Price : 19.12
Evaluated at bid price : 19.12
Bid-YTW : 6.46 %
CU.PR.D Perpetual-Discount -1.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-18
Maturity Price : 19.81
Evaluated at bid price : 19.81
Bid-YTW : 6.22 %
ENB.PR.A Perpetual-Discount -1.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-18
Maturity Price : 21.78
Evaluated at bid price : 22.02
Bid-YTW : 6.26 %
POW.PR.D Perpetual-Discount -1.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-18
Maturity Price : 20.16
Evaluated at bid price : 20.16
Bid-YTW : 6.29 %
IFC.PR.A FixedReset Ins Non 1.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-18
Maturity Price : 19.20
Evaluated at bid price : 19.20
Bid-YTW : 6.44 %
BN.PF.E FixedReset Disc 1.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-18
Maturity Price : 18.50
Evaluated at bid price : 18.50
Bid-YTW : 7.73 %
GWO.PR.N FixedReset Ins Non 1.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-18
Maturity Price : 14.66
Evaluated at bid price : 14.66
Bid-YTW : 7.27 %
TD.PF.I FixedReset Prem 1.13 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2027-10-31
Maturity Price : 25.00
Evaluated at bid price : 26.00
Bid-YTW : 4.98 %
BIP.PR.E FixedReset Disc 1.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-18
Maturity Price : 22.57
Evaluated at bid price : 23.30
Bid-YTW : 6.81 %
FFH.PR.G FixedReset Disc 1.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-18
Maturity Price : 17.80
Evaluated at bid price : 17.80
Bid-YTW : 7.85 %
BN.PF.I FixedReset Disc 1.17 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-18
Maturity Price : 22.23
Evaluated at bid price : 22.56
Bid-YTW : 7.55 %
BIP.PR.B FixedReset Disc 1.31 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-12-31
Maturity Price : 25.00
Evaluated at bid price : 24.77
Bid-YTW : 7.11 %
FFH.PR.K FixedReset Disc 1.34 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-18
Maturity Price : 22.32
Evaluated at bid price : 22.70
Bid-YTW : 7.12 %
FFH.PR.E FixedReset Disc 1.37 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-18
Maturity Price : 17.70
Evaluated at bid price : 17.70
Bid-YTW : 7.52 %
MIC.PR.A Perpetual-Discount 1.94 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-18
Maturity Price : 21.00
Evaluated at bid price : 21.00
Bid-YTW : 6.55 %
SLF.PR.C Insurance Straight 2.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-18
Maturity Price : 20.20
Evaluated at bid price : 20.20
Bid-YTW : 5.60 %
FFH.PR.D FloatingReset 2.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-18
Maturity Price : 23.51
Evaluated at bid price : 23.77
Bid-YTW : 7.18 %
CU.PR.F Perpetual-Discount 2.50 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-18
Maturity Price : 18.46
Evaluated at bid price : 18.46
Bid-YTW : 6.13 %
GWO.PR.G Insurance Straight 3.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-18
Maturity Price : 21.50
Evaluated at bid price : 21.50
Bid-YTW : 6.15 %
CU.PR.C FixedReset Disc 4.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-18
Maturity Price : 20.41
Evaluated at bid price : 20.41
Bid-YTW : 6.75 %
POW.PR.A Perpetual-Discount 5.81 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-18
Maturity Price : 22.49
Evaluated at bid price : 22.75
Bid-YTW : 6.23 %
Volume Highlights
Issue Index Shares
Traded
Notes
TD.PF.D FixedReset Disc 100,000 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-18
Maturity Price : 23.51
Evaluated at bid price : 24.16
Bid-YTW : 6.02 %
GWO.PR.N FixedReset Ins Non 69,600 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-18
Maturity Price : 14.66
Evaluated at bid price : 14.66
Bid-YTW : 7.27 %
ENB.PF.A FixedReset Disc 33,600 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-18
Maturity Price : 19.00
Evaluated at bid price : 19.00
Bid-YTW : 7.68 %
ENB.PR.T FixedReset Disc 25,300 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-18
Maturity Price : 20.06
Evaluated at bid price : 20.06
Bid-YTW : 7.34 %
BN.PF.G FixedReset Disc 25,000 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-18
Maturity Price : 19.39
Evaluated at bid price : 19.39
Bid-YTW : 7.65 %
BN.PF.C Perpetual-Discount 15,300 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-18
Maturity Price : 19.12
Evaluated at bid price : 19.12
Bid-YTW : 6.46 %
There were 4 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
GWO.PR.T Insurance Straight Quote: 17.25 – 21.39
Spot Rate : 4.1400
Average : 2.3622

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-18
Maturity Price : 17.25
Evaluated at bid price : 17.25
Bid-YTW : 7.62 %

BN.PR.M Perpetual-Discount Quote: 18.44 – 19.44
Spot Rate : 1.0000
Average : 0.5929

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-18
Maturity Price : 18.44
Evaluated at bid price : 18.44
Bid-YTW : 6.56 %

ENB.PR.A Perpetual-Discount Quote: 22.02 – 22.85
Spot Rate : 0.8300
Average : 0.5406

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-18
Maturity Price : 21.78
Evaluated at bid price : 22.02
Bid-YTW : 6.26 %

