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September 12, 2024

Thursday, September 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 0.1720 % 2,221.9
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.1720 % 4,261.5
Floater 9.69 % 10.01 % 81,690 9.41 2 0.1720 % 2,455.9
OpRet 0.00 % 0.00 % 0 0.00 0 0.3987 % 3,551.6
SplitShare 4.68 % 5.55 % 37,463 1.09 4 0.3987 % 4,241.3
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.3987 % 3,309.3
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 0.3651 % 2,927.4
Perpetual-Discount 5.88 % 6.05 % 57,786 13.79 31 0.3651 % 3,192.2
FixedReset Disc 5.47 % 6.63 % 111,847 12.92 58 0.2323 % 2,669.7
Insurance Straight 5.76 % 5.84 % 65,372 14.18 20 0.4968 % 3,142.9
FloatingReset 8.25 % 8.41 % 31,049 10.83 2 0.2581 % 2,785.7
FixedReset Prem 6.45 % 5.54 % 204,260 13.56 7 0.0725 % 2,567.7
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 0.2323 % 2,728.9
FixedReset Ins Non 5.17 % 5.94 % 97,514 14.03 14 0.5532 % 2,842.2
Performance Highlights
Issue Index Change Notes
BN.PF.B FixedReset Disc -5.95 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-12
Maturity Price : 20.70
Evaluated at bid price : 20.70
Bid-YTW : 7.00 %
BN.PF.I FixedReset Disc -3.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-12
Maturity Price : 22.09
Evaluated at bid price : 22.40
Bid-YTW : 7.31 %
FTS.PR.J Perpetual-Discount -1.36 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-12
Maturity Price : 20.96
Evaluated at bid price : 20.96
Bid-YTW : 5.72 %
SLF.PR.C Insurance Straight 1.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-12
Maturity Price : 20.62
Evaluated at bid price : 20.62
Bid-YTW : 5.41 %
SLF.PR.E Insurance Straight 1.21 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-12
Maturity Price : 20.85
Evaluated at bid price : 20.85
Bid-YTW : 5.41 %
POW.PR.A Perpetual-Discount 1.28 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-12
Maturity Price : 23.36
Evaluated at bid price : 23.65
Bid-YTW : 6.02 %
PVS.PR.K SplitShare 1.42 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2029-05-31
Maturity Price : 25.00
Evaluated at bid price : 24.35
Bid-YTW : 5.12 %
PWF.PR.L Perpetual-Discount 1.71 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-12
Maturity Price : 21.36
Evaluated at bid price : 21.36
Bid-YTW : 6.06 %
BN.PR.X FixedReset Disc 3.80 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-12
Maturity Price : 16.92
Evaluated at bid price : 16.92
Bid-YTW : 6.97 %
PWF.PR.R Perpetual-Discount 5.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-12
Maturity Price : 22.67
Evaluated at bid price : 22.91
Bid-YTW : 6.08 %
MFC.PR.B Insurance Straight 6.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-12
Maturity Price : 20.57
Evaluated at bid price : 20.57
Bid-YTW : 5.68 %
BN.PF.E FixedReset Disc 6.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-12
Maturity Price : 18.35
Evaluated at bid price : 18.35
Bid-YTW : 7.33 %
SLF.PR.H FixedReset Ins Non 8.61 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-12
Maturity Price : 19.55
Evaluated at bid price : 19.55
Bid-YTW : 6.03 %
BIP.PR.A FixedReset Disc 12.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-12
Maturity Price : 21.30
Evaluated at bid price : 21.30
Bid-YTW : 7.34 %
Volume Highlights
Issue Index Shares
Traded		 Notes
NA.PR.W FixedReset Disc 98,600 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-12
Maturity Price : 22.23
Evaluated at bid price : 22.96
Bid-YTW : 5.48 %
PWF.PR.O Perpetual-Discount 46,500 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-12
Maturity Price : 23.73
Evaluated at bid price : 24.04
Bid-YTW : 6.11 %
TD.PF.D FixedReset Disc 34,500 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-12
Maturity Price : 23.38
Evaluated at bid price : 23.97
Bid-YTW : 5.72 %
IFC.PR.C FixedReset Ins Non 26,300 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-12
Maturity Price : 21.22
Evaluated at bid price : 21.22
Bid-YTW : 6.21 %
RY.PR.M FixedReset Disc 24,200 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-12
Maturity Price : 23.20
Evaluated at bid price : 23.70
Bid-YTW : 5.54 %
BN.PF.F FixedReset Disc 22,600 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-12
Maturity Price : 20.81
Evaluated at bid price : 20.81
Bid-YTW : 6.93 %
There were 11 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
BN.PF.B FixedReset Disc Quote: 20.70 – 22.22
Spot Rate : 1.5200
Average : 0.9019

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-12
Maturity Price : 20.70
Evaluated at bid price : 20.70
Bid-YTW : 7.00 %
BN.PF.I FixedReset Disc Quote: 22.40 – 24.00
Spot Rate : 1.6000
Average : 1.2528

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-12
Maturity Price : 22.09
Evaluated at bid price : 22.40
Bid-YTW : 7.31 %
BN.PF.G FixedReset Disc Quote: 15.80 – 19.00
Spot Rate : 3.2000
Average : 2.8947

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-12
Maturity Price : 15.80
Evaluated at bid price : 15.80
Bid-YTW : 8.84 %
POW.PR.D Perpetual-Discount Quote: 21.06 – 21.80
Spot Rate : 0.7400
Average : 0.4795

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-12
Maturity Price : 21.06
Evaluated at bid price : 21.06
Bid-YTW : 6.05 %
ENB.PR.A Perpetual-Discount Quote: 22.91 – 23.69
Spot Rate : 0.7800
Average : 0.5414

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-12
Maturity Price : 22.67
Evaluated at bid price : 22.91
Bid-YTW : 6.05 %
MFC.PR.J FixedReset Ins Non Quote: 24.44 – 24.85
Spot Rate : 0.4100
Average : 0.2618

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-12
Maturity Price : 23.10
Evaluated at bid price : 24.44
Bid-YTW : 5.66 %

Posted in Market Action | No Comments »

September 11, 2024

Wednesday, September 11th, 2024

PerpetualDiscounts now yield 6.04%, equivalent to 7.85% interest at the standard equivalency factor of 1.3x. Long corporates yielded 4.96% on 2024-8-31 (I assume they meant to write 2024-8-30) and since then the closing price of ZLC has changed from 15.15 to 15.51, an increase of 238bp in price, implying a decrease of yields of 19bp (BMO reports a duration of 12.35, but don’t disclose whether this is Macaulay or Modified; I will assume Modified) to 4.77%. Therefore, the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) has widened slightly (and perhaps spuriously) to 310bp from the 305bp reported September 4.

