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July 26, 2024

Friday, July 26th, 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 0.9358 % 2,262.9
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.9358 % 4,340.2
Floater 9.88 % 10.06 % 25,680 9.47 2 0.9358 % 2,501.3
OpRet 0.00 % 0.00 % 0 0.00 0 0.2792 % 3,529.8
SplitShare 4.74 % 6.66 % 28,208 1.21 6 0.2792 % 4,215.4
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.2792 % 3,289.0
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 0.2176 % 2,800.1
Perpetual-Discount 6.15 % 6.27 % 58,937 13.53 28 0.2176 % 3,053.4
FixedReset Disc 5.10 % 6.98 % 115,724 12.44 49 -0.0548 % 2,651.4
Insurance Straight 5.99 % 6.20 % 62,210 13.60 21 0.0552 % 2,979.3
FloatingReset 8.93 % 8.86 % 28,950 10.51 4 0.0381 % 2,815.3
FixedReset Prem 5.80 % 6.13 % 240,509 3.91 8 -0.0443 % 2,544.8
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 -0.0548 % 2,710.3
FixedReset Ins Non 5.22 % 6.51 % 97,381 13.36 14 -0.8426 % 2,817.1
Performance Highlights
Issue Index Change Notes
MFC.PR.L FixedReset Ins Non -8.28 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-26
Maturity Price : 20.50
Evaluated at bid price : 20.50
Bid-YTW : 6.98 %
BN.PF.G FixedReset Disc -3.92 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-26
Maturity Price : 18.40
Evaluated at bid price : 18.40
Bid-YTW : 8.27 %
MFC.PR.F FixedReset Ins Non -2.92 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-26
Maturity Price : 16.60
Evaluated at bid price : 16.60
Bid-YTW : 6.82 %
PWF.PR.S Perpetual-Discount -2.81 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-26
Maturity Price : 18.65
Evaluated at bid price : 18.65
Bid-YTW : 6.48 %
CU.PR.J Perpetual-Discount -2.49 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-26
Maturity Price : 18.82
Evaluated at bid price : 18.82
Bid-YTW : 6.43 %
PWF.PR.L Perpetual-Discount -2.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-26
Maturity Price : 19.91
Evaluated at bid price : 19.91
Bid-YTW : 6.45 %
IFC.PR.C FixedReset Ins Non -2.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-26
Maturity Price : 21.00
Evaluated at bid price : 21.00
Bid-YTW : 6.81 %
SLF.PR.C Insurance Straight -1.78 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-26
Maturity Price : 19.30
Evaluated at bid price : 19.30
Bid-YTW : 5.83 %
NA.PR.E FixedReset Disc -1.77 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-26
Maturity Price : 22.82
Evaluated at bid price : 23.88
Bid-YTW : 6.19 %
RY.PR.O Perpetual-Discount -1.67 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-26
Maturity Price : 23.33
Evaluated at bid price : 23.60
Bid-YTW : 5.18 %
SLF.PR.J FloatingReset -1.44 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-26
Maturity Price : 17.08
Evaluated at bid price : 17.08
Bid-YTW : 8.86 %
GWO.PR.Q Insurance Straight -1.35 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-26
Maturity Price : 20.52
Evaluated at bid price : 20.52
Bid-YTW : 6.36 %
RY.PR.N Perpetual-Discount -1.29 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-26
Maturity Price : 23.52
Evaluated at bid price : 23.79
Bid-YTW : 5.14 %
GWO.PR.G Insurance Straight -1.28 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-26
Maturity Price : 20.80
Evaluated at bid price : 20.80
Bid-YTW : 6.33 %
GWO.PR.I Insurance Straight -1.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-26
Maturity Price : 18.60
Evaluated at bid price : 18.60
Bid-YTW : 6.13 %
FTS.PR.H FixedReset Disc -1.18 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-26
Maturity Price : 15.12
Evaluated at bid price : 15.12
Bid-YTW : 7.78 %
PVS.PR.K SplitShare 1.05 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2029-05-31
Maturity Price : 25.00
Evaluated at bid price : 24.05
Bid-YTW : 5.53 %
PVS.PR.J SplitShare 1.05 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2028-02-29
Maturity Price : 25.00
Evaluated at bid price : 24.00
Bid-YTW : 5.87 %
PWF.PR.G Perpetual-Discount 1.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-26
Maturity Price : 23.20
Evaluated at bid price : 23.50
Bid-YTW : 6.30 %
GWO.PR.S Insurance Straight 1.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-26
Maturity Price : 21.23
Evaluated at bid price : 21.23
Bid-YTW : 6.26 %
CU.PR.G Perpetual-Discount 1.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-26
Maturity Price : 18.95
Evaluated at bid price : 18.95
Bid-YTW : 6.05 %
CU.PR.I FixedReset Disc 1.24 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-26
Maturity Price : 23.29
Evaluated at bid price : 23.75
Bid-YTW : 7.28 %
POW.PR.D Perpetual-Discount 1.29 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-26
Maturity Price : 20.42
Evaluated at bid price : 20.42
Bid-YTW : 6.18 %
BN.PF.C Perpetual-Discount 1.32 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-26
Maturity Price : 19.25
Evaluated at bid price : 19.25
Bid-YTW : 6.38 %
PWF.PR.Z Perpetual-Discount 1.41 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-26
Maturity Price : 20.90
Evaluated at bid price : 20.90
Bid-YTW : 6.20 %
FFH.PR.G FixedReset Disc 1.41 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-26
Maturity Price : 18.00
Evaluated at bid price : 18.00
Bid-YTW : 7.97 %
CU.PR.D Perpetual-Discount 1.44 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-26
Maturity Price : 20.40
Evaluated at bid price : 20.40
Bid-YTW : 6.12 %
BN.PF.D Perpetual-Discount 1.47 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-26
Maturity Price : 19.28
Evaluated at bid price : 19.28
Bid-YTW : 6.44 %
BN.PR.K Floater 1.54 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-26
Maturity Price : 11.88
Evaluated at bid price : 11.88
Bid-YTW : 10.06 %
GWO.PR.N FixedReset Ins Non 1.56 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-26
Maturity Price : 14.95
Evaluated at bid price : 14.95
Bid-YTW : 7.39 %
MFC.PR.C Insurance Straight 1.82 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-26
Maturity Price : 19.60
Evaluated at bid price : 19.60
Bid-YTW : 5.82 %
SLF.PR.E Insurance Straight 2.25 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-26
Maturity Price : 19.55
Evaluated at bid price : 19.55
Bid-YTW : 5.82 %
BN.PR.M Perpetual-Discount 2.94 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-26
Maturity Price : 18.89
Evaluated at bid price : 18.89
Bid-YTW : 6.37 %
Volume Highlights
Issue Index Shares
Traded		 Notes
TD.PF.M FixedReset Prem 114,140 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-08-30
Maturity Price : 25.00
Evaluated at bid price : 24.99
Bid-YTW : 6.47 %
RY.PR.M FixedReset Disc 75,516 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-26
Maturity Price : 23.25
Evaluated at bid price : 23.72
Bid-YTW : 6.06 %
BMO.PR.T FixedReset Disc 67,653 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-08-25
Maturity Price : 25.00
Evaluated at bid price : 25.12
Bid-YTW : 5.22 %
CM.PR.O FixedReset Disc 65,048 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-26
Maturity Price : 23.96
Evaluated at bid price : 24.99
Bid-YTW : 5.71 %
BMO.PR.W FixedReset Disc 60,236 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-26
Maturity Price : 24.03
Evaluated at bid price : 24.77
Bid-YTW : 5.68 %
BN.PR.T FixedReset Disc 35,921 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-26
Maturity Price : 16.65
Evaluated at bid price : 16.65
Bid-YTW : 8.10 %
There were 12 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
MFC.PR.L FixedReset Ins Non Quote: 20.50 – 22.50
Spot Rate : 2.0000
Average : 1.1186

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-26
Maturity Price : 20.50
Evaluated at bid price : 20.50
Bid-YTW : 6.98 %
CU.PR.J Perpetual-Discount Quote: 18.82 – 19.91
Spot Rate : 1.0900
Average : 0.7183

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-26
Maturity Price : 18.82
Evaluated at bid price : 18.82
Bid-YTW : 6.43 %
IFC.PR.A FixedReset Ins Non Quote: 17.50 – 19.61
Spot Rate : 2.1100
Average : 1.7527

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-26
Maturity Price : 17.50
Evaluated at bid price : 17.50
Bid-YTW : 7.32 %
PWF.PR.K Perpetual-Discount Quote: 19.93 – 20.80
Spot Rate : 0.8700
Average : 0.5263

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-26
Maturity Price : 19.93
Evaluated at bid price : 19.93
Bid-YTW : 6.25 %
BN.PF.G FixedReset Disc Quote: 18.40 – 19.18
Spot Rate : 0.7800
Average : 0.4519

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-26
Maturity Price : 18.40
Evaluated at bid price : 18.40
Bid-YTW : 8.27 %
BIP.PR.E FixedReset Disc Quote: 22.60 – 23.41
Spot Rate : 0.8100
Average : 0.4939

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-26
Maturity Price : 22.12
Evaluated at bid price : 22.60
Bid-YTW : 7.23 %

Posted in Market Action | No Comments »