CU.PR.D Perpetual-Discount Quote: 19.81 – 20.40
Spot Rate : 0.5900
Average : 0.3647

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-18
Maturity Price : 19.81
Evaluated at bid price : 19.81
Bid-YTW : 6.22 %

MFC.PR.F FixedReset Ins Non Quote: 16.36 – 17.89
Spot Rate : 1.5300
Average : 1.3349

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-18
Maturity Price : 16.36
Evaluated at bid price : 16.36
Bid-YTW : 6.67 %

PWF.PR.Z Perpetual-Discount Quote: 20.27 – 21.00
Spot Rate : 0.7300
Average : 0.5418

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-18
Maturity Price : 20.27
Evaluated at bid price : 20.27
Bid-YTW : 6.43 %

November 15, 2024

November 15th, 2024
HIMIPref™ Preferred Indices
These values reflect the December 2008 revision of the HIMIPref™ Indices

Values are provisional and are finalized monthly
Index Mean
Current
Yield
(at bid)
Median
YTW
Median
Average
Trading
Value
Median
Mod Dur
(YTW)
Issues Day’s Perf. Index Value
Ratchet 0.00 % 0.00 % 0 0.00 0 -0.0850 % 2,149.7
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.0850 % 4,123.2
Floater 8.86 % 9.39 % 32,343 9.98 4 -0.0850 % 2,376.2
OpRet 0.00 % 0.00 % 0 0.00 0 0.0731 % 3,624.2
SplitShare 4.77 % 5.14 % 73,677 2.13 6 0.0731 % 4,328.1
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0731 % 3,377.0
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 -0.4566 % 2,808.8
Perpetual-Discount 6.13 % 6.27 % 49,156 13.50 31 -0.4566 % 3,062.9
FixedReset Disc 5.56 % 6.93 % 89,498 12.47 58 -0.2560 % 2,656.5
Insurance Straight 5.97 % 6.12 % 62,750 13.68 21 -0.3787 % 3,031.5
FloatingReset 7.59 % 7.33 % 29,441 12.06 2 -0.0733 % 2,863.7
FixedReset Prem 6.38 % 5.55 % 169,853 3.71 7 -0.2968 % 2,594.9
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 -0.2560 % 2,715.5
FixedReset Ins Non 5.23 % 6.20 % 74,606 13.49 14 0.1342 % 2,808.9
Performance Highlights
Issue Index Change Notes
POW.PR.A Perpetual-Discount -5.70 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-15
Maturity Price : 21.50
Evaluated at bid price : 21.50
Bid-YTW : 6.61 %
CU.PR.C FixedReset Disc -2.97 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-15
Maturity Price : 19.60
Evaluated at bid price : 19.60
Bid-YTW : 6.92 %
GWO.PR.G Insurance Straight -2.80 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-15
Maturity Price : 20.85
Evaluated at bid price : 20.85
Bid-YTW : 6.34 %
CU.PR.F Perpetual-Discount -2.54 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-15
Maturity Price : 18.01
Evaluated at bid price : 18.01
Bid-YTW : 6.28 %
MIC.PR.A Perpetual-Discount -1.95 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-15
Maturity Price : 20.60
Evaluated at bid price : 20.60
Bid-YTW : 6.67 %
BN.PF.F FixedReset Disc -1.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-15
Maturity Price : 20.00
Evaluated at bid price : 20.00
Bid-YTW : 7.49 %
BN.PF.D Perpetual-Discount -1.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-15
Maturity Price : 19.30
Evaluated at bid price : 19.30
Bid-YTW : 6.46 %
GWO.PR.Y Insurance Straight -1.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-15
Maturity Price : 18.80
Evaluated at bid price : 18.80
Bid-YTW : 6.08 %
TD.PF.I FixedReset Prem -1.00 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2027-10-31
Maturity Price : 25.00
Evaluated at bid price : 25.71
Bid-YTW : 5.39 %
BIP.PR.F FixedReset Disc 1.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-15
Maturity Price : 22.33
Evaluated at bid price : 23.00
Bid-YTW : 6.72 %
GWO.PR.T Insurance Straight 1.19 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-15
Maturity Price : 21.25
Evaluated at bid price : 21.25
Bid-YTW : 6.16 %
ENB.PR.D FixedReset Disc 1.21 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-15
Maturity Price : 17.88
Evaluated at bid price : 17.88
Bid-YTW : 7.61 %
FTS.PR.K FixedReset Disc 1.32 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-15
Maturity Price : 19.96
Evaluated at bid price : 19.96
Bid-YTW : 6.67 %
BIP.PR.B FixedReset Disc 1.33 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-15
Maturity Price : 24.01
Evaluated at bid price : 24.45
Bid-YTW : 7.67 %
ENB.PF.A FixedReset Disc 1.89 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-15
Maturity Price : 18.96
Evaluated at bid price : 18.96
Bid-YTW : 7.56 %
Volume Highlights
Issue Index Shares
Traded
Notes
PWF.PR.A Floater 155,500 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-15
Maturity Price : 13.05
Evaluated at bid price : 13.05
Bid-YTW : 8.06 %
TD.PF.D FixedReset Disc 125,490 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-15
Maturity Price : 23.58
Evaluated at bid price : 24.21
Bid-YTW : 5.91 %
SLF.PR.C Insurance Straight 27,082 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-15
Maturity Price : 19.80
Evaluated at bid price : 19.80
Bid-YTW : 5.71 %
SLF.PR.G FixedReset Ins Non 19,100 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-15
Maturity Price : 16.10
Evaluated at bid price : 16.10
Bid-YTW : 6.80 %
RY.PR.S FixedReset Prem 15,100 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-15
Maturity Price : 23.38
Evaluated at bid price : 25.50
Bid-YTW : 5.34 %
NA.PR.S FixedReset Disc 14,418 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-15
Maturity Price : 23.15
Evaluated at bid price : 24.84
Bid-YTW : 5.63 %
There were 12 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
TD.PF.D FixedReset Disc Quote: 24.21 – 26.25
Spot Rate : 2.0400
Average : 1.3325

