Archive for the ‘Market Action’ Category
Tuesday, November 23rd, 2021
HIMIPref™ Preferred Indices
These values reflect the December 2008 revision of the HIMIPref™ Indices
Values are provisional and are finalized monthly |
| Index |
Mean
Current
Yield
(at bid) |
Median
YTW |
Median
Average
Trading
Value |
Median
Mod Dur
(YTW) |
Issues |
Day’s Perf. |
Index Value |
| Ratchet |
2.97 % |
3.41 % |
45,658 |
20.15 |
1 |
-0.0969 % |
2,936.0 |
| FixedFloater |
0.00 % |
0.00 % |
0 |
0.00 |
0 |
0.2536 % |
5,386.0 |
| Floater |
2.96 % |
2.98 % |
88,672 |
19.72 |
3 |
0.2536 % |
3,104.0 |
| OpRet |
0.00 % |
0.00 % |
0 |
0.00 |
0 |
0.3656 % |
3,685.6 |
| SplitShare |
4.65 % |
4.05 % |
58,943 |
3.85 |
5 |
0.3656 % |
4,401.4 |
| Interest-Bearing |
0.00 % |
0.00 % |
0 |
0.00 |
0 |
0.3656 % |
3,434.1 |
| Perpetual-Premium |
5.14 % |
-8.35 % |
44,872 |
0.09 |
29 |
-0.0350 % |
3,271.5 |
| Perpetual-Discount |
4.71 % |
4.85 % |
69,397 |
15.70 |
6 |
-0.9342 % |
3,848.5 |
| FixedReset Disc |
3.83 % |
3.87 % |
125,930 |
17.00 |
37 |
-1.3850 % |
2,881.2 |
| Insurance Straight |
4.93 % |
3.97 % |
89,563 |
0.59 |
20 |
-0.1639 % |
3,679.8 |
| FloatingReset |
2.40 % |
2.71 % |
29,233 |
20.42 |
2 |
0.3299 % |
2,962.5 |
| FixedReset Prem |
4.65 % |
3.08 % |
122,045 |
2.28 |
33 |
-0.0815 % |
2,748.1 |
| FixedReset Bank Non |
0.00 % |
0.00 % |
0 |
0.00 |
0 |
-1.3850 % |
2,945.2 |
| FixedReset Ins Non |
4.02 % |
3.89 % |
93,903 |
16.87 |
19 |
-0.1917 % |
2,996.1 |
| Performance Highlights |
| Issue |
Index |
Change |
Notes |
| TRP.PR.G |
FixedReset Disc |
-45.98 % |
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-23
Maturity Price : 13.17
Evaluated at bid price : 13.17
Bid-YTW : 7.95 % |
| BAM.PR.M |
Perpetual-Discount |
-2.38 % |
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-23
Maturity Price : 24.34
Evaluated at bid price : 24.65
Bid-YTW : 4.87 % |
| BAM.PR.R |
FixedReset Disc |
-2.22 % |
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-23
Maturity Price : 20.30
Evaluated at bid price : 20.30
Bid-YTW : 4.60 % |
| FTS.PR.J |
Perpetual-Premium |
-2.18 % |
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-23
Maturity Price : 24.42
Evaluated at bid price : 24.70
Bid-YTW : 4.81 % |
| SLF.PR.H |
FixedReset Ins Non |
-1.99 % |
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-23
Maturity Price : 22.08
Evaluated at bid price : 22.65
Bid-YTW : 3.85 % |
| TRP.PR.B |
FixedReset Disc |
-1.76 % |
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-23
Maturity Price : 14.51
Evaluated at bid price : 14.51
Bid-YTW : 4.53 % |
| FTS.PR.G |
FixedReset Disc |
-1.58 % |
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-23
Maturity Price : 22.15
Evaluated at bid price : 22.47
Bid-YTW : 4.14 % |
| IFC.PR.A |
FixedReset Ins Non |
-1.35 % |
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-23
Maturity Price : 21.21
Evaluated at bid price : 21.21
Bid-YTW : 3.89 % |
| BAM.PF.B |
FixedReset Disc |
-1.30 % |
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-23
Maturity Price : 22.84
Evaluated at bid price : 23.54
Bid-YTW : 4.48 % |
| IFC.PR.F |
Insurance Straight |
-1.23 % |
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-09-30
Maturity Price : 25.25
Evaluated at bid price : 25.80
Bid-YTW : 4.88 % |
| CU.PR.G |
Perpetual-Discount |
-1.22 % |
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-23
Maturity Price : 24.00
Evaluated at bid price : 24.29
Bid-YTW : 4.63 % |
| CU.PR.I |
FixedReset Prem |
-1.12 % |
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-12-01
Maturity Price : 25.00
Evaluated at bid price : 26.60
Bid-YTW : 2.80 % |
| SLF.PR.C |
Insurance Straight |
1.13 % |
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-23
Maturity Price : 24.46
Evaluated at bid price : 24.70
Bid-YTW : 4.49 % |
| SLF.PR.G |
FixedReset Ins Non |
1.18 % |
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-23
Maturity Price : 18.30
Evaluated at bid price : 18.30
Bid-YTW : 3.75 % |
| GWO.PR.N |
FixedReset Ins Non |
1.45 % |
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-23
Maturity Price : 17.50
Evaluated at bid price : 17.50
Bid-YTW : 3.75 % |
| TRP.PR.D |
FixedReset Disc |
1.70 % |
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-23
Maturity Price : 21.67
Evaluated at bid price : 22.12
Bid-YTW : 4.43 % |
| PVS.PR.J |
SplitShare |
1.99 % |
YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2028-02-29
Maturity Price : 25.00
Evaluated at bid price : 25.60
Bid-YTW : 3.96 % |
| BAM.PR.X |
FixedReset Disc |
2.69 % |
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-23
Maturity Price : 18.69
Evaluated at bid price : 18.69
Bid-YTW : 4.49 % |
| SLF.PR.J |
FloatingReset |
2.79 % |
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-23
Maturity Price : 17.85
Evaluated at bid price : 17.85
Bid-YTW : 2.09 % |
| Volume Highlights |
| Issue |
Index |
Shares
Traded |
Notes |
| BMO.PR.C |
FixedReset Prem |
273,100 |
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-05-25
Maturity Price : 25.00
Evaluated at bid price : 25.27
Bid-YTW : 2.27 % |
| SLF.PR.D |
Insurance Straight |
191,950 |
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-23
Maturity Price : 24.34
Evaluated at bid price : 24.65
Bid-YTW : 4.49 % |
| MFC.PR.R |
FixedReset Ins Non |
99,616 |
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-03-19
Maturity Price : 25.00
Evaluated at bid price : 25.40
Bid-YTW : 2.53 % |
| RY.PR.Z |
FixedReset Disc |
82,500 |
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-23
Maturity Price : 23.30
Evaluated at bid price : 24.55
Bid-YTW : 3.73 % |
| PWF.PF.A |
Perpetual-Discount |
61,430 |
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-23
Maturity Price : 24.30
Evaluated at bid price : 24.69
Bid-YTW : 4.59 % |
| FTS.PR.M |
FixedReset Disc |
61,390 |
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-23
Maturity Price : 22.57
Evaluated at bid price : 23.23
Bid-YTW : 4.27 % |
| There were 26 other index-included issues trading in excess of 10,000 shares. |
| Wide Spread Highlights |
| Issue |
Index |
Quote Data and Yield Notes |
| TRP.PR.G |
FixedReset Disc |
Quote: 13.17 – 24.42
Spot Rate : 11.2500
Average : 5.9125
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-23
Maturity Price : 13.17
Evaluated at bid price : 13.17
Bid-YTW : 7.95 % |
| SLF.PR.H |
FixedReset Ins Non |
Quote: 22.65 – 24.00
Spot Rate : 1.3500
Average : 0.9315