July 25, 2024

Thursday, July 25th, 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 -0.3391 % 2,241.9
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.3391 % 4,299.9
Floater 9.97 % 10.12 % 87,148 9.43 2 -0.3391 % 2,478.1
OpRet 0.00 % 0.00 % 0 0.00 0 -0.1156 % 3,520.0
SplitShare 4.75 % 6.19 % 27,886 1.21 6 -0.1156 % 4,203.6
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.1156 % 3,279.8
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 1.1684 % 2,794.0
Perpetual-Discount 6.16 % 6.29 % 58,371 13.52 28 1.1684 % 3,046.7
FixedReset Disc 5.10 % 7.04 % 116,539 12.44 49 -0.2002 % 2,652.9
Insurance Straight 6.00 % 6.22 % 61,567 13.57 21 0.3045 % 2,977.6
FloatingReset 8.94 % 8.75 % 30,115 10.59 4 0.5751 % 2,814.3
FixedReset Prem 5.80 % 6.10 % 238,740 3.91 8 0.1875 % 2,545.9
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 -0.2002 % 2,711.8
FixedReset Ins Non 5.17 % 6.43 % 98,093 13.34 14 0.3512 % 2,841.0
Performance Highlights
Issue Index Change Notes
IFC.PR.A FixedReset Ins Non -10.85 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-25
Maturity Price : 17.50
Evaluated at bid price : 17.50
Bid-YTW : 7.32 %
SLF.PR.E Insurance Straight -2.94 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-25
Maturity Price : 19.12
Evaluated at bid price : 19.12
Bid-YTW : 5.96 %
FFH.PR.G FixedReset Disc -1.44 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-25
Maturity Price : 17.75
Evaluated at bid price : 17.75
Bid-YTW : 8.08 %
FTS.PR.H FixedReset Disc -1.29 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-25
Maturity Price : 15.30
Evaluated at bid price : 15.30
Bid-YTW : 7.69 %
CU.PR.C FixedReset Disc -1.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-25
Maturity Price : 20.50
Evaluated at bid price : 20.50
Bid-YTW : 7.06 %
BN.PR.M Perpetual-Discount -1.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-25
Maturity Price : 18.35
Evaluated at bid price : 18.35
Bid-YTW : 6.56 %
GWO.PR.G Insurance Straight 1.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-25
Maturity Price : 21.07
Evaluated at bid price : 21.07
Bid-YTW : 6.25 %
CU.PR.D Perpetual-Discount 1.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-25
Maturity Price : 20.11
Evaluated at bid price : 20.11
Bid-YTW : 6.20 %
FFH.PR.H FloatingReset 1.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-25
Maturity Price : 19.15
Evaluated at bid price : 19.15
Bid-YTW : 9.44 %
PWF.PR.E Perpetual-Discount 1.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-25
Maturity Price : 21.66
Evaluated at bid price : 21.91
Bid-YTW : 6.30 %
GWO.PR.T Insurance Straight 1.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-25
Maturity Price : 20.75
Evaluated at bid price : 20.75
Bid-YTW : 6.28 %
POW.PR.B Perpetual-Discount 1.18 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-25
Maturity Price : 21.43
Evaluated at bid price : 21.43
Bid-YTW : 6.30 %
PWF.PR.H Perpetual-Discount 1.25 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-25
Maturity Price : 22.45
Evaluated at bid price : 22.71
Bid-YTW : 6.36 %
GWO.PR.Y Insurance Straight 1.27 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-25
Maturity Price : 18.39
Evaluated at bid price : 18.39
Bid-YTW : 6.19 %
RY.PR.N Perpetual-Discount 1.27 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-25
Maturity Price : 23.83
Evaluated at bid price : 24.10
Bid-YTW : 5.07 %
RY.PR.O Perpetual-Discount 1.28 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-25
Maturity Price : 23.73
Evaluated at bid price : 24.00
Bid-YTW : 5.09 %
NA.PR.G FixedReset Prem 1.31 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-25
Maturity Price : 23.40
Evaluated at bid price : 25.59
Bid-YTW : 6.18 %
BN.PF.C Perpetual-Discount 1.33 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-25
Maturity Price : 19.00
Evaluated at bid price : 19.00
Bid-YTW : 6.47 %
GWO.PR.Q Insurance Straight 1.36 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-25
Maturity Price : 20.80
Evaluated at bid price : 20.80
Bid-YTW : 6.27 %
GWO.PR.R Insurance Straight 1.40 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-25
Maturity Price : 19.53
Evaluated at bid price : 19.53
Bid-YTW : 6.22 %
POW.PR.D Perpetual-Discount 1.41 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-25
Maturity Price : 20.16
Evaluated at bid price : 20.16
Bid-YTW : 6.26 %
POW.PR.C Perpetual-Discount 1.43 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-25
Maturity Price : 23.15
Evaluated at bid price : 23.45
Bid-YTW : 6.23 %
FTS.PR.J Perpetual-Discount 1.45 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-25
Maturity Price : 20.25
Evaluated at bid price : 20.25
Bid-YTW : 5.97 %
GWO.PR.H Insurance Straight 1.49 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-25
Maturity Price : 19.70
Evaluated at bid price : 19.70
Bid-YTW : 6.23 %
BN.PF.D Perpetual-Discount 1.50 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-25
Maturity Price : 19.00
Evaluated at bid price : 19.00
Bid-YTW : 6.53 %
PWF.PR.L Perpetual-Discount 1.50 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-25
Maturity Price : 20.35
Evaluated at bid price : 20.35
Bid-YTW : 6.31 %
CU.PR.E Perpetual-Discount 1.51 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-25
Maturity Price : 20.15
Evaluated at bid price : 20.15
Bid-YTW : 6.19 %
GWO.PR.I Insurance Straight 1.62 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-25
Maturity Price : 18.83
Evaluated at bid price : 18.83
Bid-YTW : 6.05 %
PWF.PR.F Perpetual-Discount 1.65 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-25
Maturity Price : 20.99
Evaluated at bid price : 20.99
Bid-YTW : 6.29 %
PWF.PR.K Perpetual-Discount 1.68 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-25
Maturity Price : 19.93
Evaluated at bid price : 19.93
Bid-YTW : 6.25 %
CU.PR.G Perpetual-Discount 1.68 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-25
Maturity Price : 18.72
Evaluated at bid price : 18.72
Bid-YTW : 6.12 %
BN.PR.N Perpetual-Discount 1.90 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-25
Maturity Price : 18.74
Evaluated at bid price : 18.74
Bid-YTW : 6.42 %
SLF.PR.J FloatingReset 1.94 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-25
Maturity Price : 17.33
Evaluated at bid price : 17.33
Bid-YTW : 8.73 %
PWF.PR.Z Perpetual-Discount 2.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-25
Maturity Price : 20.61
Evaluated at bid price : 20.61
Bid-YTW : 6.29 %
IFC.PR.C FixedReset Ins Non 2.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-25
Maturity Price : 21.45
Evaluated at bid price : 21.45
Bid-YTW : 6.67 %
PWF.PF.A Perpetual-Discount 2.35 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-25
Maturity Price : 18.30
Evaluated at bid price : 18.30
Bid-YTW : 6.19 %
MFC.PR.F FixedReset Ins Non 2.40 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-25
Maturity Price : 17.10
Evaluated at bid price : 17.10
Bid-YTW : 6.62 %
PWF.PR.O Perpetual-Discount 2.43 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-25
Maturity Price : 22.93
Evaluated at bid price : 23.20
Bid-YTW : 6.28 %
PWF.PR.S Perpetual-Discount 2.90 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-25
Maturity Price : 19.19
Evaluated at bid price : 19.19
Bid-YTW : 6.29 %
MFC.PR.Q FixedReset Ins Non 8.35 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-25
Maturity Price : 22.86
Evaluated at bid price : 24.00
Bid-YTW : 6.23 %
Volume Highlights
Issue Index Shares
Traded		 Notes
TD.PF.B FixedReset Prem 210,142 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-25
Maturity Price : 23.93
Evaluated at bid price : 24.97
Bid-YTW : 5.66 %
GWO.PR.R Insurance Straight 130,283 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-25
Maturity Price : 19.53
Evaluated at bid price : 19.53
Bid-YTW : 6.22 %
RY.PR.J FixedReset Disc 54,270 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-25
Maturity Price : 23.46
Evaluated at bid price : 24.06
Bid-YTW : 6.20 %
PWF.PR.O Perpetual-Discount 47,600 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-25
Maturity Price : 22.93
Evaluated at bid price : 23.20
Bid-YTW : 6.28 %
PWF.PF.A Perpetual-Discount 45,340 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-25
Maturity Price : 18.30
Evaluated at bid price : 18.30
Bid-YTW : 6.19 %
PWF.PR.K Perpetual-Discount 36,628 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-25
Maturity Price : 19.93
Evaluated at bid price : 19.93
Bid-YTW : 6.25 %
There were 21 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
IFC.PR.A FixedReset Ins Non Quote: 17.50 – 19.65
Spot Rate : 2.1500
Average : 1.3610

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-25
Maturity Price : 17.50
Evaluated at bid price : 17.50
Bid-YTW : 7.32 %
PWF.PR.O Perpetual-Discount Quote: 23.20 – 24.20
Spot Rate : 1.0000
Average : 0.5833

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-25
Maturity Price : 22.93
Evaluated at bid price : 23.20
Bid-YTW : 6.28 %
SLF.PR.E Insurance Straight Quote: 19.12 – 20.16
Spot Rate : 1.0400
Average : 0.6727

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-25
Maturity Price : 19.12
Evaluated at bid price : 19.12
Bid-YTW : 5.96 %
IFC.PR.E Insurance Straight Quote: 21.64 – 23.64
Spot Rate : 2.0000
Average : 1.6443

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-25
Maturity Price : 21.64
Evaluated at bid price : 21.64
Bid-YTW : 6.08 %
BN.PR.M Perpetual-Discount Quote: 18.35 – 19.39
Spot Rate : 1.0400
Average : 0.7183

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-25
Maturity Price : 18.35
Evaluated at bid price : 18.35
Bid-YTW : 6.56 %
IFC.PR.F Insurance Straight Quote: 20.66 – 22.99
Spot Rate : 2.3300
Average : 2.0262

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-25
Maturity Price : 20.66
Evaluated at bid price : 20.66
Bid-YTW : 6.50 %

Posted in Market Action | No Comments »

July 24, 2024

Wednesday, July 24th, 2024

PerpetualDiscounts now yield 6.48%, equivalent to 8.42% interest at the standard equivalency factor of 1.3x. Long corporates yielded 5.12% on 2024-6-30 (sic! That was a Sunday. I am assuming 2024-6-28) and since then the closing price of ZLC has changed from 14.82 to 14.91, an increase of 61bp in price, implying a decrease of yields of 5bp (BMO reports a duration of 12.33, but don’t disclose whether this is Macaulay or Modified; I will assume Modified) to 5.07%. Therefore, the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) has narrowed to 335bp from the 345bp reported July 17.

