Archive for the ‘Market Action’ Category
Monday, October 25th, 2021
HIMIPref™ Preferred Indices
These values reflect the December 2008 revision of the HIMIPref™ Indices
Values are provisional and are finalized monthly |
| Index |
Mean
Current
Yield
(at bid) |
Median
YTW |
Median
Average
Trading
Value |
Median
Mod Dur
(YTW) |
Issues |
Day’s Perf. |
Index Value |
| Ratchet |
0.00 % |
0.00 % |
0 |
0.00 |
0 |
0.3641 % |
2,791.4 |
| FixedFloater |
0.00 % |
0.00 % |
0 |
0.00 |
0 |
0.3641 % |
5,122.2 |
| Floater |
3.11 % |
3.14 % |
55,973 |
19.38 |
3 |
0.3641 % |
2,951.9 |
| OpRet |
0.00 % |
0.00 % |
0 |
0.00 |
0 |
0.2352 % |
3,712.2 |
| SplitShare |
4.62 % |
4.22 % |
51,437 |
3.88 |
5 |
0.2352 % |
4,433.1 |
| Interest-Bearing |
0.00 % |
0.00 % |
0 |
0.00 |
0 |
0.2352 % |
3,458.9 |
| Perpetual-Premium |
5.08 % |
-9.20 % |
53,115 |
0.09 |
32 |
-0.2712 % |
3,276.2 |
| Perpetual-Discount |
4.71 % |
4.59 % |
2,590,036 |
16.20 |
2 |
-0.3049 % |
3,869.4 |
| FixedReset Disc |
3.82 % |
3.75 % |
107,467 |
17.11 |
40 |
0.2339 % |
2,906.1 |
| Insurance Straight |
4.91 % |
2.92 % |
76,686 |
0.09 |
20 |
-0.1669 % |
3,699.5 |
| FloatingReset |
2.55 % |
2.82 % |
24,492 |
20.18 |
2 |
-0.7660 % |
2,839.2 |
| FixedReset Prem |
4.69 % |
2.83 % |
126,369 |
1.95 |
31 |
-0.0637 % |
2,762.4 |
| FixedReset Bank Non |
0.00 % |
0.00 % |
0 |
0.00 |
0 |
0.2339 % |
2,970.6 |
| FixedReset Ins Non |
4.05 % |
3.71 % |
95,952 |
17.23 |
19 |
-0.1818 % |
2,975.7 |
| Performance Highlights |
| Issue |
Index |
Change |
Notes |
| SLF.PR.G |
FixedReset Ins Non |
-1.57 % |
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-25
Maturity Price : 17.56
Evaluated at bid price : 17.56
Bid-YTW : 3.71 % |
| TRP.PR.A |
FixedReset Disc |
-1.27 % |
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-25
Maturity Price : 19.50
Evaluated at bid price : 19.50
Bid-YTW : 4.27 % |
| MFC.PR.Q |
FixedReset Ins Non |
-1.22 % |
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-25
Maturity Price : 23.75
Evaluated at bid price : 25.18
Bid-YTW : 3.87 % |
| SLF.PR.J |
FloatingReset |
-1.18 % |
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-25
Maturity Price : 16.80
Evaluated at bid price : 16.80
Bid-YTW : 2.29 % |
| TRP.PR.E |
FixedReset Disc |
1.77 % |
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-25
Maturity Price : 21.46
Evaluated at bid price : 21.81
Bid-YTW : 4.23 % |
| FTS.PR.K |
FixedReset Disc |
2.33 % |
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-25
Maturity Price : 21.59
Evaluated at bid price : 22.00
Bid-YTW : 3.95 % |
| BAM.PR.T |
FixedReset Disc |
2.60 % |
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-25
Maturity Price : 20.88
Evaluated at bid price : 20.88
Bid-YTW : 4.41 % |
| TRP.PR.D |
FixedReset Disc |
4.39 % |
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-25
Maturity Price : 21.66
Evaluated at bid price : 22.10
Bid-YTW : 4.22 % |
| PWF.PR.P |
FixedReset Disc |
8.11 % |
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-25
Maturity Price : 18.00
Evaluated at bid price : 18.00
Bid-YTW : 3.82 % |
| Volume Highlights |
| Issue |
Index |
Shares
Traded |
Notes |
| RY.PR.Z |
FixedReset Disc |
77,010 |
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-25
Maturity Price : 23.19
Evaluated at bid price : 24.33
Bid-YTW : 3.58 % |
| TD.PF.H |
FixedReset Prem |
54,000 |
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-11-30
Maturity Price : 25.00
Evaluated at bid price : 24.99
Bid-YTW : 4.49 % |
| TD.PF.L |
FixedReset Prem |
40,000 |
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-04-30
Maturity Price : 25.00
Evaluated at bid price : 26.54
Bid-YTW : 2.63 % |
| BAM.PR.C |
Floater |
39,500 |
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-25
Maturity Price : 13.75
Evaluated at bid price : 13.75
Bid-YTW : 3.14 % |
| RS.PR.A |
SplitShare |
31,597 |
YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-12-31
Maturity Price : 10.00
Evaluated at bid price : 10.80
Bid-YTW : 3.30 % |
| BMO.PR.T |
FixedReset Disc |
28,400 |
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-25
Maturity Price : 23.19
Evaluated at bid price : 24.43
Bid-YTW : 3.63 % |
| There were 12 other index-included issues trading in excess of 10,000 shares. |
| Wide Spread Highlights |
| Issue |
Index |
Quote Data and Yield Notes |
| SLF.PR.J |
FloatingReset |
Quote: 16.80 – 17.95
Spot Rate : 1.1500
Average : 0.7159
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-25
Maturity Price : 16.80
Evaluated at bid price : 16.80
Bid-YTW : 2.29 % |
| MFC.PR.Q |
FixedReset Ins Non |
Quote: 25.18 – 25.72
Spot Rate : 0.5400
Average : 0.3868
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-25
Maturity Price : 23.75
Evaluated at bid price : 25.18
Bid-YTW : 3.87 % |
| RY.PR.N |
Perpetual-Premium |
Quote: 25.96 – 26.69
Spot Rate : 0.7300
Average : 0.5983
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-11-24
Maturity Price : 25.75
Evaluated at bid price : 25.96
Bid-YTW : -9.65 % |
| GWO.PR.T |
Insurance Straight |
Quote: 26.30 – 26.75
Spot Rate : 0.4500
Average : 0.3449
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-06-30
Maturity Price : 26.00
Evaluated at bid price : 26.30
Bid-YTW : 3.78 % |
| MFC.PR.M |
FixedReset Ins Non |
Quote: 24.23 – 24.54
Spot Rate : 0.3100
Average : 0.2145
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-25
Maturity Price : 23.06
Evaluated at bid price : 24.23
Bid-YTW : 3.79 % |
| SLF.PR.D |
Insurance Straight |
Quote: 25.03 – 25.43
Spot Rate : 0.4000
Average : 0.3046
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-25
Maturity Price : 24.81
Evaluated at bid price : 25.03
Bid-YTW : 4.47 % |
Posted in Market Action | No Comments »
Sunday, October 24th, 2021
HIMIPref™ Preferred Indices
These values reflect the December 2008 revision of the HIMIPref™ Indices
Values are provisional and are finalized monthly |
| Index |
Mean
Current
Yield
(at bid) |
Median
YTW |
Median
Average
Trading
Value |
Median
Mod Dur
(YTW) |
Issues |
Day’s Perf. |
Index Value |
| Ratchet |
0.00 % |
0.00 % |
0 |
0.00 |
0 |
0.3654 % |
2,781.3 |
| FixedFloater |
0.00 % |
0.00 % |
0 |
0.00 |
0 |
0.3654 % |
5,103.6 |
| Floater |
3.12 % |
3.14 % |
56,485 |
19.39 |
3 |
0.3654 % |
2,941.2 |
| OpRet |
0.00 % |
0.00 % |
0 |
0.00 |
0 |
-1.0683 % |
3,703.4 |
| SplitShare |
4.63 % |
4.22 % |
53,302 |
3.89 |
5 |
-1.0683 % |
4,422.7 |
| Interest-Bearing |
0.00 % |
0.00 % |
0 |
0.00 |
0 |
-1.0683 % |
3,450.8 |
| Perpetual-Premium |
5.06 % |
-11.16 % |
54,959 |
0.09 |
32 |
0.0990 % |
3,285.1 |
| Perpetual-Discount |
4.70 % |
4.83 % |
37,456 |
15.79 |
2 |
0.0407 % |
3,881.2 |
| FixedReset Disc |
3.83 % |
3.70 % |
108,718 |
17.22 |
40 |
-0.0702 % |
2,899.3 |
| Insurance Straight |
4.90 % |
0.61 % |
77,069 |
0.09 |
20 |
-0.0432 % |
3,705.7 |
| FloatingReset |
2.53 % |
2.81 % |
25,354 |
20.22 |
2 |
0.0000 % |
2,861.1 |
| FixedReset Prem |
4.69 % |
2.76 % |
126,889 |
1.96 |
31 |
0.1051 % |
2,764.2 |
| FixedReset Bank Non |
0.00 % |
0.00 % |
0 |
0.00 |
0 |
-0.0702 % |
2,963.7 |
| FixedReset Ins Non |
4.04 % |
3.69 % |
99,586 |
17.35 |
19 |
0.0876 % |
2,981.1 |
| Performance Highlights |
| Issue |
Index |
Change |
Notes |
| TRP.PR.D |
FixedReset Disc |
-3.90 % |
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-22
Maturity Price : 21.17
Evaluated at bid price : 21.17
Bid-YTW : 4.38 % |
| RS.PR.A |
SplitShare |
-3.59 % |
YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-12-31
Maturity Price : 10.00
Evaluated at bid price : 10.75
Bid-YTW : 3.42 % |
| FTS.PR.K |
FixedReset Disc |
-2.23 % |
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-22
Maturity Price : 21.50
Evaluated at bid price : 21.50
Bid-YTW : 4.01 % |
| TRP.PR.E |
FixedReset Disc |
-1.92 % |
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-22
Maturity Price : 21.43
Evaluated at bid price : 21.43
Bid-YTW : 4.27 % |
| MFC.PR.L |
FixedReset Ins Non |
-1.27 % |
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-22
Maturity Price : 22.66
Evaluated at bid price : 23.30
Bid-YTW : 3.73 % |
| BIP.PR.A |
FixedReset Disc |
1.01 % |
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-06-30
Maturity Price : 25.00
Evaluated at bid price : 24.95
Bid-YTW : 4.13 % |
| BAM.PR.M |
Perpetual-Premium |
1.11 % |
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-22
Maturity Price : 24.43
Evaluated at bid price : 24.67
Bid-YTW : 4.85 % |
| SLF.PR.G |
FixedReset Ins Non |
1.25 % |