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-23
Maturity Price : 22.08
Evaluated at bid price : 22.65
Bid-YTW : 3.85 % |
| BAM.PR.R |
FixedReset Disc |
Quote: 20.30 – 21.15
Spot Rate : 0.8500
Average : 0.5639
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-23
Maturity Price : 20.30
Evaluated at bid price : 20.30
Bid-YTW : 4.60 % |
| TRP.PR.C |
FixedReset Disc |
Quote: 15.90 – 17.00
Spot Rate : 1.1000
Average : 0.8761
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-23
Maturity Price : 15.90
Evaluated at bid price : 15.90
Bid-YTW : 4.48 % |
| BAM.PR.B |
Floater |
Quote: 14.60 – 15.30
Spot Rate : 0.7000
Average : 0.4923
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-23
Maturity Price : 14.60
Evaluated at bid price : 14.60
Bid-YTW : 2.96 % |
| TRP.PR.A |
FixedReset Disc |
Quote: 19.80 – 20.53
Spot Rate : 0.7300
Average : 0.5281
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-23
Maturity Price : 19.80
Evaluated at bid price : 19.80
Bid-YTW : 4.43 % |
Posted in Market Action | 3 Comments »
Monday, November 22nd, 2021
HIMIPref™ Preferred Indices
These values reflect the December 2008 revision of the HIMIPref™ Indices
Values are provisional and are finalized monthly |
| Index |
Mean
Current
Yield
(at bid) |
Median
YTW |
Median
Average
Trading
Value |
Median
Mod Dur
(YTW) |
Issues |
Day’s Perf. |
Index Value |
| Ratchet |
2.97 % |
3.40 % |
45,515 |
20.16 |
1 |
0.1456 % |
2,938.8 |
| FixedFloater |
0.00 % |
0.00 % |
0 |
0.00 |
0 |
-0.0231 % |
5,372.4 |
| Floater |
2.97 % |
2.99 % |
88,786 |
19.70 |
3 |
-0.0231 % |
3,096.1 |
| OpRet |
0.00 % |
0.00 % |
0 |
0.00 |
0 |
-0.2289 % |
3,672.2 |
| SplitShare |
4.67 % |
4.19 % |
57,250 |
3.85 |
5 |
-0.2289 % |
4,385.3 |
| Interest-Bearing |
0.00 % |
0.00 % |
0 |
0.00 |
0 |
-0.2289 % |
3,421.6 |
| Perpetual-Premium |
5.14 % |
-7.96 % |
46,027 |
0.09 |
29 |
-0.0942 % |
3,272.7 |
| Perpetual-Discount |
4.66 % |
4.58 % |
68,863 |
15.77 |
6 |
-0.0470 % |
3,884.8 |
| FixedReset Disc |
3.78 % |
3.96 % |
121,954 |
17.06 |
37 |
-0.2189 % |
2,921.7 |
| Insurance Straight |
4.93 % |
4.15 % |
90,216 |
3.26 |
20 |
0.0000 % |
3,685.9 |
| FloatingReset |
2.41 % |
2.69 % |
28,780 |
20.49 |
2 |
0.4695 % |
2,952.8 |
| FixedReset Prem |
4.64 % |
3.16 % |
121,870 |
2.28 |
33 |
-0.0165 % |
2,750.4 |
| FixedReset Bank Non |
0.00 % |
0.00 % |
0 |
0.00 |
0 |
-0.2189 % |
2,986.6 |
| FixedReset Ins Non |
4.02 % |
3.84 % |
88,476 |
16.82 |
19 |
-0.0423 % |
3,001.8 |
| Performance Highlights |
| Issue |
Index |
Change |
Notes |
| TRP.PR.D |
FixedReset Disc |
-2.68 % |
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-22
Maturity Price : 21.41
Evaluated at bid price : 21.75
Bid-YTW : 4.51 % |
| BAM.PR.X |
FixedReset Disc |
-2.15 % |
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-22
Maturity Price : 18.20
Evaluated at bid price : 18.20
Bid-YTW : 4.61 % |
| SLF.PR.J |
FloatingReset |
-1.96 % |
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-22
Maturity Price : 17.55
Evaluated at bid price : 17.55
Bid-YTW : 2.15 % |
| PWF.PR.T |
FixedReset Disc |
-1.88 % |
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-22
Maturity Price : 23.36
Evaluated at bid price : 24.53
Bid-YTW : 3.96 % |
| RS.PR.A |
SplitShare |
-1.78 % |
YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-12-31
Maturity Price : 10.00
Evaluated at bid price : 10.48
Bid-YTW : 4.20 % |
| BAM.PR.R |
FixedReset Disc |
-1.66 % |
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-22
Maturity Price : 20.76
Evaluated at bid price : 20.76
Bid-YTW : 4.50 % |
| BAM.PR.T |
FixedReset Disc |
-1.16 % |
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-22
Maturity Price : 21.30
Evaluated at bid price : 21.30
Bid-YTW : 4.56 % |
| GWO.PR.Y |
Insurance Straight |
1.30 % |
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-22
Maturity Price : 24.59
Evaluated at bid price : 24.98
Bid-YTW : 4.54 % |
| TRP.PR.F |
FloatingReset |
2.84 % |
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-22
Maturity Price : 18.83
Evaluated at bid price : 18.83
Bid-YTW : 2.69 % |
| Volume Highlights |
| Issue |
Index |
Shares
Traded |
Notes |
| TD.PF.A |
FixedReset Disc |
189,099 |
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-22
Maturity Price : 23.20
Evaluated at bid price : 24.50
Bid-YTW : 3.76 % |
| TD.PF.B |
FixedReset Disc |
67,493 |
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-22
Maturity Price : 23.26
Evaluated at bid price : 24.55
Bid-YTW : 3.79 % |
| BMO.PR.B |
FixedReset Prem |
58,634 |
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-02-25
Maturity Price : 25.00
Evaluated at bid price : 25.22
Bid-YTW : 1.30 % |
| TD.PF.C |
FixedReset Disc |
42,686 |
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-22
Maturity Price : 23.22
Evaluated at bid price : 24.65
Bid-YTW : 3.77 % |
| NA.PR.W |
FixedReset Disc |
42,155 |
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-22
Maturity Price : 23.24
Evaluated at bid price : 24.71
Bid-YTW : 3.75 % |
| RY.PR.S |
FixedReset Prem |
26,927 |
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-22
Maturity Price : 23.64
Evaluated at bid price : 25.35
Bid-YTW : 3.85 % |
| There were 11 other index-included issues trading in excess of 10,000 shares. |
| Wide Spread Highlights |
| Issue |
Index |
Quote Data and Yield Notes |
| TRP.PR.D |
FixedReset Disc |
Quote: 21.75 – 22.55
Spot Rate : 0.8000
Average : 0.5561
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-22
Maturity Price : 21.41
Evaluated at bid price : 21.75
Bid-YTW : 4.51 % |
| PVS.PR.I |
SplitShare |
Quote: 25.75 – 26.40
Spot Rate : 0.6500
Average : 0.4299
YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-10-31
Maturity Price : 25.00
Evaluated at bid price : 25.75
Bid-YTW : 3.89 % |
| BAM.PR.X |
FixedReset Disc |
Quote: 18.20 – 18.90
Spot Rate : 0.7000
Average : 0.5225
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-22
Maturity Price : 18.20
Evaluated at bid price : 18.20
Bid-YTW : 4.61 % |
| RS.PR.A |
SplitShare |
Quote: 10.48 – 11.27
Spot Rate : 0.7900
Average : 0.6323
YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-12-31
Maturity Price : 10.00
Evaluated at bid price : 10.48
Bid-YTW : 4.20 % |
| BAM.PR.R |
FixedReset Disc |
Quote: 20.76 – 21.15
Spot Rate : 0.3900
Average : 0.2503
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-22
Maturity Price : 20.76
Evaluated at bid price : 20.76