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 -0.1717 % 2,218.0
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.1717 % 4,254.2
Floater 9.71 % 9.97 % 80,981 9.44 2 -0.1717 % 2,451.7
OpRet 0.00 % 0.00 % 0 0.00 0 -0.1531 % 3,537.5
SplitShare 4.70 % 5.72 % 33,968 1.10 4 -0.1531 % 4,224.5
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.1531 % 3,296.1
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 -0.2177 % 2,916.7
Perpetual-Discount 5.90 % 6.04 % 58,602 13.78 31 -0.2177 % 3,180.6
FixedReset Disc 5.48 % 6.60 % 111,708 12.90 58 -0.4487 % 2,663.5
Insurance Straight 5.79 % 5.84 % 65,765 14.08 20 0.1116 % 3,127.4
FloatingReset 8.27 % 8.38 % 32,324 10.85 2 0.2587 % 2,778.5
FixedReset Prem 6.45 % 5.55 % 212,614 13.54 7 -0.0223 % 2,565.9
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 -0.4487 % 2,722.6
FixedReset Ins Non 5.20 % 5.95 % 100,866 13.97 14 -0.8734 % 2,826.6
Performance Highlights
Issue Index Change Notes
BIP.PR.A FixedReset Disc -12.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-11
Maturity Price : 19.00
Evaluated at bid price : 19.00
Bid-YTW : 8.21 %
ENB.PF.G FixedReset Disc -6.84 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-11
Maturity Price : 16.21
Evaluated at bid price : 16.21
Bid-YTW : 8.23 %
SLF.PR.H FixedReset Ins Non -6.78 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-11
Maturity Price : 18.00
Evaluated at bid price : 18.00
Bid-YTW : 6.54 %
MFC.PR.B Insurance Straight -5.60 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-11
Maturity Price : 19.40
Evaluated at bid price : 19.40
Bid-YTW : 6.03 %
PWF.PR.R Perpetual-Discount -5.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-11
Maturity Price : 21.54
Evaluated at bid price : 21.80
Bid-YTW : 6.40 %
BN.PF.E FixedReset Disc -4.95 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-11
Maturity Price : 17.30
Evaluated at bid price : 17.30
Bid-YTW : 7.77 %
MFC.PR.F FixedReset Ins Non -4.48 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-11
Maturity Price : 16.00
Evaluated at bid price : 16.00
Bid-YTW : 6.26 %
BN.PR.X FixedReset Disc -4.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-11
Maturity Price : 16.30
Evaluated at bid price : 16.30
Bid-YTW : 7.24 %
PWF.PR.L Perpetual-Discount -1.59 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-11
Maturity Price : 21.00
Evaluated at bid price : 21.00
Bid-YTW : 6.17 %
MFC.PR.M FixedReset Ins Non -1.52 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-11
Maturity Price : 21.35
Evaluated at bid price : 21.35
Bid-YTW : 6.05 %
MFC.PR.N FixedReset Ins Non -1.39 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-11
Maturity Price : 21.35
Evaluated at bid price : 21.35
Bid-YTW : 5.95 %
ENB.PF.K FixedReset Disc -1.21 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-11
Maturity Price : 22.77
Evaluated at bid price : 23.71
Bid-YTW : 6.37 %
FFH.PR.G FixedReset Disc -1.17 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-11
Maturity Price : 17.70
Evaluated at bid price : 17.70
Bid-YTW : 7.43 %
GWO.PR.Q Insurance Straight 1.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-11
Maturity Price : 21.59
Evaluated at bid price : 21.85
Bid-YTW : 5.90 %
SLF.PR.D Insurance Straight 1.83 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-11
Maturity Price : 20.62
Evaluated at bid price : 20.62
Bid-YTW : 5.41 %
CU.PR.D Perpetual-Discount 1.85 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-11
Maturity Price : 20.88
Evaluated at bid price : 20.88
Bid-YTW : 5.92 %
GWO.PR.T Insurance Straight 2.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-11
Maturity Price : 21.70
Evaluated at bid price : 21.70
Bid-YTW : 5.96 %
Volume Highlights
Issue Index Shares
Traded		 Notes
TD.PF.A FixedReset Disc 69,972 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-11
Maturity Price : 23.40
Evaluated at bid price : 24.52
Bid-YTW : 5.12 %
IFC.PR.C FixedReset Ins Non 62,487 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-11
Maturity Price : 21.12
Evaluated at bid price : 21.12
Bid-YTW : 6.24 %
CM.PR.S FixedReset Disc 61,446 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-11
Maturity Price : 24.83
Evaluated at bid price : 24.83
Bid-YTW : 5.50 %
POW.PR.D Perpetual-Discount 58,616 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-11
Maturity Price : 21.10
Evaluated at bid price : 21.10
Bid-YTW : 6.04 %
ENB.PR.T FixedReset Disc 38,960 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-11
Maturity Price : 20.48
Evaluated at bid price : 20.48
Bid-YTW : 6.94 %
MFC.PR.Q FixedReset Ins Non 32,732 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-11
Maturity Price : 23.07
Evaluated at bid price : 24.45
Bid-YTW : 5.57 %
There were 11 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
BIP.PR.A FixedReset Disc Quote: 19.00 – 21.95
Spot Rate : 2.9500
Average : 1.7637

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-11
Maturity Price : 19.00
Evaluated at bid price : 19.00
Bid-YTW : 8.21 %
BN.PF.G FixedReset Disc Quote: 15.80 – 19.05
Spot Rate : 3.2500
Average : 2.5599

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-11
Maturity Price : 15.80
Evaluated at bid price : 15.80
Bid-YTW : 8.84 %
PWF.PR.R Perpetual-Discount Quote: 21.80 – 23.20
Spot Rate : 1.4000
Average : 0.8423

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-11
Maturity Price : 21.54
Evaluated at bid price : 21.80
Bid-YTW : 6.40 %
GWO.PR.H Insurance Straight Quote: 20.67 – 22.00
Spot Rate : 1.3300
Average : 0.7757

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-11
Maturity Price : 20.67
Evaluated at bid price : 20.67
Bid-YTW : 5.89 %
MFC.PR.B Insurance Straight Quote: 19.40 – 20.69
Spot Rate : 1.2900
Average : 0.7636

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-11
Maturity Price : 19.40
Evaluated at bid price : 19.40
Bid-YTW : 6.03 %
ENB.PF.G FixedReset Disc Quote: 16.21 – 18.00
Spot Rate : 1.7900
Average : 1.3432

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-11
Maturity Price : 16.21
Evaluated at bid price : 16.21
Bid-YTW : 8.23 %

Posted in Market Action | No Comments »

September 10, 2024

Tuesday, September 10th, 2024

I have updated the post ALA.PR.G To Reset To 6.017% for what I hope will be the last time.

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 0.0859 % 2,221.9
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.0859 % 4,261.5
Floater 9.69 % 9.99 % 37,730 9.43 2 0.0859 % 2,455.9
OpRet 0.00 % 0.00 % 0 0.00 0 0.1840 % 3,542.9
SplitShare 4.69 % 5.71 % 32,912 1.10 4 0.1840 % 4,231.0
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.1840 % 3,301.2
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 0.2911 % 2,923.1
Perpetual-Discount 5.89 % 6.05 % 59,123 13.77 31 0.2911 % 3,187.5
FixedReset Disc 5.46 % 6.63 % 113,145 12.88 58 -0.2259 % 2,675.5
Insurance Straight 5.79 % 5.83 % 67,844 14.14 20 -0.4005 % 3,123.9
FloatingReset 8.29 % 8.40 % 33,381 10.84 2 0.0000 % 2,771.3
FixedReset Prem 6.45 % 5.54 % 215,933 13.55 7 0.3356 % 2,566.4
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 -0.2259 % 2,734.9
FixedReset Ins Non 5.15 % 5.89 % 101,405 14.08 14 1.6028 % 2,851.5
Performance Highlights
Issue Index Change Notes
BN.PF.G FixedReset Disc -16.84 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-10
Maturity Price : 15.80
Evaluated at bid price : 15.80
Bid-YTW : 8.84 %
GWO.PR.T Insurance Straight -2.30 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-10
Maturity Price : 21.25
Evaluated at bid price : 21.25
Bid-YTW : 6.08 %
CU.PR.D Perpetual-Discount -2.29 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-10
Maturity Price : 20.50
Evaluated at bid price : 20.50
Bid-YTW : 6.03 %
BN.PF.J FixedReset Disc -2.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-10
Maturity Price : 22.69
Evaluated at bid price : 23.51
Bid-YTW : 6.46 %
SLF.PR.C Insurance Straight -1.66 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-10
Maturity Price : 20.20
Evaluated at bid price : 20.20
Bid-YTW : 5.53 %
SLF.PR.E Insurance Straight -1.44 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-10
Maturity Price : 20.50
Evaluated at bid price : 20.50
Bid-YTW : 5.51 %
BN.PF.F FixedReset Disc -1.39 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-10
Maturity Price : 20.63
Evaluated at bid price : 20.63
Bid-YTW : 6.99 %
TD.PF.I FixedReset Prem 1.10 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2027-10-31
Maturity Price : 25.00
Evaluated at bid price : 25.80
Bid-YTW : 5.47 %
PWF.PR.F Perpetual-Discount 1.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-10
Maturity Price : 21.75
Evaluated at bid price : 22.00
Bid-YTW : 6.04 %
FFH.PR.G FixedReset Disc 1.19 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-10
Maturity Price : 17.91
Evaluated at bid price : 17.91
Bid-YTW : 7.34 %
SLF.PR.D Insurance Straight 1.55 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-10
Maturity Price : 20.25
Evaluated at bid price : 20.25
Bid-YTW : 5.51 %
PWF.PR.K Perpetual-Discount 2.59 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-10
Maturity Price : 20.98
Evaluated at bid price : 20.98
Bid-YTW : 5.99 %
CU.PR.F Perpetual-Discount 4.65 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-10
Maturity Price : 19.57
Evaluated at bid price : 19.57
Bid-YTW : 5.80 %
ENB.PF.G FixedReset Disc 7.34 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-10
Maturity Price : 17.40
Evaluated at bid price : 17.40
Bid-YTW : 7.67 %
SLF.PR.H FixedReset Ins Non 33.36 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-10
Maturity Price : 19.31
Evaluated at bid price : 19.31
Bid-YTW : 6.11 %
Volume Highlights
Issue Index Shares
Traded		 Notes
SLF.PR.D Insurance Straight 90,740 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-10
Maturity Price : 20.25
Evaluated at bid price : 20.25
Bid-YTW : 5.51 %
RY.PR.J FixedReset Disc 84,745 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-10
Maturity Price : 23.39
Evaluated at bid price : 24.05
Bid-YTW : 5.66 %
IFC.PR.G FixedReset Ins Non 58,345 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-10
Maturity Price : 22.73
Evaluated at bid price : 23.70
Bid-YTW : 5.89 %
MFC.PR.Q FixedReset Ins Non 56,658 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-10
Maturity Price : 23.08
Evaluated at bid price : 24.48
Bid-YTW : 5.56 %
MFC.PR.M FixedReset Ins Non 53,800 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-10
Maturity Price : 21.40
Evaluated at bid price : 21.68
Bid-YTW : 5.94 %
CU.PR.I FixedReset Disc 35,500 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-10
Maturity Price : 23.75
Evaluated at bid price : 24.20
Bid-YTW : 6.56 %
There were 18 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
BN.PF.G FixedReset Disc Quote: 15.80 – 19.02
Spot Rate : 3.2200
Average : 1.8032