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-15
Maturity Price : 23.58
Evaluated at bid price : 24.21
Bid-YTW : 5.91 %

POW.PR.A Perpetual-Discount Quote: 21.50 – 22.90
Spot Rate : 1.4000
Average : 0.8473

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-15
Maturity Price : 21.50
Evaluated at bid price : 21.50
Bid-YTW : 6.61 %

GWO.PR.G Insurance Straight Quote: 20.85 – 21.71
Spot Rate : 0.8600
Average : 0.5572

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-15
Maturity Price : 20.85
Evaluated at bid price : 20.85
Bid-YTW : 6.34 %

CU.PR.C FixedReset Disc Quote: 19.60 – 20.60
Spot Rate : 1.0000
Average : 0.7163

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-15
Maturity Price : 19.60
Evaluated at bid price : 19.60
Bid-YTW : 6.92 %

BN.PF.G FixedReset Disc Quote: 19.39 – 20.14
Spot Rate : 0.7500
Average : 0.4737

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-15
Maturity Price : 19.39
Evaluated at bid price : 19.39
Bid-YTW : 7.52 %

CCS.PR.C Insurance Straight Quote: 20.80 – 21.40
Spot Rate : 0.6000
Average : 0.3889

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-15
Maturity Price : 20.80
Evaluated at bid price : 20.80
Bid-YTW : 6.11 %

November 14, 2024

November 15th, 2024
HIMIPref™ Preferred Indices
These values reflect the December 2008 revision of the HIMIPref™ Indices

Values are provisional and are finalized monthly
Index Mean
Current
Yield
(at bid)
Median
YTW
Median
Average
Trading
Value
Median
Mod Dur
(YTW)
Issues Day’s Perf. Index Value
Ratchet 0.00 % 0.00 % 0 0.00 0 0.1702 % 2,151.6
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.1702 % 4,126.7
Floater 8.85 % 9.39 % 31,924 9.99 4 0.1702 % 2,378.2
OpRet 0.00 % 0.00 % 0 0.00 0 0.3402 % 3,621.6
SplitShare 4.77 % 5.13 % 73,345 2.14 6 0.3402 % 4,324.9
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.3402 % 3,374.5
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 0.5717 % 2,821.7
Perpetual-Discount 6.10 % 6.25 % 49,614 13.53 31 0.5717 % 3,076.9
FixedReset Disc 5.55 % 6.94 % 90,775 12.52 58 0.2814 % 2,663.3
Insurance Straight 5.95 % 6.11 % 62,218 13.68 21 0.1908 % 3,043.0
FloatingReset 7.59 % 7.29 % 29,059 12.12 2 -0.4139 % 2,865.9
FixedReset Prem 6.36 % 5.55 % 169,195 3.72 7 0.2867 % 2,602.6
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 0.2814 % 2,722.4
FixedReset Ins Non 5.24 % 6.25 % 75,697 13.48 14 0.9308 % 2,805.2
Performance Highlights
Issue Index Change Notes
PWF.PR.G Perpetual-Discount -1.26 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-14
Maturity Price : 23.25
Evaluated at bid price : 23.55
Bid-YTW : 6.31 %
BN.PF.F FixedReset Disc 1.25 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-14
Maturity Price : 20.25
Evaluated at bid price : 20.25
Bid-YTW : 7.40 %
GWO.PR.M Insurance Straight 2.17 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-14
Maturity Price : 23.25
Evaluated at bid price : 23.55
Bid-YTW : 6.25 %
PWF.PR.S Perpetual-Discount 2.34 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-14
Maturity Price : 19.65
Evaluated at bid price : 19.65
Bid-YTW : 6.17 %
MIC.PR.A Perpetual-Discount 2.49 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-14
Maturity Price : 21.01
Evaluated at bid price : 21.01
Bid-YTW : 6.54 %
CU.PR.F Perpetual-Discount 2.61 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-14
Maturity Price : 18.48
Evaluated at bid price : 18.48
Bid-YTW : 6.11 %
BIP.PR.B FixedReset Disc 4.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-14
Maturity Price : 23.64
Evaluated at bid price : 24.13
Bid-YTW : 7.76 %
RY.PR.O Perpetual-Discount 7.54 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-14
Maturity Price : 23.53
Evaluated at bid price : 23.81
Bid-YTW : 5.15 %
IFC.PR.C FixedReset Ins Non 10.83 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-14
Maturity Price : 19.95
Evaluated at bid price : 19.95
Bid-YTW : 6.86 %
Volume Highlights
Issue Index Shares
Traded
Notes
CU.PR.F Perpetual-Discount 93,700 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-14
Maturity Price : 18.48
Evaluated at bid price : 18.48
Bid-YTW : 6.11 %
FTS.PR.M FixedReset Disc 31,815 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-14
Maturity Price : 20.50
Evaluated at bid price : 20.50
Bid-YTW : 6.86 %
PVS.PR.L SplitShare 23,400 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-06-30
Maturity Price : 25.00
Evaluated at bid price : 25.65
Bid-YTW : 5.13 %
ENB.PF.C FixedReset Disc 19,600 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-14
Maturity Price : 18.30
Evaluated at bid price : 18.30
Bid-YTW : 7.87 %
PWF.PF.A Perpetual-Discount 19,217 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-14
Maturity Price : 18.29
Evaluated at bid price : 18.29
Bid-YTW : 6.21 %
ENB.PR.T FixedReset Disc 15,439 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-14
Maturity Price : 20.31
Evaluated at bid price : 20.31
Bid-YTW : 7.31 %
There were 6 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
TD.PF.D FixedReset Disc Quote: 24.21 – 25.21
Spot Rate : 1.0000
Average : 0.5569