Bid-YTW : 4.50 % |
| IFC.PR.E |
Insurance Straight |
Quote: 26.30 – 26.90
Spot Rate : 0.6000
Average : 0.4710
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-06-30
Maturity Price : 25.25
Evaluated at bid price : 26.30
Bid-YTW : 4.15 % |
Posted in Market Action | No Comments »
Friday, November 19th, 2021
HIMIPref™ Preferred Indices
These values reflect the December 2008 revision of the HIMIPref™ Indices
Values are provisional and are finalized monthly |
| Index |
Mean
Current
Yield
(at bid) |
Median
YTW |
Median
Average
Trading
Value |
Median
Mod Dur
(YTW) |
Issues |
Day’s Perf. |
Index Value |
| Ratchet |
2.97 % |
3.41 % |
47,278 |
20.16 |
1 |
-0.0970 % |
2,934.6 |
| FixedFloater |
0.00 % |
0.00 % |
0 |
0.00 |
0 |
-0.0691 % |
5,373.6 |
| Floater |
2.97 % |
2.98 % |
87,437 |
19.73 |
3 |
-0.0691 % |
3,096.8 |
| OpRet |
0.00 % |
0.00 % |
0 |
0.00 |
0 |
-0.2014 % |
3,680.6 |
| SplitShare |
4.66 % |
4.24 % |
57,996 |
3.81 |
5 |
-0.2014 % |
4,395.4 |
| Interest-Bearing |
0.00 % |
0.00 % |
0 |
0.00 |
0 |
-0.2014 % |
3,429.5 |
| Perpetual-Premium |
5.13 % |
-9.89 % |
46,704 |
0.09 |
29 |
-0.0646 % |
3,275.8 |
| Perpetual-Discount |
4.66 % |
4.58 % |
68,444 |
15.83 |
6 |
0.0269 % |
3,886.7 |
| FixedReset Disc |
3.77 % |
3.82 % |
120,444 |
17.20 |
37 |
-0.1312 % |
2,928.1 |
| Insurance Straight |
4.93 % |
4.37 % |
88,472 |
3.27 |
20 |
-0.2108 % |
3,685.9 |
| FloatingReset |
2.46 % |
2.81 % |
27,271 |
20.18 |
2 |
-0.9573 % |
2,939.0 |
| FixedReset Prem |
4.64 % |
3.04 % |
123,757 |
2.29 |
33 |
-0.0826 % |
2,750.8 |
| FixedReset Bank Non |
0.00 % |
0.00 % |
0 |
0.00 |
0 |
-0.1312 % |
2,993.1 |
| FixedReset Ins Non |
4.01 % |
3.76 % |
89,266 |
16.94 |
19 |
-0.0868 % |
3,003.1 |
| Performance Highlights |
| Issue |
Index |
Change |
Notes |
| SLF.PR.G |
FixedReset Ins Non |
-2.14 % |
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-19
Maturity Price : 18.25
Evaluated at bid price : 18.25
Bid-YTW : 3.74 % |
| TRP.PR.F |
FloatingReset |
-1.88 % |
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-19
Maturity Price : 18.31
Evaluated at bid price : 18.31
Bid-YTW : 2.81 % |
| BAM.PR.X |
FixedReset Disc |
-1.59 % |
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-19
Maturity Price : 18.60
Evaluated at bid price : 18.60
Bid-YTW : 4.45 % |
| TRP.PR.C |
FixedReset Disc |
-1.55 % |
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-19
Maturity Price : 15.90
Evaluated at bid price : 15.90
Bid-YTW : 4.41 % |
| TD.PF.I |
FixedReset Prem |
-1.49 % |
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-10-31
Maturity Price : 25.00
Evaluated at bid price : 25.12
Bid-YTW : 4.25 % |
| CU.PR.C |
FixedReset Disc |
-1.45 % |
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-19
Maturity Price : 22.34
Evaluated at bid price : 23.16
Bid-YTW : 4.13 % |
| BIP.PR.A |
FixedReset Prem |
-1.38 % |
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-19
Maturity Price : 23.01
Evaluated at bid price : 24.26
Bid-YTW : 4.97 % |
| GWO.PR.Y |
Insurance Straight |
-1.36 % |
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-19
Maturity Price : 24.28
Evaluated at bid price : 24.66
Bid-YTW : 4.60 % |
| FTS.PR.K |
FixedReset Disc |
-1.35 % |
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-19
Maturity Price : 21.59
Evaluated at bid price : 22.00
Bid-YTW : 4.04 % |
| GWO.PR.S |
Insurance Straight |
-1.24 % |
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2023-06-30
Maturity Price : 25.00
Evaluated at bid price : 25.50
Bid-YTW : 4.46 % |
| Volume Highlights |
| Issue |
Index |
Shares
Traded |
Notes |
| BAM.PR.K |
Floater |
145,700 |
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-19
Maturity Price : 14.50
Evaluated at bid price : 14.50
Bid-YTW : 2.98 % |
| CM.PR.O |
FixedReset Disc |
122,475 |
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-19
Maturity Price : 23.31
Evaluated at bid price : 24.66
Bid-YTW : 3.77 % |
| CM.PR.R |
FixedReset Prem |
111,665 |
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-07-31
Maturity Price : 25.00
Evaluated at bid price : 25.41
Bid-YTW : 2.42 % |
| BAM.PR.C |
Floater |
107,300 |
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-19
Maturity Price : 14.35
Evaluated at bid price : 14.35
Bid-YTW : 3.01 % |
| BAM.PR.B |
Floater |
80,226 |
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-19
Maturity Price : 14.53
Evaluated at bid price : 14.53
Bid-YTW : 2.97 % |
| TD.PF.M |
FixedReset Prem |
38,600 |
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-07-31
Maturity Price : 25.00
Evaluated at bid price : 26.80
Bid-YTW : 2.44 % |
| 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: 23.07 – 23.75
Spot Rate : 0.6800
Average : 0.4976
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-19
Maturity Price : 22.32
Evaluated at bid price : 23.07
Bid-YTW : 3.76 % |
| CU.PR.C |
FixedReset Disc |
Quote: 23.16 – 23.70
Spot Rate : 0.5400
Average : 0.3581
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-19
Maturity Price : 22.34
Evaluated at bid price : 23.16
Bid-YTW : 4.13 % |
| TD.PF.I |
FixedReset Prem |
Quote: 25.12 – 25.57
Spot Rate : 0.4500
Average : 0.2730
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-10-31
Maturity Price : 25.00
Evaluated at bid price : 25.12
Bid-YTW : 4.25 % |
| TRP.PR.F |
FloatingReset |
Quote: 18.31 – 18.80
Spot Rate : 0.4900
Average : 0.3220
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-19
Maturity Price : 18.31
Evaluated at bid price : 18.31
Bid-YTW : 2.81 % |
| TRP.PR.A |
FixedReset Disc |
Quote: 19.91 – 20.53
Spot Rate : 0.6200
Average : 0.4786
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-19
Maturity Price : 19.91
Evaluated at bid price : 19.91
Bid-YTW : 4.35 % |
| RS.PR.A |
SplitShare |
Quote: 10.67 – 11.27
Spot Rate : 0.6000
Average : 0.4595
YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-12-31
Maturity Price : 10.00
Evaluated at bid price : 10.67
Bid-YTW : 3.69 % |
Posted in Market Action | No Comments »
Thursday, November 18th, 2021
HIMIPref™ Preferred Indices
These values reflect the December 2008 revision of the HIMIPref™ Indices
Values are provisional and are finalized monthly |
| Index |
Mean
Current
Yield
(at bid) |
Median
YTW |
Median
Average
Trading
Value |
Median
Mod Dur
(YTW) |
Issues |
Day’s Perf. |
Index Value |
| Ratchet |
2.97 % |
3.41 % |
47,394 |
20.16 |
1 |
0.0971 % |
2,937.4 |
| FixedFloater |
0.00 % |
0.00 % |
0 |