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-10
Maturity Price : 15.80
Evaluated at bid price : 15.80
Bid-YTW : 8.84 %
CCS.PR.C Insurance Straight Quote: 21.50 – 22.75
Spot Rate : 1.2500
Average : 0.8087

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-10
Maturity Price : 21.50
Evaluated at bid price : 21.50
Bid-YTW : 5.83 %
POW.PR.A Perpetual-Discount Quote: 23.45 – 24.30
Spot Rate : 0.8500
Average : 0.5597

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-10
Maturity Price : 23.15
Evaluated at bid price : 23.45
Bid-YTW : 6.07 %
BN.PF.B FixedReset Disc Quote: 21.80 – 22.40
Spot Rate : 0.6000
Average : 0.3493

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-10
Maturity Price : 21.51
Evaluated at bid price : 21.80
Bid-YTW : 6.62 %
GWO.PR.T Insurance Straight Quote: 21.25 – 21.95
Spot Rate : 0.7000
Average : 0.4740

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-10
Maturity Price : 21.25
Evaluated at bid price : 21.25
Bid-YTW : 6.08 %
CU.PR.D Perpetual-Discount Quote: 20.50 – 21.25
Spot Rate : 0.7500
Average : 0.5344

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-10
Maturity Price : 20.50
Evaluated at bid price : 20.50
Bid-YTW : 6.03 %

Posted in Market Action | No Comments »

September 9, 2024

Monday, September 9th, 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 0.2152 % 2,220.0
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.2152 % 4,257.9
Floater 9.70 % 10.01 % 80,468 9.42 2 0.2152 % 2,453.8
OpRet 0.00 % 0.00 % 0 0.00 0 -0.3160 % 3,536.4
SplitShare 4.70 % 5.73 % 32,721 1.10 4 -0.3160 % 4,223.2
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.3160 % 3,295.1
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 0.0223 % 2,914.6
Perpetual-Discount 5.91 % 6.07 % 59,490 13.77 31 0.0223 % 3,178.2
FixedReset Disc 5.45 % 6.63 % 115,120 12.93 58 -0.2415 % 2,681.5
Insurance Straight 5.77 % 5.85 % 68,291 14.17 20 -0.0139 % 3,136.5
FloatingReset 8.29 % 8.42 % 34,751 10.82 2 0.1295 % 2,771.3
FixedReset Prem 6.48 % 5.60 % 212,674 13.79 7 -0.4953 % 2,557.8
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 -0.2415 % 2,741.1
FixedReset Ins Non 5.23 % 5.86 % 98,752 14.09 14 -1.2666 % 2,806.5
Performance Highlights
Issue Index Change Notes
SLF.PR.H FixedReset Ins Non -19.56 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-09
Maturity Price : 14.48
Evaluated at bid price : 14.48
Bid-YTW : 8.06 %
ENB.PF.G FixedReset Disc -8.93 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-09
Maturity Price : 16.21
Evaluated at bid price : 16.21
Bid-YTW : 8.22 %
CU.PR.F Perpetual-Discount -4.35 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-09
Maturity Price : 18.70
Evaluated at bid price : 18.70
Bid-YTW : 6.07 %
SLF.PR.D Insurance Straight -2.83 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-09
Maturity Price : 19.94
Evaluated at bid price : 19.94
Bid-YTW : 5.60 %
BIK.PR.A FixedReset Prem -1.93 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-09
Maturity Price : 23.31
Evaluated at bid price : 25.35
Bid-YTW : 6.82 %
BN.PR.X FixedReset Disc -1.73 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-09
Maturity Price : 17.00
Evaluated at bid price : 17.00
Bid-YTW : 6.93 %
BIP.PR.E FixedReset Disc -1.70 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-09
Maturity Price : 22.44
Evaluated at bid price : 23.10
Bid-YTW : 6.48 %
IFC.PR.C FixedReset Ins Non -1.41 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-09
Maturity Price : 21.00
Evaluated at bid price : 21.00
Bid-YTW : 6.27 %
FFH.PR.G FixedReset Disc -1.39 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-09
Maturity Price : 17.70
Evaluated at bid price : 17.70
Bid-YTW : 7.42 %
PWF.PR.F Perpetual-Discount -1.36 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-09
Maturity Price : 21.49
Evaluated at bid price : 21.75
Bid-YTW : 6.11 %
TD.PF.I FixedReset Prem -1.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-09
Maturity Price : 23.53
Evaluated at bid price : 25.52
Bid-YTW : 5.78 %
SLF.PR.C Insurance Straight -1.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-09
Maturity Price : 20.54
Evaluated at bid price : 20.54
Bid-YTW : 5.43 %
IFC.PR.E Insurance Straight -1.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-09
Maturity Price : 22.47
Evaluated at bid price : 22.75
Bid-YTW : 5.82 %
BN.PF.C Perpetual-Discount 1.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-09
Maturity Price : 19.95
Evaluated at bid price : 19.95
Bid-YTW : 6.21 %
PWF.PF.A Perpetual-Discount 1.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-09
Maturity Price : 19.31
Evaluated at bid price : 19.31
Bid-YTW : 5.91 %
GWO.PR.G Insurance Straight 1.18 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-09
Maturity Price : 22.01
Evaluated at bid price : 22.25
Bid-YTW : 5.85 %
CCS.PR.C Insurance Straight 1.40 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-09
Maturity Price : 21.44
Evaluated at bid price : 21.70
Bid-YTW : 5.76 %
CU.PR.D Perpetual-Discount 2.34 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-09
Maturity Price : 20.98
Evaluated at bid price : 20.98
Bid-YTW : 5.89 %
Volume Highlights
Issue Index Shares
Traded		 Notes
MFC.PR.K FixedReset Ins Non 43,700 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-09
Maturity Price : 23.01
Evaluated at bid price : 24.36
Bid-YTW : 5.43 %
IFC.PR.G FixedReset Ins Non 30,660 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-09
Maturity Price : 22.78
Evaluated at bid price : 23.79
Bid-YTW : 5.86 %
ENB.PR.J FixedReset Disc 29,501 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-09
Maturity Price : 19.97
Evaluated at bid price : 19.97
Bid-YTW : 7.03 %
ENB.PR.D FixedReset Disc 28,900 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-09
Maturity Price : 18.22
Evaluated at bid price : 18.22
Bid-YTW : 7.25 %
MFC.PR.M FixedReset Ins Non 28,700 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-09
Maturity Price : 21.48
Evaluated at bid price : 21.79
Bid-YTW : 5.91 %
GWO.PR.R Insurance Straight 27,300 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-09
Maturity Price : 20.85
Evaluated at bid price : 20.85
Bid-YTW : 5.77 %
There were 13 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
SLF.PR.H FixedReset Ins Non Quote: 14.48 – 19.64
Spot Rate : 5.1600
Average : 3.7985

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-09
Maturity Price : 14.48
Evaluated at bid price : 14.48
Bid-YTW : 8.06 %
ENB.PF.G FixedReset Disc Quote: 16.21 – 17.98
Spot Rate : 1.7700
Average : 1.0542

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-09
Maturity Price : 16.21
Evaluated at bid price : 16.21
Bid-YTW : 8.22 %
MFC.PR.F FixedReset Ins Non Quote: 16.75 – 17.93
Spot Rate : 1.1800
Average : 0.7868

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-09
Maturity Price : 16.75
Evaluated at bid price : 16.75
Bid-YTW : 5.99 %
CU.PR.F Perpetual-Discount Quote: 18.70 – 19.68
Spot Rate : 0.9800
Average : 0.6400

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-09
Maturity Price : 18.70
Evaluated at bid price : 18.70
Bid-YTW : 6.07 %
BIP.PR.E FixedReset Disc Quote: 23.10 – 24.00
Spot Rate : 0.9000
Average : 0.6898

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-09
Maturity Price : 22.44
Evaluated at bid price : 23.10
Bid-YTW : 6.48 %
BN.PF.D Perpetual-Discount Quote: 19.96 – 20.57
Spot Rate : 0.6100
Average : 0.4327

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-09
Maturity Price : 19.96
Evaluated at bid price : 19.96
Bid-YTW : 6.27 %

Posted in Market Action | No Comments »

