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July 12, 2024

Friday, July 12th, 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 0.3055 % 2,191.3
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.3055 % 4,203.0
Floater 10.59 % 10.73 % 88,770 9.00 2 0.3055 % 2,422.2
OpRet 0.00 % 0.00 % 0 0.00 0 0.0412 % 3,492.0
SplitShare 4.79 % 6.76 % 32,609 1.24 6 0.0412 % 4,170.1
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0412 % 3,253.7
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 0.0920 % 2,707.8
Perpetual-Discount 6.36 % 6.50 % 50,679 13.24 28 0.0920 % 2,952.7
FixedReset Disc 5.16 % 7.05 % 117,469 12.46 49 -0.2186 % 2,619.9
Insurance Straight 6.11 % 6.36 % 59,466 13.40 21 0.4427 % 2,921.5
FloatingReset 9.31 % 9.46 % 31,306 10.00 4 -1.0932 % 2,749.9
FixedReset Prem 5.83 % 6.18 % 262,925 2.99 8 -0.0643 % 2,532.1
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 -0.2186 % 2,678.1
FixedReset Ins Non 5.11 % 6.65 % 97,830 13.23 14 -0.2009 % 2,781.2
Performance Highlights
Issue Index Change Notes
IFC.PR.C FixedReset Ins Non -7.25 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-12
Maturity Price : 19.20
Evaluated at bid price : 19.20
Bid-YTW : 7.41 %
PWF.PR.P FixedReset Disc -7.19 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-12
Maturity Price : 14.08
Evaluated at bid price : 14.08
Bid-YTW : 8.27 %
TD.PF.D FixedReset Disc -7.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-12
Maturity Price : 21.68
Evaluated at bid price : 22.10
Bid-YTW : 6.77 %
SLF.PR.J FloatingReset -5.78 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-12
Maturity Price : 16.30
Evaluated at bid price : 16.30
Bid-YTW : 9.46 %
MFC.PR.I FixedReset Ins Non -3.92 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-12
Maturity Price : 22.59
Evaluated at bid price : 23.30
Bid-YTW : 6.71 %
CU.PR.C FixedReset Disc -2.84 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-12
Maturity Price : 20.16
Evaluated at bid price : 20.16
Bid-YTW : 7.17 %
BIP.PR.B FixedReset Disc -2.53 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-12
Maturity Price : 23.42
Evaluated at bid price : 23.85
Bid-YTW : 8.09 %
CM.PR.P FixedReset Disc -2.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-12
Maturity Price : 22.78
Evaluated at bid price : 23.50
Bid-YTW : 5.93 %
FTS.PR.M FixedReset Disc -1.35 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-12
Maturity Price : 19.75
Evaluated at bid price : 19.75
Bid-YTW : 7.49 %
FTS.PR.J Perpetual-Discount -1.29 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-12
Maturity Price : 19.06
Evaluated at bid price : 19.06
Bid-YTW : 6.33 %
PWF.PR.Z Perpetual-Discount -1.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-12
Maturity Price : 20.15
Evaluated at bid price : 20.15
Bid-YTW : 6.41 %
BN.PR.R FixedReset Disc -1.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-12
Maturity Price : 16.15
Evaluated at bid price : 16.15
Bid-YTW : 8.32 %
BN.PF.E FixedReset Disc -1.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-12
Maturity Price : 18.75
Evaluated at bid price : 18.75
Bid-YTW : 7.84 %
BN.PR.N Perpetual-Discount 1.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-12
Maturity Price : 17.90
Evaluated at bid price : 17.90
Bid-YTW : 6.71 %
IFC.PR.I Insurance Straight 1.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-12
Maturity Price : 21.94
Evaluated at bid price : 22.25
Bid-YTW : 6.11 %
NA.PR.E FixedReset Disc 1.44 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-12
Maturity Price : 22.83
Evaluated at bid price : 23.90
Bid-YTW : 6.17 %
IFC.PR.F Insurance Straight 1.66 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-12
Maturity Price : 22.05
Evaluated at bid price : 22.05
Bid-YTW : 6.07 %
MFC.PR.B Insurance Straight 1.82 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-12
Maturity Price : 19.60
Evaluated at bid price : 19.60
Bid-YTW : 6.00 %
BN.PF.C Perpetual-Discount 1.94 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-12
Maturity Price : 18.35
Evaluated at bid price : 18.35
Bid-YTW : 6.68 %
PWF.PR.T FixedReset Disc 5.83 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-12
Maturity Price : 21.51
Evaluated at bid price : 21.80
Bid-YTW : 6.58 %
IFC.PR.A FixedReset Ins Non 8.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-12
Maturity Price : 18.90
Evaluated at bid price : 18.90
Bid-YTW : 6.77 %
Volume Highlights
Issue Index Shares
Traded		 Notes
TD.PF.B FixedReset Prem 391,614 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-08-30
Maturity Price : 25.00
Evaluated at bid price : 24.94
Bid-YTW : 5.33 %
RY.PR.H FixedReset Prem 300,361 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-08-24
Maturity Price : 25.00
Evaluated at bid price : 25.07
Bid-YTW : 5.41 %
CM.PR.O FixedReset Disc 288,700 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-12
Maturity Price : 23.97
Evaluated at bid price : 24.93
Bid-YTW : 5.72 %
TD.PF.M FixedReset Prem 259,500 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-08-30
Maturity Price : 25.00
Evaluated at bid price : 24.93
Bid-YTW : 6.45 %
IFC.PR.G FixedReset Ins Non 114,500 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-12
Maturity Price : 22.36
Evaluated at bid price : 23.02
Bid-YTW : 6.52 %
MFC.PR.N FixedReset Ins Non 94,000 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-12
Maturity Price : 21.24
Evaluated at bid price : 21.24
Bid-YTW : 6.67 %
There were 29 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
IFC.PR.C FixedReset Ins Non Quote: 19.20 – 20.98
Spot Rate : 1.7800
Average : 1.0753

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-12
Maturity Price : 19.20
Evaluated at bid price : 19.20
Bid-YTW : 7.41 %
TD.PF.D FixedReset Disc Quote: 22.10 – 23.90
Spot Rate : 1.8000
Average : 1.1633

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-12
Maturity Price : 21.68
Evaluated at bid price : 22.10
Bid-YTW : 6.77 %
SLF.PR.J FloatingReset Quote: 16.30 – 17.75
Spot Rate : 1.4500
Average : 0.9328

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-12
Maturity Price : 16.30
Evaluated at bid price : 16.30
Bid-YTW : 9.46 %
PVS.PR.J SplitShare Quote: 23.70 – 24.90
Spot Rate : 1.2000
Average : 0.8617

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2028-02-29
Maturity Price : 25.00
Evaluated at bid price : 23.70
Bid-YTW : 6.19 %
PWF.PR.P FixedReset Disc Quote: 14.08 – 15.60
Spot Rate : 1.5200
Average : 1.1826

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-12
Maturity Price : 14.08
Evaluated at bid price : 14.08
Bid-YTW : 8.27 %
MFC.PR.I FixedReset Ins Non Quote: 23.30 – 24.30
Spot Rate : 1.0000
Average : 0.6842

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-12
Maturity Price : 22.59
Evaluated at bid price : 23.30
Bid-YTW : 6.71 %

Posted in Market Action | No Comments »

July 11, 2024

Thursday, July 11th, 2024

So, there was good inflation news from the US:

Inflation in the United States cooled in June for a third straight month, a sign the worst price spike in four decades is steadily fading and may soon usher in interest-rate cuts by the Federal Reserve.

In a better-than-expected report, consumer prices declined 0.1 per cent from May to June after having remained flat the previous month, the Labour Department said Thursday. It was the first monthly decline in overall inflation since May, 2020, when the economy was paralyzed by the pandemic.

And measured from one year earlier, prices were up 3 per cent in June, cooler than the 3.3-per-cent annual rate in May.
…
Also on Thursday, Mary Daly, a key Fed official, suggested the central bank should cut rates soon. Ms. Daly, president of the Fed’s San Francisco branch, said she believed slowing inflation and a cooling job market justify a reduction in interest rates. She did not address the specific timing of any rate cut.

“I see it as likely that some policy adjustments will be warranted,” Ms. Daly said on a conference call with reporters.

Five-year Canadas are now at 3.44%.