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-22
Maturity Price : 17.84
Evaluated at bid price : 17.84
Bid-YTW : 3.58 % |
| BIP.PR.B |
FixedReset Prem |
1.78 % |
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-12-31
Maturity Price : 25.00
Evaluated at bid price : 26.90
Bid-YTW : 3.64 % |
| Volume Highlights |
| Issue |
Index |
Shares
Traded |
Notes |
| BAM.PF.D |
Perpetual-Premium |
59,184 |
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-22
Maturity Price : 24.66
Evaluated at bid price : 24.95
Bid-YTW : 4.94 % |
| CM.PR.O |
FixedReset Disc |
51,418 |
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-22
Maturity Price : 23.16
Evaluated at bid price : 24.34
Bid-YTW : 3.64 % |
| TD.PF.A |
FixedReset Disc |
46,082 |
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-22
Maturity Price : 23.13
Evaluated at bid price : 24.35
Bid-YTW : 3.55 % |
| PWF.PF.A |
Perpetual-Discount |
35,113 |
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-22
Maturity Price : 24.17
Evaluated at bid price : 24.55
Bid-YTW : 4.59 % |
| BAM.PF.A |
FixedReset Prem |
32,348 |
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-22
Maturity Price : 23.62
Evaluated at bid price : 25.05
Bid-YTW : 4.20 % |
| GWO.PR.Y |
Insurance Straight |
31,693 |
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-22
Maturity Price : 24.27
Evaluated at bid price : 24.65
Bid-YTW : 4.58 % |
| There were 9 other index-included issues trading in excess of 10,000 shares. |
| Wide Spread Highlights |
| Issue |
Index |
Quote Data and Yield Notes |
| TRP.PR.D |
FixedReset Disc |
Quote: 21.17 – 22.50
Spot Rate : 1.3300
Average : 0.8345
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-22
Maturity Price : 21.17
Evaluated at bid price : 21.17
Bid-YTW : 4.38 % |
| FTS.PR.K |
FixedReset Disc |
Quote: 21.50 – 22.07
Spot Rate : 0.5700
Average : 0.3457
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-22
Maturity Price : 21.50
Evaluated at bid price : 21.50
Bid-YTW : 4.01 % |
| TRP.PR.E |
FixedReset Disc |
Quote: 21.43 – 22.38
Spot Rate : 0.9500
Average : 0.7273
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-22
Maturity Price : 21.43
Evaluated at bid price : 21.43
Bid-YTW : 4.27 % |
| MFC.PR.F |
FixedReset Ins Non |
Quote: 17.20 – 18.94
Spot Rate : 1.7400
Average : 1.5674
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-22
Maturity Price : 17.20
Evaluated at bid price : 17.20
Bid-YTW : 3.83 % |
| RY.PR.P |
Perpetual-Premium |
Quote: 26.76 – 27.24
Spot Rate : 0.4800
Average : 0.3078
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-11-21
Maturity Price : 26.00
Evaluated at bid price : 26.76
Bid-YTW : -19.21 % |
| RS.PR.A |
SplitShare |
Quote: 10.75 – 11.15
Spot Rate : 0.4000
Average : 0.2498
YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-12-31
Maturity Price : 10.00
Evaluated at bid price : 10.75
Bid-YTW : 3.42 % |
Posted in Market Action | No Comments »
Friday, October 22nd, 2021
HIMIPref™ Preferred Indices
These values reflect the December 2008 revision of the HIMIPref™ Indices
Values are provisional and are finalized monthly |
| Index |
Mean
Current
Yield
(at bid) |
Median
YTW |
Median
Average
Trading
Value |
Median
Mod Dur
(YTW) |
Issues |
Day’s Perf. |
Index Value |
| Ratchet |
0.00 % |
0.00 % |
0 |
0.00 |
0 |
0.6621 % |
2,771.2 |
| FixedFloater |
0.00 % |
0.00 % |
0 |
0.00 |
0 |
0.6621 % |
5,085.0 |
| Floater |
3.13 % |
3.15 % |
56,842 |
19.36 |
3 |
0.6621 % |
2,930.5 |
| OpRet |
0.00 % |
0.00 % |
0 |
0.00 |
0 |
0.2716 % |
3,743.4 |
| SplitShare |
4.58 % |
4.14 % |
52,924 |
3.89 |
5 |
0.2716 % |
4,470.5 |
| Interest-Bearing |
0.00 % |
0.00 % |
0 |
0.00 |
0 |
0.2716 % |
3,488.0 |
| Perpetual-Premium |
5.07 % |
-13.18 % |
55,684 |
0.09 |
32 |
0.0257 % |
3,281.8 |
| Perpetual-Discount |
4.70 % |
4.82 % |
37,721 |
15.82 |
2 |
0.0203 % |
3,879.6 |
| FixedReset Disc |
3.83 % |
3.70 % |
109,059 |
17.12 |
40 |
0.0527 % |
2,901.4 |
| Insurance Straight |
4.90 % |
-0.61 % |
80,160 |
0.09 |
20 |
-0.0765 % |
3,707.3 |
| FloatingReset |
2.53 % |
2.81 % |
25,479 |
20.22 |
2 |
0.7143 % |
2,861.1 |
| FixedReset Prem |
4.69 % |
2.94 % |
128,195 |
1.97 |
31 |
0.0188 % |
2,761.3 |
| FixedReset Bank Non |
0.00 % |
0.00 % |
0 |
0.00 |
0 |
0.0527 % |
2,965.8 |
| FixedReset Ins Non |
4.05 % |
3.67 % |
102,690 |
17.35 |
19 |
-0.0673 % |
2,978.5 |
| Performance Highlights |
| Issue |
Index |
Change |
Notes |
| BAM.PR.T |
FixedReset Disc |
-1.21 % |
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-21
Maturity Price : 20.35
Evaluated at bid price : 20.35
Bid-YTW : 4.45 % |
| BAM.PR.M |
Perpetual-Premium |
-1.05 % |
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-21
Maturity Price : 24.15
Evaluated at bid price : 24.40
Bid-YTW : 4.90 % |
| BAM.PR.Z |
FixedReset Disc |
1.02 % |
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-21
Maturity Price : 24.52
Evaluated at bid price : 24.85
Bid-YTW : 4.31 % |
| BAM.PF.B |
FixedReset Disc |
1.15 % |
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-21
Maturity Price : 22.98
Evaluated at bid price : 23.82
Bid-YTW : 4.16 % |
| RS.PR.A |
SplitShare |
1.36 % |
YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-12-31
Maturity Price : 10.00
Evaluated at bid price : 11.15
Bid-YTW : 2.44 % |
| TRP.PR.F |
FloatingReset |
1.39 % |
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-21
Maturity Price : 18.25
Evaluated at bid price : 18.25
Bid-YTW : 2.81 % |
| BAM.PR.B |
Floater |
1.40 % |
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-21
Maturity Price : 13.75
Evaluated at bid price : 13.75
Bid-YTW : 3.14 % |
| BNS.PR.I |
FixedReset Prem |
1.50 % |
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-01-27
Maturity Price : 25.00
Evaluated at bid price : 25.68
Bid-YTW : 3.58 % |
| Volume Highlights |
| Issue |
Index |
Shares
Traded |
Notes |
| BMO.PR.T |
FixedReset Disc |
231,727 |
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-21
Maturity Price : 23.18
Evaluated at bid price : 24.40
Bid-YTW : 3.57 % |
| BMO.PR.C |
FixedReset Prem |
90,730 |
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-05-25
Maturity Price : 25.00
Evaluated at bid price : 25.40
Bid-YTW : 2.94 % |
| RY.PR.J |
FixedReset Disc |
62,575 |
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-05-24
Maturity Price : 25.00
Evaluated at bid price : 25.05
Bid-YTW : 3.30 % |
| TD.PF.A |
FixedReset Disc |
57,500 |
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-21
Maturity Price : 23.09
Evaluated at bid price : 24.26
Bid-YTW : 3.57 % |
| RY.PR.Z |
FixedReset Disc |
48,408 |
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-21
Maturity Price : 23.22
Evaluated at bid price : 24.41
Bid-YTW : 3.56 % |
| PWF.PF.A |
Perpetual-Discount |
44,970 |
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-21
Maturity Price : 24.09
Evaluated at bid price : 24.47
Bid-YTW : 4.60 % |
| There were 18 other index-included issues trading in excess of 10,000 shares. |
| Wide Spread Highlights |
| Issue |
Index |
Quote Data and Yield Notes |
| PWF.PR.P |
FixedReset Disc |
Quote: 16.65 – 18.83
Spot Rate : 2.1800
Average : 1.8751
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-21
Maturity Price : 16.65
Evaluated at bid price : 16.65
Bid-YTW : 4.05 % |
| RY.PR.N |
Perpetual-Premium |
Quote: 26.27 – 26.89
Spot Rate : 0.6200
Average : 0.4032
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-11-24
Maturity Price : 25.75
Evaluated at bid price : 26.27
Bid-YTW : -8.50 % |
| BAM.PF.F |
FixedReset Disc |
Quote: 24.12 – 24.65
Spot Rate : 0.5300
Average : 0.3383
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-21
Maturity Price : 23.04
Evaluated at bid price : 24.12
Bid-YTW : 4.24 % |
| BAM.PR.T |
FixedReset Disc |
Quote: 20.35 – 21.20
Spot Rate : 0.8500
Average : 0.6881
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-21
Maturity Price : 20.35
Evaluated at bid price : 20.35
Bid-YTW : 4.45 % |
| MFC.PR.F |
FixedReset Ins Non |
Quote: 17.20 – 18.70
Spot Rate : 1.5000
Average : 1.3782
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-21
Maturity Price : 17.20
Evaluated at bid price : 17.20
Bid-YTW : 3.83 % |
| BAM.PR.M |
Perpetual-Premium |
Quote: 24.40 – 24.91
Spot Rate : 0.5100
Average : 0.3920
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-21
Maturity Price : 24.15
Evaluated at bid price : 24.40
Bid-YTW : 4.90 % |
Posted in Market Action | No Comments »
Wednesday, October 20th, 2021
Long corporates are now at 3.56%.