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 0.8551 % 2,249.5
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.8551 % 4,314.6
Floater 10.31 % 10.48 % 87,422 9.16 2 0.8551 % 2,486.5
OpRet 0.00 % 0.00 % 0 0.00 0 0.0885 % 3,524.1
SplitShare 4.74 % 6.32 % 28,099 1.21 6 0.0885 % 4,208.5
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0885 % 3,283.6
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 0.3409 % 2,761.8
Perpetual-Discount 6.23 % 6.38 % 57,693 13.38 28 0.3409 % 3,011.6
FixedReset Disc 5.09 % 7.01 % 118,208 12.44 49 0.2658 % 2,658.2
Insurance Straight 6.02 % 6.30 % 63,513 13.47 21 0.0901 % 2,968.6
FloatingReset 8.99 % 8.90 % 29,319 10.47 4 -0.8992 % 2,798.2
FixedReset Prem 5.81 % 5.86 % 237,306 2.96 8 -0.0049 % 2,541.1
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 0.2658 % 2,717.2
FixedReset Ins Non 5.19 % 6.52 % 90,964 13.31 14 1.9926 % 2,831.0
Performance Highlights
Issue Index Change Notes
IFC.PR.F Insurance Straight -6.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-24
Maturity Price : 20.65
Evaluated at bid price : 20.65
Bid-YTW : 6.50 %
SLF.PR.J FloatingReset -3.57 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-24
Maturity Price : 17.00
Evaluated at bid price : 17.00
Bid-YTW : 8.90 %
IFC.PR.C FixedReset Ins Non -3.18 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-24
Maturity Price : 21.00
Evaluated at bid price : 21.00
Bid-YTW : 6.80 %
PWF.PR.S Perpetual-Discount -1.58 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-24
Maturity Price : 18.65
Evaluated at bid price : 18.65
Bid-YTW : 6.48 %
MIC.PR.A Perpetual-Discount -1.57 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-24
Maturity Price : 20.08
Evaluated at bid price : 20.08
Bid-YTW : 6.81 %
BN.PF.H FixedReset Disc -1.46 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-24
Maturity Price : 23.16
Evaluated at bid price : 23.60
Bid-YTW : 7.79 %
BN.PF.B FixedReset Disc 1.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-24
Maturity Price : 21.08
Evaluated at bid price : 21.08
Bid-YTW : 7.30 %
BN.PF.F FixedReset Disc 1.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-24
Maturity Price : 20.21
Evaluated at bid price : 20.21
Bid-YTW : 7.80 %
SLF.PR.D Insurance Straight 1.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-24
Maturity Price : 19.57
Evaluated at bid price : 19.57
Bid-YTW : 5.75 %
MFC.PR.N FixedReset Ins Non 1.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-24
Maturity Price : 21.56
Evaluated at bid price : 21.92
Bid-YTW : 6.45 %
POW.PR.D Perpetual-Discount 1.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-24
Maturity Price : 19.88
Evaluated at bid price : 19.88
Bid-YTW : 6.35 %
BN.PR.M Perpetual-Discount 1.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-24
Maturity Price : 18.56
Evaluated at bid price : 18.56
Bid-YTW : 6.48 %
CU.PR.J Perpetual-Discount 1.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-24
Maturity Price : 19.12
Evaluated at bid price : 19.12
Bid-YTW : 6.33 %
PWF.PR.R Perpetual-Discount 1.17 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-24
Maturity Price : 21.38
Evaluated at bid price : 21.65
Bid-YTW : 6.38 %
BN.PR.N Perpetual-Discount 1.32 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-24
Maturity Price : 18.39
Evaluated at bid price : 18.39
Bid-YTW : 6.54 %
SLF.PR.E Insurance Straight 1.34 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-24
Maturity Price : 19.70
Evaluated at bid price : 19.70
Bid-YTW : 5.78 %
BN.PR.B Floater 1.37 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-24
Maturity Price : 11.84
Evaluated at bid price : 11.84
Bid-YTW : 10.48 %
BN.PR.T FixedReset Disc 1.52 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-24
Maturity Price : 16.75
Evaluated at bid price : 16.75
Bid-YTW : 8.05 %
NA.PR.E FixedReset Disc 1.76 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-24
Maturity Price : 23.00
Evaluated at bid price : 24.30
Bid-YTW : 6.07 %
CU.PR.C FixedReset Disc 6.74 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-24
Maturity Price : 20.75
Evaluated at bid price : 20.75
Bid-YTW : 6.97 %
IFC.PR.A FixedReset Ins Non 8.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-24
Maturity Price : 19.63
Evaluated at bid price : 19.63
Bid-YTW : 6.52 %
MFC.PR.M FixedReset Ins Non 31.25 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-24
Maturity Price : 21.54
Evaluated at bid price : 21.88
Bid-YTW : 6.58 %
Volume Highlights
Issue Index Shares
Traded		 Notes
RY.PR.N Perpetual-Discount 532,300 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-24
Maturity Price : 23.83
Evaluated at bid price : 24.10
Bid-YTW : 5.16 %
TD.PF.B FixedReset Prem 300,902 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-24
Maturity Price : 23.94
Evaluated at bid price : 24.97
Bid-YTW : 5.65 %
BMO.PR.Y FixedReset Disc 42,378 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-24
Maturity Price : 23.67
Evaluated at bid price : 24.17
Bid-YTW : 6.14 %
BMO.PR.W FixedReset Disc 41,600 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-24
Maturity Price : 24.01
Evaluated at bid price : 24.75
Bid-YTW : 5.68 %
PWF.PR.K Perpetual-Discount 40,959 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-24
Maturity Price : 19.60
Evaluated at bid price : 19.60
Bid-YTW : 6.35 %
POW.PR.D Perpetual-Discount 34,500 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-24
Maturity Price : 19.88
Evaluated at bid price : 19.88
Bid-YTW : 6.35 %
There were 13 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
PWF.PR.S Perpetual-Discount Quote: 18.65 – 20.88
Spot Rate : 2.2300
Average : 1.2199

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-24
Maturity Price : 18.65
Evaluated at bid price : 18.65
Bid-YTW : 6.48 %
IFC.PR.E Insurance Straight Quote: 21.64 – 23.64
Spot Rate : 2.0000
Average : 1.2544

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-24
Maturity Price : 21.64
Evaluated at bid price : 21.64
Bid-YTW : 6.08 %
GWO.PR.S Insurance Straight Quote: 20.95 – 22.48
Spot Rate : 1.5300
Average : 0.8670

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-24
Maturity Price : 20.95
Evaluated at bid price : 20.95
Bid-YTW : 6.34 %
IFC.PR.F Insurance Straight Quote: 20.65 – 22.99
Spot Rate : 2.3400
Average : 1.6931

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-24
Maturity Price : 20.65
Evaluated at bid price : 20.65
Bid-YTW : 6.50 %
POW.PR.B Perpetual-Discount Quote: 21.18 – 22.90
Spot Rate : 1.7200
Average : 1.1747

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-24
Maturity Price : 21.18
Evaluated at bid price : 21.18
Bid-YTW : 6.38 %
MFC.PR.Q FixedReset Ins Non Quote: 22.15 – 24.50
Spot Rate : 2.3500
Average : 1.9583

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-24
Maturity Price : 21.80
Evaluated at bid price : 22.15
Bid-YTW : 6.80 %

Posted in Market Action, Uncategorized | No Comments »

July 23, 2024

Tuesday, July 23rd, 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 1.3432 % 2,230.4
FixedFloater 0.00 % 0.00 % 0 0.00 0 1.3432 % 4,278.0
Floater 10.40 % 10.59 % 26,475 9.08 2 1.3432 % 2,465.4
OpRet 0.00 % 0.00 % 0 0.00 0 0.2115 % 3,521.0
SplitShare 4.75 % 6.31 % 29,249 1.22 6 0.2115 % 4,204.8
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.2115 % 3,280.7
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 0.4438 % 2,752.4
Perpetual-Discount 6.25 % 6.41 % 56,080 13.33 28 0.4438 % 3,001.3
FixedReset Disc 5.10 % 7.04 % 120,728 12.44 49 -0.0966 % 2,651.1
Insurance Straight 6.02 % 6.29 % 63,582 13.48 21 0.8195 % 2,965.9
FloatingReset 8.91 % 8.70 % 28,989 10.64 4 0.5988 % 2,823.6
FixedReset Prem 5.81 % 6.11 % 239,162 11.91 8 0.0988 % 2,541.3
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 -0.0966 % 2,710.0
FixedReset Ins Non 5.29 % 6.55 % 90,174 13.27 14 -2.2304 % 2,775.7
Performance Highlights
Issue Index Change Notes
MFC.PR.M FixedReset Ins Non -23.88 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-23
Maturity Price : 16.67
Evaluated at bid price : 16.67
Bid-YTW : 8.67 %
MFC.PR.Q FixedReset Ins Non -7.44 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-23
Maturity Price : 21.80
Evaluated at bid price : 22.15
Bid-YTW : 6.80 %
CU.PR.C FixedReset Disc -6.81 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-23
Maturity Price : 19.44
Evaluated at bid price : 19.44
Bid-YTW : 7.44 %
IFC.PR.A FixedReset Ins Non -5.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-23
Maturity Price : 18.15
Evaluated at bid price : 18.15
Bid-YTW : 7.05 %
NA.PR.E FixedReset Disc -1.81 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-23
Maturity Price : 22.82
Evaluated at bid price : 23.88
Bid-YTW : 6.19 %
BN.PR.T FixedReset Disc -1.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-23
Maturity Price : 16.50
Evaluated at bid price : 16.50
Bid-YTW : 8.16 %
BN.PF.H FixedReset Disc -1.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-23
Maturity Price : 23.52
Evaluated at bid price : 23.95
Bid-YTW : 7.68 %
BN.PR.R FixedReset Disc -1.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-23
Maturity Price : 16.60
Evaluated at bid price : 16.60
Bid-YTW : 8.11 %
MFC.PR.I FixedReset Ins Non 1.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-23
Maturity Price : 23.21
Evaluated at bid price : 24.60
Bid-YTW : 6.33 %
BN.PR.B Floater 1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-23
Maturity Price : 11.68
Evaluated at bid price : 11.68
Bid-YTW : 10.62 %
SLF.PR.C Insurance Straight 1.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-23
Maturity Price : 19.59
Evaluated at bid price : 19.59
Bid-YTW : 5.74 %
BN.PF.F FixedReset Disc 1.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-23
Maturity Price : 20.00
Evaluated at bid price : 20.00
Bid-YTW : 7.88 %
FTS.PR.J Perpetual-Discount 1.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-23
Maturity Price : 19.90
Evaluated at bid price : 19.90
Bid-YTW : 6.07 %
CU.PR.E Perpetual-Discount 1.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-23
Maturity Price : 19.79
Evaluated at bid price : 19.79
Bid-YTW : 6.30 %
MIC.PR.A Perpetual-Discount 1.24 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-23
Maturity Price : 20.40
Evaluated at bid price : 20.40
Bid-YTW : 6.70 %
PVS.PR.J SplitShare 1.27 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2028-02-29
Maturity Price : 25.00
Evaluated at bid price : 23.85
Bid-YTW : 6.05 %
CU.PR.D Perpetual-Discount 1.44 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-23
Maturity Price : 19.78
Evaluated at bid price : 19.78
Bid-YTW : 6.31 %
BN.PR.K Floater 1.65 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-23
Maturity Price : 11.71
Evaluated at bid price : 11.71
Bid-YTW : 10.59 %
IFC.PR.C FixedReset Ins Non 1.74 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-23
Maturity Price : 21.37
Evaluated at bid price : 21.69
Bid-YTW : 6.58 %
MFC.PR.F FixedReset Ins Non 2.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-23
Maturity Price : 16.75
Evaluated at bid price : 16.75
Bid-YTW : 6.75 %
MFC.PR.B Insurance Straight 2.56 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-23
Maturity Price : 20.00
Evaluated at bid price : 20.00
Bid-YTW : 5.89 %
GWO.PR.T Insurance Straight 3.29 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-23
Maturity Price : 20.40
Evaluated at bid price : 20.40
Bid-YTW : 6.39 %
IFC.PR.F Insurance Straight 6.63 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-23
Maturity Price : 22.02
Evaluated at bid price : 22.02
Bid-YTW : 6.09 %
Volume Highlights
Issue Index Shares
Traded		 Notes
BMO.PR.T FixedReset Disc 100,027 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-23
Maturity Price : 24.14
Evaluated at bid price : 25.10
Bid-YTW : 5.63 %
RY.PR.J FixedReset Disc 98,567 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-23
Maturity Price : 23.69
Evaluated at bid price : 24.26
Bid-YTW : 6.21 %
RY.PR.M FixedReset Disc 81,000 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-23
Maturity Price : 23.51
Evaluated at bid price : 23.96
Bid-YTW : 6.05 %
BMO.PR.W FixedReset Disc 67,500 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-23
Maturity Price : 24.09
Evaluated at bid price : 24.80
Bid-YTW : 5.67 %
FTS.PR.M FixedReset Disc 60,439 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-23
Maturity Price : 20.42
Evaluated at bid price : 20.42
Bid-YTW : 7.25 %
MFC.PR.M FixedReset Ins Non 60,200 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-23
Maturity Price : 16.67
Evaluated at bid price : 16.67
Bid-YTW : 8.67 %
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.M FixedReset Ins Non Quote: 16.67 – 22.30
Spot Rate : 5.6300
Average : 3.2793