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-14
Maturity Price : 23.58
Evaluated at bid price : 24.21
Bid-YTW : 5.91 %

ENB.PF.C FixedReset Disc Quote: 18.30 – 18.80
Spot Rate : 0.5000
Average : 0.3259

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-14
Maturity Price : 18.30
Evaluated at bid price : 18.30
Bid-YTW : 7.87 %

TD.PF.C FixedReset Disc Quote: 23.40 – 23.78
Spot Rate : 0.3800
Average : 0.2398

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-14
Maturity Price : 22.48
Evaluated at bid price : 23.40
Bid-YTW : 5.63 %

ENB.PF.A FixedReset Disc Quote: 18.85 – 19.29
Spot Rate : 0.4400
Average : 0.3240

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-14
Maturity Price : 18.85
Evaluated at bid price : 18.85
Bid-YTW : 7.72 %

PWF.PR.G Perpetual-Discount Quote: 23.55 – 23.85
Spot Rate : 0.3000
Average : 0.2072

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-14
Maturity Price : 23.25
Evaluated at bid price : 23.55
Bid-YTW : 6.31 %

BN.PF.H FixedReset Disc Quote: 23.90 – 24.40
Spot Rate : 0.5000
Average : 0.4072

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-14
Maturity Price : 23.39
Evaluated at bid price : 23.90
Bid-YTW : 7.44 %

November 13, 2024

November 13th, 2024

PerpetualDiscounts now yield 6.26%, equivalent to 8.14% interest at the standard equivalency factor of 1.3x. Long corporates yielded 4.77% on 2024-11-12 and since then the closing price of ZLC has changed from 15.51 to 15.46, a total return of -0.32%, implying an increase of yields of 3bp (BMO reports a duration of 12.49, but don’t disclose whether this is Macaulay or Modified; I will assume Modified) to 4.80%. Therefore, the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) has narrowed slightly (and perhaps spuriously) to 335bp from the 340bp reported November 6.