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 1.2821 % 2,184.7
FixedFloater 0.00 % 0.00 % 0 0.00 0 1.2821 % 4,190.2
Floater 10.62 % 10.77 % 88,548 8.98 2 1.2821 % 2,414.8
OpRet 0.00 % 0.00 % 0 0.00 0 -0.1372 % 3,490.5
SplitShare 4.79 % 6.67 % 27,532 1.25 6 -0.1372 % 4,168.4
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.1372 % 3,252.4
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 0.3534 % 2,705.3
Perpetual-Discount 6.36 % 6.50 % 51,784 13.21 28 0.3534 % 2,950.0
FixedReset Disc 5.15 % 7.14 % 111,942 12.36 49 0.5244 % 2,625.7
Insurance Straight 6.14 % 6.38 % 61,478 13.38 21 0.3141 % 2,908.6
FloatingReset 9.25 % 8.95 % 32,569 10.45 4 -0.5500 % 2,780.3
FixedReset Prem 5.83 % 6.22 % 264,879 3.95 8 -0.0593 % 2,533.7
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 0.5244 % 2,683.9
FixedReset Ins Non 5.10 % 6.75 % 100,887 13.15 14 -0.1867 % 2,786.8
Performance Highlights
Issue Index Change Notes
IFC.PR.A FixedReset Ins Non -8.38 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-11
Maturity Price : 17.50
Evaluated at bid price : 17.50
Bid-YTW : 7.39 %
PWF.PR.T FixedReset Disc -4.19 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-11
Maturity Price : 20.60
Evaluated at bid price : 20.60
Bid-YTW : 7.04 %
BN.PR.X FixedReset Disc -3.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-11
Maturity Price : 16.00
Evaluated at bid price : 16.00
Bid-YTW : 8.12 %
PWF.PR.G Perpetual-Discount -2.17 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-11
Maturity Price : 22.28
Evaluated at bid price : 22.55
Bid-YTW : 6.55 %
SLF.PR.J FloatingReset -2.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-11
Maturity Price : 17.30
Evaluated at bid price : 17.30
Bid-YTW : 8.95 %
MIC.PR.A Perpetual-Discount -1.43 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-11
Maturity Price : 19.31
Evaluated at bid price : 19.31
Bid-YTW : 7.07 %
BN.PF.H FixedReset Disc -1.22 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-12-31
Maturity Price : 25.00
Evaluated at bid price : 24.20
Bid-YTW : 7.48 %
GWO.PR.N FixedReset Ins Non -1.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-11
Maturity Price : 14.60
Evaluated at bid price : 14.60
Bid-YTW : 7.67 %
CU.PR.C FixedReset Disc -1.19 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-11
Maturity Price : 20.75
Evaluated at bid price : 20.75
Bid-YTW : 7.04 %
FFH.PR.G FixedReset Disc -1.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-11
Maturity Price : 17.71
Evaluated at bid price : 17.71
Bid-YTW : 8.19 %
TD.PF.E FixedReset Disc 1.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-11
Maturity Price : 23.08
Evaluated at bid price : 23.55
Bid-YTW : 6.46 %
FFH.PR.C FixedReset Disc 1.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-11
Maturity Price : 21.76
Evaluated at bid price : 22.20
Bid-YTW : 7.46 %
FFH.PR.K FixedReset Disc 1.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-11
Maturity Price : 21.34
Evaluated at bid price : 21.65
Bid-YTW : 7.69 %
BN.PR.K Floater 1.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-11
Maturity Price : 11.43
Evaluated at bid price : 11.43
Bid-YTW : 10.82 %
IFC.PR.G FixedReset Ins Non 1.33 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-11
Maturity Price : 22.22
Evaluated at bid price : 22.80
Bid-YTW : 6.66 %
BN.PR.B Floater 1.41 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-11
Maturity Price : 11.48
Evaluated at bid price : 11.48
Bid-YTW : 10.77 %
NA.PR.S FixedReset Disc 1.42 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-11
Maturity Price : 22.62
Evaluated at bid price : 23.64
Bid-YTW : 6.28 %
CCS.PR.C Insurance Straight 1.54 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-11
Maturity Price : 19.80
Evaluated at bid price : 19.80
Bid-YTW : 6.38 %
PWF.PR.Z Perpetual-Discount 1.59 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-11
Maturity Price : 20.40
Evaluated at bid price : 20.40
Bid-YTW : 6.33 %
IFC.PR.E Insurance Straight 1.66 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-11
Maturity Price : 21.41
Evaluated at bid price : 21.41
Bid-YTW : 6.13 %
PWF.PR.F Perpetual-Discount 1.75 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-11
Maturity Price : 20.35
Evaluated at bid price : 20.35
Bid-YTW : 6.47 %
BN.PR.Z FixedReset Disc 3.77 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-11
Maturity Price : 20.91
Evaluated at bid price : 20.91
Bid-YTW : 7.69 %
MFC.PR.I FixedReset Ins Non 3.94 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-11
Maturity Price : 23.06
Evaluated at bid price : 24.25
Bid-YTW : 6.49 %
PWF.PR.L Perpetual-Discount 4.71 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-11
Maturity Price : 19.58
Evaluated at bid price : 19.58
Bid-YTW : 6.54 %
TD.PF.D FixedReset Disc 6.54 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-11
Maturity Price : 23.26
Evaluated at bid price : 23.80
Bid-YTW : 6.36 %
PWF.PR.P FixedReset Disc 7.74 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-11
Maturity Price : 15.17
Evaluated at bid price : 15.17
Bid-YTW : 7.81 %
NA.PR.E FixedReset Disc 23.61 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-11
Maturity Price : 22.66
Evaluated at bid price : 23.56
Bid-YTW : 6.34 %
Volume Highlights
Issue Index Shares
Traded		 Notes
CM.PR.O FixedReset Disc 252,167 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-11
Maturity Price : 23.96
Evaluated at bid price : 24.92
Bid-YTW : 5.80 %
CM.PR.P FixedReset Disc 204,732 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-11
Maturity Price : 23.27
Evaluated at bid price : 24.00
Bid-YTW : 5.89 %
MFC.PR.M FixedReset Ins Non 101,300 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-11
Maturity Price : 21.33
Evaluated at bid price : 21.60
Bid-YTW : 6.75 %
TD.PF.C FixedReset Disc 97,800 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-11
Maturity Price : 23.17
Evaluated at bid price : 23.91
Bid-YTW : 5.92 %
TD.PF.B FixedReset Prem 85,119 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-11
Maturity Price : 23.96
Evaluated at bid price : 24.92
Bid-YTW : 5.75 %
RY.PR.J FixedReset Disc 68,718 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-11
Maturity Price : 23.39
Evaluated at bid price : 23.98
Bid-YTW : 6.35 %
There were 16 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: 17.50 – 19.06
Spot Rate : 1.5600
Average : 1.0358

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-11
Maturity Price : 17.50
Evaluated at bid price : 17.50
Bid-YTW : 7.39 %
PWF.PR.T FixedReset Disc Quote: 20.60 – 22.00
Spot Rate : 1.4000
Average : 0.9122

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-11
Maturity Price : 20.60
Evaluated at bid price : 20.60
Bid-YTW : 7.04 %
MIC.PR.A Perpetual-Discount Quote: 19.31 – 19.90
Spot Rate : 0.5900
Average : 0.3829

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-11
Maturity Price : 19.31
Evaluated at bid price : 19.31
Bid-YTW : 7.07 %
POW.PR.G Perpetual-Discount Quote: 21.60 – 22.05
Spot Rate : 0.4500
Average : 0.2912

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-11
Maturity Price : 21.33
Evaluated at bid price : 21.60
Bid-YTW : 6.51 %
FTS.PR.J Perpetual-Discount Quote: 19.31 – 19.75
Spot Rate : 0.4400
Average : 0.2845

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-11
Maturity Price : 19.31
Evaluated at bid price : 19.31
Bid-YTW : 6.25 %
PWF.PR.G Perpetual-Discount Quote: 22.55 – 23.05
Spot Rate : 0.5000
Average : 0.3493

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-11
Maturity Price : 22.28
Evaluated at bid price : 22.55
Bid-YTW : 6.55 %

Posted in Market Action | No Comments »

July 10, 2024

Wednesday, July 10th, 2024

I’ve updated the EQB LRCN post again.

PerpetualDiscounts now yield 6.52%, equivalent to 8.48% interest at the standard equivalency factor of 1.3x. Long corporates yielded 5.12% on 2024-6-30 (sic! That was a Sunday. I am assuming 2024-6-28) and since then the closing price of ZLC has changed from 14.82 to 14.94, an increase of 81bp in price, implying a decrease of yields of 7bp (BMO reports a duration of 12.33, but don’t disclose whether this is Macaulay or Modified; I will assume Modified) to 5.05%. Therefore, the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) has widened slighly (and perhaps spuriously) to 345bp from the 340bp reported July 3.

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 -0.4401 % 2,157.0
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.4401 % 4,137.2
Floater 10.75 % 10.92 % 89,259 8.87 2 -0.4401 % 2,384.3
OpRet 0.00 % 0.00 % 0 0.00 0 0.0069 % 3,495.3
SplitShare 4.78 % 6.59 % 27,226 1.25 6 0.0069 % 4,174.2
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0069 % 3,256.8
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 -0.5686 % 2,695.7
Perpetual-Discount 6.38 % 6.52 % 51,902 13.19 28 -0.5686 % 2,939.6
FixedReset Disc 5.18 % 7.00 % 111,689 12.26 49 -1.0888 % 2,612.0
Insurance Straight 6.16 % 6.45 % 61,128 13.28 21 0.0898 % 2,899.5
FloatingReset 9.20 % 8.99 % 32,984 10.40 4 0.5919 % 2,795.7
FixedReset Prem 5.82 % 6.16 % 245,155 3.95 8 -0.4724 % 2,535.2
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 -1.0888 % 2,669.9
FixedReset Ins Non 5.09 % 6.75 % 104,635 13.08 14 -0.5809 % 2,792.1
Performance Highlights
Issue Index Change Notes
NA.PR.E FixedReset Disc -21.24 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-10
Maturity Price : 19.06
Evaluated at bid price : 19.06
Bid-YTW : 7.88 %
PWF.PR.P FixedReset Disc -7.76 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-10
Maturity Price : 14.08
Evaluated at bid price : 14.08
Bid-YTW : 8.38 %
TD.PF.D FixedReset Disc -6.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-10
Maturity Price : 21.84
Evaluated at bid price : 22.34
Bid-YTW : 6.77 %
BN.PR.Z FixedReset Disc -4.50 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-10
Maturity Price : 20.15
Evaluated at bid price : 20.15
Bid-YTW : 7.98 %
MFC.PR.I FixedReset Ins Non -4.19 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-10
Maturity Price : 22.61
Evaluated at bid price : 23.33
Bid-YTW : 6.77 %
IFC.PR.G FixedReset Ins Non -3.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-10
Maturity Price : 22.03
Evaluated at bid price : 22.50
Bid-YTW : 6.75 %
NA.PR.S FixedReset Disc -2.39 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-10
Maturity Price : 22.45
Evaluated at bid price : 23.31
Bid-YTW : 6.38 %
PVS.PR.K SplitShare -1.86 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2029-05-31
Maturity Price : 25.00
Evaluated at bid price : 23.21
Bid-YTW : 6.31 %
TD.PF.E FixedReset Disc -1.54 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-10
Maturity Price : 22.83
Evaluated at bid price : 23.30
Bid-YTW : 6.52 %
TD.PF.I FixedReset Prem -1.36 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2027-10-31
Maturity Price : 25.00
Evaluated at bid price : 25.42
Bid-YTW : 5.66 %
IFC.PR.F Insurance Straight -1.24 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-10
Maturity Price : 21.48
Evaluated at bid price : 21.48
Bid-YTW : 6.23 %
BN.PR.K Floater -1.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-10
Maturity Price : 11.30
Evaluated at bid price : 11.30
Bid-YTW : 10.94 %
BN.PF.J FixedReset Disc -1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-10
Maturity Price : 22.33
Evaluated at bid price : 22.91
Bid-YTW : 7.15 %
GWO.PR.G Insurance Straight 1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-10
Maturity Price : 20.35
Evaluated at bid price : 20.35
Bid-YTW : 6.45 %
GWO.PR.L Insurance Straight 1.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-10
Maturity Price : 21.75
Evaluated at bid price : 22.00
Bid-YTW : 6.47 %
SLF.PR.J FloatingReset 1.32 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-10
Maturity Price : 17.68
Evaluated at bid price : 17.68
Bid-YTW : 8.75 %
PWF.PR.S Perpetual-Discount 1.33 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-10
Maturity Price : 18.70
Evaluated at bid price : 18.70
Bid-YTW : 6.44 %
PWF.PR.G Perpetual-Discount 1.38 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-10
Maturity Price : 22.77
Evaluated at bid price : 23.05
Bid-YTW : 6.41 %
IFC.PR.A FixedReset Ins Non 2.41 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-10
Maturity Price : 19.10
Evaluated at bid price : 19.10
Bid-YTW : 6.77 %
BN.PR.X FixedReset Disc 3.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-10
Maturity Price : 16.50
Evaluated at bid price : 16.50
Bid-YTW : 7.87 %
IFC.PR.E Insurance Straight 3.49 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-10
Maturity Price : 21.06
Evaluated at bid price : 21.06
Bid-YTW : 6.23 %
Volume Highlights
Issue Index Shares
Traded		 Notes
BN.PF.C Perpetual-Discount 70,798 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-10
Maturity Price : 17.98
Evaluated at bid price : 17.98
Bid-YTW : 6.81 %
FFH.PR.C FixedReset Disc 55,300 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-10
Maturity Price : 21.59
Evaluated at bid price : 21.96
Bid-YTW : 7.54 %
MFC.PR.F FixedReset Ins Non 52,595 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-10
Maturity Price : 16.99
Evaluated at bid price : 16.99
Bid-YTW : 6.75 %
RY.PR.M FixedReset Disc 51,299 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-10
Maturity Price : 23.04
Evaluated at bid price : 23.50
Bid-YTW : 6.24 %
CU.PR.C FixedReset Disc 37,900 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-10
Maturity Price : 21.00
Evaluated at bid price : 21.00
Bid-YTW : 6.95 %
MFC.PR.K FixedReset Ins Non 36,100 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-10
Maturity Price : 22.83
Evaluated at bid price : 23.99
Bid-YTW : 6.15 %
There were 14 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
NA.PR.E FixedReset Disc Quote: 19.06 – 24.05
Spot Rate : 4.9900
Average : 2.6523

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-10
Maturity Price : 19.06
Evaluated at bid price : 19.06
Bid-YTW : 7.88 %
TD.PF.D FixedReset Disc Quote: 22.34 – 23.90
Spot Rate : 1.5600
Average : 0.9642

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-10
Maturity Price : 21.84
Evaluated at bid price : 22.34
Bid-YTW : 6.77 %
BN.PR.Z FixedReset Disc Quote: 20.15 – 21.24
Spot Rate : 1.0900
Average : 0.6605

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-10
Maturity Price : 20.15
Evaluated at bid price : 20.15
Bid-YTW : 7.98 %
GWO.PR.G Insurance Straight Quote: 20.35 – 21.41
Spot Rate : 1.0600
Average : 0.6515

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-10
Maturity Price : 20.35
Evaluated at bid price : 20.35
Bid-YTW : 6.45 %
MFC.PR.I FixedReset Ins Non Quote: 23.33 – 24.33
Spot Rate : 1.0000
Average : 0.6207

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-10
Maturity Price : 22.61
Evaluated at bid price : 23.33
Bid-YTW : 6.77 %
PWF.PR.P FixedReset Disc Quote: 14.08 – 15.65
Spot Rate : 1.5700
Average : 1.1994

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-10
Maturity Price : 14.08
Evaluated at bid price : 14.08
Bid-YTW : 8.38 %

Posted in Market Action | No Comments »

July 9, 2024

Tuesday, July 9th, 2024

The EQB LRCNs were issued today:

On July 9, 2024, EQB issued $150 million of Capital Notes that mature on October 31, 2084, and will have an initial five-year fixed rate of 8%.