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-23
Maturity Price : 16.67
Evaluated at bid price : 16.67
Bid-YTW : 8.67 %
MFC.PR.Q FixedReset Ins Non Quote: 22.15 – 24.50
Spot Rate : 2.3500
Average : 1.5289

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-23
Maturity Price : 21.80
Evaluated at bid price : 22.15
Bid-YTW : 6.80 %
GWO.PR.I Insurance Straight Quote: 18.53 – 20.12
Spot Rate : 1.5900
Average : 0.9362

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-23
Maturity Price : 18.53
Evaluated at bid price : 18.53
Bid-YTW : 6.14 %
IFC.PR.A FixedReset Ins Non Quote: 18.15 – 19.72
Spot Rate : 1.5700
Average : 0.9409

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-23
Maturity Price : 18.15
Evaluated at bid price : 18.15
Bid-YTW : 7.05 %
CU.PR.C FixedReset Disc Quote: 19.44 – 21.05
Spot Rate : 1.6100
Average : 1.0758

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-23
Maturity Price : 19.44
Evaluated at bid price : 19.44
Bid-YTW : 7.44 %
FTS.PR.K FixedReset Disc Quote: 19.99 – 21.25
Spot Rate : 1.2600
Average : 0.7321

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-23
Maturity Price : 19.99
Evaluated at bid price : 19.99
Bid-YTW : 6.96 %

Posted in Market Action | No Comments »

July 22, 2024

Monday, July 22nd, 2024

TXPR closed at 607.77, up 0.53% on the day after setting a new 52-week high. Volume today was 1.53-million, near the median of the past 21 trading days.

CPD closed at 12.09, up 0.33% on the day. Volume was 173,500, second-highest of the past 21 trading days.

ZPR closed at 10.42, up 0.58% on the day after setting a new 52-week high. Volume was 128,180, above the median of the past 21 trading days.

Five-year Canada yields were up to 3.40%.

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 1.0951 % 2,200.9
FixedFloater 0.00 % 0.00 % 0 0.00 0 1.0951 % 4,221.3
Floater 10.54 % 10.73 % 87,448 8.98 2 1.0951 % 2,432.7
OpRet 0.00 % 0.00 % 0 0.00 0 0.0751 % 3,513.5
SplitShare 4.76 % 6.43 % 29,490 1.22 6 0.0751 % 4,195.9
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0751 % 3,273.8
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 0.7516 % 2,740.2
Perpetual-Discount 6.28 % 6.44 % 57,384 13.30 28 0.7516 % 2,988.1
FixedReset Disc 5.10 % 6.95 % 122,197 12.53 49 0.6814 % 2,653.7
Insurance Straight 6.07 % 6.32 % 64,229 13.44 21 0.0466 % 2,941.8
FloatingReset 8.96 % 8.72 % 29,113 10.63 4 0.2427 % 2,806.7
FixedReset Prem 5.81 % 6.13 % 245,554 11.90 8 0.0395 % 2,538.8
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 0.6814 % 2,712.6
FixedReset Ins Non 5.17 % 6.57 % 90,338 13.26 14 1.7857 % 2,839.1
Performance Highlights
Issue Index Change Notes
IFC.PR.F Insurance Straight -6.73 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-22
Maturity Price : 20.65
Evaluated at bid price : 20.65
Bid-YTW : 6.50 %
GWO.PR.T Insurance Straight -1.99 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-22
Maturity Price : 19.75
Evaluated at bid price : 19.75
Bid-YTW : 6.60 %
BIK.PR.A FixedReset Prem -1.52 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-22
Maturity Price : 23.27
Evaluated at bid price : 25.26
Bid-YTW : 7.35 %
BN.PR.R FixedReset Disc 1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-22
Maturity Price : 16.77
Evaluated at bid price : 16.77
Bid-YTW : 8.03 %
POW.PR.D Perpetual-Discount 1.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-22
Maturity Price : 19.65
Evaluated at bid price : 19.65
Bid-YTW : 6.42 %
MFC.PR.K FixedReset Ins Non 1.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-22
Maturity Price : 22.79
Evaluated at bid price : 23.90
Bid-YTW : 6.11 %
GWO.PR.Y Insurance Straight 1.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-22
Maturity Price : 18.12
Evaluated at bid price : 18.12
Bid-YTW : 6.28 %
CU.PR.J Perpetual-Discount 1.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-22
Maturity Price : 18.81
Evaluated at bid price : 18.81
Bid-YTW : 6.43 %
BN.PF.D Perpetual-Discount 1.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-22
Maturity Price : 18.50
Evaluated at bid price : 18.50
Bid-YTW : 6.71 %
POW.PR.G Perpetual-Discount 1.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-22
Maturity Price : 21.59
Evaluated at bid price : 21.85
Bid-YTW : 6.45 %
BN.PR.T FixedReset Disc 1.21 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-22
Maturity Price : 16.70
Evaluated at bid price : 16.70
Bid-YTW : 8.07 %
BIP.PR.F FixedReset Disc 1.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-22
Maturity Price : 21.31
Evaluated at bid price : 21.59
Bid-YTW : 7.46 %
BN.PR.B Floater 1.31 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-22
Maturity Price : 11.56
Evaluated at bid price : 11.56
Bid-YTW : 10.73 %
NA.PR.C FixedReset Prem 1.34 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2027-11-15
Maturity Price : 25.00
Evaluated at bid price : 25.65
Bid-YTW : 6.05 %
CU.PR.E Perpetual-Discount 1.40 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-22
Maturity Price : 19.57
Evaluated at bid price : 19.57
Bid-YTW : 6.37 %
GWO.PR.S Insurance Straight 1.42 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-22
Maturity Price : 20.69
Evaluated at bid price : 20.69
Bid-YTW : 6.42 %
GWO.PR.N FixedReset Ins Non 1.44 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-22
Maturity Price : 14.82
Evaluated at bid price : 14.82
Bid-YTW : 7.45 %
POW.PR.B Perpetual-Discount 1.45 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-22
Maturity Price : 20.97
Evaluated at bid price : 20.97
Bid-YTW : 6.44 %
GWO.PR.G Insurance Straight 1.46 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-22
Maturity Price : 20.80
Evaluated at bid price : 20.80
Bid-YTW : 6.33 %
BIP.PR.B FixedReset Disc 1.65 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-12-31
Maturity Price : 25.00
Evaluated at bid price : 24.65
Bid-YTW : 6.81 %
FTS.PR.J Perpetual-Discount 1.86 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-22
Maturity Price : 19.68
Evaluated at bid price : 19.68
Bid-YTW : 6.14 %
IFC.PR.C FixedReset Ins Non 1.91 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-22
Maturity Price : 21.32
Evaluated at bid price : 21.32
Bid-YTW : 6.70 %
GWO.PR.M Insurance Straight 1.95 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-22
Maturity Price : 22.70
Evaluated at bid price : 22.99
Bid-YTW : 6.37 %
MFC.PR.L FixedReset Ins Non 2.29 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-22
Maturity Price : 21.85
Evaluated at bid price : 22.30
Bid-YTW : 6.38 %
BN.PF.H FixedReset Disc 2.54 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-22
Maturity Price : 23.80
Evaluated at bid price : 24.20
Bid-YTW : 7.60 %
IFC.PR.G FixedReset Ins Non 2.56 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-22
Maturity Price : 22.67
Evaluated at bid price : 23.60
Bid-YTW : 6.35 %
BN.PR.Z FixedReset Disc 2.73 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-22
Maturity Price : 21.04
Evaluated at bid price : 21.04
Bid-YTW : 7.58 %
MFC.PR.I FixedReset Ins Non 3.40 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-22
Maturity Price : 23.11
Evaluated at bid price : 24.35
Bid-YTW : 6.40 %
PWF.PR.L Perpetual-Discount 4.54 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-22
Maturity Price : 19.81
Evaluated at bid price : 19.81
Bid-YTW : 6.48 %
BN.PF.E FixedReset Disc 7.47 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-22
Maturity Price : 18.70
Evaluated at bid price : 18.70
Bid-YTW : 7.87 %
MFC.PR.Q FixedReset Ins Non 8.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-22
Maturity Price : 22.83
Evaluated at bid price : 23.93
Bid-YTW : 6.25 %
Volume Highlights
Issue Index Shares
Traded		 Notes
NA.PR.E FixedReset Disc 324,000 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-22
Maturity Price : 23.01
Evaluated at bid price : 24.32
Bid-YTW : 6.06 %
TD.PF.C FixedReset Disc 91,400 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-22
Maturity Price : 23.36
Evaluated at bid price : 24.10
Bid-YTW : 5.79 %
BMO.PR.T FixedReset Disc 78,800 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-22
Maturity Price : 23.96
Evaluated at bid price : 25.00
Bid-YTW : 5.65 %
FFH.PR.I FixedReset Disc 71,900 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-22
Maturity Price : 18.93
Evaluated at bid price : 18.93
Bid-YTW : 7.90 %
NA.PR.W FixedReset Disc 37,200 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-22
Maturity Price : 21.76
Evaluated at bid price : 22.20
Bid-YTW : 6.28 %
RY.PR.J FixedReset Disc 33,500 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-22
Maturity Price : 23.68
Evaluated at bid price : 24.25
Bid-YTW : 6.21 %
There were 11 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
IFC.PR.F Insurance Straight Quote: 20.65 – 22.10
Spot Rate : 1.4500
Average : 0.9989