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 |
0.0491 % |
2,753.0 |
| FixedFloater |
0.00 % |
0.00 % |
0 |
0.00 |
0 |
0.0491 % |
5,051.5 |
| Floater |
3.15 % |
3.18 % |
54,547 |
19.28 |
3 |
0.0491 % |
2,911.2 |
| OpRet |
0.00 % |
0.00 % |
0 |
0.00 |
0 |
-0.1375 % |
3,733.3 |
| SplitShare |
4.59 % |
4.06 % |
55,100 |
3.90 |
5 |
-0.1375 % |
4,458.3 |
| Interest-Bearing |
0.00 % |
0.00 % |
0 |
0.00 |
0 |
-0.1375 % |
3,478.6 |
| Perpetual-Premium |
5.07 % |
-9.25 % |
55,954 |
0.09 |
32 |
-0.0171 % |
3,281.0 |
| Perpetual-Discount |
4.70 % |
4.83 % |
36,977 |
15.81 |
2 |
-0.0203 % |
3,878.8 |
| FixedReset Disc |
3.83 % |
3.72 % |
103,425 |
17.08 |
40 |
0.1606 % |
2,899.8 |
| Insurance Straight |
4.89 % |
-2.12 % |
80,396 |
0.09 |
20 |
0.6973 % |
3,710.1 |
| FloatingReset |
2.55 % |
2.85 % |
25,391 |
20.12 |
2 |
3.0928 % |
2,840.8 |
| FixedReset Prem |
4.70 % |
2.87 % |
127,293 |
1.97 |
31 |
0.0250 % |
2,760.7 |
| FixedReset Bank Non |
0.00 % |
0.00 % |
0 |
0.00 |
0 |
0.1606 % |
2,964.2 |
| FixedReset Ins Non |
4.04 % |
3.65 % |
106,712 |
17.36 |
19 |
-0.0090 % |
2,980.5 |
| Performance Highlights |
| Issue |
Index |
Change |
Notes |
| RS.PR.A |
SplitShare |
-1.79 % |
YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-12-31
Maturity Price : 10.00
Evaluated at bid price : 11.00
Bid-YTW : 2.80 % |
| BNS.PR.I |
FixedReset Prem |
-1.56 % |
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-20
Maturity Price : 23.62
Evaluated at bid price : 25.30
Bid-YTW : 3.68 % |
| BAM.PF.B |
FixedReset Disc |
-1.05 % |
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-20
Maturity Price : 22.83
Evaluated at bid price : 23.55
Bid-YTW : 4.21 % |
| MIC.PR.A |
Perpetual-Premium |
1.59 % |
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2026-03-31
Maturity Price : 26.00
Evaluated at bid price : 27.43
Bid-YTW : 3.93 % |
| TRP.PR.F |
FloatingReset |
5.88 % |
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-20
Maturity Price : 18.00
Evaluated at bid price : 18.00
Bid-YTW : 2.85 % |
| MFC.PR.B |
Insurance Straight |
14.32 % |
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-11-19
Maturity Price : 25.00
Evaluated at bid price : 25.15
Bid-YTW : 2.15 % |
| Volume Highlights |
| Issue |
Index |
Shares
Traded |
Notes |
| BMO.PR.C |
FixedReset Prem |
324,897 |
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-05-25
Maturity Price : 25.00
Evaluated at bid price : 25.43
Bid-YTW : 2.72 % |
| PWF.PF.A |
Perpetual-Discount |
95,564 |
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-20
Maturity Price : 24.12
Evaluated at bid price : 24.50
Bid-YTW : 4.60 % |
| TD.PF.J |
FixedReset Prem |
56,352 |
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-20
Maturity Price : 23.80
Evaluated at bid price : 25.21
Bid-YTW : 3.91 % |
| CM.PR.O |
FixedReset Disc |
52,300 |
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-20
Maturity Price : 23.15
Evaluated at bid price : 24.31
Bid-YTW : 3.64 % |
| CM.PR.R |
FixedReset Prem |
46,827 |
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-07-31
Maturity Price : 25.00
Evaluated at bid price : 25.41
Bid-YTW : 2.16 % |
| NA.PR.G |
FixedReset Prem |
40,000 |
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2023-11-15
Maturity Price : 25.00
Evaluated at bid price : 25.52
Bid-YTW : 3.75 % |
| There were 13 other index-included issues trading in excess of 10,000 shares. |
| Wide Spread Highlights |
| Issue |
Index |
Quote Data and Yield Notes |
| MFC.PR.F |
FixedReset Ins Non |
Quote: 17.20 – 18.70
Spot Rate : 1.5000
Average : 1.2446
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-20
Maturity Price : 17.20
Evaluated at bid price : 17.20
Bid-YTW : 3.83 % |
| BNS.PR.I |
FixedReset Prem |
Quote: 25.30 – 25.75
Spot Rate : 0.4500
Average : 0.2632
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-20
Maturity Price : 23.62
Evaluated at bid price : 25.30
Bid-YTW : 3.68 % |
| BIP.PR.B |
FixedReset Prem |
Quote: 26.36 – 26.80
Spot Rate : 0.4400
Average : 0.2741
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-12-31
Maturity Price : 25.00
Evaluated at bid price : 26.36
Bid-YTW : 4.18 % |
| TRP.PR.E |
FixedReset Disc |
Quote: 21.80 – 22.38
Spot Rate : 0.5800
Average : 0.4318
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-20
Maturity Price : 21.45
Evaluated at bid price : 21.80
Bid-YTW : 4.17 % |
| BAM.PF.B |
FixedReset Disc |
Quote: 23.55 – 24.00
Spot Rate : 0.4500
Average : 0.3038
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-20
Maturity Price : 22.83
Evaluated at bid price : 23.55
Bid-YTW : 4.21 % |
| CIU.PR.A |
Perpetual-Premium |
Quote: 24.90 – 25.35
Spot Rate : 0.4500
Average : 0.3100
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-20
Maturity Price : 24.64
Evaluated at bid price : 24.90
Bid-YTW : 4.67 % |
Posted in Market Action | No Comments »
Tuesday, October 19th, 2021
HIMIPref™ Preferred Indices
These values reflect the December 2008 revision of the HIMIPref™ Indices
Values are provisional and are finalized monthly |
| Index |
Mean
Current
Yield
(at bid) |
Median
YTW |
Median
Average
Trading
Value |
Median
Mod Dur
(YTW) |
Issues |
Day’s Perf. |
Index Value |
| Ratchet |
0.00 % |
0.00 % |
0 |
0.00 |
0 |
2.0786 % |
2,751.6 |
| FixedFloater |
0.00 % |
0.00 % |
0 |
0.00 |
0 |
2.0786 % |
5,049.1 |
| Floater |
3.16 % |
3.18 % |
52,921 |
19.29 |
3 |
2.0786 % |
2,909.8 |
| OpRet |
0.00 % |
0.00 % |
0 |
0.00 |
0 |
0.3066 % |
3,738.4 |
| SplitShare |
4.58 % |
4.20 % |
55,917 |
3.90 |
5 |
0.3066 % |
4,464.5 |
| Interest-Bearing |
0.00 % |
0.00 % |
0 |
0.00 |
0 |
0.3066 % |
3,483.4 |
| Perpetual-Premium |
5.07 % |
-9.40 % |
56,144 |
0.09 |
32 |
-0.0929 % |
3,281.6 |
| Perpetual-Discount |
4.70 % |
4.82 % |
37,130 |
15.82 |
2 |
0.1221 % |
3,879.6 |
| FixedReset Disc |
3.83 % |
3.71 % |
101,476 |
17.20 |
40 |
-0.1132 % |
2,895.2 |
| Insurance Straight |
4.93 % |
-0.04 % |
80,479 |
0.09 |
20 |
-0.7177 % |
3,684.4 |
| FloatingReset |
2.63 % |
3.02 % |
26,353 |
19.69 |
2 |
0.0000 % |
2,755.6 |
| FixedReset Prem |
4.70 % |
2.90 % |
127,839 |
1.51 |
31 |
-0.0912 % |
2,760.1 |
| FixedReset Bank Non |
0.00 % |
0.00 % |
0 |
0.00 |
0 |
-0.1132 % |
2,959.5 |
| FixedReset Ins Non |
4.04 % |
3.64 % |
101,025 |
17.36 |
19 |
-0.4112 % |
2,980.8 |
| Performance Highlights |
| Issue |
Index |
Change |
Notes |
| MFC.PR.B |
Insurance Straight |
-12.46 % |
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-19
Maturity Price : 21.75
Evaluated at bid price : 22.00
Bid-YTW : 5.33 % |
| MFC.PR.F |
FixedReset Ins Non |
-7.77 % |
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-19
Maturity Price : 17.20
Evaluated at bid price : 17.20
Bid-YTW : 3.83 % |
| MIC.PR.A |
Perpetual-Premium |
-1.85 % |
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2029-03-31
Maturity Price : 25.25
Evaluated at bid price : 27.00
Bid-YTW : 4.32 % |
| GWO.PR.N |
FixedReset Ins Non |
-1.84 % |
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-19
Maturity Price : 17.05
Evaluated at bid price : 17.05
Bid-YTW : 3.55 % |
| CU.PR.C |
FixedReset Disc |
1.01 % |
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-19
Maturity Price : 22.25
Evaluated at bid price : 23.00
Bid-YTW : 3.98 % |
| TD.PF.A |
FixedReset Disc |
1.05 % |
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-19
Maturity Price : 23.04
Evaluated at bid price : 24.15
Bid-YTW : 3.59 % |
| BAM.PR.B |
Floater |
1.11 % |
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-19
Maturity Price : 13.65
Evaluated at bid price : 13.65
Bid-YTW : 3.16 % |
| RS.PR.A |
SplitShare |
1.82 % |
YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-12-31
Maturity Price : 10.00
Evaluated at bid price : 11.20
Bid-YTW : 2.32 % |
| BAM.PR.K |
Floater |
4.87 % |
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-19
Maturity Price : 13.56