September 6, 2024

Friday, September 6th, 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 0.7372 % 2,215.2
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.7372 % 4,248.7
Floater 9.72 % 10.01 % 79,384 9.42 2 0.7372 % 2,448.6
OpRet 0.00 % 0.00 % 0 0.00 0 -0.4060 % 3,547.6
SplitShare 4.69 % 5.28 % 32,939 1.11 4 -0.4060 % 4,236.6
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.4060 % 3,305.6
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 0.0847 % 2,914.0
Perpetual-Discount 5.91 % 6.05 % 58,681 13.78 31 0.0847 % 3,177.5
FixedReset Disc 5.43 % 6.79 % 114,099 12.68 58 -0.0024 % 2,688.0
Insurance Straight 5.77 % 5.86 % 68,312 14.15 20 0.3857 % 3,136.9
FloatingReset 8.37 % 8.47 % 35,059 10.77 2 0.4162 % 2,767.8
FixedReset Prem 6.44 % 5.72 % 210,042 13.39 7 -0.1556 % 2,570.6
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 -0.0024 % 2,747.7
FixedReset Ins Non 5.17 % 6.04 % 102,691 13.83 14 0.5085 % 2,842.5
Performance Highlights
Issue Index Change Notes
GWO.PR.N FixedReset Ins Non -2.32 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-06
Maturity Price : 14.31
Evaluated at bid price : 14.31
Bid-YTW : 7.10 %
CU.PR.D Perpetual-Discount -1.68 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-06
Maturity Price : 20.50
Evaluated at bid price : 20.50
Bid-YTW : 6.03 %
BN.PR.R FixedReset Disc -1.65 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-06
Maturity Price : 16.71
Evaluated at bid price : 16.71
Bid-YTW : 7.62 %
BN.PR.T FixedReset Disc -1.49 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-06
Maturity Price : 16.55
Evaluated at bid price : 16.55
Bid-YTW : 7.74 %
GWO.PR.M Insurance Straight -1.41 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-06
Maturity Price : 23.58
Evaluated at bid price : 23.85
Bid-YTW : 6.08 %
FTS.PR.H FixedReset Disc -1.30 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-06
Maturity Price : 15.15
Evaluated at bid price : 15.15
Bid-YTW : 7.15 %
MFC.PR.N FixedReset Ins Non -1.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-06
Maturity Price : 21.41
Evaluated at bid price : 21.71
Bid-YTW : 6.04 %
PWF.PR.K Perpetual-Discount -1.21 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-06
Maturity Price : 20.45
Evaluated at bid price : 20.45
Bid-YTW : 6.14 %
PVS.PR.K SplitShare -1.19 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2029-05-31
Maturity Price : 25.00
Evaluated at bid price : 24.01
Bid-YTW : 5.44 %
FFH.PR.E FixedReset Disc -1.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-06
Maturity Price : 17.30
Evaluated at bid price : 17.30
Bid-YTW : 7.45 %
FTS.PR.K FixedReset Disc 1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-06
Maturity Price : 20.75
Evaluated at bid price : 20.75
Bid-YTW : 6.28 %
BN.PR.B Floater 1.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-06
Maturity Price : 11.63
Evaluated at bid price : 11.63
Bid-YTW : 10.01 %
POW.PR.C Perpetual-Discount 1.29 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-06
Maturity Price : 24.16
Evaluated at bid price : 24.41
Bid-YTW : 6.03 %
PWF.PR.E Perpetual-Discount 1.33 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-06
Maturity Price : 22.66
Evaluated at bid price : 22.90
Bid-YTW : 6.08 %
GWO.PR.Q Insurance Straight 1.49 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-06
Maturity Price : 21.48
Evaluated at bid price : 21.74
Bid-YTW : 5.92 %
BN.PR.X FixedReset Disc 1.65 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-06
Maturity Price : 17.30
Evaluated at bid price : 17.30
Bid-YTW : 7.03 %
SLF.PR.E Insurance Straight 1.71 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-06
Maturity Price : 20.80
Evaluated at bid price : 20.80
Bid-YTW : 5.42 %
IFC.PR.E Insurance Straight 2.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-06
Maturity Price : 22.70
Evaluated at bid price : 22.98
Bid-YTW : 5.76 %
SLF.PR.C Insurance Straight 2.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-06
Maturity Price : 20.75
Evaluated at bid price : 20.75
Bid-YTW : 5.37 %
GWO.PR.T Insurance Straight 2.30 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-06
Maturity Price : 21.75
Evaluated at bid price : 21.75
Bid-YTW : 5.94 %
BN.PF.E FixedReset Disc 6.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-06
Maturity Price : 18.35
Evaluated at bid price : 18.35
Bid-YTW : 7.57 %
SLF.PR.H FixedReset Ins Non 12.50 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-06
Maturity Price : 18.00
Evaluated at bid price : 18.00
Bid-YTW : 6.75 %
Volume Highlights
Issue Index Shares
Traded		 Notes
GWO.PR.M Insurance Straight 127,200 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-06
Maturity Price : 23.58
Evaluated at bid price : 23.85
Bid-YTW : 6.08 %
BMO.PR.E FixedReset Prem 116,830 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-06
Maturity Price : 23.48
Evaluated at bid price : 25.82
Bid-YTW : 5.72 %
BN.PR.R FixedReset Disc 94,689 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-06
Maturity Price : 16.71
Evaluated at bid price : 16.71
Bid-YTW : 7.62 %
ENB.PR.Y FixedReset Disc 58,216 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-06
Maturity Price : 18.09
Evaluated at bid price : 18.09
Bid-YTW : 7.46 %
NA.PR.S FixedReset Disc 58,200 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-06
Maturity Price : 23.19
Evaluated at bid price : 25.03
Bid-YTW : 5.58 %
IFC.PR.C FixedReset Ins Non 57,332 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-06
Maturity Price : 21.30
Evaluated at bid price : 21.30
Bid-YTW : 6.37 %
There were 20 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
BN.PF.I FixedReset Disc Quote: 23.10 – 24.00
Spot Rate : 0.9000
Average : 0.6441

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-06
Maturity Price : 22.56
Evaluated at bid price : 23.10
Bid-YTW : 7.23 %
CU.PR.D Perpetual-Discount Quote: 20.50 – 21.19
Spot Rate : 0.6900
Average : 0.4384

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-06
Maturity Price : 20.50
Evaluated at bid price : 20.50
Bid-YTW : 6.03 %
GWO.PR.N FixedReset Ins Non Quote: 14.31 – 14.93
Spot Rate : 0.6200
Average : 0.4083

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-06
Maturity Price : 14.31
Evaluated at bid price : 14.31
Bid-YTW : 7.10 %
BN.PF.A FixedReset Disc Quote: 24.20 – 24.78
Spot Rate : 0.5800
Average : 0.3793

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-06
Maturity Price : 22.94
Evaluated at bid price : 24.20
Bid-YTW : 6.41 %
CU.PR.E Perpetual-Discount Quote: 21.05 – 22.05
Spot Rate : 1.0000
Average : 0.7996

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-06
Maturity Price : 21.05
Evaluated at bid price : 21.05
Bid-YTW : 5.87 %
GWO.PR.M Insurance Straight Quote: 23.85 – 24.44
Spot Rate : 0.5900
Average : 0.3898

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-06
Maturity Price : 23.58
Evaluated at bid price : 23.85
Bid-YTW : 6.08 %

Posted in Market Action | No Comments »