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 -0.0638 % 2,147.9
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.0638 % 4,119.7
Floater 8.86 % 9.38 % 33,110 9.99 4 -0.0638 % 2,374.2
OpRet 0.00 % 0.00 % 0 0.00 0 0.2206 % 3,609.3
SplitShare 4.79 % 5.33 % 73,463 2.14 6 0.2206 % 4,310.3
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.2206 % 3,363.0
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 0.4489 % 2,805.7
Perpetual-Discount 6.14 % 6.26 % 49,611 13.52 31 0.4489 % 3,059.4
FixedReset Disc 5.56 % 7.01 % 92,145 12.45 58 0.2706 % 2,655.8
Insurance Straight 5.96 % 6.12 % 61,466 13.67 21 0.9309 % 3,037.2
FloatingReset 7.55 % 7.24 % 27,808 12.18 2 0.7853 % 2,877.8
FixedReset Prem 6.38 % 5.54 % 168,861 3.72 7 0.1104 % 2,595.2
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 0.2706 % 2,714.8
FixedReset Ins Non 5.29 % 6.26 % 75,443 13.46 14 0.2891 % 2,779.3
Performance Highlights
Issue Index Change Notes
RY.PR.O Perpetual-Discount -7.75 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-13
Maturity Price : 21.90
Evaluated at bid price : 22.14
Bid-YTW : 5.55 %
GWO.PR.M Insurance Straight -2.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-13
Maturity Price : 22.77
Evaluated at bid price : 23.05
Bid-YTW : 6.38 %
PWF.PR.O Perpetual-Discount -1.28 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-13
Maturity Price : 22.77
Evaluated at bid price : 23.05
Bid-YTW : 6.34 %
POW.PR.C Perpetual-Discount -1.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-13
Maturity Price : 23.21
Evaluated at bid price : 23.51
Bid-YTW : 6.24 %
BN.PF.E FixedReset Disc 1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-13
Maturity Price : 18.42
Evaluated at bid price : 18.42
Bid-YTW : 7.62 %
POW.PR.A Perpetual-Discount 1.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-13
Maturity Price : 22.55
Evaluated at bid price : 22.80
Bid-YTW : 6.21 %
FTS.PR.G FixedReset Disc 1.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-13
Maturity Price : 21.67
Evaluated at bid price : 21.96
Bid-YTW : 6.29 %
PWF.PF.A Perpetual-Discount 1.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-13
Maturity Price : 18.22
Evaluated at bid price : 18.22
Bid-YTW : 6.24 %
IFC.PR.G FixedReset Ins Non 1.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-13
Maturity Price : 22.89
Evaluated at bid price : 24.00
Bid-YTW : 5.97 %
ELF.PR.H Perpetual-Discount 1.32 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-13
Maturity Price : 22.07
Evaluated at bid price : 22.30
Bid-YTW : 6.23 %
FFH.PR.I FixedReset Disc 1.36 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-13
Maturity Price : 18.70
Evaluated at bid price : 18.70
Bid-YTW : 7.68 %
BN.PR.N Perpetual-Discount 2.71 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-13
Maturity Price : 18.95
Evaluated at bid price : 18.95
Bid-YTW : 6.37 %
GWO.PR.I Insurance Straight 2.90 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-13
Maturity Price : 19.14
Evaluated at bid price : 19.14
Bid-YTW : 5.97 %
BN.PF.C Perpetual-Discount 3.50 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-13
Maturity Price : 19.20
Evaluated at bid price : 19.20
Bid-YTW : 6.42 %
CU.PR.J Perpetual-Discount 3.94 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-13
Maturity Price : 19.28
Evaluated at bid price : 19.28
Bid-YTW : 6.19 %
BN.PF.F FixedReset Disc 4.99 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-13
Maturity Price : 20.00
Evaluated at bid price : 20.00
Bid-YTW : 7.49 %
PWF.PR.S Perpetual-Discount 12.94 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-13
Maturity Price : 19.20
Evaluated at bid price : 19.20
Bid-YTW : 6.31 %
GWO.PR.T Insurance Straight 22.84 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-13
Maturity Price : 21.19
Evaluated at bid price : 21.19
Bid-YTW : 6.18 %
Volume Highlights
Issue Index Shares
Traded
Notes
ENB.PR.N FixedReset Disc 160,482 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-13
Maturity Price : 21.29
Evaluated at bid price : 21.57
Bid-YTW : 7.10 %
ENB.PR.F FixedReset Disc 46,662 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-13
Maturity Price : 18.23
Evaluated at bid price : 18.23
Bid-YTW : 7.81 %
ENB.PF.A FixedReset Disc 45,577 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-13
Maturity Price : 18.85
Evaluated at bid price : 18.85
Bid-YTW : 7.72 %
TD.PF.C FixedReset Disc 39,770 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-13
Maturity Price : 22.46
Evaluated at bid price : 23.35
Bid-YTW : 5.64 %
PVS.PR.L SplitShare 32,600 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-06-30
Maturity Price : 25.00
Evaluated at bid price : 25.40
Bid-YTW : 5.33 %
GWO.PR.T Insurance Straight 27,753 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-13
Maturity Price : 21.19
Evaluated at bid price : 21.19
Bid-YTW : 6.18 %
There were 12 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
RY.PR.O Perpetual-Discount Quote: 22.14 – 24.29
Spot Rate : 2.1500
Average : 1.2213

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-13
Maturity Price : 21.90
Evaluated at bid price : 22.14
Bid-YTW : 5.55 %

POW.PR.C Perpetual-Discount Quote: 23.51 – 24.48
Spot Rate : 0.9700
Average : 0.6368

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-13
Maturity Price : 23.21
Evaluated at bid price : 23.51
Bid-YTW : 6.24 %

GWO.PR.M Insurance Straight Quote: 23.05 – 23.80
Spot Rate : 0.7500
Average : 0.4592

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-13
Maturity Price : 22.77
Evaluated at bid price : 23.05
Bid-YTW : 6.38 %

BIP.PR.B FixedReset Disc Quote: 23.15 – 24.54
Spot Rate : 1.3900
Average : 1.1013

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-13
Maturity Price : 22.65
Evaluated at bid price : 23.15
Bid-YTW : 8.09 %

ENB.PR.N FixedReset Disc Quote: 21.57 – 22.10
Spot Rate : 0.5300
Average : 0.3236

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-13
Maturity Price : 21.29
Evaluated at bid price : 21.57
Bid-YTW : 7.10 %

PWF.PR.O Perpetual-Discount Quote: 23.05 – 24.00
Spot Rate : 0.9500
Average : 0.7480

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-13
Maturity Price : 22.77
Evaluated at bid price : 23.05
Bid-YTW : 6.34 %

November 12, 2024

November 12th, 2024

So, there are disconcerting rumblings about the Fed:

Elon Musk, a key Trump backer who is expected to have considerable sway in helping shape Trump’s policies, included a “100” emoji while resharing Republican Sen. Mike Lee of Utah’s post on X calling for abolishing the Fed.

“The Executive Branch should be under the direction of the president,” Lee said Thursday in a post on X, hours after Fed Chair Jerome Powell told reporters he wouldn’t resign if Trump asked him to. “The Federal Reserve is one of many examples of how we’ve deviated from the Constitution in that regard,” Lee added. “Yet another reason why we should #EndTheFed.”

“The American people re-elected President Trump by a resounding margin giving him a mandate to implement the promises he made on the campaign trail. He will deliver,” Leavitt said in an emailed statement to CNN.