Evaluated at bid price : 13.56
Bid-YTW : 3.18 % |
| Volume Highlights |
| Issue |
Index |
Shares
Traded |
Notes |
| TD.PF.H |
FixedReset Prem |
199,800 |
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-11-30
Maturity Price : 25.00
Evaluated at bid price : 24.98
Bid-YTW : 4.19 % |
| TD.PF.C |
FixedReset Disc |
154,109 |
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-19
Maturity Price : 23.19
Evaluated at bid price : 24.59
Bid-YTW : 3.55 % |
| BAM.PR.C |
Floater |
96,050 |
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-19
Maturity Price : 13.55
Evaluated at bid price : 13.55
Bid-YTW : 3.18 % |
| PWF.PF.A |
Perpetual-Discount |
85,120 |
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-19
Maturity Price : 24.09
Evaluated at bid price : 24.47
Bid-YTW : 4.60 % |
| PWF.PR.T |
FixedReset Disc |
74,900 |
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-19
Maturity Price : 23.33
Evaluated at bid price : 24.51
Bid-YTW : 3.71 % |
| TRP.PR.K |
FixedReset Prem |
47,100 |
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-05-31
Maturity Price : 25.00
Evaluated at bid price : 25.60
Bid-YTW : 2.12 % |
| There were 14 other index-included issues trading in excess of 10,000 shares. |
| Wide Spread Highlights |
| Issue |
Index |
Quote Data and Yield Notes |
| MFC.PR.B |
Insurance Straight |
Quote: 22.00 – 25.30
Spot Rate : 3.3000
Average : 1.8057
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-19
Maturity Price : 21.75
Evaluated at bid price : 22.00
Bid-YTW : 5.33 % |
| MFC.PR.F |
FixedReset Ins Non |
Quote: 17.20 – 18.75
Spot Rate : 1.5500
Average : 0.9646
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-19
Maturity Price : 17.20
Evaluated at bid price : 17.20
Bid-YTW : 3.83 % |
| PWF.PR.P |
FixedReset Disc |
Quote: 16.65 – 18.54
Spot Rate : 1.8900
Average : 1.4759
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-19
Maturity Price : 16.65
Evaluated at bid price : 16.65
Bid-YTW : 4.05 % |
| CU.PR.F |
Perpetual-Premium |
Quote: 24.98 – 25.79
Spot Rate : 0.8100
Average : 0.5539
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-19
Maturity Price : 24.73
Evaluated at bid price : 24.98
Bid-YTW : 4.55 % |
| GWO.PR.N |
FixedReset Ins Non |
Quote: 17.05 – 17.89
Spot Rate : 0.8400
Average : 0.6275
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-19
Maturity Price : 17.05
Evaluated at bid price : 17.05
Bid-YTW : 3.55 % |
| MIC.PR.A |
Perpetual-Premium |
Quote: 27.00 – 27.70
Spot Rate : 0.7000
Average : 0.4875
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2029-03-31
Maturity Price : 25.25
Evaluated at bid price : 27.00
Bid-YTW : 4.32 % |
Posted in Market Action | No Comments »
Monday, October 18th, 2021
HIMIPref™ Preferred Indices
These values reflect the December 2008 revision of the HIMIPref™ Indices
Values are provisional and are finalized monthly |
| Index |
Mean
Current
Yield
(at bid) |
Median
YTW |
Median
Average
Trading
Value |
Median
Mod Dur
(YTW) |
Issues |
Day’s Perf. |
Index Value |
| Ratchet |
0.00 % |
0.00 % |
0 |
0.00 |
0 |
-0.5232 % |
2,695.6 |
| FixedFloater |
0.00 % |
0.00 % |
0 |
0.00 |
0 |
-0.5232 % |
4,946.3 |
| Floater |
3.22 % |
3.19 % |
50,569 |
19.25 |
3 |
-0.5232 % |
2,850.5 |
| OpRet |
0.00 % |
0.00 % |
0 |
0.00 |
0 |
-0.0383 % |
3,727.0 |
| SplitShare |
4.60 % |
4.18 % |
52,476 |
3.90 |
5 |
-0.0383 % |
4,450.8 |
| Interest-Bearing |
0.00 % |
0.00 % |
0 |
0.00 |
0 |
-0.0383 % |
3,472.7 |
| Perpetual-Premium |
5.06 % |
-12.30 % |
57,029 |
0.09 |
32 |
-0.0049 % |
3,284.6 |
| Perpetual-Discount |
4.71 % |
4.83 % |
38,664 |
15.81 |
2 |
-0.4055 % |
3,874.9 |
| FixedReset Disc |
3.83 % |
3.72 % |
102,871 |
17.20 |
40 |
-0.3155 % |
2,898.5 |
| Insurance Straight |
4.89 % |
-0.18 % |
79,363 |
0.09 |
20 |
0.7886 % |
3,711.0 |
| FloatingReset |
2.63 % |
3.02 % |
27,431 |
19.69 |
2 |
-2.6942 % |
2,755.6 |
| FixedReset Prem |
4.69 % |
2.77 % |
128,158 |
1.52 |
31 |
-0.0200 % |
2,762.6 |
| FixedReset Bank Non |
0.00 % |
0.00 % |
0 |
0.00 |
0 |
-0.3155 % |
2,962.8 |
| FixedReset Ins Non |
4.03 % |
3.60 % |
100,215 |
17.35 |
19 |
0.0201 % |
2,993.1 |
| Performance Highlights |
| Issue |
Index |
Change |
Notes |
| PWF.PR.P |
FixedReset Disc |
-7.65 % |
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-18
Maturity Price : 16.65
Evaluated at bid price : 16.65
Bid-YTW : 4.05 % |
| TRP.PR.F |
FloatingReset |
-4.44 % |
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-18
Maturity Price : 17.00
Evaluated at bid price : 17.00
Bid-YTW : 3.02 % |
| BAM.PR.R |
FixedReset Disc |
-2.88 % |
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-18
Maturity Price : 20.20
Evaluated at bid price : 20.20
Bid-YTW : 4.36 % |
| BAM.PR.T |
FixedReset Disc |
-2.55 % |
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-18
Maturity Price : 20.60
Evaluated at bid price : 20.60
Bid-YTW : 4.39 % |
| SLF.PR.H |
FixedReset Ins Non |
-1.93 % |
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-18
Maturity Price : 22.22
Evaluated at bid price : 22.90
Bid-YTW : 3.61 % |
| RY.PR.M |
FixedReset Disc |
-1.29 % |
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-11-24
Maturity Price : 25.00
Evaluated at bid price : 24.45
Bid-YTW : 3.72 % |
| TD.PF.A |
FixedReset Disc |
-1.24 % |
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-18
Maturity Price : 22.92
Evaluated at bid price : 23.90
Bid-YTW : 3.64 % |
| BAM.PR.K |
Floater |
-1.22 % |
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-18
Maturity Price : 12.93
Evaluated at bid price : 12.93
Bid-YTW : 3.34 % |
| IFC.PR.G |
FixedReset Ins Non |
-1.16 % |
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2023-06-30
Maturity Price : 25.00
Evaluated at bid price : 25.55
Bid-YTW : 3.74 % |
| GWO.PR.Y |
Insurance Straight |
-1.12 % |
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-18
Maturity Price : 24.28
Evaluated at bid price : 24.65
Bid-YTW : 4.57 % |
| CU.PR.C |
FixedReset Disc |
-1.00 % |
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-18
Maturity Price : 22.12
Evaluated at bid price : 22.77
Bid-YTW : 4.03 % |
| BAM.PR.Z |
FixedReset Disc |
1.02 % |
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-18
Maturity Price : 24.46
Evaluated at bid price : 24.80
Bid-YTW : 4.32 % |
| GWO.PR.F |
Insurance Straight |
1.31 % |
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-11-17
Maturity Price : 25.00
Evaluated at bid price : 26.20
Bid-YTW : -42.42 % |
| MFC.PR.F |
FixedReset Ins Non |
1.69 % |
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-18
Maturity Price : 18.65
Evaluated at bid price : 18.65
Bid-YTW : 3.53 % |
| IFC.PR.E |
Insurance Straight |
17.98 % |
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-06-30
Maturity Price : 26.00
Evaluated at bid price : 26.25
Bid-YTW : 4.01 % |
| Volume Highlights |
| Issue |
Index |
Shares
Traded |
Notes |
| PWF.PF.A |
Perpetual-Discount |
272,220 |
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-18
Maturity Price : 24.07
Evaluated at bid price : 24.45
Bid-YTW : 4.61 % |
| CM.PR.P |
FixedReset Disc |
62,830 |
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-18
Maturity Price : 23.08
Evaluated at bid price : 24.33
Bid-YTW : 3.60 % |
| IFC.PR.I |
Perpetual-Premium |
41,878 |
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2029-03-31
Maturity Price : 25.00
Evaluated at bid price : 26.49
Bid-YTW : 4.52 % |
| GWO.PR.Y |
Insurance Straight |
37,250 |
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-18
Maturity Price : 24.28
Evaluated at bid price : 24.65
Bid-YTW : 4.57 % |
| MFC.PR.N |
FixedReset Ins Non |
34,050 |
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-18
Maturity Price : 23.05
Evaluated at bid price : 24.30
Bid-YTW : 3.64 % |
| RY.PR.Z |
FixedReset Disc |
33,309 |
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-18