September 5, 2024

Thursday, September 5th, 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 -0.7745 % 2,199.0
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.7745 % 4,217.6
Floater 9.79 % 10.07 % 36,977 9.37 2 -0.7745 % 2,430.6
OpRet 0.00 % 0.00 % 0 0.00 0 0.0406 % 3,562.1
SplitShare 4.67 % 5.34 % 30,615 1.11 4 0.0406 % 4,253.9
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0406 % 3,319.0
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 0.5020 % 2,911.5
Perpetual-Discount 5.91 % 6.07 % 60,331 13.78 31 0.5020 % 3,174.8
FixedReset Disc 5.43 % 6.78 % 115,214 12.71 58 -0.1044 % 2,688.1
Insurance Straight 5.79 % 5.86 % 68,027 14.12 20 0.4575 % 3,124.9
FloatingReset 8.40 % 8.47 % 36,229 10.78 2 -0.7231 % 2,756.3
FixedReset Prem 6.43 % 5.68 % 212,896 13.40 7 -0.0167 % 2,574.6
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 -0.1044 % 2,747.8
FixedReset Ins Non 5.19 % 6.02 % 103,097 13.85 14 -0.4992 % 2,828.2
Performance Highlights
Issue Index Change Notes
BN.PF.E FixedReset Disc -6.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-05
Maturity Price : 17.30
Evaluated at bid price : 17.30
Bid-YTW : 8.03 %
SLF.PR.H FixedReset Ins Non -5.88 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-05
Maturity Price : 16.00
Evaluated at bid price : 16.00
Bid-YTW : 7.56 %
GWO.PR.T Insurance Straight -2.25 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-05
Maturity Price : 21.26
Evaluated at bid price : 21.26
Bid-YTW : 6.07 %
MFC.PR.K FixedReset Ins Non -1.72 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-05
Maturity Price : 22.88
Evaluated at bid price : 24.06
Bid-YTW : 5.67 %
NA.PR.E FixedReset Disc -1.69 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-05
Maturity Price : 23.08
Evaluated at bid price : 24.46
Bid-YTW : 5.74 %
MFC.PR.M FixedReset Ins Non -1.49 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-05
Maturity Price : 21.45
Evaluated at bid price : 21.75
Bid-YTW : 6.13 %
POW.PR.C Perpetual-Discount -1.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-05
Maturity Price : 23.85
Evaluated at bid price : 24.10
Bid-YTW : 6.11 %
FFH.PR.G FixedReset Disc -1.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-05
Maturity Price : 17.90
Evaluated at bid price : 17.90
Bid-YTW : 7.58 %
BN.PR.B Floater -1.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-05
Maturity Price : 11.50
Evaluated at bid price : 11.50
Bid-YTW : 10.13 %
PWF.PR.Z Perpetual-Discount 1.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-05
Maturity Price : 21.58
Evaluated at bid price : 21.58
Bid-YTW : 6.05 %
IFC.PR.F Insurance Straight 1.32 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-05
Maturity Price : 22.71
Evaluated at bid price : 23.00
Bid-YTW : 5.86 %
PWF.PR.F Perpetual-Discount 1.38 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-05
Maturity Price : 21.81
Evaluated at bid price : 22.05
Bid-YTW : 6.02 %
ENB.PR.N FixedReset Disc 1.38 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-05
Maturity Price : 21.71
Evaluated at bid price : 22.05
Bid-YTW : 6.78 %
SLF.PR.C Insurance Straight 1.50 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-05
Maturity Price : 20.30
Evaluated at bid price : 20.30
Bid-YTW : 5.49 %
SLF.PR.D Insurance Straight 1.75 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-05
Maturity Price : 20.35
Evaluated at bid price : 20.35
Bid-YTW : 5.48 %
BN.PF.J FixedReset Disc 1.95 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-05
Maturity Price : 22.94
Evaluated at bid price : 24.01
Bid-YTW : 6.46 %
SLF.PR.E Insurance Straight 2.25 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-05
Maturity Price : 20.45
Evaluated at bid price : 20.45
Bid-YTW : 5.51 %
PWF.PR.R Perpetual-Discount 4.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-05
Maturity Price : 22.66
Evaluated at bid price : 22.90
Bid-YTW : 6.08 %
PWF.PR.L Perpetual-Discount 10.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-05
Maturity Price : 21.26
Evaluated at bid price : 21.26
Bid-YTW : 6.08 %
Volume Highlights
Issue Index Shares
Traded		 Notes
GWO.PR.N FixedReset Ins Non 104,400 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-05
Maturity Price : 14.65
Evaluated at bid price : 14.65
Bid-YTW : 6.94 %
ENB.PR.B FixedReset Disc 56,512 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-05
Maturity Price : 17.90
Evaluated at bid price : 17.90
Bid-YTW : 7.55 %
FTS.PR.M FixedReset Disc 54,400 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-05
Maturity Price : 20.51
Evaluated at bid price : 20.51
Bid-YTW : 6.69 %
CU.PR.J Perpetual-Discount 46,550 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-05
Maturity Price : 20.38
Evaluated at bid price : 20.38
Bid-YTW : 5.87 %
ENB.PR.T FixedReset Disc 42,703 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-05
Maturity Price : 20.47
Evaluated at bid price : 20.47
Bid-YTW : 7.10 %
SLF.PR.D Insurance Straight 38,847 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-05
Maturity Price : 20.35
Evaluated at bid price : 20.35
Bid-YTW : 5.48 %
There were 24 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
SLF.PR.H FixedReset Ins Non Quote: 16.00 – 19.64
Spot Rate : 3.6400
Average : 3.0355

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-05
Maturity Price : 16.00
Evaluated at bid price : 16.00
Bid-YTW : 7.56 %
IFC.PR.E Insurance Straight Quote: 22.50 – 24.76
Spot Rate : 2.2600
Average : 1.6578

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-05
Maturity Price : 22.22
Evaluated at bid price : 22.50
Bid-YTW : 5.88 %
BN.PF.E FixedReset Disc Quote: 17.30 – 18.50
Spot Rate : 1.2000
Average : 0.7220

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-05
Maturity Price : 17.30
Evaluated at bid price : 17.30
Bid-YTW : 8.03 %
CU.PR.E Perpetual-Discount Quote: 21.05 – 22.05
Spot Rate : 1.0000
Average : 0.5799

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-05
Maturity Price : 21.05
Evaluated at bid price : 21.05
Bid-YTW : 5.87 %
PWF.PR.S Perpetual-Discount Quote: 20.34 – 21.98
Spot Rate : 1.6400
Average : 1.3077

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-05
Maturity Price : 20.34
Evaluated at bid price : 20.34
Bid-YTW : 5.98 %
GWO.PR.T Insurance Straight Quote: 21.26 – 21.90
Spot Rate : 0.6400
Average : 0.3696

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-05
Maturity Price : 21.26
Evaluated at bid price : 21.26
Bid-YTW : 6.07 %

Posted in Market Action | No Comments »

September 4, 2024

Wednesday, September 4th, 2024

PerpetualDiscounts now yield 6.09%, equivalent to 7.92% interest at the standard equivalency factor of 1.3x. Long corporates yielded 4.83% on 2024-8-23 and since then the closing price of ZLC has changed from 15.45 to 15.38, a decrease of 45bp in price, implying an increase of yields of 4bp (BMO reports a duration of 12.44, but don’t disclose whether this is Macaulay or Modified; I will assume Modified) to 4.87%. Therefore, the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) has remained steady at the 305bp reported August 28.

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 0.5625 % 2,216.1
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.5625 % 4,250.5
Floater 10.09 % 10.42 % 35,206 9.11 2 0.5625 % 2,449.6
OpRet 0.00 % 0.00 % 0 0.00 0 0.3669 % 3,560.6
SplitShare 4.67 % 5.15 % 30,822 1.12 4 0.3669 % 4,252.1
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.3669 % 3,317.7
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 0.1676 % 2,897.0
Perpetual-Discount 5.94 % 6.09 % 57,882 13.71 31 0.1676 % 3,159.0
FixedReset Disc 5.43 % 6.81 % 116,540 12.64 58 0.1354 % 2,690.9
Insurance Straight 5.82 % 5.88 % 68,849 14.08 20 0.2598 % 3,110.6
FloatingReset 8.34 % 8.41 % 33,538 10.84 2 0.3369 % 2,776.4
FixedReset Prem 6.43 % 5.59 % 210,517 3.88 7 0.0389 % 2,575.0
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 0.1354 % 2,750.7
FixedReset Ins Non 5.17 % 6.03 % 95,381 13.91 14 0.5601 % 2,842.3
Performance Highlights
Issue Index Change Notes
PWF.PR.L Perpetual-Discount -8.44 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-04
Maturity Price : 19.32
Evaluated at bid price : 19.32
Bid-YTW : 6.70 %
PWF.PR.R Perpetual-Discount -3.30 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-04
Maturity Price : 21.76
Evaluated at bid price : 22.01
Bid-YTW : 6.33 %
SLF.PR.E Insurance Straight -3.24 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-04
Maturity Price : 20.00
Evaluated at bid price : 20.00
Bid-YTW : 5.64 %
BN.PF.J FixedReset Disc -1.88 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-04
Maturity Price : 22.71
Evaluated at bid price : 23.55
Bid-YTW : 6.60 %
ENB.PR.N FixedReset Disc -1.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-04
Maturity Price : 21.49
Evaluated at bid price : 21.75
Bid-YTW : 6.88 %
BN.PF.C Perpetual-Discount 1.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-04
Maturity Price : 19.95
Evaluated at bid price : 19.95
Bid-YTW : 6.20 %
PWF.PR.E Perpetual-Discount 1.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-04
Maturity Price : 22.43
Evaluated at bid price : 22.69
Bid-YTW : 6.13 %
FFH.PR.G FixedReset Disc 1.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-04
Maturity Price : 18.10
Evaluated at bid price : 18.10
Bid-YTW : 7.49 %
POW.PR.C Perpetual-Discount 1.24 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-04
Maturity Price : 24.15
Evaluated at bid price : 24.40
Bid-YTW : 6.03 %
GWO.PR.M Insurance Straight 1.34 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-04
Maturity Price : 23.95
Evaluated at bid price : 24.20
Bid-YTW : 5.99 %
SLF.PR.C Insurance Straight 1.42 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-04
Maturity Price : 20.00
Evaluated at bid price : 20.00
Bid-YTW : 5.57 %
GWO.PR.R Insurance Straight 1.42 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-04
Maturity Price : 20.65
Evaluated at bid price : 20.65
Bid-YTW : 5.82 %
FFH.PR.K FixedReset Disc 1.59 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-04
Maturity Price : 22.01
Evaluated at bid price : 22.30
Bid-YTW : 7.11 %
IFC.PR.I Insurance Straight 1.61 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-04
Maturity Price : 22.96
Evaluated at bid price : 23.40
Bid-YTW : 5.86 %
BN.PF.F FixedReset Disc 1.61 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-04
Maturity Price : 20.85
Evaluated at bid price : 20.85
Bid-YTW : 7.13 %
MIC.PR.A Perpetual-Discount 1.94 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-04
Maturity Price : 21.00
Evaluated at bid price : 21.00
Bid-YTW : 6.57 %
BN.PR.M Perpetual-Discount 6.76 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-04
Maturity Price : 19.59
Evaluated at bid price : 19.59
Bid-YTW : 6.19 %
MFC.PR.N FixedReset Ins Non 7.75 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-04
Maturity Price : 21.61
Evaluated at bid price : 21.98
Bid-YTW : 5.96 %
Volume Highlights
Issue Index Shares
Traded		 Notes
ENB.PR.B FixedReset Disc 58,264 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-04
Maturity Price : 18.06
Evaluated at bid price : 18.06
Bid-YTW : 7.48 %
ENB.PR.P FixedReset Disc 50,165 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-04
Maturity Price : 19.75
Evaluated at bid price : 19.75
Bid-YTW : 7.19 %
ENB.PR.Y FixedReset Disc 45,261 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-04
Maturity Price : 18.01
Evaluated at bid price : 18.01
Bid-YTW : 7.49 %
ENB.PR.T FixedReset Disc 43,265 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-04
Maturity Price : 20.56
Evaluated at bid price : 20.56
Bid-YTW : 7.06 %
ENB.PR.D FixedReset Disc 42,760 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-04
Maturity Price : 18.38
Evaluated at bid price : 18.38
Bid-YTW : 7.38 %
BN.PR.K Floater 42,600 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-04
Maturity Price : 11.62
Evaluated at bid price : 11.62
Bid-YTW : 10.42 %
There were 10 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
PWF.PR.L Perpetual-Discount Quote: 19.32 – 21.30
Spot Rate : 1.9800
Average : 1.0946