Those promises include bringing interest rates “way down,” which Trump vowed to do if elected at the National Association of Black Journalists’ annual conference in August. Presidents, however, don’t have any direct influence over the rates Americans pay to borrow money.

Trump floated requiring Fed officials to consult with him on interest rate decisions. That could lead to pressure on Fed officials to keep rates lower to satisfy Trump’s wishes, which in turn could reignite inflation.

During his first term, Trump also threatened to remove or demote Fed Chair Jerome Powell, whom he has at times blamed for keeping interest rates too high.

So how much would all that be worth in real life? Maybe a full point on 10-year treasuries, just for starters? All this would be on top of the firehosing of debt-funded money into the economy … well, Trump’s always been a fan of thugs like Erdogan and, I suppose, wants to do for the US what Erdogan’s done for Turkey.

What a world! “Axe the tax” is considered incisive political commentary, and a provincial party can project economic growth of 5.4% (in order to project a balanced budget, eventually) and still get a lot of votes … buckle your seatbelts, boys!

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 0.0426 % 2,149.3
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.0426 % 4,122.3
Floater 8.86 % 9.39 % 32,543 9.99 4 0.0426 % 2,375.7
OpRet 0.00 % 0.00 % 0 0.00 0 -0.1269 % 3,601.4
SplitShare 4.80 % 5.42 % 71,420 2.14 6 -0.1269 % 4,300.8
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.1269 % 3,355.6
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 -0.7315 % 2,793.1
Perpetual-Discount 6.16 % 6.27 % 50,755 13.49 31 -0.7315 % 3,045.8
FixedReset Disc 5.58 % 7.02 % 91,046 12.45 58 0.1640 % 2,648.7
Insurance Straight 6.02 % 6.13 % 64,039 13.67 21 0.1447 % 3,009.2
FloatingReset 7.61 % 7.28 % 28,061 12.12 2 0.3695 % 2,855.3
FixedReset Prem 6.39 % 5.59 % 174,934 3.72 7 0.4602 % 2,592.3
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 0.1640 % 2,707.5
FixedReset Ins Non 5.30 % 6.28 % 75,231 13.44 14 0.2829 % 2,771.3
Performance Highlights
Issue Index Change Notes
GWO.PR.T Insurance Straight -18.21 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-12
Maturity Price : 17.25
Evaluated at bid price : 17.25
Bid-YTW : 7.61 %
PWF.PR.S Perpetual-Discount -13.27 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-12
Maturity Price : 17.00
Evaluated at bid price : 17.00
Bid-YTW : 7.14 %
BIP.PR.B FixedReset Disc -4.93 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-12
Maturity Price : 22.65
Evaluated at bid price : 23.15
Bid-YTW : 8.09 %
CU.PR.J Perpetual-Discount -4.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-12
Maturity Price : 18.55
Evaluated at bid price : 18.55
Bid-YTW : 6.43 %
BN.PF.C Perpetual-Discount -3.64 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-12
Maturity Price : 18.55
Evaluated at bid price : 18.55
Bid-YTW : 6.65 %
CU.PR.F Perpetual-Discount -3.17 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-12
Maturity Price : 18.01
Evaluated at bid price : 18.01
Bid-YTW : 6.27 %
PWF.PF.A Perpetual-Discount -2.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-12
Maturity Price : 18.00
Evaluated at bid price : 18.00
Bid-YTW : 6.31 %
ELF.PR.H Perpetual-Discount -1.96 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-12
Maturity Price : 21.76
Evaluated at bid price : 22.01
Bid-YTW : 6.32 %
BN.PF.A FixedReset Disc -1.81 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-12
Maturity Price : 21.90
Evaluated at bid price : 22.29
Bid-YTW : 7.02 %
GWO.PR.I Insurance Straight -1.80 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-12
Maturity Price : 18.60
Evaluated at bid price : 18.60
Bid-YTW : 6.15 %
MIC.PR.A Perpetual-Discount -1.49 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-12
Maturity Price : 20.50
Evaluated at bid price : 20.50
Bid-YTW : 6.70 %
CU.PR.C FixedReset Disc -1.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-12
Maturity Price : 20.10
Evaluated at bid price : 20.10
Bid-YTW : 6.74 %
BN.PR.Z FixedReset Disc -1.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-12
Maturity Price : 20.40
Evaluated at bid price : 20.40
Bid-YTW : 7.52 %
CU.PR.I FixedReset Disc 1.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-12
Maturity Price : 23.71
Evaluated at bid price : 24.21
Bid-YTW : 6.79 %
MFC.PR.C Insurance Straight 1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-12
Maturity Price : 19.80
Evaluated at bid price : 19.80
Bid-YTW : 5.78 %
ENB.PF.G FixedReset Disc 1.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-12
Maturity Price : 17.71
Evaluated at bid price : 17.71
Bid-YTW : 7.97 %
MFC.PR.M FixedReset Ins Non 1.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-12
Maturity Price : 21.43
Evaluated at bid price : 21.72
Bid-YTW : 6.28 %
ENB.PR.D FixedReset Disc 1.18 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-12
Maturity Price : 18.01
Evaluated at bid price : 18.01
Bid-YTW : 7.71 %
FTS.PR.G FixedReset Disc 1.21 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-12
Maturity Price : 21.38
Evaluated at bid price : 21.70
Bid-YTW : 6.37 %
FTS.PR.H FixedReset Disc 1.45 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-12
Maturity Price : 15.35
Evaluated at bid price : 15.35
Bid-YTW : 7.24 %
BIK.PR.A FixedReset Prem 1.73 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2029-04-01
Maturity Price : 25.00
Evaluated at bid price : 27.07
Bid-YTW : 5.60 %
BN.PR.N Perpetual-Discount 8.53 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-12
Maturity Price : 18.45
Evaluated at bid price : 18.45
Bid-YTW : 6.55 %
BN.PF.I FixedReset Disc 14.65 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-12
Maturity Price : 21.69
Evaluated at bid price : 22.15
Bid-YTW : 7.58 %
SLF.PR.C Insurance Straight 29.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-12
Maturity Price : 19.90
Evaluated at bid price : 19.90
Bid-YTW : 5.68 %
Volume Highlights
Issue Index Shares
Traded
Notes
NA.PR.S FixedReset Disc 152,000 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-12
Maturity Price : 23.14
Evaluated at bid price : 24.83
Bid-YTW : 5.63 %
CU.PR.D Perpetual-Discount 137,591 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-12
Maturity Price : 19.80
Evaluated at bid price : 19.80
Bid-YTW : 6.21 %
MFC.PR.L FixedReset Ins Non 101,857 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-12
Maturity Price : 22.23
Evaluated at bid price : 22.88
Bid-YTW : 5.94 %
ENB.PR.T FixedReset Disc 90,544 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-12
Maturity Price : 20.18
Evaluated at bid price : 20.18
Bid-YTW : 7.36 %
BMO.PR.W FixedReset Disc 71,907 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-12
Maturity Price : 23.96
Evaluated at bid price : 24.95
Bid-YTW : 5.24 %
BN.PF.G FixedReset Disc 64,930 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-12
Maturity Price : 19.39
Evaluated at bid price : 19.39
Bid-YTW : 7.52 %
There were 14 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
GWO.PR.T Insurance Straight Quote: 17.25 – 21.20
Spot Rate : 3.9500
Average : 2.3036