See the update to the linked post for an explanation of how the underlying preferreds are permitted to be non-NVCC.

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 0.6200 % 2,166.6
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.6200 % 4,155.4
Floater 10.71 % 10.82 % 25,241 8.95 2 0.6200 % 2,394.8
OpRet 0.00 % 0.00 % 0 0.00 0 -0.0274 % 3,495.1
SplitShare 4.78 % 6.69 % 32,376 1.25 6 -0.0274 % 4,173.9
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.0274 % 3,256.6
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 0.0937 % 2,711.2
Perpetual-Discount 6.35 % 6.52 % 52,667 13.10 28 0.0937 % 2,956.4
FixedReset Disc 5.12 % 6.86 % 112,494 12.25 49 0.6035 % 2,640.7
Insurance Straight 6.16 % 6.44 % 61,128 13.29 21 0.0662 % 2,896.9
FloatingReset 9.25 % 9.08 % 32,779 10.34 4 0.3486 % 2,779.2
FixedReset Prem 5.80 % 6.16 % 245,038 3.00 8 0.0689 % 2,547.3
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 0.6035 % 2,699.3
FixedReset Ins Non 5.06 % 6.72 % 105,084 13.12 14 0.7410 % 2,808.4
Performance Highlights
Issue Index Change Notes
PWF.PR.L Perpetual-Discount -4.18 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-09
Maturity Price : 19.02
Evaluated at bid price : 19.02
Bid-YTW : 6.86 %
PVS.PR.I SplitShare -1.22 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-10-31
Maturity Price : 25.00
Evaluated at bid price : 24.30
Bid-YTW : 7.41 %
MFC.PR.Q FixedReset Ins Non -1.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-09
Maturity Price : 22.43
Evaluated at bid price : 23.15
Bid-YTW : 6.54 %
GWO.PR.L Insurance Straight -1.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-09
Maturity Price : 21.51
Evaluated at bid price : 21.77
Bid-YTW : 6.54 %
FTS.PR.K FixedReset Disc -1.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-09
Maturity Price : 19.65
Evaluated at bid price : 19.65
Bid-YTW : 7.14 %
BMO.PR.W FixedReset Disc 1.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-09
Maturity Price : 23.80
Evaluated at bid price : 24.57
Bid-YTW : 5.80 %
BN.PF.A FixedReset Disc 1.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-09
Maturity Price : 22.00
Evaluated at bid price : 22.48
Bid-YTW : 7.28 %
SLF.PR.D Insurance Straight 1.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-09
Maturity Price : 19.07
Evaluated at bid price : 19.07
Bid-YTW : 5.89 %
SLF.PR.E Insurance Straight 1.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-09
Maturity Price : 19.00
Evaluated at bid price : 19.00
Bid-YTW : 5.97 %
BN.PF.G FixedReset Disc 1.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-09
Maturity Price : 18.85
Evaluated at bid price : 18.85
Bid-YTW : 8.15 %
FFH.PR.I FixedReset Disc 1.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-09
Maturity Price : 18.71
Evaluated at bid price : 18.71
Bid-YTW : 8.07 %
GWO.PR.N FixedReset Ins Non 1.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-09
Maturity Price : 14.92
Evaluated at bid price : 14.92
Bid-YTW : 7.51 %
BN.PF.F FixedReset Disc 1.19 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-09
Maturity Price : 20.49
Evaluated at bid price : 20.49
Bid-YTW : 7.78 %
MFC.PR.L FixedReset Ins Non 1.24 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-09
Maturity Price : 21.70
Evaluated at bid price : 22.08
Bid-YTW : 6.45 %
BN.PR.K Floater 1.24 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-09
Maturity Price : 11.42
Evaluated at bid price : 11.42
Bid-YTW : 10.82 %
PWF.PR.F Perpetual-Discount 1.28 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-09
Maturity Price : 20.50
Evaluated at bid price : 20.50
Bid-YTW : 6.55 %
PWF.PR.R Perpetual-Discount 1.33 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-09
Maturity Price : 21.40
Evaluated at bid price : 21.40
Bid-YTW : 6.57 %
FFH.PR.G FixedReset Disc 1.37 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-09
Maturity Price : 17.81
Evaluated at bid price : 17.81
Bid-YTW : 8.14 %
FFH.PR.D FloatingReset 1.53 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-09
Maturity Price : 21.90
Evaluated at bid price : 21.90
Bid-YTW : 9.08 %
PWF.PR.T FixedReset Disc 1.58 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-09
Maturity Price : 21.57
Evaluated at bid price : 21.88
Bid-YTW : 6.74 %
FFH.PR.C FixedReset Disc 1.71 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-09
Maturity Price : 21.66
Evaluated at bid price : 22.05
Bid-YTW : 7.51 %
MFC.PR.I FixedReset Ins Non 1.88 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-09
Maturity Price : 23.10
Evaluated at bid price : 24.35
Bid-YTW : 6.46 %
BN.PF.B FixedReset Disc 1.90 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-09
Maturity Price : 20.37
Evaluated at bid price : 20.37
Bid-YTW : 7.61 %
BIP.PR.A FixedReset Disc 2.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-09
Maturity Price : 22.07
Evaluated at bid price : 22.71
Bid-YTW : 7.55 %
BIP.PR.F FixedReset Disc 2.63 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-09
Maturity Price : 21.50
Evaluated at bid price : 21.50
Bid-YTW : 7.55 %
CM.PR.Q FixedReset Disc 3.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-09
Maturity Price : 23.26
Evaluated at bid price : 23.80
Bid-YTW : 6.36 %
IFC.PR.A FixedReset Ins Non 5.85 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-09
Maturity Price : 18.65
Evaluated at bid price : 18.65
Bid-YTW : 6.93 %
PWF.PR.P FixedReset Disc 9.38 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-09
Maturity Price : 15.40
Evaluated at bid price : 15.40
Bid-YTW : 7.76 %
Volume Highlights
Issue Index Shares
Traded		 Notes
BMO.PR.W FixedReset Disc 156,300 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-09
Maturity Price : 23.80
Evaluated at bid price : 24.57
Bid-YTW : 5.80 %
BMO.PR.T FixedReset Disc 145,700 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-09
Maturity Price : 23.92
Evaluated at bid price : 24.91
Bid-YTW : 5.75 %
BN.PR.B Floater 144,600 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-09
Maturity Price : 11.30
Evaluated at bid price : 11.30
Bid-YTW : 10.94 %
IAF.PR.B Insurance Straight 113,400 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-09
Maturity Price : 24.80
Evaluated at bid price : 25.02
Bid-YTW : 4.62 %
TD.PF.C FixedReset Disc 104,550 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-09
Maturity Price : 23.40
Evaluated at bid price : 24.12
Bid-YTW : 5.93 %
CM.PR.O FixedReset Disc 95,250 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-08-30
Maturity Price : 25.00
Evaluated at bid price : 24.93
Bid-YTW : 5.73 %
There were 27 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
IFC.PR.F Insurance Straight Quote: 21.75 – 23.60
Spot Rate : 1.8500
Average : 1.4059

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-09
Maturity Price : 21.75
Evaluated at bid price : 21.75
Bid-YTW : 6.15 %
PVS.PR.J SplitShare Quote: 23.80 – 24.90
Spot Rate : 1.1000
Average : 0.7108

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2028-02-29
Maturity Price : 25.00
Evaluated at bid price : 23.80
Bid-YTW : 6.04 %
IFC.PR.I Insurance Straight Quote: 22.00 – 23.41
Spot Rate : 1.4100
Average : 1.0380

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-09
Maturity Price : 21.65
Evaluated at bid price : 22.00
Bid-YTW : 6.17 %
PVS.PR.F SplitShare Quote: 25.00 – 26.00
Spot Rate : 1.0000
Average : 0.7441

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2024-09-30
Maturity Price : 25.00
Evaluated at bid price : 25.00
Bid-YTW : 6.69 %
PWF.PR.L Perpetual-Discount Quote: 19.02 – 20.12
Spot Rate : 1.1000
Average : 0.9251

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-09
Maturity Price : 19.02
Evaluated at bid price : 19.02
Bid-YTW : 6.86 %
IFC.PR.E Insurance Straight Quote: 20.35 – 21.72
Spot Rate : 1.3700
Average : 1.1968

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-09
Maturity Price : 20.35
Evaluated at bid price : 20.35
Bid-YTW : 6.45 %

Posted in Market Action | No Comments »

July 8, 2024

Monday, July 8th, 2024

My generation’s epitaph will be “well, we didn’t raise taxes!“:

Set atop a hill on the Italian island of Sicily, Agrigento is a heritage tourist’s paradise. Beneath the archaeological structures and relics of its Valley of the Temples lies an ancient maze-like aqueduct system that still captures water today.

But the aqueduct, and others built in modern times, are running so dry that small hotels and guesthouses in the city and nearby coast are being forced to turn tourists away. They don’t have enough water to guarantee their guests a toilet that flushes or a shower after a day out in the summer heat.
…
Francesco Picarella, head of Agrigento’s Hotel Federation, who also owns a hotel in the city center, says years of ineffective governance have made things worse. There has been talk of rebuilding the water network since 2011, but little progress has been made, he said.

“Today’s problem is the result of a failed water management policy that has been going on for 20 years,” he said. “The hotels that have their own reserves somehow compensate; the B&Bs in the historic center are in extreme difficulty.”

He said that the reservoirs are drying up because of lack of rain but also leaks.

In response to CNN’s request for comment, the Sicilian regional government’s office pointed to a study that outlined government plans to drill new wells, build more pipelines and bring aging desalination plants back online. The report also says Sicily has not received enough funds from Rome to carry out its plans.