0.00 |
0 |
-0.2528 % |
5,377.3 |
| Floater |
2.96 % |
2.98 % |
80,809 |
19.73 |
3 |
-0.2528 % |
3,099.0 |
| OpRet |
0.00 % |
0.00 % |
0 |
0.00 |
0 |
-0.0077 % |
3,688.0 |
| SplitShare |
4.65 % |
4.32 % |
57,199 |
3.81 |
5 |
-0.0077 % |
4,404.3 |
| Interest-Bearing |
0.00 % |
0.00 % |
0 |
0.00 |
0 |
-0.0077 % |
3,436.4 |
| Perpetual-Premium |
5.13 % |
-11.05 % |
48,638 |
0.09 |
29 |
-0.0013 % |
3,277.9 |
| Perpetual-Discount |
4.66 % |
4.59 % |
70,905 |
15.80 |
6 |
-0.1811 % |
3,885.6 |
| FixedReset Disc |
3.77 % |
3.85 % |
120,359 |
17.20 |
37 |
0.0674 % |
2,932.0 |
| Insurance Straight |
4.92 % |
4.25 % |
88,445 |
3.47 |
20 |
0.0079 % |
3,693.6 |
| FloatingReset |
2.44 % |
2.75 % |
28,365 |
20.32 |
2 |
-0.4628 % |
2,967.4 |
| FixedReset Prem |
4.64 % |
3.02 % |
123,306 |
2.29 |
33 |
0.1217 % |
2,753.1 |
| FixedReset Bank Non |
0.00 % |
0.00 % |
0 |
0.00 |
0 |
0.0674 % |
2,997.0 |
| FixedReset Ins Non |
4.01 % |
3.77 % |
90,094 |
16.97 |
19 |
0.2611 % |
3,005.7 |
| Performance Highlights |
| Issue |
Index |
Change |
Notes |
| IFC.PR.A |
FixedReset Ins Non |
-1.38 % |
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-18
Maturity Price : 21.50
Evaluated at bid price : 21.50
Bid-YTW : 3.78 % |
| FTS.PR.H |
FixedReset Disc |
-1.15 % |
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-18
Maturity Price : 17.15
Evaluated at bid price : 17.15
Bid-YTW : 4.00 % |
| SLF.PR.H |
FixedReset Ins Non |
-1.07 % |
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-18
Maturity Price : 22.34
Evaluated at bid price : 23.10
Bid-YTW : 3.76 % |
| BAM.PF.F |
FixedReset Disc |
-1.03 % |
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-18
Maturity Price : 22.99
Evaluated at bid price : 24.00
Bid-YTW : 4.46 % |
| TRP.PR.B |
FixedReset Disc |
1.72 % |
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-18
Maturity Price : 14.76
Evaluated at bid price : 14.76
Bid-YTW : 4.38 % |
| TRP.PR.D |
FixedReset Disc |
1.86 % |
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-18
Maturity Price : 22.11
Evaluated at bid price : 22.41
Bid-YTW : 4.33 % |
| BAM.PR.Z |
FixedReset Prem |
3.10 % |
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-18
Maturity Price : 24.63
Evaluated at bid price : 24.95
Bid-YTW : 4.51 % |
| SLF.PR.G |
FixedReset Ins Non |
3.32 % |
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-18
Maturity Price : 18.65
Evaluated at bid price : 18.65
Bid-YTW : 3.66 % |
| GWO.PR.N |
FixedReset Ins Non |
6.52 % |
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-18
Maturity Price : 17.15
Evaluated at bid price : 17.15
Bid-YTW : 3.77 % |
| Volume Highlights |
| Issue |
Index |
Shares
Traded |
Notes |
| BNS.PR.H |
FixedReset Prem |
66,475 |
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-01-26
Maturity Price : 25.00
Evaluated at bid price : 25.22
Bid-YTW : 1.73 % |
| TRP.PR.K |
FixedReset Prem |
60,000 |
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-05-31
Maturity Price : 25.00
Evaluated at bid price : 25.22
Bid-YTW : 3.02 % |
| RY.PR.Z |
FixedReset Disc |
39,802 |
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-18
Maturity Price : 23.26
Evaluated at bid price : 24.45
Bid-YTW : 3.70 % |
| MFC.PR.Q |
FixedReset Ins Non |
34,850 |
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-18
Maturity Price : 23.81
Evaluated at bid price : 25.28
Bid-YTW : 4.00 % |
| TRP.PR.E |
FixedReset Disc |
25,200 |
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-18
Maturity Price : 21.76
Evaluated at bid price : 22.00
Bid-YTW : 4.36 % |
| NA.PR.S |
FixedReset Disc |
23,900 |
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-18
Maturity Price : 23.40
Evaluated at bid price : 24.81
Bid-YTW : 3.85 % |
| There were 12 other index-included issues trading in excess of 10,000 shares. |
| Wide Spread Highlights |
| Issue |
Index |
Quote Data and Yield Notes |
| SLF.PR.I |
FixedReset Ins Non |
Quote: 25.18 – 25.93
Spot Rate : 0.7500
Average : 0.4112
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-12-31
Maturity Price : 25.00
Evaluated at bid price : 25.18
Bid-YTW : 1.93 % |
| BAM.PF.F |
FixedReset Disc |
Quote: 24.00 – 24.50
Spot Rate : 0.5000
Average : 0.3215
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-18
Maturity Price : 22.99
Evaluated at bid price : 24.00
Bid-YTW : 4.46 % |
| CU.PR.F |
Perpetual-Discount |
Quote: 24.50 – 24.90
Spot Rate : 0.4000
Average : 0.2624
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-18
Maturity Price : 24.23
Evaluated at bid price : 24.50
Bid-YTW : 4.59 % |
| MIC.PR.A |
Perpetual-Premium |
Quote: 27.41 – 27.85
Spot Rate : 0.4400
Average : 0.3148
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2026-03-31
Maturity Price : 26.00
Evaluated at bid price : 27.41
Bid-YTW : 4.03 % |
| BAM.PR.B |
Floater |
Quote: 14.50 – 15.30
Spot Rate : 0.8000
Average : 0.6864
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-18
Maturity Price : 14.50
Evaluated at bid price : 14.50
Bid-YTW : 2.98 % |
| IFC.PR.A |
FixedReset Ins Non |
Quote: 21.50 – 21.90
Spot Rate : 0.4000
Average : 0.2872
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-18
Maturity Price : 21.50
Evaluated at bid price : 21.50
Bid-YTW : 3.78 % |
Posted in Market Action | 2 Comments »
Thursday, November 18th, 2021
PerpetualDiscounts now yield 4.56%, equivalent to 5.93% interest at the standard equivalency factor of 1.3x. Long corporates now yield 3.46%, so the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) has widened to 245bp from the 230bp reported August 25 (which was affected by technical factors as virtually all so-called PerpetualDiscounts were trading at a premium at that 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 |
2.97 % |
3.41 % |
45,624 |
20.16 |
1 |
0.0000 % |
2,934.6 |
| FixedFloater |
0.00 % |
0.00 % |
0 |
0.00 |
0 |
0.1150 % |
5,391.0 |
| Floater |
2.96 % |
2.98 % |
78,926 |
19.74 |
3 |
0.1150 % |
3,106.8 |
| OpRet |
0.00 % |
0.00 % |
0 |
0.00 |
0 |
-0.2857 % |
3,688.3 |
| SplitShare |
4.65 % |
4.31 % |
56,795 |
3.82 |
5 |
-0.2857 % |
4,404.6 |
| Interest-Bearing |
0.00 % |
0.00 % |
0 |
0.00 |
0 |
-0.2857 % |
3,436.7 |
| Perpetual-Premium |
5.13 % |
-8.77 % |
48,335 |
0.09 |
29 |
0.0606 % |
3,277.9 |
| Perpetual-Discount |
4.65 % |
4.56 % |
73,817 |
15.84 |
6 |
0.2218 % |
3,892.7 |
| FixedReset Disc |
3.77 % |
3.85 % |
121,485 |
17.17 |
37 |
0.1030 % |
2,930.0 |
| Insurance Straight |
4.92 % |