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-04
Maturity Price : 19.32
Evaluated at bid price : 19.32
Bid-YTW : 6.70 %
PWF.PR.S Perpetual-Discount Quote: 20.28 – 21.98
Spot Rate : 1.7000
Average : 0.9434

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-04
Maturity Price : 20.28
Evaluated at bid price : 20.28
Bid-YTW : 6.00 %
BN.PR.X FixedReset Disc Quote: 17.05 – 18.70
Spot Rate : 1.6500
Average : 0.9807

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-04
Maturity Price : 17.05
Evaluated at bid price : 17.05
Bid-YTW : 7.13 %
SLF.PR.E Insurance Straight Quote: 20.00 – 21.19
Spot Rate : 1.1900
Average : 0.7131

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-04
Maturity Price : 20.00
Evaluated at bid price : 20.00
Bid-YTW : 5.64 %
PWF.PR.R Perpetual-Discount Quote: 22.01 – 22.93
Spot Rate : 0.9200
Average : 0.6229

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-04
Maturity Price : 21.76
Evaluated at bid price : 22.01
Bid-YTW : 6.33 %
SLF.PR.D Insurance Straight Quote: 20.00 – 20.96
Spot Rate : 0.9600
Average : 0.6641

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-04
Maturity Price : 20.00
Evaluated at bid price : 20.00
Bid-YTW : 5.57 %

Posted in Market Action | 1 Comment »

September 3, 2024

Tuesday, September 3rd, 2024

I have updated the post ALA.PR.G & ALA.PR.H To Be Extended. I have also updated ENB.PR.Y: 6% Conversion to FloatingReset, ENB.PR.Z to reflect the newly assigned ticker symbol for the FloatingReset. There are numerous other announcements to pass on (as noted in the comments, but I will take care of them in the morning.

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 -1.5339 % 2,203.7
FixedFloater 0.00 % 0.00 % 0 0.00 0 -1.5339 % 4,226.8
Floater 10.15 % 10.43 % 32,607 9.10 2 -1.5339 % 2,435.9
OpRet 0.00 % 0.00 % 0 0.00 0 0.2657 % 3,547.6
SplitShare 4.69 % 5.56 % 29,815 1.12 4 0.2657 % 4,236.6
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.2657 % 3,305.6
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 -0.0090 % 2,892.1
Perpetual-Discount 5.95 % 6.11 % 57,821 13.69 31 -0.0090 % 3,153.7
FixedReset Disc 5.43 % 6.80 % 121,271 12.71 58 0.1803 % 2,687.3
Insurance Straight 5.83 % 5.91 % 68,155 14.07 20 -0.2847 % 3,102.6
FloatingReset 8.37 % 8.41 % 34,638 10.85 2 -0.5412 % 2,767.0
FixedReset Prem 6.43 % 5.70 % 213,370 3.88 7 -0.2108 % 2,574.0
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 0.1803 % 2,746.9
FixedReset Ins Non 5.20 % 6.07 % 96,070 13.86 14 -0.5671 % 2,826.5
Performance Highlights
Issue Index Change Notes
SLF.PR.H FixedReset Ins Non -9.62 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-03
Maturity Price : 17.00
Evaluated at bid price : 17.00
Bid-YTW : 7.13 %
MFC.PR.N FixedReset Ins Non -6.89 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-03
Maturity Price : 20.40
Evaluated at bid price : 20.40
Bid-YTW : 6.44 %
BN.PR.M Perpetual-Discount -6.33 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-03
Maturity Price : 18.35
Evaluated at bid price : 18.35
Bid-YTW : 6.61 %
SLF.PR.C Insurance Straight -4.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-03
Maturity Price : 19.72
Evaluated at bid price : 19.72
Bid-YTW : 5.65 %
BN.PR.B Floater -2.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-03
Maturity Price : 11.51
Evaluated at bid price : 11.51
Bid-YTW : 10.52 %
IFC.PR.I Insurance Straight -2.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-03
Maturity Price : 22.66
Evaluated at bid price : 23.03
Bid-YTW : 5.96 %
SLF.PR.J FloatingReset -1.58 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-03
Maturity Price : 16.24
Evaluated at bid price : 16.24
Bid-YTW : 8.64 %
FFH.PR.K FixedReset Disc -1.57 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-03
Maturity Price : 21.56
Evaluated at bid price : 21.95
Bid-YTW : 7.22 %
BIP.PR.B FixedReset Disc -1.42 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-03
Maturity Price : 23.83
Evaluated at bid price : 24.25
Bid-YTW : 7.55 %
PWF.PR.F Perpetual-Discount -1.37 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-03
Maturity Price : 21.28
Evaluated at bid price : 21.55
Bid-YTW : 6.16 %
TD.PF.I FixedReset Prem -1.28 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2027-10-31
Maturity Price : 25.00
Evaluated at bid price : 25.52
Bid-YTW : 5.82 %
BN.PR.K Floater -1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-03
Maturity Price : 11.60
Evaluated at bid price : 11.60
Bid-YTW : 10.43 %
PVS.PR.J SplitShare 1.17 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2028-02-29
Maturity Price : 25.00
Evaluated at bid price : 24.11
Bid-YTW : 5.56 %
GWO.PR.N FixedReset Ins Non 1.60 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-03
Maturity Price : 14.63
Evaluated at bid price : 14.63
Bid-YTW : 6.94 %
MFC.PR.M FixedReset Ins Non 1.61 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-03
Maturity Price : 21.70
Evaluated at bid price : 22.10
Bid-YTW : 6.03 %
BIP.PR.E FixedReset Disc 1.73 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-03
Maturity Price : 22.66
Evaluated at bid price : 23.50
Bid-YTW : 6.51 %
CU.PR.J Perpetual-Discount 1.90 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-03
Maturity Price : 20.38
Evaluated at bid price : 20.38
Bid-YTW : 5.87 %
BN.PF.J FixedReset Disc 1.91 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-03
Maturity Price : 22.93
Evaluated at bid price : 24.00
Bid-YTW : 6.46 %
BN.PF.E FixedReset Disc 2.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-03
Maturity Price : 18.33
Evaluated at bid price : 18.33
Bid-YTW : 7.57 %
FFH.PR.G FixedReset Disc 3.95 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-03
Maturity Price : 17.90
Evaluated at bid price : 17.90
Bid-YTW : 7.57 %
MIC.PR.A Perpetual-Discount 4.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-03
Maturity Price : 20.60
Evaluated at bid price : 20.60
Bid-YTW : 6.70 %
MFC.PR.F FixedReset Ins Non 7.42 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-03
Maturity Price : 16.65
Evaluated at bid price : 16.65
Bid-YTW : 6.26 %
Volume Highlights
Issue Index Shares
Traded		 Notes
BN.PR.R FixedReset Disc 37,000 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-03
Maturity Price : 16.78
Evaluated at bid price : 16.78
Bid-YTW : 7.59 %
ENB.PR.T FixedReset Disc 29,300 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-03
Maturity Price : 20.50
Evaluated at bid price : 20.50
Bid-YTW : 7.08 %
TD.PF.A FixedReset Disc 21,300 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-03
Maturity Price : 23.42
Evaluated at bid price : 24.50
Bid-YTW : 5.32 %
ENB.PR.B FixedReset Disc 17,500 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-03
Maturity Price : 17.90
Evaluated at bid price : 17.90
Bid-YTW : 7.55 %
MFC.PR.M FixedReset Ins Non 14,800 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-03
Maturity Price : 21.70
Evaluated at bid price : 22.10
Bid-YTW : 6.03 %
ENB.PF.E FixedReset Disc 12,000 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-03
Maturity Price : 17.92
Evaluated at bid price : 17.92
Bid-YTW : 7.74 %
There were 2 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
GWO.PR.Y Insurance Straight Quote: 19.35 – 22.25
Spot Rate : 2.9000
Average : 1.9642