Maturity Price : 23.20
Evaluated at bid price : 24.35
Bid-YTW : 3.57 % |
| There were 20 other index-included issues trading in excess of 10,000 shares. |
| Wide Spread Highlights |
| Issue |
Index |
Quote Data and Yield Notes |
| PWF.PR.P |
FixedReset Disc |
Quote: 16.65 – 18.25
Spot Rate : 1.6000
Average : 1.0219
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-18
Maturity Price : 16.65
Evaluated at bid price : 16.65
Bid-YTW : 4.05 % |
| IFC.PR.I |
Perpetual-Premium |
Quote: 26.49 – 27.69
Spot Rate : 1.2000
Average : 0.8536
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2029-03-31
Maturity Price : 25.00
Evaluated at bid price : 26.49
Bid-YTW : 4.52 % |
| TRP.PR.F |
FloatingReset |
Quote: 17.00 – 18.39
Spot Rate : 1.3900
Average : 1.0798
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-18
Maturity Price : 17.00
Evaluated at bid price : 17.00
Bid-YTW : 3.02 % |
| BAM.PR.T |
FixedReset Disc |
Quote: 20.60 – 21.45
Spot Rate : 0.8500
Average : 0.5521
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-18
Maturity Price : 20.60
Evaluated at bid price : 20.60
Bid-YTW : 4.39 % |
| IFC.PR.G |
FixedReset Ins Non |
Quote: 25.55 – 26.23
Spot Rate : 0.6800
Average : 0.4215
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2023-06-30
Maturity Price : 25.00
Evaluated at bid price : 25.55
Bid-YTW : 3.74 % |
| BAM.PR.R |
FixedReset Disc |
Quote: 20.20 – 20.92
Spot Rate : 0.7200
Average : 0.4643
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-18
Maturity Price : 20.20
Evaluated at bid price : 20.20
Bid-YTW : 4.36 % |
Posted in Market Action | No Comments »
Saturday, October 16th, 2021
HIMIPref™ Preferred Indices
These values reflect the December 2008 revision of the HIMIPref™ Indices
Values are provisional and are finalized monthly |
| Index |
Mean
Current
Yield
(at bid) |
Median
YTW |
Median
Average
Trading
Value |
Median
Mod Dur
(YTW) |
Issues |
Day’s Perf. |
Index Value |
| Ratchet |
0.00 % |
0.00 % |
0 |
0.00 |
0 |
-1.1330 % |
2,709.8 |
| FixedFloater |
0.00 % |
0.00 % |
0 |
0.00 |
0 |
-1.1330 % |
4,972.3 |
| Floater |
3.20 % |
3.20 % |
50,779 |
19.23 |
3 |
-1.1330 % |
2,865.5 |
| OpRet |
0.00 % |
0.00 % |
0 |
0.00 |
0 |
0.1150 % |
3,728.4 |
| SplitShare |
4.60 % |
4.16 % |
52,157 |
3.91 |
5 |
0.1150 % |
4,452.5 |
| Interest-Bearing |
0.00 % |
0.00 % |
0 |
0.00 |
0 |
0.1150 % |
3,474.1 |
| Perpetual-Premium |
5.06 % |
-10.03 % |
56,801 |
0.09 |
32 |
-0.1305 % |
3,284.8 |
| Perpetual-Discount |
4.69 % |
4.83 % |
35,968 |
15.82 |
2 |
-1.4986 % |
3,890.7 |
| FixedReset Disc |
3.87 % |
3.66 % |
101,975 |
17.35 |
41 |
0.4196 % |
2,907.6 |
| Insurance Straight |
4.93 % |
-1.00 % |
80,370 |
0.09 |
20 |
-0.9107 % |
3,682.0 |
| FloatingReset |
2.54 % |
2.87 % |
28,553 |
20.08 |
2 |
1.1598 % |
2,831.9 |
| FixedReset Prem |
4.69 % |
2.89 % |
128,877 |
1.53 |
31 |
0.0150 % |
2,763.1 |
| FixedReset Bank Non |
0.00 % |
0.00 % |
0 |
0.00 |
0 |
0.4196 % |
2,972.2 |
| FixedReset Ins Non |
4.03 % |
3.50 % |
99,093 |
17.50 |
19 |
0.4717 % |
2,992.5 |
| Performance Highlights |
| Issue |
Index |
Change |
Notes |
| IFC.PR.E |
Insurance Straight |
-15.24 % |
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-15
Maturity Price : 21.94
Evaluated at bid price : 22.25
Bid-YTW : 5.89 % |
| BAM.PR.K |
Floater |
-3.75 % |
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-15
Maturity Price : 13.09
Evaluated at bid price : 13.09
Bid-YTW : 3.29 % |
| GWO.PR.F |
Insurance Straight |
-1.93 % |
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-11-14
Maturity Price : 25.00
Evaluated at bid price : 25.86
Bid-YTW : -29.88 % |
| RY.PR.M |
FixedReset Disc |
1.31 % |
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-11-24
Maturity Price : 25.00
Evaluated at bid price : 24.77
Bid-YTW : 3.37 % |
| FTS.PR.M |
FixedReset Disc |
1.52 % |
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-15
Maturity Price : 22.65
Evaluated at bid price : 23.40
Bid-YTW : 3.96 % |
| IFC.PR.G |
FixedReset Ins Non |
1.57 % |
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2023-06-30
Maturity Price : 25.00
Evaluated at bid price : 25.85
Bid-YTW : 2.99 % |
| BAM.PR.X |
FixedReset Disc |
1.67 % |
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-15
Maturity Price : 18.30
Evaluated at bid price : 18.30
Bid-YTW : 4.12 % |
| GWO.PR.N |
FixedReset Ins Non |
2.26 % |
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-15
Maturity Price : 17.20
Evaluated at bid price : 17.20
Bid-YTW : 3.43 % |
| SLF.PR.J |
FloatingReset |
2.40 % |
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-15
Maturity Price : 17.10
Evaluated at bid price : 17.10
Bid-YTW : 2.23 % |
| BAM.PR.R |
FixedReset Disc |
2.97 % |
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-15
Maturity Price : 20.80
Evaluated at bid price : 20.80
Bid-YTW : 4.16 % |
| MFC.PR.F |
FixedReset Ins Non |
6.63 % |
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-15
Maturity Price : 18.34
Evaluated at bid price : 18.34
Bid-YTW : 3.51 % |
| TRP.PR.C |
FixedReset Disc |
6.87 % |
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-15
Maturity Price : 16.03
Evaluated at bid price : 16.03
Bid-YTW : 4.02 % |
| Volume Highlights |
| Issue |
Index |
Shares
Traded |
Notes |
| PWF.PF.A |
Perpetual-Discount |
736,260 |
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-15
Maturity Price : 24.26
Evaluated at bid price : 24.65
Bid-YTW : 4.56 % |
| MFC.PR.K |
FixedReset Ins Non |
288,189 |
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-15
Maturity Price : 23.35
Evaluated at bid price : 24.37
Bid-YTW : 3.55 % |
| IFC.PR.I |
Perpetual-Premium |
175,711 |
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2029-03-31
Maturity Price : 25.00
Evaluated at bid price : 26.40
Bid-YTW : 4.57 % |
| SLF.PR.G |
FixedReset Ins Non |
170,665 |
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-15
Maturity Price : 17.80
Evaluated at bid price : 17.80
Bid-YTW : 3.49 % |
| CU.PR.E |
Perpetual-Premium |
164,182 |
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-11-14
Maturity Price : 25.00
Evaluated at bid price : 25.20
Bid-YTW : 2.34 % |
| PWF.PR.H |
Perpetual-Premium |
163,384 |
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-11-14
Maturity Price : 25.00
Evaluated at bid price : 25.40
Bid-YTW : -15.97 % |
| IFC.PR.F |
Insurance Straight |
162,291 |
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-09-30
Maturity Price : 25.25
Evaluated at bid price : 26.00
Bid-YTW : 4.51 % |
| BIP.PR.B |
FixedReset Prem |
142,258 |
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-12-31
Maturity Price : 25.00
Evaluated at bid price : 25.97
Bid-YTW : 4.57 % |
| There were 32 other index-included issues trading in excess of 10,000 shares. |
| Wide Spread Highlights |
| Issue |
Index |
Quote Data and Yield Notes |
| IFC.PR.E |
Insurance Straight |
Quote: 22.25 – 26.60
Spot Rate : 4.3500
Average : 2.4368
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-15
Maturity Price : 21.94
Evaluated at bid price : 22.25
Bid-YTW : 5.89 % |
| TRP.PR.F |
FloatingReset |
Quote: 17.79 – 18.86
Spot Rate : 1.0700
Average : 0.7396
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-15
Maturity Price : 17.79
Evaluated at bid price : 17.79
Bid-YTW : 2.87 % |
| GWO.PR.F |
Insurance Straight |
Quote: 25.86 – 26.43
Spot Rate : 0.5700
Average : 0.3376
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-11-14
Maturity Price : 25.00
Evaluated at bid price : 25.86
Bid-YTW : -29.88 % |
| BAM.PF.D |
Perpetual-Premium |
Quote: 25.03 – 25.58
Spot Rate : 0.5500
Average : 0.3680
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-15
Maturity Price : 24.72
Evaluated at bid price : 25.03
Bid-YTW : 4.92 % |
| BAM.PR.K |
Floater |
Quote: 13.09 – 13.64
Spot Rate : 0.5500
Average : 0.3685
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-15