4.13 % |
89,333 |
3.27 |
20 |
0.0532 % |
3,693.4 |
| FloatingReset |
2.43 % |
2.73 % |
28,717 |
20.39 |
2 |
-0.3256 % |
2,981.2 |
| FixedReset Prem |
4.65 % |
3.13 % |
124,822 |
2.30 |
33 |
-0.0874 % |
2,749.8 |
| FixedReset Bank Non |
0.00 % |
0.00 % |
0 |
0.00 |
0 |
0.1030 % |
2,995.0 |
| FixedReset Ins Non |
4.02 % |
3.78 % |
93,677 |
16.98 |
19 |
-0.4067 % |
2,997.9 |
| Performance Highlights |
| Issue |
Index |
Change |
Notes |
| GWO.PR.N |
FixedReset Ins Non |
-7.47 % |
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-17
Maturity Price : 16.10
Evaluated at bid price : 16.10
Bid-YTW : 4.01 % |
| BAM.PR.Z |
FixedReset Prem |
-3.39 % |
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-17
Maturity Price : 23.72
Evaluated at bid price : 24.20
Bid-YTW : 4.64 % |
| FTS.PR.K |
FixedReset Disc |
-1.55 % |
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-17
Maturity Price : 22.01
Evaluated at bid price : 22.25
Bid-YTW : 4.01 % |
| PVS.PR.J |
SplitShare |
-1.54 % |
YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2028-02-29
Maturity Price : 25.00
Evaluated at bid price : 25.01
Bid-YTW : 4.58 % |
| SLF.PR.G |
FixedReset Ins Non |
-1.37 % |
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-17
Maturity Price : 18.05
Evaluated at bid price : 18.05
Bid-YTW : 3.78 % |
| FTS.PR.G |
FixedReset Disc |
-1.26 % |
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-17
Maturity Price : 22.46
Evaluated at bid price : 22.81
Bid-YTW : 4.02 % |
| BAM.PF.D |
Perpetual-Premium |
-1.21 % |
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-09-30
Maturity Price : 25.00
Evaluated at bid price : 25.24
Bid-YTW : 4.56 % |
| TRP.PR.A |
FixedReset Disc |
-1.00 % |
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-17
Maturity Price : 19.80
Evaluated at bid price : 19.80
Bid-YTW : 4.37 % |
| BAM.PR.R |
FixedReset Disc |
1.00 % |
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-17
Maturity Price : 21.15
Evaluated at bid price : 21.15
Bid-YTW : 4.37 % |
| TRP.PR.E |
FixedReset Disc |
2.55 % |
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-17
Maturity Price : 21.83
Evaluated at bid price : 22.10
Bid-YTW : 4.34 % |
| PWF.PR.P |
FixedReset Disc |
9.55 % |
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-17
Maturity Price : 18.24
Evaluated at bid price : 18.24
Bid-YTW : 3.94 % |
| Volume Highlights |
| Issue |
Index |
Shares
Traded |
Notes |
| MFC.PR.G |
FixedReset Ins Non |
224,540 |
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-12-19
Maturity Price : 25.00
Evaluated at bid price : 25.21
Bid-YTW : 1.47 % |
| TRP.PR.B |
FixedReset Disc |
105,100 |
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-17
Maturity Price : 14.51
Evaluated at bid price : 14.51
Bid-YTW : 4.45 % |
| BMO.PR.S |
FixedReset Disc |
62,990 |
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-17
Maturity Price : 23.34
Evaluated at bid price : 24.65
Bid-YTW : 3.79 % |
| TD.PF.C |
FixedReset Disc |
60,900 |
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-17
Maturity Price : 23.19
Evaluated at bid price : 24.57
Bid-YTW : 3.74 % |
| BAM.PR.R |
FixedReset Disc |
46,905 |
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-17
Maturity Price : 21.15
Evaluated at bid price : 21.15
Bid-YTW : 4.37 % |
| RY.PR.H |
FixedReset Disc |
43,125 |
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-17
Maturity Price : 23.24
Evaluated at bid price : 24.52
Bid-YTW : 3.72 % |
| There were 20 other index-included issues trading in excess of 10,000 shares. |
| Wide Spread Highlights |
| Issue |
Index |
Quote Data and Yield Notes |
| GWO.PR.N |
FixedReset Ins Non |
Quote: 16.10 – 17.65
Spot Rate : 1.5500
Average : 0.9404
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-17
Maturity Price : 16.10
Evaluated at bid price : 16.10
Bid-YTW : 4.01 % |
| BAM.PR.Z |
FixedReset Prem |
Quote: 24.20 – 25.05
Spot Rate : 0.8500
Average : 0.4903
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-17
Maturity Price : 23.72
Evaluated at bid price : 24.20
Bid-YTW : 4.64 % |
| CU.PR.E |
Perpetual-Premium |
Quote: 25.27 – 25.90
Spot Rate : 0.6300
Average : 0.3862
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-12-17
Maturity Price : 25.00
Evaluated at bid price : 25.27
Bid-YTW : -10.20 % |
| SLF.PR.G |
FixedReset Ins Non |
Quote: 18.05 – 18.75
Spot Rate : 0.7000
Average : 0.4986
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-17
Maturity Price : 18.05
Evaluated at bid price : 18.05
Bid-YTW : 3.78 % |
| BAM.PR.B |
Floater |
Quote: 14.55 – 15.30
Spot Rate : 0.7500
Average : 0.5618
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-17
Maturity Price : 14.55
Evaluated at bid price : 14.55
Bid-YTW : 2.97 % |
| PVS.PR.J |
SplitShare |
Quote: 25.01 – 25.50
Spot Rate : 0.4900
Average : 0.3258
YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2028-02-29
Maturity Price : 25.00
Evaluated at bid price : 25.01
Bid-YTW : 4.58 % |
Posted in Market Action | No Comments »
Tuesday, November 16th, 2021
HIMIPref™ Preferred Indices
These values reflect the December 2008 revision of the HIMIPref™ Indices
Values are provisional and are finalized monthly |
| Index |
Mean
Current
Yield
(at bid) |
Median
YTW |
Median
Average
Trading
Value |
Median
Mod Dur
(YTW) |
Issues |
Day’s Perf. |
Index Value |
| Ratchet |
0.00 % |
0.00 % |
0 |
0.00 |
1 |
-1.0471 % |
2,934.6 |
| FixedFloater |
0.00 % |
0.00 % |
0 |
0.00 |
0 |
-1.0471 % |
5,384.8 |
| Floater |
2.96 % |
2.98 % |
79,934 |
19.74 |
3 |
-1.0471 % |
3,103.3 |
| OpRet |
0.00 % |
0.00 % |
0 |
0.00 |
0 |
-0.1542 % |
3,698.9 |
| SplitShare |
4.63 % |
4.29 % |
57,593 |
3.82 |
5 |
-0.1542 % |
4,417.2 |
| Interest-Bearing |
0.00 % |
0.00 % |
0 |
0.00 |
0 |
-0.1542 % |
3,446.5 |
| Perpetual-Premium |
5.13 % |
-8.20 % |
50,332 |
0.09 |
29 |
-0.0363 % |
3,276.0 |
| Perpetual-Discount |
4.66 % |
4.58 % |
74,929 |
15.78 |
6 |
0.2358 % |
3,884.0 |
| FixedReset Disc |
3.77 % |
3.85 % |
119,694 |
17.17 |
37 |
-0.6082 % |
2,927.0 |
| Insurance Straight |
4.92 % |
4.51 % |
93,030 |
3.47 |
20 |
0.0079 % |
3,691.4 |
| FloatingReset |
2.42 % |
2.72 % |
26,537 |
20.40 |
2 |
0.4361 % |
2,991.0 |
| FixedReset Prem |
4.64 % |
3.00 % |
122,112 |
1.99 |
33 |
-0.0743 % |
2,752.2 |
| FixedReset Bank Non |
0.00 % |
0.00 % |
0 |
0.00 |
0 |
-0.6082 % |
2,991.9 |
| FixedReset Ins Non |
4.00 % |
3.73 % |
92,600 |
16.98 |
19 |
0.1424 % |
3,010.1 |
| Performance Highlights |