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-12
Maturity Price : 17.25
Evaluated at bid price : 17.25
Bid-YTW : 7.61 %

BIP.PR.E FixedReset Disc Quote: 22.90 – 25.10
Spot Rate : 2.2000
Average : 1.3186

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-12
Maturity Price : 22.34
Evaluated at bid price : 22.90
Bid-YTW : 6.85 %

PWF.PR.S Perpetual-Discount Quote: 17.00 – 20.00
Spot Rate : 3.0000
Average : 2.2562

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-12
Maturity Price : 17.00
Evaluated at bid price : 17.00
Bid-YTW : 7.14 %

BIP.PR.B FixedReset Disc Quote: 23.15 – 24.50
Spot Rate : 1.3500
Average : 0.7847

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-12
Maturity Price : 22.65
Evaluated at bid price : 23.15
Bid-YTW : 8.09 %

POW.PR.A Perpetual-Discount Quote: 22.56 – 23.70
Spot Rate : 1.1400
Average : 0.7214

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-12
Maturity Price : 22.29
Evaluated at bid price : 22.56
Bid-YTW : 6.27 %

GWO.PR.S Insurance Straight Quote: 21.50 – 22.50
Spot Rate : 1.0000
Average : 0.6397

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-12
Maturity Price : 21.50
Evaluated at bid price : 21.50
Bid-YTW : 6.20 %

November 11, 2024

November 11th, 2024
HIMIPref™ Preferred Indices
These values reflect the December 2008 revision of the HIMIPref™ Indices