Maturity Price : 13.09
Evaluated at bid price : 13.09
Bid-YTW : 3.29 % |
| FTS.PR.F |
Perpetual-Premium |
Quote: 25.65 – 26.31
Spot Rate : 0.6600
Average : 0.4828
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-11-14
Maturity Price : 25.00
Evaluated at bid price : 25.65
Bid-YTW : -18.33 % |
Posted in Market Action | No Comments »
Thursday, October 14th, 2021
HIMIPref™ Preferred Indices
These values reflect the December 2008 revision of the HIMIPref™ Indices
Values are provisional and are finalized monthly |
| Index |
Mean
Current
Yield
(at bid) |
Median
YTW |
Median
Average
Trading
Value |
Median
Mod Dur
(YTW) |
Issues |
Day’s Perf. |
Index Value |
| Ratchet |
0.00 % |
0.00 % |
0 |
0.00 |
0 |
0.6695 % |
2,740.8 |
| FixedFloater |
0.00 % |
0.00 % |
0 |
0.00 |
0 |
0.6695 % |
5,029.2 |
| Floater |
3.17 % |
3.18 % |
49,501 |
19.29 |
3 |
0.6695 % |
2,898.4 |
| OpRet |
0.00 % |
0.00 % |
0 |
0.00 |
0 |
-0.0575 % |
3,724.1 |
| SplitShare |
4.60 % |
4.18 % |
50,198 |
3.91 |
5 |
-0.0575 % |
4,447.4 |
| Interest-Bearing |
0.00 % |
0.00 % |
0 |
0.00 |
0 |
-0.0575 % |
3,470.1 |
| Perpetual-Premium |
5.06 % |
-13.88 % |
55,819 |
0.09 |
32 |
-0.0329 % |
3,289.1 |
| Perpetual-Discount |
4.81 % |
4.82 % |
36,479 |
15.83 |
1 |
-0.2424 % |
3,949.9 |
| FixedReset Disc |
3.87 % |
3.67 % |
96,752 |
17.37 |
41 |
0.2769 % |
2,895.5 |
| Insurance Straight |
4.89 % |
-1.20 % |
81,016 |
0.09 |
20 |
-0.0841 % |
3,715.8 |
| FloatingReset |
2.57 % |
2.87 % |
28,110 |
20.08 |
2 |
-0.8908 % |
2,799.4 |
| FixedReset Prem |
4.69 % |
2.84 % |
128,225 |
1.99 |
31 |
0.0963 % |
2,762.7 |
| FixedReset Bank Non |
0.00 % |
0.00 % |
0 |
0.00 |
0 |
0.2769 % |
2,959.8 |
| FixedReset Ins Non |
4.05 % |
3.52 % |
94,545 |
17.54 |
19 |
-0.0090 % |
2,978.4 |
| Performance Highlights |
| Issue |
Index |
Change |
Notes |
| TRP.PR.C |
FixedReset Disc |
-4.21 % |
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-14
Maturity Price : 15.00
Evaluated at bid price : 15.00
Bid-YTW : 4.29 % |
| BAM.PR.R |
FixedReset Disc |
-2.88 % |
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-14
Maturity Price : 20.20
Evaluated at bid price : 20.20
Bid-YTW : 4.29 % |
| IFC.PR.F |
Insurance Straight |
-2.05 % |
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-09-30
Maturity Price : 25.25
Evaluated at bid price : 25.82
Bid-YTW : 4.71 % |
| IFC.PR.A |
FixedReset Ins Non |
-1.36 % |
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-14
Maturity Price : 21.11
Evaluated at bid price : 21.11
Bid-YTW : 3.52 % |
| SLF.PR.J |
FloatingReset |
-1.18 % |
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-14
Maturity Price : 16.70
Evaluated at bid price : 16.70
Bid-YTW : 2.28 % |
| BAM.PR.N |
Perpetual-Premium |
-1.15 % |
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-14
Maturity Price : 24.60
Evaluated at bid price : 24.86
Bid-YTW : 4.80 % |
| BAM.PF.D |
Perpetual-Premium |
-1.15 % |
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-14
Maturity Price : 24.70
Evaluated at bid price : 25.00
Bid-YTW : 4.92 % |
| PVS.PR.J |
SplitShare |
-1.14 % |
YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2028-02-29
Maturity Price : 25.00
Evaluated at bid price : 25.21
Bid-YTW : 4.35 % |
| GWO.PR.T |
Insurance Straight |
-1.12 % |
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-06-30
Maturity Price : 26.00
Evaluated at bid price : 26.40
Bid-YTW : 3.06 % |
| BAM.PR.X |
FixedReset Disc |
-1.10 % |
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-14
Maturity Price : 18.00
Evaluated at bid price : 18.00
Bid-YTW : 4.19 % |
| TRP.PR.A |
FixedReset Disc |
1.04 % |
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-14
Maturity Price : 19.45
Evaluated at bid price : 19.45
Bid-YTW : 4.12 % |
| TRP.PR.B |
FixedReset Disc |
1.22 % |
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-14
Maturity Price : 14.05
Evaluated at bid price : 14.05
Bid-YTW : 4.18 % |
| RS.PR.A |
SplitShare |
1.38 % |
YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-12-31
Maturity Price : 10.00
Evaluated at bid price : 11.00
Bid-YTW : 2.79 % |
| FTS.PR.K |
FixedReset Disc |
1.40 % |
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-14
Maturity Price : 21.45
Evaluated at bid price : 21.80
Bid-YTW : 3.84 % |
| NA.PR.W |
FixedReset Disc |
1.44 % |
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-14
Maturity Price : 23.18
Evaluated at bid price : 24.60
Bid-YTW : 3.46 % |
| BAM.PR.B |
Floater |
1.50 % |
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-14
Maturity Price : 13.55
Evaluated at bid price : 13.55
Bid-YTW : 3.18 % |
| CU.PR.C |
FixedReset Disc |
1.78 % |
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-14
Maturity Price : 22.16
Evaluated at bid price : 22.84
Bid-YTW : 3.93 % |
| BAM.PR.T |
FixedReset Disc |
3.45 % |
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-14
Maturity Price : 21.00
Evaluated at bid price : 21.00
Bid-YTW : 4.21 % |
| PWF.PR.P |
FixedReset Disc |
8.71 % |
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-14
Maturity Price : 18.10
Evaluated at bid price : 18.10
Bid-YTW : 3.64 % |
| Volume Highlights |
| Issue |
Index |
Shares
Traded |
Notes |
| GWO.PR.Y |
Insurance Straight |
162,378 |
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-14
Maturity Price : 24.57
Evaluated at bid price : 24.96
Bid-YTW : 4.51 % |
| BNS.PR.H |
FixedReset Prem |
130,885 |
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-01-26
Maturity Price : 25.00
Evaluated at bid price : 25.20
Bid-YTW : 1.43 % |
| PWF.PR.H |
Perpetual-Premium |
62,800 |
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-11-13
Maturity Price : 25.00
Evaluated at bid price : 25.38
Bid-YTW : -15.26 % |
| BAM.PR.C |
Floater |
50,785 |
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-14
Maturity Price : 13.45
Evaluated at bid price : 13.45
Bid-YTW : 3.20 % |
| PWF.PR.P |
FixedReset Disc |
49,500 |
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-14
Maturity Price : 18.10
Evaluated at bid price : 18.10
Bid-YTW : 3.64 % |
| SLF.PR.G |
FixedReset Ins Non |
47,240 |
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-14
Maturity Price : 17.85
Evaluated at bid price : 17.85
Bid-YTW : 3.48 % |
| There were 27 other index-included issues trading in excess of 10,000 shares. |
| Wide Spread Highlights |
| Issue |
Index |
Quote Data and Yield Notes |
| TRP.PR.C |
FixedReset Disc |
Quote: 15.00 – 16.02
Spot Rate : 1.0200
Average : 0.6282
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-14
Maturity Price : 15.00
Evaluated at bid price : 15.00
Bid-YTW : 4.29 % |
| BAM.PR.R |
FixedReset Disc |
Quote: 20.20 – 20.75
Spot Rate : 0.5500
Average : 0.3310
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-14
Maturity Price : 20.20
Evaluated at bid price : 20.20
Bid-YTW : 4.29 % |
| RY.PR.N |
Perpetual-Premium |
Quote: 26.20 – 26.85
Spot Rate : 0.6500
Average : 0.4816
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-11-24
Maturity Price : 25.75
Evaluated at bid price : 26.20
Bid-YTW : -4.77 % |
| SLF.PR.J |
FloatingReset |
Quote: 16.70 – 17.30
Spot Rate : 0.6000
Average : 0.4641
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-14
Maturity Price : 16.70
Evaluated at bid price : 16.70
Bid-YTW : 2.28 % |
| MFC.PR.F |
FixedReset Ins Non |
Quote: 17.20 – 18.45
Spot Rate : 1.2500
Average : 1.1175
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-14
Maturity Price : 17.20
Evaluated at bid price : 17.20
Bid-YTW : 3.74 % |
| BMO.PR.W |
FixedReset Disc |
Quote: 24.50 – 24.93
Spot Rate : 0.4300
Average : 0.2981
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-14
Maturity Price : 23.17
Evaluated at bid price : 24.50
Bid-YTW : 3.50 % |
Posted in Market Action | No Comments »
Wednesday, October 13th, 2021
Long corporates are now at 3.53%.