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 -0.7036 % 2,153.2
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.7036 % 4,129.8
Floater 10.77 % 10.93 % 81,485 8.87 2 -0.7036 % 2,380.0
OpRet 0.00 % 0.00 % 0 0.00 0 0.5446 % 3,496.0
SplitShare 4.78 % 6.58 % 29,979 1.26 6 0.5446 % 4,175.0
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.5446 % 3,257.5
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 0.5027 % 2,708.6
Perpetual-Discount 6.35 % 6.55 % 52,551 13.07 28 0.5027 % 2,953.6
FixedReset Disc 5.15 % 6.86 % 110,419 12.46 49 0.2163 % 2,624.9
Insurance Straight 6.17 % 6.41 % 61,796 13.34 21 0.0260 % 2,895.0
FloatingReset 9.29 % 9.22 % 32,511 10.22 4 0.2070 % 2,769.6
FixedReset Prem 5.80 % 6.17 % 245,693 3.96 8 -0.1426 % 2,545.5
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 0.2163 % 2,683.1
FixedReset Ins Non 5.10 % 6.73 % 99,463 13.10 14 -0.3794 % 2,787.7
Performance Highlights
Issue Index Change Notes
IFC.PR.A FixedReset Ins Non -6.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-08
Maturity Price : 17.62
Evaluated at bid price : 17.62
Bid-YTW : 7.34 %
SLF.PR.H FixedReset Ins Non -2.29 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-08
Maturity Price : 18.81
Evaluated at bid price : 18.81
Bid-YTW : 7.01 %
CM.PR.Q FixedReset Disc -1.79 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-08
Maturity Price : 22.59
Evaluated at bid price : 23.10
Bid-YTW : 6.55 %
IFC.PR.E Insurance Straight -1.45 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-08
Maturity Price : 20.35
Evaluated at bid price : 20.35
Bid-YTW : 6.45 %
BN.PR.K Floater -1.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-08
Maturity Price : 11.28
Evaluated at bid price : 11.28
Bid-YTW : 10.95 %
PVS.PR.H SplitShare -1.03 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2027-02-28
Maturity Price : 25.00
Evaluated at bid price : 24.00
Bid-YTW : 6.58 %
NA.PR.C FixedReset Prem 1.01 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2027-11-15
Maturity Price : 25.00
Evaluated at bid price : 25.42
Bid-YTW : 6.28 %
GWO.PR.N FixedReset Ins Non 1.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-08
Maturity Price : 14.75
Evaluated at bid price : 14.75
Bid-YTW : 7.59 %
NA.PR.G FixedReset Prem 1.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-08
Maturity Price : 23.34
Evaluated at bid price : 25.40
Bid-YTW : 6.28 %
CU.PR.G Perpetual-Discount 1.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-08
Maturity Price : 17.75
Evaluated at bid price : 17.75
Bid-YTW : 6.44 %
FTS.PR.J Perpetual-Discount 1.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-08
Maturity Price : 19.33
Evaluated at bid price : 19.33
Bid-YTW : 6.24 %
PWF.PR.O Perpetual-Discount 1.49 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-08
Maturity Price : 22.15
Evaluated at bid price : 22.43
Bid-YTW : 6.60 %
CU.PR.C FixedReset Disc 1.50 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-08
Maturity Price : 20.91
Evaluated at bid price : 20.91
Bid-YTW : 6.98 %
PVS.PR.K SplitShare 1.77 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2029-05-31
Maturity Price : 25.00
Evaluated at bid price : 23.51
Bid-YTW : 6.00 %
TD.PF.D FixedReset Disc 2.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-08
Maturity Price : 23.48
Evaluated at bid price : 24.00
Bid-YTW : 6.37 %
PVS.PR.J SplitShare 2.16 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2028-02-29
Maturity Price : 25.00
Evaluated at bid price : 23.70
Bid-YTW : 6.16 %
PWF.PR.G Perpetual-Discount 2.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-08
Maturity Price : 22.66
Evaluated at bid price : 22.90
Bid-YTW : 6.57 %
CU.PR.I FixedReset Disc 3.82 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-08
Maturity Price : 22.66
Evaluated at bid price : 23.10
Bid-YTW : 7.54 %
PWF.PR.L Perpetual-Discount 4.36 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-08
Maturity Price : 19.85
Evaluated at bid price : 19.85
Bid-YTW : 6.57 %
Volume Highlights
Issue Index Shares
Traded		 Notes
CM.PR.O FixedReset Disc 123,400 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-08
Maturity Price : 23.98
Evaluated at bid price : 24.92
Bid-YTW : 5.80 %
PWF.PR.Z Perpetual-Discount 98,900 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-08
Maturity Price : 20.35
Evaluated at bid price : 20.35
Bid-YTW : 6.47 %
TD.PF.I FixedReset Prem 88,500 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2027-10-31
Maturity Price : 25.00
Evaluated at bid price : 25.70
Bid-YTW : 5.28 %
BN.PF.C Perpetual-Discount 61,011 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-08
Maturity Price : 18.05
Evaluated at bid price : 18.05
Bid-YTW : 6.78 %
RY.PR.N Perpetual-Discount 60,001 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-08
Maturity Price : 24.00
Evaluated at bid price : 24.30
Bid-YTW : 5.10 %
GWO.PR.Y Insurance Straight 59,760 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-08
Maturity Price : 17.78
Evaluated at bid price : 17.78
Bid-YTW : 6.39 %
There were 20 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: 17.62 – 19.40
Spot Rate : 1.7800
Average : 1.1936

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-08
Maturity Price : 17.62
Evaluated at bid price : 17.62
Bid-YTW : 7.34 %
PWF.PR.P FixedReset Disc Quote: 14.08 – 15.68
Spot Rate : 1.6000
Average : 1.3558

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-08
Maturity Price : 14.08
Evaluated at bid price : 14.08
Bid-YTW : 8.46 %
BN.PF.H FixedReset Disc Quote: 24.40 – 24.90
Spot Rate : 0.5000
Average : 0.3172

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-12-31
Maturity Price : 25.00
Evaluated at bid price : 24.40
Bid-YTW : 6.84 %
BN.PR.R FixedReset Disc Quote: 16.53 – 17.50
Spot Rate : 0.9700
Average : 0.7969

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-08
Maturity Price : 16.53
Evaluated at bid price : 16.53
Bid-YTW : 8.22 %
CM.PR.Q FixedReset Disc Quote: 23.10 – 23.94
Spot Rate : 0.8400
Average : 0.6691

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-08
Maturity Price : 22.59
Evaluated at bid price : 23.10
Bid-YTW : 6.55 %
IFC.PR.E Insurance Straight Quote: 20.35 – 21.52
Spot Rate : 1.1700
Average : 1.0069

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-08
Maturity Price : 20.35
Evaluated at bid price : 20.35
Bid-YTW : 6.45 %

Posted in Market Action | 5 Comments »

July 5, 2024

Friday, July 5th, 2024

Jobs, jobs, jobs!

Employers delivered another solid month of hiring in June, the Labor Department reported on Friday, adding 206,000 jobs in the 42nd consecutive month of job growth.

At the same time, the unemployment rate ticked up one-tenth of a point to 4.1 percent, up from 4 percent and surpassing 4 percent for the first time since November 2021.
…
Wage gains have also been moderating. Average hourly earnings rose 0.3 percent in June from the previous month, and 3.9 percent from a year earlier, compared with a 4.1 percent year-over-year change in May. But in good news for workers, pay gains have been outpacing inflation for about a year.
…
The market response to the report on Friday was muted, with stocks rising modestly. Yields on government bonds fell, however, reflecting traders’ increasing confidence that the Federal Reserve will begin cutting interest rates.
…
Roughly three-quarters of the job gains in the June report came from health care, social assistance and government. A few other industries produced scant increases, and some, including manufacturing and retail, shed jobs overall.

… and in the frozen North:

Canada’s unemployment rate rose to a 29-month high of 6.4 per cent, data showed on Friday, highlighting that people might be losing jobs as the labour market struggles to absorb a rapidly swelling population.

The jobs report, which also showed that youth unemployment reached almost a decade high barring the pandemic years, prompted money markets to increase bets of a rate cut by the Bank of Canada this month to around 56 per cent from 40 per cent a day earlier.
…
Canada lost a net 1,400 jobs in June, Statistics Canada said, against analysts’ predictions of 22,500 job gains, in further indications of weakness in economic conditions.
…
Yields on the Canadian government’s two-year bonds dropped by 9.1 basis points to 3.961 per cent after the jobs report.
…
The average hourly wage growth of permanent employees accelerated to an annual rate of 5.6 per cent from 5.2 per cent in May. The pay growth rate – closely tracked by the Bank of Canada (BoC) because of its effect on inflation – was the fastest since 5.7 per cent in December.
…
In June, jobs were shed in full-time work, while part-time positions were added in the month.

Employment in the goods sector increased by a net 12,600 jobs, mostly in agriculture, while the services sector lost a net 14,100 jobs, led by transportation and warehousing and Information, culture and recreation.