Values are provisional and are finalized monthly
Index Mean
Current
Yield
(at bid)
Median
YTW
Median
Average
Trading
Value
Median
Mod Dur
(YTW)
Issues Day’s Perf. Index Value
Ratchet 0.00 % 0.00 % 0 0.00 0 0.5133 % 2,148.4
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.5133 % 4,120.5
Floater 8.86 % 9.41 % 33,056 9.97 4 0.5133 % 2,374.7
OpRet 0.00 % 0.00 % 0 0.00 0 0.0601 % 3,605.9
SplitShare 4.79 % 5.39 % 68,333 3.02 6 0.0601 % 4,306.2
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0601 % 3,359.9
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 0.9854 % 2,813.7
Perpetual-Discount 6.12 % 6.24 % 51,410 13.55 31 0.9854 % 3,068.2
FixedReset Disc 5.59 % 6.99 % 92,363 12.40 58 0.0470 % 2,644.3
Insurance Straight 6.02 % 6.11 % 66,637 13.69 21 -0.4844 % 3,004.9
FloatingReset 7.64 % 7.31 % 28,413 12.09 2 -0.5146 % 2,844.8
FixedReset Prem 6.42 % 5.73 % 175,538 3.71 7 -0.2433 % 2,580.4
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 0.0470 % 2,703.0
FixedReset Ins Non 5.32 % 6.37 % 77,987 13.38 14 0.0419 % 2,763.5
Performance Highlights
Issue Index Change Notes
SLF.PR.C Insurance Straight -21.63 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-11
Maturity Price : 15.40
Evaluated at bid price : 15.40
Bid-YTW : 7.36 %
BN.PF.I FixedReset Disc -12.82 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-11
Maturity Price : 19.32
Evaluated at bid price : 19.32
Bid-YTW : 8.70 %
BN.PR.N Perpetual-Discount -10.43 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-11
Maturity Price : 17.00
Evaluated at bid price : 17.00
Bid-YTW : 7.11 %
BN.PF.F FixedReset Disc -5.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-11
Maturity Price : 19.00
Evaluated at bid price : 19.00
Bid-YTW : 7.88 %
MFC.PR.I FixedReset Ins Non 1.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-11
Maturity Price : 23.02
Evaluated at bid price : 24.04
Bid-YTW : 6.22 %
FTS.PR.M FixedReset Disc 1.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-11
Maturity Price : 20.22
Evaluated at bid price : 20.22
Bid-YTW : 6.95 %
GWO.PR.I Insurance Straight 1.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-11
Maturity Price : 18.94
Evaluated at bid price : 18.94
Bid-YTW : 6.03 %
GWO.PR.Y Insurance Straight 1.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-11
Maturity Price : 18.88
Evaluated at bid price : 18.88
Bid-YTW : 6.05 %
SLF.PR.E Insurance Straight 1.25 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-11
Maturity Price : 20.20
Evaluated at bid price : 20.20
Bid-YTW : 5.65 %
BIP.PR.E FixedReset Disc 1.41 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-11
Maturity Price : 22.41
Evaluated at bid price : 23.02
Bid-YTW : 6.81 %
GWO.PR.Q Insurance Straight 1.43 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-11
Maturity Price : 21.25
Evaluated at bid price : 21.25
Bid-YTW : 6.16 %
PWF.PR.A Floater 1.55 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-11
Maturity Price : 13.10
Evaluated at bid price : 13.10
Bid-YTW : 8.02 %
POW.PR.C Perpetual-Discount 1.72 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-11
Maturity Price : 23.36
Evaluated at bid price : 23.65
Bid-YTW : 6.20 %
CU.PR.C FixedReset Disc 1.75 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-11
Maturity Price : 20.35
Evaluated at bid price : 20.35
Bid-YTW : 6.66 %
GWO.PR.T Insurance Straight 2.88 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-11
Maturity Price : 21.09
Evaluated at bid price : 21.09
Bid-YTW : 6.20 %
BN.PF.J FixedReset Disc 3.69 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-11
Maturity Price : 22.10
Evaluated at bid price : 22.50
Bid-YTW : 6.95 %
BN.PF.C Perpetual-Discount 4.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-11
Maturity Price : 19.25
Evaluated at bid price : 19.25
Bid-YTW : 6.40 %
CU.PR.J Perpetual-Discount 4.59 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-11
Maturity Price : 19.35
Evaluated at bid price : 19.35
Bid-YTW : 6.16 %
FFH.PR.G FixedReset Disc 10.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-11
Maturity Price : 17.50
Evaluated at bid price : 17.50
Bid-YTW : 7.84 %
PWF.PR.S Perpetual-Discount 15.29 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-11
Maturity Price : 19.60
Evaluated at bid price : 19.60
Bid-YTW : 6.18 %
CU.PR.F Perpetual-Discount 15.82 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-11
Maturity Price : 18.60
Evaluated at bid price : 18.60
Bid-YTW : 6.07 %
Volume Highlights
Issue Index Shares
Traded
Notes
PWF.PR.A Floater 11,600 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-11
Maturity Price : 13.10
Evaluated at bid price : 13.10
Bid-YTW : 8.02 %
ENB.PR.B FixedReset Disc 10,700 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-11
Maturity Price : 17.67
Evaluated at bid price : 17.67
Bid-YTW : 7.83 %
PVS.PR.L SplitShare 10,000 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-06-30
Maturity Price : 25.00
Evaluated at bid price : 25.46
Bid-YTW : 5.28 %
There were 0 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
SLF.PR.C Insurance Straight Quote: 15.40 – 20.25
Spot Rate : 4.8500
Average : 2.7543

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-11
Maturity Price : 15.40
Evaluated at bid price : 15.40
Bid-YTW : 7.36 %

BN.PF.I FixedReset Disc Quote: 19.32 – 22.15
Spot Rate : 2.8300
Average : 1.5549

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-11
Maturity Price : 19.32
Evaluated at bid price : 19.32
Bid-YTW : 8.70 %

BN.PR.N Perpetual-Discount Quote: 17.00 – 19.10
Spot Rate : 2.1000
Average : 1.4629

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-11
Maturity Price : 17.00
Evaluated at bid price : 17.00
Bid-YTW : 7.11 %

MFC.PR.F FixedReset Ins Non Quote: 16.05 – 17.93
Spot Rate : 1.8800
Average : 1.2795

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-11
Maturity Price : 16.05
Evaluated at bid price : 16.05
Bid-YTW : 6.65 %

IFC.PR.C FixedReset Ins Non Quote: 18.00 – 21.22
Spot Rate : 3.2200
Average : 2.7768

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-11
Maturity Price : 18.00
Evaluated at bid price : 18.00
Bid-YTW : 7.58 %

BN.PF.G FixedReset Disc Quote: 19.30 – 20.40
Spot Rate : 1.1000
Average : 0.6705

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-11
Maturity Price : 19.30
Evaluated at bid price : 19.30
Bid-YTW : 7.55 %