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 |
0.5736 % |
2,722.6 |
| FixedFloater |
0.00 % |
0.00 % |
0 |
0.00 |
0 |
0.5736 % |
4,995.8 |
| Floater |
3.19 % |
3.20 % |
48,991 |
19.25 |
3 |
0.5736 % |
2,879.1 |
| OpRet |
0.00 % |
0.00 % |
0 |
0.00 |
0 |
0.2690 % |
3,726.3 |
| SplitShare |
4.60 % |
4.04 % |
48,771 |
3.92 |
5 |
0.2690 % |
4,450.0 |
| Interest-Bearing |
0.00 % |
0.00 % |
0 |
0.00 |
0 |
0.2690 % |
3,472.1 |
| Perpetual-Premium |
5.06 % |
-10.80 % |
57,483 |
0.09 |
32 |
-0.0488 % |
3,290.2 |
| Perpetual-Discount |
0.00 % |
0.00 % |
0 |
0.00 |
1 |
-0.0488 % |
3,959.5 |
| FixedReset Disc |
3.88 % |
3.83 % |
97,166 |
17.32 |
41 |
-0.5985 % |
2,887.5 |
| Insurance Straight |
4.88 % |
-0.35 % |
84,372 |
0.09 |
20 |
0.0137 % |
3,719.0 |
| FloatingReset |
2.55 % |
2.85 % |
28,498 |
20.13 |
2 |
0.8696 % |
2,824.6 |
| FixedReset Prem |
4.70 % |
2.85 % |
129,759 |
1.53 |
31 |
-0.1112 % |
2,760.1 |
| FixedReset Bank Non |
0.00 % |
0.00 % |
0 |
0.00 |
0 |
-0.5985 % |
2,951.6 |
| FixedReset Ins Non |
4.05 % |
3.55 % |
94,995 |
17.56 |
19 |
-0.4828 % |
2,978.7 |
| Performance Highlights |
| Issue |
Index |
Change |
Notes |
| PWF.PR.P |
FixedReset Disc |
-7.55 % |
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-13
Maturity Price : 16.65
Evaluated at bid price : 16.65
Bid-YTW : 3.96 % |
| MFC.PR.F |
FixedReset Ins Non |
-5.55 % |
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-13
Maturity Price : 17.20
Evaluated at bid price : 17.20
Bid-YTW : 3.74 % |
| BAM.PR.T |
FixedReset Disc |
-4.02 % |
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-13
Maturity Price : 20.30
Evaluated at bid price : 20.30
Bid-YTW : 4.35 % |
| NA.PR.W |
FixedReset Disc |
-1.66 % |
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-13
Maturity Price : 23.04
Evaluated at bid price : 24.25
Bid-YTW : 3.52 % |
| CU.PR.C |
FixedReset Disc |
-1.58 % |
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-13
Maturity Price : 21.91
Evaluated at bid price : 22.44
Bid-YTW : 4.01 % |
| BAM.PR.B |
Floater |
-1.48 % |
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-13
Maturity Price : 13.35
Evaluated at bid price : 13.35
Bid-YTW : 3.23 % |
| FTS.PR.K |
FixedReset Disc |
-1.42 % |
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-13
Maturity Price : 21.50
Evaluated at bid price : 21.50
Bid-YTW : 3.92 % |
| IFC.PR.I |
Perpetual-Premium |
-1.29 % |
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2027-03-31
Maturity Price : 25.50
Evaluated at bid price : 26.75
Bid-YTW : 4.35 % |
| FTS.PR.H |
FixedReset Disc |
-1.28 % |
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-13
Maturity Price : 16.15
Evaluated at bid price : 16.15
Bid-YTW : 3.91 % |
| SLF.PR.H |
FixedReset Ins Non |
-1.23 % |
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-13
Maturity Price : 22.39
Evaluated at bid price : 23.20
Bid-YTW : 3.48 % |
| RY.PR.M |
FixedReset Disc |
-1.21 % |
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-13
Maturity Price : 23.02
Evaluated at bid price : 24.41
Bid-YTW : 3.68 % |
| TRP.PR.A |
FixedReset Disc |
-1.13 % |
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-13
Maturity Price : 19.25
Evaluated at bid price : 19.25
Bid-YTW : 4.16 % |
| BAM.PF.G |
FixedReset Disc |
-1.07 % |
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-13
Maturity Price : 22.45
Evaluated at bid price : 23.15
Bid-YTW : 4.18 % |
| GWO.PR.N |
FixedReset Ins Non |
-1.06 % |
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-13
Maturity Price : 16.82
Evaluated at bid price : 16.82
Bid-YTW : 3.50 % |
| BAM.PF.A |
FixedReset Prem |
-1.02 % |
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-13
Maturity Price : 23.63
Evaluated at bid price : 25.11
Bid-YTW : 4.10 % |
| BAM.PF.H |
FixedReset Prem |
-1.01 % |
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-12-31
Maturity Price : 25.00
Evaluated at bid price : 27.50
Bid-YTW : 2.55 % |
| BAM.PR.Z |
FixedReset Disc |
-1.00 % |
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-13
Maturity Price : 24.27
Evaluated at bid price : 24.65
Bid-YTW : 4.26 % |
| SLF.PR.J |
FloatingReset |
2.42 % |
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-13
Maturity Price : 16.90
Evaluated at bid price : 16.90
Bid-YTW : 2.26 % |
| BAM.PR.K |
Floater |
3.05 % |
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-13
Maturity Price : 13.50
Evaluated at bid price : 13.50
Bid-YTW : 3.19 % |
| Volume Highlights |
| Issue |
Index |
Shares
Traded |
Notes |
| BNS.PR.H |
FixedReset Prem |
58,300 |
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-01-26
Maturity Price : 25.00
Evaluated at bid price : 25.19
Bid-YTW : 1.55 % |
| BMO.PR.S |
FixedReset Disc |
54,900 |
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-13
Maturity Price : 23.31
Evaluated at bid price : 24.62
Bid-YTW : 3.57 % |
| IFC.PR.F |
Insurance Straight |
51,800 |
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-09-30
Maturity Price : 26.00
Evaluated at bid price : 26.36
Bid-YTW : 3.85 % |
| TRP.PR.D |
FixedReset Disc |
47,300 |
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-13
Maturity Price : 21.66
Evaluated at bid price : 22.10
Bid-YTW : 4.07 % |
| GWO.PR.N |
FixedReset Ins Non |
46,200 |
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-13
Maturity Price : 16.82
Evaluated at bid price : 16.82
Bid-YTW : 3.50 % |
| GWO.PR.Y |
Insurance Straight |
41,310 |
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-13
Maturity Price : 24.54
Evaluated at bid price : 24.93
Bid-YTW : 4.52 % |
| There were 18 other index-included issues trading in excess of 10,000 shares. |
| Wide Spread Highlights |
| Issue |
Index |
Quote Data and Yield Notes |
| PWF.PR.P |
FixedReset Disc |
Quote: 16.65 – 18.23
Spot Rate : 1.5800
Average : 1.0569
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-13
Maturity Price : 16.65
Evaluated at bid price : 16.65
Bid-YTW : 3.96 % |
| MFC.PR.F |
FixedReset Ins Non |
Quote: 17.20 – 18.50
Spot Rate : 1.3000
Average : 0.9722
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-13
Maturity Price : 17.20
Evaluated at bid price : 17.20
Bid-YTW : 3.74 % |
| BAM.PR.T |
FixedReset Disc |
Quote: 20.30 – 21.20
Spot Rate : 0.9000
Average : 0.6117
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-13
Maturity Price : 20.30
Evaluated at bid price : 20.30
Bid-YTW : 4.35 % |
| NA.PR.W |
FixedReset Disc |
Quote: 24.25 – 24.68
Spot Rate : 0.4300
Average : 0.2544
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-13
Maturity Price : 23.04
Evaluated at bid price : 24.25
Bid-YTW : 3.52 % |
| FTS.PR.K |
FixedReset Disc |
Quote: 21.50 – 22.00
Spot Rate : 0.5000
Average : 0.3286
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-13
Maturity Price : 21.50
Evaluated at bid price : 21.50
Bid-YTW : 3.92 % |