| Issue |
Index |
Change |
Notes |
| PWF.PR.P |
FixedReset Disc |
-8.62 % |
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-16
Maturity Price : 16.65
Evaluated at bid price : 16.65
Bid-YTW : 4.30 % |
| TRP.PR.C |
FixedReset Disc |
-2.51 % |
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-16
Maturity Price : 15.90
Evaluated at bid price : 15.90
Bid-YTW : 4.41 % |
| TRP.PR.B |
FixedReset Disc |
-1.89 % |
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-16
Maturity Price : 14.51
Evaluated at bid price : 14.51
Bid-YTW : 4.45 % |
| BAM.PF.A |
FixedReset Prem |
-1.87 % |
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-16
Maturity Price : 23.69
Evaluated at bid price : 25.20
Bid-YTW : 4.37 % |
| BAM.PR.R |
FixedReset Disc |
-1.74 % |
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-16
Maturity Price : 20.94
Evaluated at bid price : 20.94
Bid-YTW : 4.41 % |
| NA.PR.S |
FixedReset Disc |
-1.35 % |
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-16
Maturity Price : 23.40
Evaluated at bid price : 24.81
Bid-YTW : 3.84 % |
| SLF.PR.G |
FixedReset Ins Non |
-1.35 % |
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-16
Maturity Price : 18.30
Evaluated at bid price : 18.30
Bid-YTW : 3.73 % |
| TRP.PR.D |
FixedReset Disc |
-1.35 % |
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-16
Maturity Price : 21.59
Evaluated at bid price : 22.00
Bid-YTW : 4.40 % |
| BAM.PR.C |
Floater |
-1.24 % |
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-16
Maturity Price : 14.35
Evaluated at bid price : 14.35
Bid-YTW : 3.01 % |
| BAM.PR.B |
Floater |
-1.22 % |
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-16
Maturity Price : 14.62
Evaluated at bid price : 14.62
Bid-YTW : 2.95 % |
| TRP.PR.A |
FixedReset Disc |
1.01 % |
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-16
Maturity Price : 20.00
Evaluated at bid price : 20.00
Bid-YTW : 4.32 % |
| MFC.PR.N |
FixedReset Ins Non |
1.21 % |
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-16
Maturity Price : 23.06
Evaluated at bid price : 24.29
Bid-YTW : 3.83 % |
| Volume Highlights |
| Issue |
Index |
Shares
Traded |
Notes |
| MFC.PR.H |
FixedReset Ins Non |
315,344 |
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-03-19
Maturity Price : 25.00
Evaluated at bid price : 25.29
Bid-YTW : 2.91 % |
| PWF.PR.I |
Perpetual-Premium |
141,195 |
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-16
Maturity Price : 24.68
Evaluated at bid price : 24.99
Bid-YTW : 6.05 % |
| BNS.PR.H |
FixedReset Prem |
89,375 |
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-01-26
Maturity Price : 25.00
Evaluated at bid price : 25.22
Bid-YTW : 1.68 % |
| TD.PF.C |
FixedReset Disc |
62,750 |
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-16
Maturity Price : 23.21
Evaluated at bid price : 24.63
Bid-YTW : 3.73 % |
| RY.PR.S |
FixedReset Prem |
57,950 |
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-16
Maturity Price : 23.64
Evaluated at bid price : 25.35
Bid-YTW : 3.80 % |
| BMO.PR.S |
FixedReset Disc |
46,900 |
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-16
Maturity Price : 23.36
Evaluated at bid price : 24.71
Bid-YTW : 3.77 % |
| There were 19 other index-included issues trading in excess of 10,000 shares. |
| Wide Spread Highlights |
| Issue |
Index |
Quote Data and Yield Notes |
| PWF.PR.P |
FixedReset Disc |
Quote: 16.65 – 18.70
Spot Rate : 2.0500
Average : 1.3786
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-16
Maturity Price : 16.65
Evaluated at bid price : 16.65
Bid-YTW : 4.30 % |
| TRP.PR.C |
FixedReset Disc |
Quote: 15.90 – 16.48
Spot Rate : 0.5800
Average : 0.3593
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-16
Maturity Price : 15.90
Evaluated at bid price : 15.90
Bid-YTW : 4.41 % |
| RS.PR.A |
SplitShare |
Quote: 10.67 – 11.27
Spot Rate : 0.6000
Average : 0.3856
YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-12-31
Maturity Price : 10.00
Evaluated at bid price : 10.67
Bid-YTW : 3.69 % |
| BAM.PF.A |
FixedReset Prem |
Quote: 25.20 – 25.70
Spot Rate : 0.5000
Average : 0.3010
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-16
Maturity Price : 23.69
Evaluated at bid price : 25.20
Bid-YTW : 4.37 % |
| FTS.PR.F |
Perpetual-Premium |
Quote: 25.25 – 25.90
Spot Rate : 0.6500
Average : 0.5131
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-12-16
Maturity Price : 25.00
Evaluated at bid price : 25.25
Bid-YTW : -9.44 % |
| TRP.PR.A |
FixedReset Disc |
Quote: 20.00 – 20.53
Spot Rate : 0.5300
Average : 0.4040
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-16
Maturity Price : 20.00
Evaluated at bid price : 20.00
Bid-YTW : 4.32 % |
Posted in Market Action | No Comments »
Monday, November 15th, 2021
HIMIPref™ Preferred Indices
These values reflect the December 2008 revision of the HIMIPref™ Indices
Values are provisional and are finalized monthly |
| Index |
Mean
Current
Yield
(at bid) |
Median
YTW |
Median
Average
Trading
Value |
Median
Mod Dur
(YTW) |
Issues |
Day’s Perf. |
Index Value |
| Ratchet |
0.00 % |
0.00 % |
0 |
0.00 |
0 |
2.9288 % |
2,965.6 |
| FixedFloater |
0.00 % |
0.00 % |
0 |
0.00 |
0 |
2.9288 % |
5,441.7 |
| Floater |
2.93 % |
2.96 % |
80,670 |
19.79 |
3 |
2.9288 % |
3,136.1 |
| OpRet |
0.00 % |
0.00 % |
0 |
0.00 |
0 |
0.2318 % |
3,704.6 |
| SplitShare |
4.63 % |
4.28 % |
57,091 |
3.82 |
5 |
0.2318 % |
4,424.1 |
| Interest-Bearing |
0.00 % |
0.00 % |
0 |
0.00 |
0 |
0.2318 % |
3,451.8 |
| Perpetual-Premium |
5.08 % |
-4.89 % |
52,254 |
0.09 |
32 |
-0.1113 % |
3,277.2 |
| Perpetual-Discount |
4.71 % |
4.59 % |
2,017,802 |
16.17 |
2 |
-0.2032 % |
3,874.9 |
| FixedReset Disc |
3.77 % |
3.85 % |
116,367 |
16.99 |
40 |
0.2472 % |
2,944.9 |
| Insurance Straight |
4.92 % |
4.51 % |
93,546 |
3.47 |
20 |
-0.1280 % |
3,691.1 |
| FloatingReset |
2.43 % |
2.73 % |
26,310 |
20.40 |
2 |
1.6343 % |
2,978.0 |
| FixedReset Prem |
4.70 % |
2.75 % |
119,616 |
1.77 |
30 |
-0.0285 % |
2,754.2 |
| FixedReset Bank Non |
0.00 % |
0.00 % |
0 |
0.00 |
0 |
0.2472 % |
3,010.3 |
| FixedReset Ins Non |
4.01 % |
3.72 % |
92,798 |
16.93 |
19 |
-0.1711 % |
3,005.8 |
| Performance Highlights |
| Issue |
Index |
Change |
Notes |
| PWF.PR.P |
FixedReset Disc |
-1.51 % |
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-15
Maturity Price : 18.22
Evaluated at bid price : 18.22
Bid-YTW : 3.94 % |
| PWF.PR.L |
Perpetual-Premium |