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-22
Maturity Price : 20.65
Evaluated at bid price : 20.65
Bid-YTW : 6.50 %
CU.PR.J Perpetual-Discount Quote: 18.81 – 19.94
Spot Rate : 1.1300
Average : 0.7138

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-22
Maturity Price : 18.81
Evaluated at bid price : 18.81
Bid-YTW : 6.43 %
MFC.PR.F FixedReset Ins Non Quote: 16.40 – 17.74
Spot Rate : 1.3400
Average : 0.9872

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-22
Maturity Price : 16.40
Evaluated at bid price : 16.40
Bid-YTW : 6.89 %
MFC.PR.M FixedReset Ins Non Quote: 21.90 – 22.90
Spot Rate : 1.0000
Average : 0.7020

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-22
Maturity Price : 21.55
Evaluated at bid price : 21.90
Bid-YTW : 6.57 %
MFC.PR.N FixedReset Ins Non Quote: 21.58 – 22.20
Spot Rate : 0.6200
Average : 0.3882

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-22
Maturity Price : 21.58
Evaluated at bid price : 21.58
Bid-YTW : 6.57 %
GWO.PR.G Insurance Straight Quote: 20.80 – 21.41
Spot Rate : 0.6100
Average : 0.4340

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-22
Maturity Price : 20.80
Evaluated at bid price : 20.80
Bid-YTW : 6.33 %

Posted in Market Action | No Comments »

July 19, 2024

Friday, July 19th, 2024

A day enlivened by the CrowdStrike-Microsoft Outage:

Wall Street’s main indexes fell on Friday, deepening a sell-off driven by tech stocks and mixed earnings, while investors assessed the impact of a global cyber outage that knocked down CrowdStrike’s shares to an over two-month low.

Cybersecurity firm CrowdStrike slumped 11.2 per cent after an update to one of its products appeared to trigger an outage that affected customers using Microsoft’s Windows Operating System, disrupting businesses across sectors.

Major U.S. airlines ordered ground stops citing communication issues, with the Euronext exchange and London Stock Exchange Group’s Workspace news and data platform also facing issues. LSEG later said its data and services were back online.

Microsoft slipped 0.7 per cent to an over one-month low, on track for a four-day decline, driven by a rout in tech stocks.

I’m beginning to think that legislation making software providers with a market share greater than X liable for screw-ups via class actions would be a good idea. Cap the potential liability because otherwise nobody in their right mind would write software, but, by golly, make it hurt! They won’t notice, otherwise.

The culture of not caring about the quality of one’s work is becoming pervasive. I believe it’s related to the growing lack of trust in institutions, but I’ll have to wait until I’m reincarnated with a new career to look into that one properly.

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 -0.3057 % 2,177.0
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.3057 % 4,175.6
Floater 10.65 % 10.85 % 24,540 8.90 2 -0.3057 % 2,406.4
OpRet 0.00 % 0.00 % 0 0.00 0 0.1573 % 3,510.9
SplitShare 4.76 % 6.59 % 30,697 1.23 6 0.1573 % 4,192.8
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.1573 % 3,271.4
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 -0.1985 % 2,719.8
Perpetual-Discount 6.33 % 6.47 % 58,053 13.25 28 -0.1985 % 2,965.8
FixedReset Disc 5.13 % 7.02 % 113,749 12.50 49 -0.3038 % 2,635.7
Insurance Straight 6.07 % 6.35 % 65,337 13.40 21 0.0746 % 2,940.5
FloatingReset 9.15 % 8.90 % 28,756 10.47 4 0.2176 % 2,800.0
FixedReset Prem 5.82 % 6.24 % 248,601 2.96 8 0.1038 % 2,537.7
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 -0.3038 % 2,694.2
FixedReset Ins Non 5.27 % 6.64 % 89,761 13.07 14 -0.7624 % 2,789.3
Performance Highlights
Issue Index Change Notes
BN.PF.E FixedReset Disc -7.69 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-19
Maturity Price : 17.40
Evaluated at bid price : 17.40
Bid-YTW : 8.46 %
MFC.PR.Q FixedReset Ins Non -5.34 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-19
Maturity Price : 21.80
Evaluated at bid price : 22.15
Bid-YTW : 6.80 %
PWF.PR.L Perpetual-Discount -4.24 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-19
Maturity Price : 18.95
Evaluated at bid price : 18.95
Bid-YTW : 6.77 %
MFC.PR.F FixedReset Ins Non -4.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-19
Maturity Price : 16.40
Evaluated at bid price : 16.40
Bid-YTW : 6.90 %
BN.PR.Z FixedReset Disc -3.31 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-19
Maturity Price : 20.48
Evaluated at bid price : 20.48
Bid-YTW : 7.79 %
SLF.PR.G FixedReset Ins Non -2.63 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-19
Maturity Price : 16.65
Evaluated at bid price : 16.65
Bid-YTW : 6.98 %
BN.PF.H FixedReset Disc -2.48 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-19
Maturity Price : 23.16
Evaluated at bid price : 23.60
Bid-YTW : 7.79 %
BIP.PR.A FixedReset Disc -2.28 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-19
Maturity Price : 21.83
Evaluated at bid price : 22.33
Bid-YTW : 7.62 %
BN.PF.D Perpetual-Discount -1.40 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-19
Maturity Price : 18.29
Evaluated at bid price : 18.29
Bid-YTW : 6.78 %
BIP.PR.B FixedReset Disc -1.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-19
Maturity Price : 23.86
Evaluated at bid price : 24.25
Bid-YTW : 7.98 %
BIK.PR.A FixedReset Prem 1.54 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2029-04-01
Maturity Price : 25.00
Evaluated at bid price : 25.65
Bid-YTW : 6.97 %
FTS.PR.H FixedReset Disc 1.60 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-19
Maturity Price : 15.25
Evaluated at bid price : 15.25
Bid-YTW : 7.72 %
IFC.PR.A FixedReset Ins Non 1.64 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-19
Maturity Price : 19.20
Evaluated at bid price : 19.20
Bid-YTW : 6.67 %
PVS.PR.K SplitShare 2.28 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2029-05-31
Maturity Price : 25.00
Evaluated at bid price : 23.80
Bid-YTW : 5.75 %
Volume Highlights
Issue Index Shares
Traded		 Notes
BMO.PR.T FixedReset Disc 326,366 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-19
Maturity Price : 23.61
Evaluated at bid price : 24.76
Bid-YTW : 5.71 %
PWF.PR.Z Perpetual-Discount 301,734 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-19
Maturity Price : 20.10
Evaluated at bid price : 20.10
Bid-YTW : 6.44 %
BN.PF.E FixedReset Disc 240,459 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-19
Maturity Price : 17.40
Evaluated at bid price : 17.40
Bid-YTW : 8.46 %
CU.PR.E Perpetual-Discount 199,735 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-19
Maturity Price : 19.30
Evaluated at bid price : 19.30
Bid-YTW : 6.46 %
RY.PR.N Perpetual-Discount 191,578 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-19
Maturity Price : 23.97
Evaluated at bid price : 24.25
Bid-YTW : 5.12 %
SLF.PR.G FixedReset Ins Non 190,686 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-19
Maturity Price : 16.65
Evaluated at bid price : 16.65
Bid-YTW : 6.98 %
IFC.PR.F Insurance Straight 187,834 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-19
Maturity Price : 22.14
Evaluated at bid price : 22.14
Bid-YTW : 6.05 %
MFC.PR.F FixedReset Ins Non 178,024 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-19
Maturity Price : 16.40
Evaluated at bid price : 16.40
Bid-YTW : 6.90 %
BIP.PR.A FixedReset Disc 154,872 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-19
Maturity Price : 21.83
Evaluated at bid price : 22.33
Bid-YTW : 7.62 %
There were 21 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
BN.PF.E FixedReset Disc Quote: 17.40 – 19.25
Spot Rate : 1.8500
Average : 1.1172

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-19
Maturity Price : 17.40
Evaluated at bid price : 17.40
Bid-YTW : 8.46 %
PWF.PR.L Perpetual-Discount Quote: 18.95 – 20.50
Spot Rate : 1.5500
Average : 0.8658

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-19
Maturity Price : 18.95
Evaluated at bid price : 18.95
Bid-YTW : 6.77 %
MFC.PR.Q FixedReset Ins Non Quote: 22.15 – 24.00
Spot Rate : 1.8500
Average : 1.2409