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-03
Maturity Price : 19.35
Evaluated at bid price : 19.35
Bid-YTW : 5.83 %
MFC.PR.N FixedReset Ins Non Quote: 20.40 – 22.25
Spot Rate : 1.8500
Average : 1.1793

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-03
Maturity Price : 20.40
Evaluated at bid price : 20.40
Bid-YTW : 6.44 %
SLF.PR.H FixedReset Ins Non Quote: 17.00 – 19.64
Spot Rate : 2.6400
Average : 2.0798

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-03
Maturity Price : 17.00
Evaluated at bid price : 17.00
Bid-YTW : 7.13 %
IFC.PR.E Insurance Straight Quote: 22.46 – 24.76
Spot Rate : 2.3000
Average : 1.8719

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-03
Maturity Price : 22.18
Evaluated at bid price : 22.46
Bid-YTW : 5.89 %
PVS.PR.I SplitShare Quote: 24.85 – 25.85
Spot Rate : 1.0000
Average : 0.6192

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-10-31
Maturity Price : 25.00
Evaluated at bid price : 24.85
Bid-YTW : 5.28 %
BN.PR.M Perpetual-Discount Quote: 18.35 – 19.70
Spot Rate : 1.3500
Average : 0.9835

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-03
Maturity Price : 18.35
Evaluated at bid price : 18.35
Bid-YTW : 6.61 %

Posted in Market Action | No Comments »

August 30, 2024

Friday, August 30th, 2024

I have updated the post ZPR Is Now A Laddered Fund Again! with new data. The page Investigation of ZPR – BMO Laddered Preferred Share Index ETF has been updated with a link to this post.

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 1.1638 % 2,238.1
FixedFloater 0.00 % 0.00 % 0 0.00 0 1.1638 % 4,292.6
Floater 9.99 % 10.28 % 76,177 9.22 2 1.1638 % 2,473.9
OpRet 0.00 % 0.00 % 0 0.00 0 -0.3057 % 3,538.2
SplitShare 4.70 % 5.23 % 29,502 1.13 4 -0.3057 % 4,225.4
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.3057 % 3,296.8
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 -0.0120 % 2,892.4
Perpetual-Discount 5.95 % 6.08 % 58,216 13.75 31 -0.0120 % 3,154.0
FixedReset Disc 5.43 % 6.76 % 123,225 12.68 60 -0.0577 % 2,682.4
Insurance Straight 5.82 % 5.90 % 69,128 14.05 21 -0.8269 % 3,111.4
FloatingReset 8.66 % 8.66 % 26,563 10.71 3 0.2432 % 2,782.1
FixedReset Prem 6.68 % 5.66 % 220,687 3.90 5 -0.1923 % 2,579.4
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 -0.0577 % 2,742.0
FixedReset Ins Non 5.17 % 6.03 % 99,255 13.87 14 0.0918 % 2,842.6
Performance Highlights
Issue Index Change Notes
MIC.PR.A Perpetual-Discount -5.67 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-30
Maturity Price : 19.80
Evaluated at bid price : 19.80
Bid-YTW : 6.97 %
FFH.PR.G FixedReset Disc -5.49 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-30
Maturity Price : 17.22
Evaluated at bid price : 17.22
Bid-YTW : 7.83 %
BN.PF.E FixedReset Disc -2.71 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-30
Maturity Price : 17.95
Evaluated at bid price : 17.95
Bid-YTW : 7.70 %
CU.PR.J Perpetual-Discount -2.68 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-30
Maturity Price : 20.00
Evaluated at bid price : 20.00
Bid-YTW : 5.98 %
IFC.PR.K Insurance Straight -2.18 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-30
Maturity Price : 22.06
Evaluated at bid price : 22.40
Bid-YTW : 5.95 %
PWF.PR.E Perpetual-Discount -1.75 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-30
Maturity Price : 22.17
Evaluated at bid price : 22.45
Bid-YTW : 6.19 %
CCS.PR.C Insurance Straight -1.48 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-30
Maturity Price : 21.33
Evaluated at bid price : 21.33
Bid-YTW : 5.97 %
GWO.PR.Q Insurance Straight -1.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-30
Maturity Price : 21.10
Evaluated at bid price : 21.10
Bid-YTW : 6.11 %
MFC.PR.I FixedReset Ins Non 1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-30
Maturity Price : 23.30
Evaluated at bid price : 24.80
Bid-YTW : 5.85 %
BN.PR.K Floater 1.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-30
Maturity Price : 11.72
Evaluated at bid price : 11.72
Bid-YTW : 10.31 %
CU.PR.G Perpetual-Discount 1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-30
Maturity Price : 19.50
Evaluated at bid price : 19.50
Bid-YTW : 5.81 %
BIP.PR.B FixedReset Disc 1.07 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-12-31
Maturity Price : 25.00
Evaluated at bid price : 24.60
Bid-YTW : 6.44 %
GWO.PR.H Insurance Straight 1.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-30
Maturity Price : 20.55
Evaluated at bid price : 20.55
Bid-YTW : 5.91 %
BN.PR.B Floater 1.29 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-30
Maturity Price : 11.75
Evaluated at bid price : 11.75
Bid-YTW : 10.28 %
PWF.PR.F Perpetual-Discount 1.39 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-30
Maturity Price : 21.59
Evaluated at bid price : 21.85
Bid-YTW : 6.07 %
GWO.PR.S Insurance Straight 1.39 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-30
Maturity Price : 21.86
Evaluated at bid price : 22.10
Bid-YTW : 5.93 %
BN.PR.R FixedReset Disc 1.51 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-30
Maturity Price : 16.85
Evaluated at bid price : 16.85
Bid-YTW : 7.53 %
GWO.PR.R Insurance Straight 2.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-30
Maturity Price : 20.36
Evaluated at bid price : 20.36
Bid-YTW : 5.90 %
PWF.PR.R Perpetual-Discount 3.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-30
Maturity Price : 22.43
Evaluated at bid price : 22.69
Bid-YTW : 6.13 %
BN.PR.Z FixedReset Disc 5.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-30
Maturity Price : 21.92
Evaluated at bid price : 22.26
Bid-YTW : 6.83 %
Volume Highlights
Issue Index Shares
Traded		 Notes
ENB.PR.D FixedReset Disc 74,233 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-30
Maturity Price : 18.30
Evaluated at bid price : 18.30
Bid-YTW : 7.38 %
TD.PF.C FixedReset Disc 56,269 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-30
Maturity Price : 23.18
Evaluated at bid price : 24.00
Bid-YTW : 5.41 %
ENB.PR.J FixedReset Disc 39,870 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-30
Maturity Price : 19.78
Evaluated at bid price : 19.78
Bid-YTW : 7.24 %
BN.PR.R FixedReset Disc 26,006 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-30
Maturity Price : 16.85
Evaluated at bid price : 16.85
Bid-YTW : 7.53 %
BN.PF.G FixedReset Disc 25,718 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-30
Maturity Price : 19.00
Evaluated at bid price : 19.00
Bid-YTW : 7.55 %
IFC.PR.G FixedReset Ins Non 16,972 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-30
Maturity Price : 22.72
Evaluated at bid price : 23.68
Bid-YTW : 6.03 %
There were 2 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
MIC.PR.A Perpetual-Discount Quote: 19.80 – 21.10
Spot Rate : 1.3000
Average : 0.7643

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-30
Maturity Price : 19.80
Evaluated at bid price : 19.80
Bid-YTW : 6.97 %
BN.PR.T FixedReset Disc Quote: 16.80 – 18.05
Spot Rate : 1.2500
Average : 0.8005

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-30
Maturity Price : 16.80
Evaluated at bid price : 16.80
Bid-YTW : 7.59 %
FFH.PR.G FixedReset Disc Quote: 17.22 – 18.22
Spot Rate : 1.0000
Average : 0.5958