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 0.7532 % 2,168.5
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.7532 % 4,159.1
Floater 10.70 % 10.81 % 26,505 8.97 2 0.7532 % 2,396.9
OpRet 0.00 % 0.00 % 0 0.00 0 -0.3572 % 3,477.1
SplitShare 4.81 % 6.68 % 31,206 1.26 6 -0.3572 % 4,152.4
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.3572 % 3,239.9
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 0.0996 % 2,695.1
Perpetual-Discount 6.39 % 6.55 % 51,307 13.11 28 0.0996 % 2,938.8
FixedReset Disc 5.16 % 7.03 % 111,630 12.11 49 0.0668 % 2,619.2
Insurance Straight 6.17 % 6.40 % 58,709 13.34 21 0.2990 % 2,894.2
FloatingReset 9.34 % 9.24 % 33,644 10.21 4 0.2074 % 2,763.8
FixedReset Prem 5.79 % 6.28 % 244,134 3.00 8 0.1083 % 2,549.2
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 0.0668 % 2,677.4
FixedReset Ins Non 5.08 % 6.91 % 97,719 12.96 14 1.1691 % 2,798.3
Performance Highlights
Issue Index Change Notes
PWF.PR.P FixedReset Disc -8.75 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-05
Maturity Price : 14.08
Evaluated at bid price : 14.08
Bid-YTW : 8.66 %
BN.PR.X FixedReset Disc -4.48 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-05
Maturity Price : 16.00
Evaluated at bid price : 16.00
Bid-YTW : 8.27 %
PWF.PR.L Perpetual-Discount -3.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-05
Maturity Price : 19.02
Evaluated at bid price : 19.02
Bid-YTW : 6.85 %
CU.PR.I FixedReset Disc -2.50 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-05
Maturity Price : 21.77
Evaluated at bid price : 22.25
Bid-YTW : 7.96 %
BN.PR.T FixedReset Disc -2.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-05
Maturity Price : 16.20
Evaluated at bid price : 16.20
Bid-YTW : 8.54 %
IFC.PR.E Insurance Straight -1.90 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-05
Maturity Price : 20.65
Evaluated at bid price : 20.65
Bid-YTW : 6.35 %
PWF.PR.G Perpetual-Discount -1.54 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-05
Maturity Price : 22.12
Evaluated at bid price : 22.40
Bid-YTW : 6.72 %
PVS.PR.K SplitShare -1.49 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2029-05-31
Maturity Price : 25.00
Evaluated at bid price : 23.10
Bid-YTW : 6.40 %
PVS.PR.J SplitShare -1.28 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2028-02-29
Maturity Price : 25.00
Evaluated at bid price : 23.20
Bid-YTW : 6.80 %
SLF.PR.J FloatingReset -1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-05
Maturity Price : 17.40
Evaluated at bid price : 17.40
Bid-YTW : 8.93 %
NA.PR.S FixedReset Disc 1.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-05
Maturity Price : 22.79
Evaluated at bid price : 24.02
Bid-YTW : 6.39 %
CCS.PR.C Insurance Straight 1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-05
Maturity Price : 19.42
Evaluated at bid price : 19.42
Bid-YTW : 6.49 %
RY.PR.N Perpetual-Discount 1.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-05
Maturity Price : 23.98
Evaluated at bid price : 24.28
Bid-YTW : 5.10 %
GWO.PR.P Insurance Straight 1.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-05
Maturity Price : 21.00
Evaluated at bid price : 21.00
Bid-YTW : 6.49 %
FTS.PR.G FixedReset Disc 1.32 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-05
Maturity Price : 21.53
Evaluated at bid price : 21.53
Bid-YTW : 6.92 %
BN.PR.K Floater 1.42 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-05
Maturity Price : 11.42
Evaluated at bid price : 11.42
Bid-YTW : 10.81 %
CU.PR.C FixedReset Disc 1.48 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-05
Maturity Price : 20.60
Evaluated at bid price : 20.60
Bid-YTW : 7.21 %
FFH.PR.J FloatingReset 1.55 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-05
Maturity Price : 19.60
Evaluated at bid price : 19.60
Bid-YTW : 9.80 %
GWO.PR.I Insurance Straight 1.69 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-05
Maturity Price : 18.00
Evaluated at bid price : 18.00
Bid-YTW : 6.30 %
POW.PR.A Perpetual-Discount 1.90 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-05
Maturity Price : 21.50
Evaluated at bid price : 21.50
Bid-YTW : 6.55 %
BN.PR.R FixedReset Disc 2.17 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-05
Maturity Price : 16.50
Evaluated at bid price : 16.50
Bid-YTW : 8.40 %
TD.PF.D FixedReset Disc 4.96 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-05
Maturity Price : 22.98
Evaluated at bid price : 23.51
Bid-YTW : 6.63 %
IFC.PR.A FixedReset Ins Non 6.41 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-05
Maturity Price : 18.75
Evaluated at bid price : 18.75
Bid-YTW : 7.03 %
MFC.PR.N FixedReset Ins Non 7.54 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-05
Maturity Price : 21.24
Evaluated at bid price : 21.24
Bid-YTW : 6.91 %
Volume Highlights
Issue Index Shares
Traded		 Notes
TD.PF.B FixedReset Prem 220,821 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-08-30
Maturity Price : 25.00
Evaluated at bid price : 25.14
Bid-YTW : 5.56 %
BMO.PR.T FixedReset Disc 60,977 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-05
Maturity Price : 23.86
Evaluated at bid price : 24.85
Bid-YTW : 5.91 %
BN.PF.D Perpetual-Discount 54,325 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-05
Maturity Price : 18.21
Evaluated at bid price : 18.21
Bid-YTW : 6.79 %
BN.PR.B Floater 27,790 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-05
Maturity Price : 11.32
Evaluated at bid price : 11.32
Bid-YTW : 10.90 %
CM.PR.O FixedReset Disc 25,015 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-08-30
Maturity Price : 25.00
Evaluated at bid price : 24.91
Bid-YTW : 5.93 %
BN.PR.R FixedReset Disc 24,940 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-05
Maturity Price : 16.50
Evaluated at bid price : 16.50
Bid-YTW : 8.40 %
There were 7 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
PWF.PR.L Perpetual-Discount Quote: 19.02 – 20.64
Spot Rate : 1.6200
Average : 1.0989

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-05
Maturity Price : 19.02
Evaluated at bid price : 19.02
Bid-YTW : 6.85 %
PWF.PR.P FixedReset Disc Quote: 14.08 – 15.68
Spot Rate : 1.6000
Average : 1.0881

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-05
Maturity Price : 14.08
Evaluated at bid price : 14.08
Bid-YTW : 8.66 %
CU.PR.I FixedReset Disc Quote: 22.25 – 23.55
Spot Rate : 1.3000
Average : 0.9415

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-05
Maturity Price : 21.77
Evaluated at bid price : 22.25
Bid-YTW : 7.96 %
BN.PR.X FixedReset Disc Quote: 16.00 – 16.85
Spot Rate : 0.8500
Average : 0.5688

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-05
Maturity Price : 16.00
Evaluated at bid price : 16.00
Bid-YTW : 8.27 %
PVS.PR.K SplitShare Quote: 23.10 – 23.85
Spot Rate : 0.7500
Average : 0.4801

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2029-05-31
Maturity Price : 25.00
Evaluated at bid price : 23.10
Bid-YTW : 6.40 %
BMO.PR.Y FixedReset Disc Quote: 23.75 – 25.00
Spot Rate : 1.2500
Average : 1.0258

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-05
Maturity Price : 23.24
Evaluated at bid price : 23.75
Bid-YTW : 6.44 %

Posted in Market Action | No Comments »

July 4, 2024

Thursday, July 4th, 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 0.0443 % 2,152.2
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.0443 % 4,128.0
Floater 10.78 % 10.91 % 77,289 8.90 2 0.0443 % 2,379.0
OpRet 0.00 % 0.00 % 0 0.00 0 0.4138 % 3,489.6
SplitShare 4.79 % 6.50 % 31,391 1.27 6 0.4138 % 4,167.3
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.4138 % 3,251.5
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 0.3372 % 2,692.4
Perpetual-Discount 6.39 % 6.59 % 52,125 13.04 28 0.3372 % 2,935.9
FixedReset Disc 5.17 % 7.23 % 111,587 12.26 49 -0.0499 % 2,617.4
Insurance Straight 6.19 % 6.43 % 59,192 13.32 21 0.1855 % 2,885.6
FloatingReset 9.36 % 9.19 % 34,627 10.25 4 -0.0259 % 2,758.1
FixedReset Prem 5.80 % 6.37 % 247,779 3.00 8 0.0542 % 2,546.4
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 -0.0499 % 2,675.6
FixedReset Ins Non 5.14 % 6.95 % 99,061 12.95 14 -0.0279 % 2,766.0
Performance Highlights
Issue Index Change Notes
TD.PF.D FixedReset Disc -6.67 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-04
Maturity Price : 21.88
Evaluated at bid price : 22.40
Bid-YTW : 6.96 %
MFC.PR.N FixedReset Ins Non -6.66 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-04
Maturity Price : 19.75
Evaluated at bid price : 19.75
Bid-YTW : 7.43 %
IFC.PR.A FixedReset Ins Non -5.57 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-04
Maturity Price : 17.62
Evaluated at bid price : 17.62
Bid-YTW : 7.48 %
SLF.PR.E Insurance Straight -2.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-04
Maturity Price : 18.68
Evaluated at bid price : 18.68
Bid-YTW : 6.07 %
CU.PR.I FixedReset Disc -1.98 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-04
Maturity Price : 22.41
Evaluated at bid price : 22.82
Bid-YTW : 7.76 %
BN.PR.R FixedReset Disc -1.82 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-04
Maturity Price : 16.15
Evaluated at bid price : 16.15
Bid-YTW : 8.58 %
FTS.PR.J Perpetual-Discount -1.29 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-04
Maturity Price : 19.15
Evaluated at bid price : 19.15
Bid-YTW : 6.29 %
POW.PR.A Perpetual-Discount -1.17 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-04
Maturity Price : 21.10
Evaluated at bid price : 21.10
Bid-YTW : 6.67 %
NA.PR.S FixedReset Disc -1.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-04
Maturity Price : 22.69
Evaluated at bid price : 23.78
Bid-YTW : 6.46 %
SLF.PR.J FloatingReset 1.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-04
Maturity Price : 17.58
Evaluated at bid price : 17.58
Bid-YTW : 8.83 %
NA.PR.W FixedReset Disc 1.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-04
Maturity Price : 21.62
Evaluated at bid price : 22.00
Bid-YTW : 6.66 %
PVS.PR.J SplitShare 1.29 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2028-02-29
Maturity Price : 25.00
Evaluated at bid price : 23.50
Bid-YTW : 6.40 %
SLF.PR.C Insurance Straight 1.34 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-04
Maturity Price : 18.95
Evaluated at bid price : 18.95
Bid-YTW : 5.92 %
FTS.PR.H FixedReset Disc 1.34 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-04
Maturity Price : 15.15
Evaluated at bid price : 15.15
Bid-YTW : 8.08 %
IFC.PR.F Insurance Straight 1.37 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-04
Maturity Price : 21.50
Evaluated at bid price : 21.50
Bid-YTW : 6.21 %
PWF.PR.F Perpetual-Discount 1.40 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-04
Maturity Price : 20.33
Evaluated at bid price : 20.33
Bid-YTW : 6.60 %
MFC.PR.K FixedReset Ins Non 1.46 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-04
Maturity Price : 22.67
Evaluated at bid price : 23.64
Bid-YTW : 6.35 %
PVS.PR.K SplitShare 1.52 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2029-05-31
Maturity Price : 25.00
Evaluated at bid price : 23.45
Bid-YTW : 6.04 %
GWO.PR.N FixedReset Ins Non 1.52 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-04
Maturity Price : 14.66
Evaluated at bid price : 14.66
Bid-YTW : 7.83 %
BN.PF.D Perpetual-Discount 1.57 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-04
Maturity Price : 18.15
Evaluated at bid price : 18.15
Bid-YTW : 6.81 %
PWF.PR.Z Perpetual-Discount 1.72 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-04
Maturity Price : 20.10
Evaluated at bid price : 20.10
Bid-YTW : 6.54 %
PWF.PR.R Perpetual-Discount 1.78 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-04
Maturity Price : 21.15
Evaluated at bid price : 21.15
Bid-YTW : 6.64 %
IFC.PR.C FixedReset Ins Non 1.80 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-04
Maturity Price : 20.36
Evaluated at bid price : 20.36
Bid-YTW : 7.21 %
BN.PR.T FixedReset Disc 1.85 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-04
Maturity Price : 16.55
Evaluated at bid price : 16.55
Bid-YTW : 8.37 %
BIP.PR.B FixedReset Disc 1.88 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-12-31
Maturity Price : 25.00
Evaluated at bid price : 24.35
Bid-YTW : 7.46 %
BN.PF.E FixedReset Disc 1.90 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-04
Maturity Price : 18.75
Evaluated at bid price : 18.75
Bid-YTW : 8.11 %
PWF.PR.L Perpetual-Discount 2.45 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-04
Maturity Price : 19.62
Evaluated at bid price : 19.62
Bid-YTW : 6.64 %
PWF.PR.P FixedReset Disc 2.87 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-04
Maturity Price : 15.43
Evaluated at bid price : 15.43
Bid-YTW : 7.93 %
MFC.PR.J FixedReset Ins Non 5.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-04
Maturity Price : 22.67
Evaluated at bid price : 23.55
Bid-YTW : 6.64 %
Volume Highlights
Issue Index Shares
Traded		 Notes
BN.PR.B Floater 74,308 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-04
Maturity Price : 11.31
Evaluated at bid price : 11.31
Bid-YTW : 10.91 %
CM.PR.O FixedReset Disc 45,300 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-04
Maturity Price : 23.98
Evaluated at bid price : 24.90
Bid-YTW : 5.94 %
IFC.PR.A FixedReset Ins Non 24,705 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-04
Maturity Price : 17.62
Evaluated at bid price : 17.62
Bid-YTW : 7.48 %
MFC.PR.I FixedReset Ins Non 15,400 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-04
Maturity Price : 22.90
Evaluated at bid price : 23.90
Bid-YTW : 6.70 %
IAF.PR.B Insurance Straight 12,350 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-04
Maturity Price : 24.68
Evaluated at bid price : 25.00
Bid-YTW : 4.61 %
PWF.PR.T FixedReset Disc 12,100 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-04
Maturity Price : 21.54
Evaluated at bid price : 21.54
Bid-YTW : 6.97 %
There were 5 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
IFC.PR.C FixedReset Ins Non Quote: 20.36 – 22.50
Spot Rate : 2.1400
Average : 1.5656