| BAM.PF.H |
FixedReset Prem |
Quote: 27.50 – 27.94
Spot Rate : 0.4400
Average : 0.2801
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-12-31
Maturity Price : 25.00
Evaluated at bid price : 27.50
Bid-YTW : 2.55 % |
Posted in Market Action | No Comments »
Tuesday, October 12th, 2021
HIMIPref™ Preferred Indices
These values reflect the December 2008 revision of the HIMIPref™ Indices
Values are provisional and are finalized monthly |
| Index |
Mean
Current
Yield
(at bid) |
Median
YTW |
Median
Average
Trading
Value |
Median
Mod Dur
(YTW) |
Issues |
Day’s Perf. |
Index Value |
| Ratchet |
0.00 % |
0.00 % |
0 |
0.00 |
0 |
0.0000 % |
2,707.1 |
| FixedFloater |
0.00 % |
0.00 % |
0 |
0.00 |
0 |
0.0000 % |
4,967.3 |
| Floater |
3.21 % |
3.20 % |
47,951 |
19.24 |
3 |
0.0000 % |
2,862.7 |
| OpRet |
0.00 % |
0.00 % |
0 |
0.00 |
0 |
0.5479 % |
3,716.3 |
| SplitShare |
4.62 % |
3.77 % |
48,781 |
3.79 |
6 |
0.5479 % |
4,438.0 |
| Interest-Bearing |
0.00 % |
0.00 % |
0 |
0.00 |
0 |
0.5479 % |
3,462.7 |
| Perpetual-Premium |
5.05 % |
-4.55 % |
57,265 |
0.09 |
34 |
-0.2782 % |
3,291.8 |
| Perpetual-Discount |
0.00 % |
0.00 % |
0 |
0.00 |
0 |
-0.2782 % |
3,961.4 |
| FixedReset Disc |
3.84 % |
3.66 % |
97,597 |
17.40 |
39 |
0.4312 % |
2,904.9 |
| Insurance Straight |
4.88 % |
-1.96 % |
85,326 |
0.09 |
20 |
-0.0235 % |
3,718.5 |
| FloatingReset |
2.82 % |
2.83 % |
28,526 |
20.17 |
1 |
1.6949 % |
2,800.2 |
| FixedReset Prem |
4.66 % |
2.90 % |
132,351 |
1.99 |
33 |
0.0812 % |
2,763.1 |
| FixedReset Bank Non |
0.00 % |
0.00 % |
0 |
0.00 |
0 |
0.4312 % |
2,969.4 |
| FixedReset Ins Non |
4.03 % |
3.49 % |
94,423 |
17.56 |
19 |
0.5483 % |
2,993.1 |
| Performance Highlights |
| Issue |
Index |
Change |
Notes |
| BAM.PR.M |
Perpetual-Premium |
-2.04 % |
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-12
Maturity Price : 24.68
Evaluated at bid price : 25.00
Bid-YTW : 4.77 % |
| RY.PR.P |
Perpetual-Premium |
-1.25 % |
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-11-11
Maturity Price : 26.00
Evaluated at bid price : 26.87
Bid-YTW : -25.13 % |
| CU.PR.H |
Perpetual-Premium |
-1.15 % |
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2023-09-01
Maturity Price : 25.25
Evaluated at bid price : 25.81
Bid-YTW : 4.32 % |
| BAM.PF.B |
FixedReset Disc |
1.06 % |
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-12
Maturity Price : 22.99
Evaluated at bid price : 23.85
Bid-YTW : 4.07 % |
| IFC.PR.I |
Perpetual-Premium |
1.08 % |
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-03-31
Maturity Price : 26.00
Evaluated at bid price : 27.10
Bid-YTW : 3.96 % |
| BAM.PR.T |
FixedReset Disc |
1.15 % |
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-12
Maturity Price : 21.15
Evaluated at bid price : 21.15
Bid-YTW : 4.18 % |
| CU.PR.C |
FixedReset Disc |
1.29 % |
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-12
Maturity Price : 22.13
Evaluated at bid price : 22.80
Bid-YTW : 3.93 % |
| FTS.PR.H |
FixedReset Disc |
1.30 % |
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-12
Maturity Price : 16.36
Evaluated at bid price : 16.36
Bid-YTW : 3.86 % |
| FTS.PR.G |
FixedReset Disc |
1.39 % |
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-12
Maturity Price : 22.29
Evaluated at bid price : 22.61
Bid-YTW : 3.81 % |
| CM.PR.Q |
FixedReset Disc |
1.42 % |
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-07-31
Maturity Price : 25.00
Evaluated at bid price : 24.95
Bid-YTW : 3.17 % |
| TRP.PR.F |
FloatingReset |
1.69 % |
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-12
Maturity Price : 18.00
Evaluated at bid price : 18.00
Bid-YTW : 2.83 % |
| RS.PR.A |
SplitShare |
2.67 % |
YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-12-31
Maturity Price : 10.00
Evaluated at bid price : 10.75
Bid-YTW : 3.39 % |
| SLF.PR.G |
FixedReset Ins Non |
2.89 % |
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-12
Maturity Price : 17.80
Evaluated at bid price : 17.80
Bid-YTW : 3.49 % |
| MFC.PR.F |
FixedReset Ins Non |
5.87 % |
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-12
Maturity Price : 18.21
Evaluated at bid price : 18.21
Bid-YTW : 3.53 % |
| Volume Highlights |
| Issue |
Index |
Shares
Traded |
Notes |
| GWO.PR.Y |
Insurance Straight |
158,496 |
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-12
Maturity Price : 24.51
Evaluated at bid price : 24.90
Bid-YTW : 4.52 % |
| RS.PR.A |
SplitShare |
69,400 |
YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-12-31
Maturity Price : 10.00
Evaluated at bid price : 10.75
Bid-YTW : 3.39 % |
| TD.PF.D |
FixedReset Disc |
54,380 |
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-07-31
Maturity Price : 25.00
Evaluated at bid price : 24.86
Bid-YTW : 3.33 % |
| TD.PF.L |
FixedReset Prem |
43,490 |
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-04-30
Maturity Price : 25.00
Evaluated at bid price : 26.35
Bid-YTW : 2.89 % |
| TRP.PR.C |
FixedReset Disc |
33,280 |
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-12
Maturity Price : 15.73
Evaluated at bid price : 15.73
Bid-YTW : 4.09 % |
| PWF.PR.F |
Perpetual-Premium |
21,415 |
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-11-11
Maturity Price : 25.00
Evaluated at bid price : 25.40
Bid-YTW : -16.67 % |
| There were 12 other index-included issues trading in excess of 10,000 shares. |
| Wide Spread Highlights |
| Issue |
Index |
Quote Data and Yield Notes |
| GWO.PR.N |
FixedReset Ins Non |
Quote: 17.00 – 18.30
Spot Rate : 1.3000
Average : 0.8086
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-12
Maturity Price : 17.00
Evaluated at bid price : 17.00
Bid-YTW : 3.46 % |
| PWF.PR.Z |
Perpetual-Premium |
Quote: 25.84 – 26.60
Spot Rate : 0.7600
Average : 0.4830
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-07-31
Maturity Price : 25.25
Evaluated at bid price : 25.84
Bid-YTW : 4.38 % |
| CU.PR.H |
Perpetual-Premium |
Quote: 25.81 – 26.45
Spot Rate : 0.6400
Average : 0.4818
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2023-09-01
Maturity Price : 25.25
Evaluated at bid price : 25.81
Bid-YTW : 4.32 % |
| BAM.PR.M |
Perpetual-Premium |
Quote: 25.00 – 25.50
Spot Rate : 0.5000
Average : 0.3438
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-12
Maturity Price : 24.68
Evaluated at bid price : 25.00
Bid-YTW : 4.77 % |
| PVS.PR.J |
SplitShare |
Quote: 25.40 – 25.80
Spot Rate : 0.4000
Average : 0.2476
YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2028-02-29
Maturity Price : 25.00
Evaluated at bid price : 25.40
Bid-YTW : 4.21 % |
| CU.PR.F |
Perpetual-Premium |
Quote: 25.23 – 25.79
Spot Rate : 0.5600
Average : 0.4155
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-06-01
Maturity Price : 25.00
Evaluated at bid price : 25.23
Bid-YTW : 3.88 % |
Posted in Market Action | No Comments »