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-19
Maturity Price : 21.80
Evaluated at bid price : 22.15
Bid-YTW : 6.80 %
IFC.PR.C FixedReset Ins Non Quote: 20.92 – 22.25
Spot Rate : 1.3300
Average : 0.7708

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-19
Maturity Price : 20.92
Evaluated at bid price : 20.92
Bid-YTW : 6.83 %
IFC.PR.E Insurance Straight Quote: 21.55 – 23.22
Spot Rate : 1.6700
Average : 1.2408

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-19
Maturity Price : 21.55
Evaluated at bid price : 21.55
Bid-YTW : 6.10 %
CU.PR.C FixedReset Disc Quote: 20.70 – 21.88
Spot Rate : 1.1800
Average : 0.8193

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-19
Maturity Price : 20.70
Evaluated at bid price : 20.70
Bid-YTW : 6.99 %

Posted in Market Action | 5 Comments »

July 18, 2024

Thursday, July 18th, 2024
HIMIPref™ Preferred Indices
These values reflect the December 2008 revision of the HIMIPref™ Indices
Values are provisional and are finalized monthly
Index Mean
Current
Yield
(at bid)		 Median
YTW		 Median
Average
Trading
Value		 Median
Mod Dur
(YTW)		 Issues Day’s Perf. Index Value
Ratchet 0.00 % 0.00 % 0 0.00 0 0.2627 % 2,183.7
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.2627 % 4,188.4
Floater 10.62 % 10.82 % 23,897 8.93 2 0.2627 % 2,413.8
OpRet 0.00 % 0.00 % 0 0.00 0 0.1987 % 3,505.4
SplitShare 4.77 % 6.15 % 28,596 1.23 6 0.1987 % 4,186.2
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.1987 % 3,266.2
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 0.1883 % 2,725.2
Perpetual-Discount 6.32 % 6.47 % 57,155 13.27 28 0.1883 % 2,971.7
FixedReset Disc 5.11 % 7.05 % 112,781 12.48 49 0.2195 % 2,643.8
Insurance Straight 6.08 % 6.36 % 62,424 13.40 21 0.9459 % 2,938.3
FloatingReset 9.17 % 8.91 % 29,921 10.46 4 0.0897 % 2,793.9
FixedReset Prem 5.82 % 6.16 % 250,232 11.91 8 0.2478 % 2,535.1
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 0.2195 % 2,702.5
FixedReset Ins Non 5.23 % 6.63 % 90,281 13.19 14 -0.1166 % 2,810.7
Performance Highlights
Issue Index Change Notes
BN.PF.F FixedReset Disc -2.28 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-18
Maturity Price : 19.70
Evaluated at bid price : 19.70
Bid-YTW : 8.01 %
BIP.PR.A FixedReset Disc -1.30 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-18
Maturity Price : 22.15
Evaluated at bid price : 22.85
Bid-YTW : 7.43 %
MFC.PR.K FixedReset Ins Non -1.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-18
Maturity Price : 22.61
Evaluated at bid price : 23.51
Bid-YTW : 6.23 %
IFC.PR.A FixedReset Ins Non -1.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-18
Maturity Price : 18.89
Evaluated at bid price : 18.89
Bid-YTW : 6.78 %
CU.PR.G Perpetual-Discount 1.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-18
Maturity Price : 17.90
Evaluated at bid price : 17.90
Bid-YTW : 6.39 %
POW.PR.A Perpetual-Discount 1.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-18
Maturity Price : 21.65
Evaluated at bid price : 21.90
Bid-YTW : 6.43 %
MIC.PR.A Perpetual-Discount 1.26 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-18
Maturity Price : 20.10
Evaluated at bid price : 20.10
Bid-YTW : 6.80 %
GWO.PR.P Insurance Straight 1.63 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-18
Maturity Price : 21.24
Evaluated at bid price : 21.24
Bid-YTW : 6.43 %
BN.PR.X FixedReset Disc 3.69 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-18
Maturity Price : 16.60
Evaluated at bid price : 16.60
Bid-YTW : 7.74 %
BN.PR.Z FixedReset Disc 4.59 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-18
Maturity Price : 21.18
Evaluated at bid price : 21.18
Bid-YTW : 7.53 %
GWO.PR.T Insurance Straight 18.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-18
Maturity Price : 20.14
Evaluated at bid price : 20.14
Bid-YTW : 6.47 %
Volume Highlights
Issue Index Shares
Traded		 Notes
CM.PR.O FixedReset Disc 648,300 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-18
Maturity Price : 23.96
Evaluated at bid price : 24.95
Bid-YTW : 5.72 %
RY.PR.J FixedReset Disc 391,137 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-18
Maturity Price : 23.55
Evaluated at bid price : 24.13
Bid-YTW : 6.24 %
TD.PF.B FixedReset Prem 204,800 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-18
Maturity Price : 23.96
Evaluated at bid price : 24.95
Bid-YTW : 5.67 %
BN.PF.J FixedReset Disc 164,349 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-18
Maturity Price : 22.39
Evaluated at bid price : 23.00
Bid-YTW : 7.06 %
TD.PF.I FixedReset Prem 161,600 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2027-10-31
Maturity Price : 25.00
Evaluated at bid price : 25.45
Bid-YTW : 5.66 %
MFC.PR.K FixedReset Ins Non 78,500 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-18
Maturity Price : 22.61
Evaluated at bid price : 23.51
Bid-YTW : 6.23 %
There were 16 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
FFH.PR.I FixedReset Disc Quote: 18.93 – 23.35
Spot Rate : 4.4200
Average : 2.3607

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-18
Maturity Price : 18.93
Evaluated at bid price : 18.93
Bid-YTW : 7.90 %
IFC.PR.F Insurance Straight Quote: 22.05 – 22.99
Spot Rate : 0.9400
Average : 0.6626

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-18
Maturity Price : 22.05
Evaluated at bid price : 22.05
Bid-YTW : 6.08 %
BN.PF.F FixedReset Disc Quote: 19.70 – 20.70
Spot Rate : 1.0000
Average : 0.7347

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-18
Maturity Price : 19.70
Evaluated at bid price : 19.70
Bid-YTW : 8.01 %
BN.PR.R FixedReset Disc Quote: 16.60 – 17.49
Spot Rate : 0.8900
Average : 0.6996

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-18
Maturity Price : 16.60
Evaluated at bid price : 16.60
Bid-YTW : 8.11 %
CM.PR.S FixedReset Disc Quote: 24.10 – 24.52
Spot Rate : 0.4200
Average : 0.2712

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-18
Maturity Price : 24.10
Evaluated at bid price : 24.10
Bid-YTW : 6.12 %
GWO.PR.N FixedReset Ins Non Quote: 14.65 – 15.17
Spot Rate : 0.5200
Average : 0.3802

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-18
Maturity Price : 14.65
Evaluated at bid price : 14.65
Bid-YTW : 7.54 %

Posted in Market Action | No Comments »

July 17, 2024

Wednesday, July 17th, 2024

PerpetualDiscounts now yield 6.48%, equivalent to 8.42% interest at the standard equivalency factor of 1.3x. Long corporates yielded 5.12% on 2024-6-30 (sic! That was a Sunday. I am assuming 2024-6-28) and since then the closing price of ZLC has changed from 14.82 to 15.10, an increase of 189bp in price, implying a decrease of yields of 15bp (BMO reports a duration of 12.33, but don’t disclose whether this is Macaulay or Modified; I will assume Modified) to 4.97%. Therefore, the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) has remained steady at the 345bp reported July 10.

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 -0.0875 % 2,178.0
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.0875 % 4,177.4
Floater 10.65 % 10.85 % 24,203 8.91 2 -0.0875 % 2,407.4
OpRet 0.00 % 0.00 % 0 0.00 0 0.0411 % 3,498.4
SplitShare 4.78 % 6.79 % 28,549 1.23 6 0.0411 % 4,177.9
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0411 % 3,259.7
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 0.0475 % 2,720.1
Perpetual-Discount 6.33 % 6.48 % 56,010 13.25 28 0.0475 % 2,966.1
FixedReset Disc 5.13 % 7.04 % 114,203 12.49 49 0.2293 % 2,638.0
Insurance Straight 6.14 % 6.37 % 60,336 13.38 21 -0.5406 % 2,910.7
FloatingReset 9.18 % 8.93 % 29,761 10.44 4 0.1797 % 2,791.4
FixedReset Prem 5.84 % 6.22 % 254,057 11.92 8 -0.2127 % 2,528.8
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 0.2293 % 2,696.5
FixedReset Ins Non 5.22 % 6.61 % 93,336 13.21 14 0.3235 % 2,814.0
Performance Highlights
Issue Index Change Notes
GWO.PR.T Insurance Straight -15.34 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-17
Maturity Price : 17.05
Evaluated at bid price : 17.05
Bid-YTW : 7.65 %
BN.PR.X FixedReset Disc -1.96 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-17
Maturity Price : 16.01
Evaluated at bid price : 16.01
Bid-YTW : 8.03 %
FTS.PR.H FixedReset Disc -1.39 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-17
Maturity Price : 14.95
Evaluated at bid price : 14.95
Bid-YTW : 7.87 %
GWO.PR.P Insurance Straight -1.32 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-17
Maturity Price : 20.90
Evaluated at bid price : 20.90
Bid-YTW : 6.53 %
BIP.PR.E FixedReset Disc -1.28 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-17
Maturity Price : 21.91
Evaluated at bid price : 22.29
Bid-YTW : 7.34 %
BN.PR.T FixedReset Disc -1.26 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-17
Maturity Price : 16.40
Evaluated at bid price : 16.40
Bid-YTW : 8.21 %
BIK.PR.A FixedReset Prem -1.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-17
Maturity Price : 23.27
Evaluated at bid price : 25.26
Bid-YTW : 7.35 %
POW.PR.A Perpetual-Discount -1.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-17
Maturity Price : 21.39
Evaluated at bid price : 21.66
Bid-YTW : 6.50 %
MFC.PR.Q FixedReset Ins Non 1.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-17
Maturity Price : 22.57
Evaluated at bid price : 23.40
Bid-YTW : 6.41 %
MFC.PR.M FixedReset Ins Non 1.30 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-17
Maturity Price : 21.47
Evaluated at bid price : 21.78
Bid-YTW : 6.61 %
GWO.PR.I Insurance Straight 1.46 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-17
Maturity Price : 18.04
Evaluated at bid price : 18.04
Bid-YTW : 6.31 %
FTS.PR.M FixedReset Disc 1.51 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-17
Maturity Price : 20.20
Evaluated at bid price : 20.20
Bid-YTW : 7.33 %
BIP.PR.A FixedReset Disc 1.58 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-17
Maturity Price : 22.61
Evaluated at bid price : 23.15
Bid-YTW : 7.34 %
RY.PR.S FixedReset Disc 1.71 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-17
Maturity Price : 23.16
Evaluated at bid price : 24.92
Bid-YTW : 5.85 %
BN.PR.R FixedReset Disc 2.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-17
Maturity Price : 16.58
Evaluated at bid price : 16.58
Bid-YTW : 8.12 %
BN.PF.F FixedReset Disc 2.34 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-17
Maturity Price : 20.16
Evaluated at bid price : 20.16
Bid-YTW : 7.82 %
CU.PR.C FixedReset Disc 6.74 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-17
Maturity Price : 20.75
Evaluated at bid price : 20.75
Bid-YTW : 6.97 %
Volume Highlights
Issue Index Shares
Traded		 Notes
TD.PF.B FixedReset Prem 604,274 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-08-30
Maturity Price : 25.00
Evaluated at bid price : 24.95
Bid-YTW : 5.60 %
CM.PR.O FixedReset Disc 563,700 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-17
Maturity Price : 23.97
Evaluated at bid price : 24.95
Bid-YTW : 5.72 %
BMO.PR.T FixedReset Disc 311,800 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-17
Maturity Price : 24.01
Evaluated at bid price : 25.00
Bid-YTW : 5.66 %
TD.PF.I FixedReset Prem 127,300 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2027-10-31
Maturity Price : 25.00
Evaluated at bid price : 25.30
Bid-YTW : 5.86 %
RY.PR.J FixedReset Disc 116,317 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-17
Maturity Price : 23.56
Evaluated at bid price : 24.14
Bid-YTW : 6.24 %
FTS.PR.M FixedReset Disc 71,875 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-17
Maturity Price : 20.20
Evaluated at bid price : 20.20
Bid-YTW : 7.33 %
There were 23 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: 17.82 – 22.20
Spot Rate : 4.3800
Average : 2.3268