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-04
Maturity Price : 20.36
Evaluated at bid price : 20.36
Bid-YTW : 7.21 %
TD.PF.D FixedReset Disc Quote: 22.40 – 24.10
Spot Rate : 1.7000
Average : 1.1499

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-04
Maturity Price : 21.88
Evaluated at bid price : 22.40
Bid-YTW : 6.96 %
BMO.PR.Y FixedReset Disc Quote: 23.75 – 25.00
Spot Rate : 1.2500
Average : 0.7799

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-04
Maturity Price : 23.24
Evaluated at bid price : 23.75
Bid-YTW : 6.44 %
MFC.PR.N FixedReset Ins Non Quote: 19.75 – 21.46
Spot Rate : 1.7100
Average : 1.3173

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-04
Maturity Price : 19.75
Evaluated at bid price : 19.75
Bid-YTW : 7.43 %
PVS.PR.F SplitShare Quote: 24.98 – 25.98
Spot Rate : 1.0000
Average : 0.6420

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2024-09-30
Maturity Price : 25.00
Evaluated at bid price : 24.98
Bid-YTW : 6.65 %
IFC.PR.A FixedReset Ins Non Quote: 17.62 – 18.90
Spot Rate : 1.2800
Average : 0.9898

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-04
Maturity Price : 17.62
Evaluated at bid price : 17.62
Bid-YTW : 7.48 %

Posted in Market Action | No Comments »

July 3, 2024

Wednesday, July 3rd, 2024

PerpetualDiscounts now yield 6.59%, equivalent to 8.57% interest at the standard equivalency factor of 1.3x. Long corporates yielded 4.97% on 2024-6-24 and since then the closing price of ZLC has changed from 15.21 to 14.79, a decrease of 276bp in price, implying an increase of yields of 22bp (BMO reports a duration of 12.39, but don’t disclose whether this is Macaulay or Modified; I will assume Modified) to 5.19%. Therefore, the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) has declined sharply to 340bp from the 370bp reported June 26.

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 0.5348 % 2,151.3
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.5348 % 4,126.2
Floater 10.78 % 10.86 % 28,052 8.93 2 0.5348 % 2,377.9
OpRet 0.00 % 0.00 % 0 0.00 0 0.1866 % 3,475.2
SplitShare 4.81 % 6.57 % 31,627 1.27 6 0.1866 % 4,150.1
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.1866 % 3,238.1
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 0.4841 % 2,683.3
Perpetual-Discount 6.41 % 6.59 % 53,382 13.04 28 0.4841 % 2,926.0
FixedReset Disc 5.16 % 7.31 % 115,693 12.22 49 0.7383 % 2,618.8
Insurance Straight 6.20 % 6.47 % 58,491 13.27 21 0.0690 % 2,880.3
FloatingReset 9.36 % 9.17 % 35,339 10.28 4 0.3643 % 2,758.8
FixedReset Prem 5.80 % 6.29 % 248,131 3.01 8 0.1085 % 2,545.0
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 0.7383 % 2,676.9
FixedReset Ins Non 5.14 % 6.95 % 96,821 12.96 14 2.5253 % 2,766.8
Performance Highlights
Issue Index Change Notes
MFC.PR.J FixedReset Ins Non -4.68 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-03
Maturity Price : 21.99
Evaluated at bid price : 22.40
Bid-YTW : 7.00 %
IFC.PR.C FixedReset Ins Non -2.68 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-03
Maturity Price : 20.00
Evaluated at bid price : 20.00
Bid-YTW : 7.33 %
SLF.PR.J FloatingReset -1.81 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-03
Maturity Price : 17.40
Evaluated at bid price : 17.40
Bid-YTW : 8.92 %
IFC.PR.F Insurance Straight -1.81 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-03
Maturity Price : 21.21
Evaluated at bid price : 21.21
Bid-YTW : 6.30 %
PWF.PR.R Perpetual-Discount -1.75 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-03
Maturity Price : 20.78
Evaluated at bid price : 20.78
Bid-YTW : 6.76 %
GWO.PR.I Insurance Straight -1.73 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-03
Maturity Price : 17.60
Evaluated at bid price : 17.60
Bid-YTW : 6.45 %
GWO.PR.Y Insurance Straight -1.46 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-03
Maturity Price : 17.50
Evaluated at bid price : 17.50
Bid-YTW : 6.48 %
BN.PF.E FixedReset Disc -1.34 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-03
Maturity Price : 18.40
Evaluated at bid price : 18.40
Bid-YTW : 8.26 %
PWF.PR.Z Perpetual-Discount -1.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-03
Maturity Price : 19.76
Evaluated at bid price : 19.76
Bid-YTW : 6.66 %
BN.PR.M Perpetual-Discount 1.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-03
Maturity Price : 17.95
Evaluated at bid price : 17.95
Bid-YTW : 6.67 %
NA.PR.S FixedReset Disc 1.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-03
Maturity Price : 22.81
Evaluated at bid price : 24.05
Bid-YTW : 6.38 %
FFH.PR.D FloatingReset 1.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-03
Maturity Price : 21.75
Evaluated at bid price : 21.75
Bid-YTW : 9.17 %
MFC.PR.F FixedReset Ins Non 1.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-03
Maturity Price : 16.81
Evaluated at bid price : 16.81
Bid-YTW : 6.99 %
BN.PF.D Perpetual-Discount 1.25 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-03
Maturity Price : 17.87
Evaluated at bid price : 17.87
Bid-YTW : 6.92 %
RY.PR.O Perpetual-Discount 1.28 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-03
Maturity Price : 23.52
Evaluated at bid price : 23.80
Bid-YTW : 5.20 %
PWF.PR.K Perpetual-Discount 1.32 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-03
Maturity Price : 19.25
Evaluated at bid price : 19.25
Bid-YTW : 6.57 %
CM.PR.P FixedReset Disc 1.32 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-03
Maturity Price : 23.09
Evaluated at bid price : 23.82
Bid-YTW : 6.07 %
IFC.PR.G FixedReset Ins Non 1.43 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-03
Maturity Price : 22.11
Evaluated at bid price : 22.62
Bid-YTW : 6.82 %
TD.PF.J FixedReset Disc 1.44 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-03
Maturity Price : 23.12
Evaluated at bid price : 24.60
Bid-YTW : 6.34 %
FFH.PR.I FixedReset Disc 1.47 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-03
Maturity Price : 18.67
Evaluated at bid price : 18.67
Bid-YTW : 8.24 %
BN.PR.K Floater 1.52 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-03
Maturity Price : 11.36
Evaluated at bid price : 11.36
Bid-YTW : 10.86 %
MFC.PR.L FixedReset Ins Non 1.57 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-03
Maturity Price : 21.60
Evaluated at bid price : 21.94
Bid-YTW : 6.65 %
GWO.PR.N FixedReset Ins Non 1.62 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-03
Maturity Price : 14.44
Evaluated at bid price : 14.44
Bid-YTW : 7.94 %
FFH.PR.H FloatingReset 1.63 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-03
Maturity Price : 18.65
Evaluated at bid price : 18.65
Bid-YTW : 9.90 %
IFC.PR.E Insurance Straight 1.89 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-03
Maturity Price : 20.99
Evaluated at bid price : 20.99
Bid-YTW : 6.24 %
BN.PF.H FixedReset Disc 1.90 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-12-31
Maturity Price : 25.00
Evaluated at bid price : 24.15
Bid-YTW : 7.51 %
BIP.PR.A FixedReset Disc 1.99 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-03
Maturity Price : 21.64
Evaluated at bid price : 22.05
Bid-YTW : 7.92 %
POW.PR.B Perpetual-Discount 2.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-03
Maturity Price : 20.44
Evaluated at bid price : 20.44
Bid-YTW : 6.58 %
SLF.PR.E Insurance Straight 2.25 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-03
Maturity Price : 19.10
Evaluated at bid price : 19.10
Bid-YTW : 5.94 %
BN.PR.R FixedReset Disc 2.81 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-03
Maturity Price : 16.45
Evaluated at bid price : 16.45
Bid-YTW : 8.42 %
BN.PR.Z FixedReset Disc 3.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-03
Maturity Price : 20.80
Evaluated at bid price : 20.80
Bid-YTW : 7.84 %
POW.PR.G Perpetual-Discount 3.45 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-03
Maturity Price : 21.31
Evaluated at bid price : 21.31
Bid-YTW : 6.61 %
TD.PF.D FixedReset Disc 4.35 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-03
Maturity Price : 23.48
Evaluated at bid price : 24.00
Bid-YTW : 6.50 %
IFC.PR.A FixedReset Ins Non 5.90 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-03
Maturity Price : 18.66
Evaluated at bid price : 18.66
Bid-YTW : 7.06 %
BN.PF.J FixedReset Disc 5.99 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-03
Maturity Price : 22.39
Evaluated at bid price : 23.00
Bid-YTW : 7.22 %
PWF.PR.P FixedReset Disc 6.53 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-03
Maturity Price : 15.00
Evaluated at bid price : 15.00
Bid-YTW : 8.15 %
MFC.PR.N FixedReset Ins Non 7.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-03
Maturity Price : 21.16
Evaluated at bid price : 21.16
Bid-YTW : 6.93 %
MFC.PR.M FixedReset Ins Non 28.97 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-03
Maturity Price : 21.50
Evaluated at bid price : 21.50
Bid-YTW : 6.95 %
Volume Highlights
Issue Index Shares
Traded		 Notes
CM.PR.O FixedReset Disc 108,000 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-03
Maturity Price : 23.98
Evaluated at bid price : 24.90
Bid-YTW : 5.94 %
TD.PF.I FixedReset Prem 51,926 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2027-10-31
Maturity Price : 25.00
Evaluated at bid price : 25.70
Bid-YTW : 5.25 %
POW.PR.D Perpetual-Discount 37,750 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-03
Maturity Price : 19.21
Evaluated at bid price : 19.21
Bid-YTW : 6.54 %
CM.PR.Y FixedReset Disc 24,200 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-08-30
Maturity Price : 25.00
Evaluated at bid price : 24.92
Bid-YTW : 6.22 %
BN.PR.B Floater 16,851 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-03
Maturity Price : 11.20
Evaluated at bid price : 11.20
Bid-YTW : 11.01 %
FTS.PR.G FixedReset Disc 15,403 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-03
Maturity Price : 21.30
Evaluated at bid price : 21.30
Bid-YTW : 6.99 %
There were 5 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
MFC.PR.J FixedReset Ins Non Quote: 22.40 – 23.90
Spot Rate : 1.5000
Average : 1.0731

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-03
Maturity Price : 21.99
Evaluated at bid price : 22.40
Bid-YTW : 7.00 %
SLF.PR.H FixedReset Ins Non Quote: 19.25 – 21.25
Spot Rate : 2.0000
Average : 1.5792

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-03
Maturity Price : 19.25
Evaluated at bid price : 19.25
Bid-YTW : 6.99 %
MFC.PR.F FixedReset Ins Non Quote: 16.81 – 18.00
Spot Rate : 1.1900
Average : 0.8555