-1.36 % |
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-12-15
Maturity Price : 25.00
Evaluated at bid price : 25.35
Bid-YTW : -9.09 % |
| MFC.PR.N |
FixedReset Ins Non |
-1.32 % |
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-15
Maturity Price : 22.93
Evaluated at bid price : 24.00
Bid-YTW : 3.89 % |
| TRP.PR.E |
FixedReset Disc |
-1.19 % |
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-15
Maturity Price : 21.27
Evaluated at bid price : 21.55
Bid-YTW : 4.44 % |
| IFC.PR.A |
FixedReset Ins Non |
-1.18 % |
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-15
Maturity Price : 21.39
Evaluated at bid price : 21.70
Bid-YTW : 3.72 % |
| IFC.PR.F |
Insurance Straight |
-1.10 % |
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-09-30
Maturity Price : 25.25
Evaluated at bid price : 26.10
Bid-YTW : 4.51 % |
| BAM.PR.N |
Perpetual-Premium |
-1.07 % |
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-15
Maturity Price : 24.62
Evaluated at bid price : 24.88
Bid-YTW : 4.82 % |
| TRP.PR.G |
FixedReset Disc |
1.16 % |
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-11-30
Maturity Price : 25.00
Evaluated at bid price : 24.42
Bid-YTW : 3.96 % |
| FTS.PR.H |
FixedReset Disc |
1.21 % |
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-15
Maturity Price : 17.57
Evaluated at bid price : 17.57
Bid-YTW : 3.94 % |
| BAM.PR.C |
Floater |
1.25 % |
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-15
Maturity Price : 14.53
Evaluated at bid price : 14.53
Bid-YTW : 2.97 % |
| BAM.PR.B |
Floater |
1.51 % |
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-15
Maturity Price : 14.80
Evaluated at bid price : 14.80
Bid-YTW : 2.92 % |
| CU.PR.C |
FixedReset Disc |
1.73 % |
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-15
Maturity Price : 22.82
Evaluated at bid price : 23.55
Bid-YTW : 4.07 % |
| TRP.PR.B |
FixedReset Disc |
1.93 % |
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-15
Maturity Price : 14.79
Evaluated at bid price : 14.79
Bid-YTW : 4.37 % |
| TRP.PR.F |
FloatingReset |
2.84 % |
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-15
Maturity Price : 18.83
Evaluated at bid price : 18.83
Bid-YTW : 2.73 % |
| TRP.PR.D |
FixedReset Disc |
5.34 % |
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-15
Maturity Price : 22.03
Evaluated at bid price : 22.30
Bid-YTW : 4.35 % |
| BAM.PR.K |
Floater |
6.18 % |
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-15
Maturity Price : 14.60
Evaluated at bid price : 14.60
Bid-YTW : 2.96 % |
| Volume Highlights |
| Issue |
Index |
Shares
Traded |
Notes |
| RY.PR.H |
FixedReset Disc |
32,821 |
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-15
Maturity Price : 23.28
Evaluated at bid price : 24.63
Bid-YTW : 3.69 % |
| TD.PF.A |
FixedReset Disc |
28,000 |
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-15
Maturity Price : 23.17
Evaluated at bid price : 24.43
Bid-YTW : 3.73 % |
| PWF.PF.A |
Perpetual-Discount |
27,517 |
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-15
Maturity Price : 24.23
Evaluated at bid price : 24.62
Bid-YTW : 4.59 % |
| CM.PR.Q |
FixedReset Disc |
23,700 |
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-07-31
Maturity Price : 25.00
Evaluated at bid price : 24.75
Bid-YTW : 3.49 % |
| RY.PR.Z |
FixedReset Disc |
22,000 |
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-15
Maturity Price : 23.26
Evaluated at bid price : 24.46
Bid-YTW : 3.69 % |
| TD.PF.J |
FixedReset Prem |
15,200 |
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2023-04-30
Maturity Price : 25.00
Evaluated at bid price : 25.45
Bid-YTW : 3.56 % |
| There were 10 other index-included issues trading in excess of 10,000 shares. |
| Wide Spread Highlights |
| Issue |
Index |
Quote Data and Yield Notes |
| IFC.PR.G |
FixedReset Ins Non |
Quote: 25.21 – 25.75
Spot Rate : 0.5400
Average : 0.3677
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-15
Maturity Price : 23.77
Evaluated at bid price : 25.21
Bid-YTW : 4.02 % |
| BAM.PR.B |
Floater |
Quote: 14.80 – 15.50
Spot Rate : 0.7000
Average : 0.5478
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-15
Maturity Price : 14.80
Evaluated at bid price : 14.80
Bid-YTW : 2.92 % |
| MFC.PR.N |
FixedReset Ins Non |
Quote: 24.00 – 24.45
Spot Rate : 0.4500
Average : 0.3059
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-15
Maturity Price : 22.93
Evaluated at bid price : 24.00
Bid-YTW : 3.89 % |
| IFC.PR.E |
Insurance Straight |
Quote: 26.30 – 26.99
Spot Rate : 0.6900
Average : 0.5501
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2023-06-30
Maturity Price : 25.75
Evaluated at bid price : 26.30
Bid-YTW : 4.12 % |
| PWF.PR.P |
FixedReset Disc |
Quote: 18.22 – 19.00
Spot Rate : 0.7800
Average : 0.6425
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-15
Maturity Price : 18.22
Evaluated at bid price : 18.22
Bid-YTW : 3.94 % |
| PWF.PR.L |
Perpetual-Premium |
Quote: 25.35 – 25.75
Spot Rate : 0.4000
Average : 0.2724
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-12-15
Maturity Price : 25.00
Evaluated at bid price : 25.35
Bid-YTW : -9.09 % |
Posted in Market Action | No Comments »
Saturday, November 13th, 2021
HIMIPref™ Preferred Indices
These values reflect the December 2008 revision of the HIMIPref™ Indices
Values are provisional and are finalized monthly |
| Index |
Mean
Current
Yield
(at bid) |
Median
YTW |
Median
Average
Trading
Value |
Median
Mod Dur
(YTW) |
Issues |
Day’s Perf. |
Index Value |
| Ratchet |
0.00 % |
0.00 % |
0 |
0.00 |
0 |
0.1878 % |
2,881.2 |
| FixedFloater |
0.00 % |
0.00 % |
0 |
0.00 |
0 |
0.1878 % |
5,286.9 |
| Floater |
3.01 % |
3.01 % |
79,551 |
19.67 |
3 |
0.1878 % |
3,046.9 |
| OpRet |
0.00 % |
0.00 % |
0 |
0.00 |
0 |
-0.2005 % |
3,696.0 |
| SplitShare |
4.64 % |
4.30 % |
58,000 |
3.83 |
5 |
-0.2005 % |
4,413.8 |
| Interest-Bearing |
0.00 % |
0.00 % |
0 |
0.00 |
0 |
-0.2005 % |
3,443.8 |
| Perpetual-Premium |
5.07 % |
-3.99 % |
52,246 |
0.09 |
32 |
0.1028 % |
3,280.8 |
| Perpetual-Discount |
4.70 % |
4.59 % |
2,045,606 |
16.18 |
2 |
0.0406 % |
3,882.8 |
| FixedReset Disc |
3.78 % |
3.85 % |
117,274 |
17.00 |
40 |
-0.2336 % |
2,937.6 |
| Insurance Straight |
4.91 % |
3.46 % |
92,581 |
0.62 |
20 |
0.0986 % |
3,695.8 |
| FloatingReset |
2.47 % |
2.80 % |
27,337 |
20.20 |
2 |
1.1204 % |
2,930.1 |
| FixedReset Prem |
4.70 % |
2.78 % |
121,159 |
1.94 |