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-30
Maturity Price : 17.22
Evaluated at bid price : 17.22
Bid-YTW : 7.83 %
IFC.PR.E Insurance Straight Quote: 22.52 – 24.30
Spot Rate : 1.7800
Average : 1.4025

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-30
Maturity Price : 22.24
Evaluated at bid price : 22.52
Bid-YTW : 5.87 %
CU.PR.J Perpetual-Discount Quote: 20.00 – 20.86
Spot Rate : 0.8600
Average : 0.6016

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-30
Maturity Price : 20.00
Evaluated at bid price : 20.00
Bid-YTW : 5.98 %
BIP.PR.E FixedReset Disc Quote: 23.10 – 23.95
Spot Rate : 0.8500
Average : 0.6287

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-30
Maturity Price : 22.44
Evaluated at bid price : 23.10
Bid-YTW : 6.61 %

Posted in Market Action | 1 Comment »

August 29, 2024

Thursday, August 29th, 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 0.2160 % 2,212.3
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.2160 % 4,243.2
Floater 10.11 % 10.42 % 32,911 9.12 2 0.2160 % 2,445.4
OpRet 0.00 % 0.00 % 0 0.00 0 0.8736 % 3,549.0
SplitShare 4.69 % 5.22 % 30,328 1.13 4 0.8736 % 4,238.3
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.8736 % 3,306.9
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 0.0869 % 2,892.7
Perpetual-Discount 5.95 % 6.08 % 58,750 13.73 31 0.0869 % 3,154.4
FixedReset Disc 5.42 % 6.79 % 122,894 12.68 60 0.2964 % 2,684.0
Insurance Straight 5.77 % 5.88 % 69,417 14.00 21 0.7110 % 3,137.4
FloatingReset 8.68 % 8.71 % 26,633 10.74 3 0.1740 % 2,775.3
FixedReset Prem 6.67 % 5.66 % 223,602 3.83 5 0.1387 % 2,584.4
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 0.2964 % 2,743.6
FixedReset Ins Non 5.17 % 6.02 % 99,704 13.88 14 0.0782 % 2,840.0
Performance Highlights
Issue Index Change Notes
BN.PR.Z FixedReset Disc -4.33 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-29
Maturity Price : 21.20
Evaluated at bid price : 21.20
Bid-YTW : 7.20 %
PWF.PR.R Perpetual-Discount -1.92 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-29
Maturity Price : 21.75
Evaluated at bid price : 22.00
Bid-YTW : 6.32 %
MFC.PR.F FixedReset Ins Non -1.90 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-29
Maturity Price : 15.50
Evaluated at bid price : 15.50
Bid-YTW : 6.68 %
PWF.PR.F Perpetual-Discount -1.69 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-29
Maturity Price : 21.28
Evaluated at bid price : 21.55
Bid-YTW : 6.16 %
BN.PF.C Perpetual-Discount -1.25 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-29
Maturity Price : 19.75
Evaluated at bid price : 19.75
Bid-YTW : 6.26 %
BN.PR.M Perpetual-Discount -1.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-29
Maturity Price : 19.44
Evaluated at bid price : 19.44
Bid-YTW : 6.23 %
ENB.PF.K FixedReset Disc 1.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-29
Maturity Price : 22.91
Evaluated at bid price : 24.00
Bid-YTW : 6.41 %
GWO.PR.Y Insurance Straight 1.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-29
Maturity Price : 19.50
Evaluated at bid price : 19.50
Bid-YTW : 5.88 %
BIK.PR.A FixedReset Prem 1.17 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2029-04-01
Maturity Price : 25.00
Evaluated at bid price : 25.95
Bid-YTW : 6.87 %
CU.PR.F Perpetual-Discount 1.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-29
Maturity Price : 19.43
Evaluated at bid price : 19.43
Bid-YTW : 5.83 %
IFC.PR.A FixedReset Ins Non 1.21 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-29
Maturity Price : 19.30
Evaluated at bid price : 19.30
Bid-YTW : 6.24 %
CCS.PR.C Insurance Straight 1.41 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-29
Maturity Price : 21.38
Evaluated at bid price : 21.65
Bid-YTW : 5.87 %
PVS.PR.K SplitShare 1.46 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2029-05-31
Maturity Price : 25.00
Evaluated at bid price : 24.35
Bid-YTW : 5.08 %
SLF.PR.C Insurance Straight 1.53 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-29
Maturity Price : 20.56
Evaluated at bid price : 20.56
Bid-YTW : 5.42 %
FFH.PR.K FixedReset Disc 1.59 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-29
Maturity Price : 22.01
Evaluated at bid price : 22.30
Bid-YTW : 7.08 %
PWF.PR.S Perpetual-Discount 1.62 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-29
Maturity Price : 20.09
Evaluated at bid price : 20.09
Bid-YTW : 6.05 %
ENB.PF.C FixedReset Disc 1.85 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-29
Maturity Price : 18.15
Evaluated at bid price : 18.15
Bid-YTW : 7.70 %
FFH.PR.I FixedReset Disc 1.87 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-29
Maturity Price : 19.10
Evaluated at bid price : 19.10
Bid-YTW : 7.40 %
PVS.PR.J SplitShare 1.91 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2028-02-29
Maturity Price : 25.00
Evaluated at bid price : 24.01
Bid-YTW : 5.66 %
PWF.PR.P FixedReset Disc 1.98 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-29
Maturity Price : 14.95
Evaluated at bid price : 14.95
Bid-YTW : 7.26 %
GWO.PR.Q Insurance Straight 2.65 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-29
Maturity Price : 21.40
Evaluated at bid price : 21.67
Bid-YTW : 6.04 %
CU.PR.J Perpetual-Discount 2.75 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-29
Maturity Price : 20.55
Evaluated at bid price : 20.55
Bid-YTW : 5.82 %
BN.PF.E FixedReset Disc 2.79 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-29
Maturity Price : 18.45
Evaluated at bid price : 18.45
Bid-YTW : 7.49 %
BN.PF.B FixedReset Disc 3.39 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-29
Maturity Price : 21.36
Evaluated at bid price : 21.66
Bid-YTW : 6.79 %
BIP.PR.A FixedReset Disc 5.24 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-29
Maturity Price : 21.68
Evaluated at bid price : 22.10
Bid-YTW : 7.30 %
IFC.PR.K Insurance Straight 5.29 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-29
Maturity Price : 22.61
Evaluated at bid price : 22.90
Bid-YTW : 5.82 %
Volume Highlights
Issue Index Shares
Traded		 Notes
BN.PR.R FixedReset Disc 249,515 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-29
Maturity Price : 16.60
Evaluated at bid price : 16.60
Bid-YTW : 7.63 %
BN.PF.A FixedReset Disc 103,100 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-29
Maturity Price : 22.96
Evaluated at bid price : 24.26
Bid-YTW : 6.36 %
FTS.PR.H FixedReset Disc 52,100 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-29
Maturity Price : 15.20
Evaluated at bid price : 15.20
Bid-YTW : 7.08 %
GWO.PR.T Insurance Straight 46,000 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-29
Maturity Price : 21.82
Evaluated at bid price : 21.82
Bid-YTW : 6.01 %
PWF.PR.S Perpetual-Discount 39,158 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-29
Maturity Price : 20.09
Evaluated at bid price : 20.09
Bid-YTW : 6.05 %
GWO.PR.M Insurance Straight 30,640 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-29
Maturity Price : 23.96
Evaluated at bid price : 24.21
Bid-YTW : 6.09 %
There were 10 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
GWO.PR.Y Insurance Straight Quote: 19.50 – 22.25
Spot Rate : 2.7500
Average : 1.7584

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-29
Maturity Price : 19.50
Evaluated at bid price : 19.50
Bid-YTW : 5.88 %
BN.PR.Z FixedReset Disc Quote: 21.20 – 22.39
Spot Rate : 1.1900
Average : 0.7650

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-29
Maturity Price : 21.20
Evaluated at bid price : 21.20
Bid-YTW : 7.20 %
BN.PF.C Perpetual-Discount Quote: 19.75 – 20.99
Spot Rate : 1.2400
Average : 0.8281

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-29
Maturity Price : 19.75
Evaluated at bid price : 19.75
Bid-YTW : 6.26 %
PWF.PR.R Perpetual-Discount Quote: 22.00 – 22.90
Spot Rate : 0.9000
Average : 0.6299

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-29
Maturity Price : 21.75
Evaluated at bid price : 22.00
Bid-YTW : 6.32 %
FTS.PR.H FixedReset Disc Quote: 15.20 – 15.79
Spot Rate : 0.5900
Average : 0.3654

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-29
Maturity Price : 15.20
Evaluated at bid price : 15.20
Bid-YTW : 7.08 %
MFC.PR.F FixedReset Ins Non Quote: 15.50 – 16.90
Spot Rate : 1.4000
Average : 1.2233

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-29
Maturity Price : 15.50
Evaluated at bid price : 15.50
Bid-YTW : 6.68 %

Posted in Market Action | No Comments »

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