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-03
Maturity Price : 16.81
Evaluated at bid price : 16.81
Bid-YTW : 6.99 %
BN.PR.T FixedReset Disc Quote: 16.25 – 17.06
Spot Rate : 0.8100
Average : 0.6463

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-03
Maturity Price : 16.25
Evaluated at bid price : 16.25
Bid-YTW : 8.51 %
MFC.PR.B Insurance Straight Quote: 19.12 – 19.80
Spot Rate : 0.6800
Average : 0.5350

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-03
Maturity Price : 19.12
Evaluated at bid price : 19.12
Bid-YTW : 6.14 %
BN.PR.K Floater Quote: 11.36 – 11.76
Spot Rate : 0.4000
Average : 0.2607

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-03
Maturity Price : 11.36
Evaluated at bid price : 11.36
Bid-YTW : 10.86 %

Posted in Market Action | 1 Comment »

July 2, 2024

Tuesday, July 2nd, 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 0.4926 % 2,139.9
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.4926 % 4,104.2
Floater 10.84 % 10.96 % 69,153 8.86 2 0.4926 % 2,365.3
OpRet 0.00 % 0.00 % 0 0.00 0 0.1523 % 3,468.7
SplitShare 4.82 % 6.79 % 32,922 1.27 6 0.1523 % 4,142.4
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.1523 % 3,232.0
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 0.6423 % 2,670.4
Perpetual-Discount 6.45 % 6.63 % 54,155 12.96 28 0.6423 % 2,912.0
FixedReset Disc 5.20 % 7.39 % 119,036 12.06 49 0.5087 % 2,599.6
Insurance Straight 6.20 % 6.39 % 58,063 13.38 21 -0.0119 % 2,878.3
FloatingReset 9.40 % 9.27 % 35,909 10.18 4 0.8793 % 2,748.8
FixedReset Prem 5.81 % 6.40 % 256,474 3.01 8 0.3215 % 2,542.3
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 0.5087 % 2,657.3
FixedReset Ins Non 5.27 % 7.01 % 97,537 12.93 14 -1.8571 % 2,698.6
Performance Highlights
Issue Index Change Notes
MFC.PR.M FixedReset Ins Non -22.65 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-02
Maturity Price : 16.67
Evaluated at bid price : 16.67
Bid-YTW : 8.96 %
PWF.PR.P FixedReset Disc -6.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-02
Maturity Price : 14.08
Evaluated at bid price : 14.08
Bid-YTW : 8.65 %
IFC.PR.A FixedReset Ins Non -4.76 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-02
Maturity Price : 17.62
Evaluated at bid price : 17.62
Bid-YTW : 7.48 %
TD.PF.D FixedReset Disc -4.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-02
Maturity Price : 22.51
Evaluated at bid price : 23.00
Bid-YTW : 6.78 %
BN.PF.J FixedReset Disc -3.98 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-02
Maturity Price : 21.38
Evaluated at bid price : 21.70
Bid-YTW : 7.67 %
CCS.PR.C Insurance Straight -3.57 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-02
Maturity Price : 18.90
Evaluated at bid price : 18.90
Bid-YTW : 6.67 %
GWO.PR.N FixedReset Ins Non -3.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-02
Maturity Price : 14.21
Evaluated at bid price : 14.21
Bid-YTW : 8.07 %
PWF.PR.L Perpetual-Discount -2.80 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-02
Maturity Price : 19.10
Evaluated at bid price : 19.10
Bid-YTW : 6.82 %
MFC.PR.N FixedReset Ins Non -2.52 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-02
Maturity Price : 19.75
Evaluated at bid price : 19.75
Bid-YTW : 7.42 %
SLF.PR.E Insurance Straight -2.51 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-02
Maturity Price : 18.68
Evaluated at bid price : 18.68
Bid-YTW : 6.07 %
MFC.PR.C Insurance Straight -2.35 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-02
Maturity Price : 18.70
Evaluated at bid price : 18.70
Bid-YTW : 6.08 %
POW.PR.G Perpetual-Discount -2.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-02
Maturity Price : 20.60
Evaluated at bid price : 20.60
Bid-YTW : 6.83 %
MFC.PR.B Insurance Straight -1.44 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-02
Maturity Price : 19.12
Evaluated at bid price : 19.12
Bid-YTW : 6.14 %
PVS.PR.J SplitShare -1.28 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2028-02-29
Maturity Price : 25.00
Evaluated at bid price : 23.20
Bid-YTW : 6.79 %
IFC.PR.F Insurance Straight -1.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-02
Maturity Price : 21.60
Evaluated at bid price : 21.60
Bid-YTW : 6.18 %
CM.PR.P FixedReset Disc -1.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-02
Maturity Price : 22.80
Evaluated at bid price : 23.51
Bid-YTW : 6.15 %
FFH.PR.I FixedReset Disc 1.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-02
Maturity Price : 18.40
Evaluated at bid price : 18.40
Bid-YTW : 8.35 %
IFC.PR.I Insurance Straight 1.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-02
Maturity Price : 21.83
Evaluated at bid price : 22.10
Bid-YTW : 6.14 %
PWF.PR.E Perpetual-Discount 1.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-02
Maturity Price : 21.15
Evaluated at bid price : 21.15
Bid-YTW : 6.64 %
IFC.PR.E Insurance Straight 1.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-02
Maturity Price : 20.60
Evaluated at bid price : 20.60
Bid-YTW : 6.36 %
FFH.PR.E FixedReset Disc 1.24 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-02
Maturity Price : 17.21
Evaluated at bid price : 17.21
Bid-YTW : 8.25 %
PWF.PR.H Perpetual-Discount 1.24 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-02
Maturity Price : 21.82
Evaluated at bid price : 22.06
Bid-YTW : 6.64 %
FFH.PR.J FloatingReset 1.31 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-02
Maturity Price : 19.30
Evaluated at bid price : 19.30
Bid-YTW : 9.94 %
BN.PF.C Perpetual-Discount 1.32 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-02
Maturity Price : 17.69
Evaluated at bid price : 17.69
Bid-YTW : 6.92 %
PWF.PR.Z Perpetual-Discount 1.37 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-02
Maturity Price : 20.00
Evaluated at bid price : 20.00
Bid-YTW : 6.57 %
BN.PR.M Perpetual-Discount 1.43 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-02
Maturity Price : 17.75
Evaluated at bid price : 17.75
Bid-YTW : 6.75 %
NA.PR.W FixedReset Disc 1.44 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-02
Maturity Price : 21.56
Evaluated at bid price : 21.91
Bid-YTW : 6.68 %
GWO.PR.G Insurance Straight 1.47 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-02
Maturity Price : 20.05
Evaluated at bid price : 20.05
Bid-YTW : 6.54 %
RY.PR.N Perpetual-Discount 1.49 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-02
Maturity Price : 23.57
Evaluated at bid price : 23.85
Bid-YTW : 5.19 %
FFH.PR.D FloatingReset 1.51 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-02
Maturity Price : 21.50
Evaluated at bid price : 21.50
Bid-YTW : 9.27 %
GWO.PR.P Insurance Straight 1.51 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-02
Maturity Price : 20.81
Evaluated at bid price : 20.81
Bid-YTW : 6.54 %
BN.PR.X FixedReset Disc 1.52 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-02
Maturity Price : 16.75
Evaluated at bid price : 16.75
Bid-YTW : 7.90 %
SLF.PR.H FixedReset Ins Non 1.54 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-02
Maturity Price : 19.10
Evaluated at bid price : 19.10
Bid-YTW : 7.04 %
BN.PR.T FixedReset Disc 1.58 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-02
Maturity Price : 16.10
Evaluated at bid price : 16.10
Bid-YTW : 8.59 %
GWO.PR.I Insurance Straight 1.59 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-02
Maturity Price : 17.91
Evaluated at bid price : 17.91
Bid-YTW : 6.33 %
POW.PR.D Perpetual-Discount 1.60 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-02
Maturity Price : 19.05
Evaluated at bid price : 19.05
Bid-YTW : 6.60 %
PWF.PR.G Perpetual-Discount 1.60 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-02
Maturity Price : 22.55
Evaluated at bid price : 22.81
Bid-YTW : 6.59 %
FTS.PR.M FixedReset Disc 1.69 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-02
Maturity Price : 19.85
Evaluated at bid price : 19.85
Bid-YTW : 7.71 %
FFH.PR.C FixedReset Disc 1.70 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-02
Maturity Price : 21.53
Evaluated at bid price : 21.53
Bid-YTW : 7.85 %
PWF.PR.R Perpetual-Discount 1.78 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-02
Maturity Price : 21.15
Evaluated at bid price : 21.15
Bid-YTW : 6.64 %
PVS.PR.K SplitShare 1.85 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2029-05-31
Maturity Price : 25.00
Evaluated at bid price : 23.10
Bid-YTW : 6.39 %
BN.PR.N Perpetual-Discount 2.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-02
Maturity Price : 17.50
Evaluated at bid price : 17.50
Bid-YTW : 6.85 %
GWO.PR.Q Insurance Straight 2.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-02
Maturity Price : 19.80
Evaluated at bid price : 19.80
Bid-YTW : 6.56 %
FTS.PR.K FixedReset Disc 2.37 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-02
Maturity Price : 19.45
Evaluated at bid price : 19.45
Bid-YTW : 7.33 %
CU.PR.C FixedReset Disc 2.39 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-02
Maturity Price : 20.10
Evaluated at bid price : 20.10
Bid-YTW : 7.39 %
PWF.PR.K Perpetual-Discount 2.43 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-02
Maturity Price : 19.00
Evaluated at bid price : 19.00
Bid-YTW : 6.65 %
FFH.PR.K FixedReset Disc 2.48 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-02
Maturity Price : 21.50
Evaluated at bid price : 21.50
Bid-YTW : 7.86 %
BIP.PR.E FixedReset Disc 2.77 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-02
Maturity Price : 21.88
Evaluated at bid price : 22.25
Bid-YTW : 7.51 %
TD.PF.I FixedReset Prem 2.91 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2027-10-31
Maturity Price : 25.00
Evaluated at bid price : 25.60
Bid-YTW : 5.38 %
BN.PF.F FixedReset Disc 2.96 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-02
Maturity Price : 20.20
Evaluated at bid price : 20.20
Bid-YTW : 8.05 %
MFC.PR.F FixedReset Ins Non 3.81 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-02
Maturity Price : 16.61
Evaluated at bid price : 16.61
Bid-YTW : 7.07 %
BN.PF.E FixedReset Disc 4.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-02
Maturity Price : 18.65
Evaluated at bid price : 18.65
Bid-YTW : 8.14 %
CM.PR.Q FixedReset Disc 7.81 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-02
Maturity Price : 23.21
Evaluated at bid price : 23.74
Bid-YTW : 6.50 %
Volume Highlights
Issue Index Shares
Traded		 Notes
TD.PF.A FixedReset Disc 95,200 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-02
Maturity Price : 23.60
Evaluated at bid price : 24.45
Bid-YTW : 6.00 %
CM.PR.O FixedReset Disc 95,000 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-08-30
Maturity Price : 25.00
Evaluated at bid price : 24.90
Bid-YTW : 5.88 %
RY.PR.N Perpetual-Discount 25,000 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-02
Maturity Price : 23.57
Evaluated at bid price : 23.85
Bid-YTW : 5.19 %
RY.PR.S FixedReset Disc 17,300 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-02
Maturity Price : 23.16
Evaluated at bid price : 24.91
Bid-YTW : 6.00 %
BN.PR.N Perpetual-Discount 17,000 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-02
Maturity Price : 17.50
Evaluated at bid price : 17.50
Bid-YTW : 6.85 %
MFC.PR.F FixedReset Ins Non 15,400 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-02
Maturity Price : 16.61
Evaluated at bid price : 16.61
Bid-YTW : 7.07 %
There were 2 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
MFC.PR.M FixedReset Ins Non Quote: 16.67 – 21.70
Spot Rate : 5.0300
Average : 3.0283