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-17
Maturity Price : 17.82
Evaluated at bid price : 17.82
Bid-YTW : 6.38 %
GWO.PR.T Insurance Straight Quote: 17.05 – 20.31
Spot Rate : 3.2600
Average : 1.8238

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-17
Maturity Price : 17.05
Evaluated at bid price : 17.05
Bid-YTW : 7.65 %
MFC.PR.M FixedReset Ins Non Quote: 21.78 – 22.78
Spot Rate : 1.0000
Average : 0.6853

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-17
Maturity Price : 21.47
Evaluated at bid price : 21.78
Bid-YTW : 6.61 %
IFC.PR.E Insurance Straight Quote: 21.50 – 23.22
Spot Rate : 1.7200
Average : 1.4502

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-17
Maturity Price : 21.50
Evaluated at bid price : 21.50
Bid-YTW : 6.11 %
BN.PR.X FixedReset Disc Quote: 16.01 – 16.80
Spot Rate : 0.7900
Average : 0.6204

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-17
Maturity Price : 16.01
Evaluated at bid price : 16.01
Bid-YTW : 8.03 %
NA.PR.W FixedReset Disc Quote: 22.05 – 22.51
Spot Rate : 0.4600
Average : 0.3010

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-17
Maturity Price : 21.65
Evaluated at bid price : 22.05
Bid-YTW : 6.33 %

Posted in Market Action | 1 Comment »

July 16, 2024

Tuesday, July 16th, 2024

Canadian inflation came in low:

The Consumer Price Index rose 2.7 per cent in June on an annual basis, down from 2.9 per cent in May, Statistics Canada said Tuesday in a report. Financial analysts were expecting the inflation rate to ease to 2.8 per cent.

This is the sixth consecutive month that inflation has fallen within the Bank of Canada’s target range of 1 per cent to 3 per cent. Moreover, it’s the fifth out of six months this year that headline inflation has proven soft, relative to expectations on Bay Street.

On a month-to-month basis, consumer prices fell 0.1 per cent in June, without adjustments for seasonality.

There were several contributors to the weaker reading. For example, gasoline prices fell 3.1 per cent in June from May, while prices for travel tours tumbled by 11.1 per cent.

… this had an immediate effect on the money market:


Pre-announcement

Post-announcement

But the IMF warns us not to expect too much:

The International Monetary Fund has warned that stubborn inflation could keep interest rates higher for longer than expected, increasing fiscal and financial risks around the world.

Persistently high prices for services — which include haircuts, hotels and restaurants — as well as escalating trade tensions are propping up inflation and raising the prospect that interest rates will stay high for a while yet, the IMF cautioned Tuesday in its latest World Economic Outlook.

The warning highlights that the global economy is not yet in the clear when it comes to inflation, which explains the caution on the part of central banks in cutting interest rates. High borrowing costs, in turn, are prolonging the squeeze on household and business finances.
…
The agency blamed sticky services price inflation for “holding up progress” on reducing overall inflation. “Risks of persistent inflation in the services sector are tied to both wage- and price-setting, given that labor accounts for a high share of the costs in that sector,” it noted.

“The escalation of trade tensions could further raise near-term risks to inflation by increasing the cost of imported goods.”

So: when in doubt – shop!

Wall Street is cheering after fresh data showed American consumers aren’t tapping out quite yet, despite a disappointing few months for retailers.

US retail spending has been mostly flat since the beginning of the year, holding steady in June, the Commerce Department reported Tuesday. Consumer spending is American’s main economic engine, powering two-thirds of the US economy. Retail sales, which capture spending on goods and food services, make up a big chunk of overall spending.

June’s reading was better than the outright decline economists projected in a FactSet poll — a shift from prior months when retail sales consistently came in worse than expected. The figures are adjusted for seasonal swings but not inflation.

US consumers’ surprising show of resilience helped send stocks higher on Tuesday, with the Dow reaching a new record.

Sales at gas stations declined the most last month, dropping 3% from May. Spending at car dealerships and on automotive parts also fell markedly in June, reflecting the cyberattack on CDK Global, a software provider for dealerships. Excluding spending at gas stations and on cars, sales were up a solid 0.8% in June.

Meanwhile, online sales were up a healthy 1.9% in June. The strength from that category could persist in July due to Amazon’s annual deal event known as Prime Day. Sales at home improvement stores were also robust last month, rising 1.4%

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 0.3072 % 2,179.9
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.3072 % 4,181.0
Floater 10.64 % 10.81 % 87,574 8.93 2 0.3072 % 2,409.6
OpRet 0.00 % 0.00 % 0 0.00 0 0.2818 % 3,497.0
SplitShare 4.78 % 6.72 % 28,785 1.23 6 0.2818 % 4,176.2
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.2818 % 3,258.4
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 0.0917 % 2,718.8
Perpetual-Discount 6.33 % 6.47 % 56,115 13.27 28 0.0917 % 2,964.7
FixedReset Disc 5.14 % 7.06 % 112,654 12.48 49 0.0928 % 2,631.9
Insurance Straight 6.10 % 6.37 % 61,022 13.39 21 0.3216 % 2,926.6
FloatingReset 9.19 % 8.95 % 30,968 10.43 4 -0.6122 % 2,786.4
FixedReset Prem 5.83 % 6.20 % 258,391 3.94 8 0.0148 % 2,534.2
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 0.0928 % 2,690.4
FixedReset Ins Non 5.24 % 6.62 % 94,319 13.12 14 0.0448 % 2,804.9
Performance Highlights
Issue Index Change Notes
CU.PR.C FixedReset Disc -6.54 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-16
Maturity Price : 19.44
Evaluated at bid price : 19.44
Bid-YTW : 7.44 %
BN.PF.F FixedReset Disc -3.34 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-16
Maturity Price : 19.70
Evaluated at bid price : 19.70
Bid-YTW : 8.00 %
RY.PR.S FixedReset Disc -1.80 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-16
Maturity Price : 23.01
Evaluated at bid price : 24.50
Bid-YTW : 5.97 %
GWO.PR.I Insurance Straight -1.77 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-16
Maturity Price : 17.78
Evaluated at bid price : 17.78
Bid-YTW : 6.40 %
FFH.PR.J FloatingReset -1.26 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-16
Maturity Price : 19.55
Evaluated at bid price : 19.55
Bid-YTW : 9.77 %
BN.PF.C Perpetual-Discount -1.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-16
Maturity Price : 18.15
Evaluated at bid price : 18.15
Bid-YTW : 6.76 %
GWO.PR.H Insurance Straight 1.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-16
Maturity Price : 19.30
Evaluated at bid price : 19.30
Bid-YTW : 6.35 %
POW.PR.A Perpetual-Discount 1.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-16
Maturity Price : 21.65
Evaluated at bid price : 21.90
Bid-YTW : 6.43 %
BN.PR.X FixedReset Disc 1.18 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-16
Maturity Price : 16.33
Evaluated at bid price : 16.33
Bid-YTW : 7.87 %
BN.PR.T FixedReset Disc 1.28 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-16
Maturity Price : 16.61
Evaluated at bid price : 16.61
Bid-YTW : 8.11 %
GWO.PR.P Insurance Straight 1.29 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-16
Maturity Price : 21.18
Evaluated at bid price : 21.18
Bid-YTW : 6.45 %
SLF.PR.C Insurance Straight 1.32 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-16
Maturity Price : 19.20
Evaluated at bid price : 19.20
Bid-YTW : 5.85 %
SLF.PR.D Insurance Straight 1.32 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-16
Maturity Price : 19.16
Evaluated at bid price : 19.16
Bid-YTW : 5.87 %
PVS.PR.J SplitShare 1.93 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2028-02-29
Maturity Price : 25.00
Evaluated at bid price : 23.75
Bid-YTW : 6.14 %
BIP.PR.E FixedReset Disc 7.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-16
Maturity Price : 22.11
Evaluated at bid price : 22.58
Bid-YTW : 7.23 %
Volume Highlights
Issue Index Shares
Traded		 Notes
CM.PR.O FixedReset Disc 175,200 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-16
Maturity Price : 23.96
Evaluated at bid price : 24.94
Bid-YTW : 5.72 %
TD.PF.C FixedReset Disc 106,924 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-16
Maturity Price : 23.31
Evaluated at bid price : 24.05
Bid-YTW : 5.81 %
TD.PF.M FixedReset Prem 101,200 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-08-30
Maturity Price : 25.00
Evaluated at bid price : 24.94
Bid-YTW : 6.69 %
GWO.PR.P Insurance Straight 76,260 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-16
Maturity Price : 21.18
Evaluated at bid price : 21.18
Bid-YTW : 6.45 %
CM.PR.S FixedReset Disc 75,600 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-16
Maturity Price : 24.19
Evaluated at bid price : 24.19
Bid-YTW : 6.09 %
SLF.PR.G FixedReset Ins Non 75,014 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-16
Maturity Price : 17.12
Evaluated at bid price : 17.12
Bid-YTW : 6.79 %
There were 17 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: 21.35 – 23.22
Spot Rate : 1.8700
Average : 1.1545