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-02
Maturity Price : 16.67
Evaluated at bid price : 16.67
Bid-YTW : 8.96 %
CU.PR.E Perpetual-Discount Quote: 19.10 – 21.96
Spot Rate : 2.8600
Average : 1.7360

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-02
Maturity Price : 19.10
Evaluated at bid price : 19.10
Bid-YTW : 6.51 %
BN.PF.J FixedReset Disc Quote: 21.70 – 23.20
Spot Rate : 1.5000
Average : 0.9985

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-02
Maturity Price : 21.38
Evaluated at bid price : 21.70
Bid-YTW : 7.67 %
TD.PF.D FixedReset Disc Quote: 23.00 – 24.48
Spot Rate : 1.4800
Average : 0.9819

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-02
Maturity Price : 22.51
Evaluated at bid price : 23.00
Bid-YTW : 6.78 %
EIT.PR.A SplitShare Quote: 24.95 – 25.95
Spot Rate : 1.0000
Average : 0.5490

YTW SCENARIO
Maturity Type : Option Certainty
Maturity Date : 2024-08-01
Maturity Price : 25.00
Evaluated at bid price : 24.95
Bid-YTW : 10.19 %
PWF.PR.P FixedReset Disc Quote: 14.08 – 15.50
Spot Rate : 1.4200
Average : 0.9949

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-02
Maturity Price : 14.08
Evaluated at bid price : 14.08
Bid-YTW : 8.65 %

Posted in Market Action | No Comments »

June 28, 2024

Friday, June 28th, 2024

TXPR closed at 599.23, up 1.16% on the day. Volume today was 1.25-million, third-lowest of the past 21 trading days.

CPD closed at 11.82, up 0.60% on the day. Volume was 40,350, lowest of the past 21 trading days.

ZPR closed at 10.175, up 0.54% on the day. Volume was 73,180, third-lowest of the past 21 trading days.

Five-year Canada yields were up to 3.55%.

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 -0.4464 % 2,129.4
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.4464 % 4,084.1
Floater 10.91 % 11.05 % 69,163 8.81 1 -0.4464 % 2,353.7
OpRet 0.00 % 0.00 % 0 0.00 0 -0.1184 % 3,463.4
SplitShare 4.86 % 6.80 % 28,284 1.58 7 -0.1184 % 4,136.1
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.1184 % 3,227.1
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 0.1590 % 2,653.4
Perpetual-Discount 6.49 % 6.68 % 54,599 12.96 28 0.1590 % 2,893.4
FixedReset Disc 5.16 % 7.16 % 120,240 12.22 49 -0.1369 % 2,586.4
Insurance Straight 6.30 % 6.44 % 58,705 13.32 20 -0.0531 % 2,878.6
FloatingReset 9.30 % 9.38 % 35,981 10.10 3 2.9359 % 2,724.9
FixedReset Prem 6.35 % 6.34 % 242,034 3.98 7 -0.0734 % 2,534.1
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 -0.1369 % 2,643.8
FixedReset Ins Non 5.17 % 6.71 % 101,427 13.10 14 0.5578 % 2,749.7
Performance Highlights
Issue Index Change Notes
CM.PR.Q FixedReset Disc -6.65 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-28
Maturity Price : 21.62
Evaluated at bid price : 22.02
Bid-YTW : 6.77 %
MFC.PR.F FixedReset Ins Non -2.74 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-28
Maturity Price : 16.00
Evaluated at bid price : 16.00
Bid-YTW : 7.03 %
MFC.PR.N FixedReset Ins Non -2.36 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-28
Maturity Price : 20.26
Evaluated at bid price : 20.26
Bid-YTW : 6.97 %
PWF.PR.K Perpetual-Discount -2.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-28
Maturity Price : 18.55
Evaluated at bid price : 18.55
Bid-YTW : 6.81 %
BN.PR.T FixedReset Disc -2.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-28
Maturity Price : 15.85
Evaluated at bid price : 15.85
Bid-YTW : 8.45 %
GWO.PR.P Insurance Straight -1.68 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-28
Maturity Price : 20.50
Evaluated at bid price : 20.50
Bid-YTW : 6.64 %
BN.PF.E FixedReset Disc -1.65 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-28
Maturity Price : 17.91
Evaluated at bid price : 17.91
Bid-YTW : 8.18 %
FTS.PR.K FixedReset Disc -1.55 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-28
Maturity Price : 19.00
Evaluated at bid price : 19.00
Bid-YTW : 7.30 %
NA.PR.W FixedReset Disc -1.41 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-28
Maturity Price : 21.33
Evaluated at bid price : 21.60
Bid-YTW : 6.53 %
PVS.PR.K SplitShare -1.39 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2029-05-31
Maturity Price : 25.00
Evaluated at bid price : 22.68
Bid-YTW : 6.80 %
POW.PR.D Perpetual-Discount -1.32 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-28
Maturity Price : 18.75
Evaluated at bid price : 18.75
Bid-YTW : 6.70 %
BN.PR.R FixedReset Disc -1.30 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-28
Maturity Price : 16.00
Evaluated at bid price : 16.00
Bid-YTW : 8.36 %
BN.PF.G FixedReset Disc -1.28 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-28
Maturity Price : 18.51
Evaluated at bid price : 18.51
Bid-YTW : 8.18 %
GWO.PR.G Insurance Straight -1.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-28
Maturity Price : 19.76
Evaluated at bid price : 19.76
Bid-YTW : 6.63 %
BMO.PR.T FixedReset Disc -1.17 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-28
Maturity Price : 23.42
Evaluated at bid price : 24.50
Bid-YTW : 5.75 %
SLF.PR.D Insurance Straight -1.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-28
Maturity Price : 18.64
Evaluated at bid price : 18.64
Bid-YTW : 6.01 %
FFH.PR.M FixedReset Disc 1.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-28
Maturity Price : 23.31
Evaluated at bid price : 23.95
Bid-YTW : 7.60 %
RY.PR.O Perpetual-Discount 1.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-28
Maturity Price : 23.21
Evaluated at bid price : 23.50
Bid-YTW : 5.26 %
IFC.PR.C FixedReset Ins Non 1.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-28
Maturity Price : 20.40
Evaluated at bid price : 20.40
Bid-YTW : 6.97 %
MIC.PR.A Perpetual-Discount 1.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-28
Maturity Price : 19.25
Evaluated at bid price : 19.25
Bid-YTW : 7.07 %
SLF.PR.H FixedReset Ins Non 1.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-28
Maturity Price : 18.81
Evaluated at bid price : 18.81
Bid-YTW : 6.91 %
MFC.PR.Q FixedReset Ins Non 1.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-28
Maturity Price : 22.49
Evaluated at bid price : 23.26
Bid-YTW : 6.43 %
BN.PF.I FixedReset Disc 1.21 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-28
Maturity Price : 22.24
Evaluated at bid price : 22.65
Bid-YTW : 7.63 %
BIP.PR.F FixedReset Disc 1.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-28
Maturity Price : 20.75
Evaluated at bid price : 20.75
Bid-YTW : 7.74 %
SLF.PR.G FixedReset Ins Non 1.24 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-28
Maturity Price : 17.21
Evaluated at bid price : 17.21
Bid-YTW : 6.73 %
FFH.PR.I FixedReset Disc 1.34 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-28
Maturity Price : 18.20
Evaluated at bid price : 18.20
Bid-YTW : 8.17 %
BN.PF.H FixedReset Disc 1.51 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-28
Maturity Price : 23.17
Evaluated at bid price : 23.60
Bid-YTW : 7.75 %
MFC.PR.M FixedReset Ins Non 1.65 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-28
Maturity Price : 21.55
Evaluated at bid price : 21.55
Bid-YTW : 6.67 %
SLF.PR.E Insurance Straight 2.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-28
Maturity Price : 19.16
Evaluated at bid price : 19.16
Bid-YTW : 5.91 %
TD.PF.A FixedReset Disc 2.52 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-28
Maturity Price : 23.62
Evaluated at bid price : 24.45
Bid-YTW : 5.77 %
PWF.PR.L Perpetual-Discount 2.88 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-28
Maturity Price : 19.65
Evaluated at bid price : 19.65
Bid-YTW : 6.62 %
IFC.PR.A FixedReset Ins Non 4.99 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-28
Maturity Price : 18.50
Evaluated at bid price : 18.50
Bid-YTW : 6.89 %
SLF.PR.J FloatingReset 8.59 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-28
Maturity Price : 17.70
Evaluated at bid price : 17.70
Bid-YTW : 8.73 %
Volume Highlights
Issue Index Shares
Traded		 Notes
NA.PR.C FixedReset Prem 24,687 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-28
Maturity Price : 23.45
Evaluated at bid price : 25.40
Bid-YTW : 6.82 %
GWO.PR.T Insurance Straight 21,186 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-28
Maturity Price : 19.78
Evaluated at bid price : 19.78
Bid-YTW : 6.56 %
RY.PR.S FixedReset Disc 20,085 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-28
Maturity Price : 23.12
Evaluated at bid price : 24.80
Bid-YTW : 5.86 %
TD.PF.B FixedReset Disc 19,873 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-07-31
Maturity Price : 25.00
Evaluated at bid price : 25.12
Bid-YTW : 4.90 %
RY.PR.H FixedReset Disc 17,360 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-08-24
Maturity Price : 25.00
Evaluated at bid price : 25.02
Bid-YTW : 5.38 %
RY.PR.J FixedReset Disc 15,601 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-28
Maturity Price : 23.35
Evaluated at bid price : 23.93
Bid-YTW : 6.27 %
There were 9 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
CM.PR.Q FixedReset Disc Quote: 22.02 – 24.00
Spot Rate : 1.9800
Average : 1.1129

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-28
Maturity Price : 21.62
Evaluated at bid price : 22.02
Bid-YTW : 6.77 %
IFC.PR.E Insurance Straight Quote: 20.35 – 23.22
Spot Rate : 2.8700
Average : 2.0509

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-28
Maturity Price : 20.35
Evaluated at bid price : 20.35
Bid-YTW : 6.44 %
BMO.PR.Y FixedReset Disc Quote: 23.65 – 25.00
Spot Rate : 1.3500
Average : 0.8363

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-28
Maturity Price : 23.14
Evaluated at bid price : 23.65
Bid-YTW : 6.25 %
CU.PR.C FixedReset Disc Quote: 19.63 – 21.99
Spot Rate : 2.3600
Average : 1.8495

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-28
Maturity Price : 19.63
Evaluated at bid price : 19.63
Bid-YTW : 7.34 %
RY.PR.M FixedReset Disc Quote: 23.20 – 24.50
Spot Rate : 1.3000
Average : 0.9028

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-28
Maturity Price : 22.76
Evaluated at bid price : 23.20
Bid-YTW : 6.23 %
FFH.PR.K FixedReset Disc Quote: 20.98 – 21.89
Spot Rate : 0.9100
Average : 0.5571

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-28
Maturity Price : 20.98
Evaluated at bid price : 20.98
Bid-YTW : 7.84 %

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