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-16
Maturity Price : 21.35
Evaluated at bid price : 21.35
Bid-YTW : 6.15 %
CU.PR.C FixedReset Disc Quote: 19.44 – 21.05
Spot Rate : 1.6100
Average : 1.0306

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-16
Maturity Price : 19.44
Evaluated at bid price : 19.44
Bid-YTW : 7.44 %
GWO.PR.G Insurance Straight Quote: 20.46 – 21.41
Spot Rate : 0.9500
Average : 0.5774

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-16
Maturity Price : 20.46
Evaluated at bid price : 20.46
Bid-YTW : 6.42 %
BN.PF.F FixedReset Disc Quote: 19.70 – 20.55
Spot Rate : 0.8500
Average : 0.6016

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-16
Maturity Price : 19.70
Evaluated at bid price : 19.70
Bid-YTW : 8.00 %
PVS.PR.J SplitShare Quote: 23.75 – 24.90
Spot Rate : 1.1500
Average : 0.9098

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2028-02-29
Maturity Price : 25.00
Evaluated at bid price : 23.75
Bid-YTW : 6.14 %
GWO.PR.I Insurance Straight Quote: 17.78 – 18.50
Spot Rate : 0.7200
Average : 0.5530

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-16
Maturity Price : 17.78
Evaluated at bid price : 17.78
Bid-YTW : 6.40 %

Posted in Market Action | No Comments »

July 15, 2024

Monday, July 15th, 2024
HIMIPref™ Preferred Indices
These values reflect the December 2008 revision of the HIMIPref™ Indices
Values are provisional and are finalized monthly
Index Mean
Current
Yield
(at bid)		 Median
YTW		 Median
Average
Trading
Value		 Median
Mod Dur
(YTW)		 Issues Day’s Perf. Index Value
Ratchet 0.00 % 0.00 % 0 0.00 0 -0.8268 % 2,173.2
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.8268 % 4,168.2
Floater 10.67 % 10.82 % 24,559 8.93 2 -0.8268 % 2,402.2
OpRet 0.00 % 0.00 % 0 0.00 0 -0.1373 % 3,487.2
SplitShare 4.79 % 6.83 % 31,322 1.24 6 -0.1373 % 4,164.4
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.1373 % 3,249.2
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 0.3147 % 2,716.3
Perpetual-Discount 6.34 % 6.49 % 51,925 13.27 28 0.3147 % 2,962.0
FixedReset Disc 5.14 % 7.05 % 113,063 12.49 49 0.3658 % 2,629.5
Insurance Straight 6.12 % 6.37 % 60,113 13.39 21 -0.1477 % 2,917.2
FloatingReset 9.14 % 8.89 % 30,921 10.49 4 1.9506 % 2,803.5
FixedReset Prem 5.83 % 6.19 % 253,025 3.94 8 0.0693 % 2,533.9
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 0.3658 % 2,687.9
FixedReset Ins Non 5.24 % 6.62 % 94,872 13.13 14 0.8052 % 2,803.6
Performance Highlights
Issue Index Change Notes
BIP.PR.E FixedReset Disc -6.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-15
Maturity Price : 21.10
Evaluated at bid price : 21.10
Bid-YTW : 7.77 %
BN.PR.Z FixedReset Disc -3.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-15
Maturity Price : 20.25
Evaluated at bid price : 20.25
Bid-YTW : 7.88 %
PVS.PR.J SplitShare -1.69 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2028-02-29
Maturity Price : 25.00
Evaluated at bid price : 23.30
Bid-YTW : 6.73 %
BN.PR.B Floater -1.48 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-15
Maturity Price : 11.35
Evaluated at bid price : 11.35
Bid-YTW : 10.91 %
IFC.PR.F Insurance Straight -1.18 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-15
Maturity Price : 21.79
Evaluated at bid price : 21.79
Bid-YTW : 6.14 %
MFC.PR.Q FixedReset Ins Non -1.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-15
Maturity Price : 22.43
Evaluated at bid price : 23.15
Bid-YTW : 6.48 %
FFH.PR.J FloatingReset 1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-15
Maturity Price : 19.80
Evaluated at bid price : 19.80
Bid-YTW : 9.65 %
FFH.PR.H FloatingReset 1.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-15
Maturity Price : 18.90
Evaluated at bid price : 18.90
Bid-YTW : 9.72 %
FFH.PR.G FixedReset Disc 1.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-15
Maturity Price : 17.89
Evaluated at bid price : 17.89
Bid-YTW : 8.01 %
GWO.PR.I Insurance Straight 1.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-15
Maturity Price : 18.10
Evaluated at bid price : 18.10
Bid-YTW : 6.28 %
BN.PF.D Perpetual-Discount 1.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-15
Maturity Price : 18.50
Evaluated at bid price : 18.50
Bid-YTW : 6.70 %
BN.PF.E FixedReset Disc 1.28 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-15
Maturity Price : 18.99
Evaluated at bid price : 18.99
Bid-YTW : 7.75 %
PWF.PR.L Perpetual-Discount 1.33 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-15
Maturity Price : 19.86
Evaluated at bid price : 19.86
Bid-YTW : 6.45 %
CU.PR.G Perpetual-Discount 1.42 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-15
Maturity Price : 17.80
Evaluated at bid price : 17.80
Bid-YTW : 6.43 %
MIC.PR.A Perpetual-Discount 1.76 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-15
Maturity Price : 19.69
Evaluated at bid price : 19.69
Bid-YTW : 6.94 %
BIP.PR.B FixedReset Disc 2.01 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-12-31
Maturity Price : 25.00
Evaluated at bid price : 24.33
Bid-YTW : 7.68 %
CM.PR.P FixedReset Disc 2.34 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-15
Maturity Price : 23.31
Evaluated at bid price : 24.05
Bid-YTW : 5.80 %
CU.PR.C FixedReset Disc 3.17 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-15
Maturity Price : 20.80
Evaluated at bid price : 20.80
Bid-YTW : 6.95 %
SLF.PR.H FixedReset Ins Non 4.94 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-15
Maturity Price : 19.74
Evaluated at bid price : 19.74
Bid-YTW : 6.62 %
SLF.PR.J FloatingReset 6.75 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-15
Maturity Price : 17.40
Evaluated at bid price : 17.40
Bid-YTW : 8.86 %
TD.PF.D FixedReset Disc 7.92 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-15
Maturity Price : 23.31
Evaluated at bid price : 23.85
Bid-YTW : 6.28 %
IFC.PR.C FixedReset Ins Non 8.33 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-15
Maturity Price : 20.80
Evaluated at bid price : 20.80
Bid-YTW : 6.86 %
PWF.PR.P FixedReset Disc 9.38 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-15
Maturity Price : 15.40
Evaluated at bid price : 15.40
Bid-YTW : 7.60 %
Volume Highlights
Issue Index Shares
Traded		 Notes
TD.PF.C FixedReset Disc 295,000 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-15
Maturity Price : 23.29
Evaluated at bid price : 24.03
Bid-YTW : 5.81 %
TD.PF.A FixedReset Disc 71,800 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-15
Maturity Price : 23.45
Evaluated at bid price : 24.35
Bid-YTW : 5.74 %
BMO.PR.T FixedReset Disc 58,900 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-15
Maturity Price : 24.06
Evaluated at bid price : 25.02
Bid-YTW : 5.65 %
TD.PF.E FixedReset Disc 41,400 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-15
Maturity Price : 23.27
Evaluated at bid price : 23.74
Bid-YTW : 6.34 %
BN.PF.G FixedReset Disc 35,000 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-15
Maturity Price : 18.86
Evaluated at bid price : 18.86
Bid-YTW : 8.06 %
NA.PR.G FixedReset Prem 27,700 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-15
Maturity Price : 23.27
Evaluated at bid price : 25.16
Bid-YTW : 6.30 %
There were 10 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
BIP.PR.E FixedReset Disc Quote: 21.10 – 22.75
Spot Rate : 1.6500
Average : 1.0006

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-15
Maturity Price : 21.10
Evaluated at bid price : 21.10
Bid-YTW : 7.77 %
MFC.PR.M FixedReset Ins Non Quote: 21.60 – 22.60
Spot Rate : 1.0000
Average : 0.6037

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-15
Maturity Price : 21.60
Evaluated at bid price : 21.60
Bid-YTW : 6.68 %
IFC.PR.I Insurance Straight Quote: 22.25 – 23.47
Spot Rate : 1.2200
Average : 0.8697

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-15
Maturity Price : 21.94
Evaluated at bid price : 22.25
Bid-YTW : 6.11 %
FTS.PR.J Perpetual-Discount Quote: 19.15 – 19.98
Spot Rate : 0.8300
Average : 0.5263

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-15
Maturity Price : 19.15
Evaluated at bid price : 19.15
Bid-YTW : 6.30 %
BN.PR.Z FixedReset Disc Quote: 20.25 – 21.25
Spot Rate : 1.0000
Average : 0.6996

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-15
Maturity Price : 20.25
Evaluated at bid price : 20.25
Bid-YTW : 7.88 %
IFC.PR.F Insurance Straight Quote: 21.79 – 22.99
Spot Rate : 1.2000
Average : 0.9175

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-15
Maturity Price : 21.79
Evaluated at bid price : 21.79
Bid-YTW : 6.14 %

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