30 |
-0.0685 % |
2,755.0 |
| FixedReset Bank Non |
0.00 % |
0.00 % |
0 |
0.00 |
0 |
-0.2336 % |
3,002.8 |
| FixedReset Ins Non |
4.00 % |
3.72 % |
92,362 |
16.98 |
19 |
-0.0666 % |
3,011.0 |
| Performance Highlights |
| Issue |
Index |
Change |
Notes |
| TRP.PR.D |
FixedReset Disc |
-5.91 % |
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-12
Maturity Price : 21.17
Evaluated at bid price : 21.17
Bid-YTW : 4.60 % |
| CU.PR.C |
FixedReset Disc |
-1.49 % |
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-12
Maturity Price : 22.33
Evaluated at bid price : 23.15
Bid-YTW : 4.13 % |
| BIP.PR.A |
FixedReset Disc |
-1.41 % |
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-06-30
Maturity Price : 25.00
Evaluated at bid price : 24.55
Bid-YTW : 4.69 % |
| TD.PF.K |
FixedReset Prem |
-1.02 % |
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-12
Maturity Price : 23.68
Evaluated at bid price : 25.25
Bid-YTW : 4.01 % |
| TRP.PR.F |
FloatingReset |
1.72 % |
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-12
Maturity Price : 18.31
Evaluated at bid price : 18.31
Bid-YTW : 2.80 % |
| CU.PR.F |
Perpetual-Premium |
2.29 % |
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-12
Maturity Price : 24.28
Evaluated at bid price : 24.55
Bid-YTW : 4.58 % |
| Volume Highlights |
| Issue |
Index |
Shares
Traded |
Notes |
| RY.PR.H |
FixedReset Disc |
141,494 |
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-12
Maturity Price : 23.23
Evaluated at bid price : 24.51
Bid-YTW : 3.72 % |
| SLF.PR.J |
FloatingReset |
124,100 |
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-12
Maturity Price : 17.79
Evaluated at bid price : 17.79
Bid-YTW : 2.16 % |
| NA.PR.W |
FixedReset Disc |
49,089 |
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-12
Maturity Price : 23.21
Evaluated at bid price : 24.65
Bid-YTW : 3.71 % |
| PWF.PR.S |
Perpetual-Premium |
33,200 |
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-04-30
Maturity Price : 25.00
Evaluated at bid price : 25.15
Bid-YTW : 3.80 % |
| PWF.PR.P |
FixedReset Disc |
23,500 |
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-12
Maturity Price : 18.50
Evaluated at bid price : 18.50
Bid-YTW : 3.88 % |
| RY.PR.Z |
FixedReset Disc |
23,254 |
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-12
Maturity Price : 23.25
Evaluated at bid price : 24.45
Bid-YTW : 3.69 % |
| There were 12 other index-included issues trading in excess of 10,000 shares. |
| Wide Spread Highlights |
| Issue |
Index |
Quote Data and Yield Notes |
| TRP.PR.D |
FixedReset Disc |
Quote: 21.17 – 22.54
Spot Rate : 1.3700
Average : 0.7556
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-12
Maturity Price : 21.17
Evaluated at bid price : 21.17
Bid-YTW : 4.60 % |
| CU.PR.I |
FixedReset Prem |
Quote: 26.70 – 27.49
Spot Rate : 0.7900
Average : 0.5131
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-12-01
Maturity Price : 25.00
Evaluated at bid price : 26.70
Bid-YTW : 2.67 % |
| IFC.PR.I |
Perpetual-Premium |
Quote: 26.64 – 27.70
Spot Rate : 1.0600
Average : 0.8846
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2029-03-31
Maturity Price : 25.00
Evaluated at bid price : 26.64
Bid-YTW : 4.48 % |
| FTS.PR.F |
Perpetual-Premium |
Quote: 25.61 – 26.10
Spot Rate : 0.4900
Average : 0.3226
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-12-12
Maturity Price : 25.00
Evaluated at bid price : 25.61
Bid-YTW : -12.41 % |
| BAM.PR.K |
Floater |
Quote: 13.75 – 15.00
Spot Rate : 1.2500
Average : 1.1150
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-12
Maturity Price : 13.75
Evaluated at bid price : 13.75
Bid-YTW : 3.14 % |
| TD.PF.E |
FixedReset Disc |
Quote: 25.00 – 25.35
Spot Rate : 0.3500
Average : 0.2464
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-10-31
Maturity Price : 25.00
Evaluated at bid price : 25.00
Bid-YTW : 3.28 % |
Posted in Market Action | No Comments »
Friday, November 12th, 2021
HIMIPref™ Preferred Indices
These values reflect the December 2008 revision of the HIMIPref™ Indices
Values are provisional and are finalized monthly |
| Index |
Mean
Current
Yield
(at bid) |
Median
YTW |
Median
Average
Trading
Value |
Median
Mod Dur
(YTW) |
Issues |
Day’s Perf. |
Index Value |
| Ratchet |
0.00 % |
0.00 % |
0 |
0.00 |
0 |
-0.7918 % |
2,875.8 |
| FixedFloater |
0.00 % |
0.00 % |
0 |
0.00 |
0 |
-0.7918 % |
5,277.0 |
| Floater |
3.02 % |
3.01 % |
79,950 |
19.67 |
3 |
-0.7918 % |
3,041.2 |
| OpRet |
0.00 % |
0.00 % |
0 |
0.00 |
0 |
0.0077 % |
3,703.4 |
| SplitShare |
4.63 % |
4.23 % |
60,407 |
3.84 |
5 |
0.0077 % |
4,422.7 |
| Interest-Bearing |
0.00 % |
0.00 % |
0 |
0.00 |
0 |
0.0077 % |
3,450.8 |
| Perpetual-Premium |
5.08 % |
-4.15 % |
53,567 |
0.09 |
32 |
0.0331 % |
3,277.4 |
| Perpetual-Discount |
4.70 % |
4.85 % |
33,709 |
15.73 |
2 |
0.1221 % |
3,881.2 |
| FixedReset Disc |
3.77 % |
3.73 % |
114,456 |
17.11 |
40 |
0.0671 % |
2,944.5 |
| Insurance Straight |
4.92 % |
4.09 % |
91,566 |
1.55 |
20 |
0.0434 % |
3,692.2 |
| FloatingReset |
2.51 % |
2.87 % |
26,510 |
20.04 |
2 |
-1.1080 % |
2,897.6 |
| FixedReset Prem |
4.70 % |
2.86 % |
123,117 |
1.87 |
30 |
-0.0530 % |
2,756.9 |
| FixedReset Bank Non |
0.00 % |
0.00 % |
0 |
0.00 |
0 |
0.0671 % |
3,009.9 |
| FixedReset Ins Non |
4.00 % |
3.64 % |
91,816 |
17.15 |
19 |
0.0867 % |
3,013.0 |
| Performance Highlights |
| Issue |
Index |
Change |
Notes |
| BAM.PR.K |
Floater |
-3.44 % |
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-11
Maturity Price : 13.75
Evaluated at bid price : 13.75
Bid-YTW : 3.14 % |
| TRP.PR.F |
FloatingReset |
-3.23 % |
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-11
Maturity Price : 18.00
Evaluated at bid price : 18.00
Bid-YTW : 2.87 % |
| CU.PR.F |
Perpetual-Premium |
-1.68 % |
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-11
Maturity Price : 23.75
Evaluated at bid price : 24.00
Bid-YTW : 4.68 % |
| CM.PR.Y |
FixedReset Prem |
-1.01 % |
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-07-31
Maturity Price : 25.00
Evaluated at bid price : 26.43
Bid-YTW : 3.04 % |
| BAM.PR.C |
Floater |
1.06 % |
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-11
Maturity Price : 14.35
Evaluated at bid price : 14.35
Bid-YTW : 3.01 % |
| SLF.PR.J |
FloatingReset |
1.14 % |
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-11
Maturity Price : 17.70
Evaluated at bid price : 17.70
Bid-YTW : 2.19 % |
| BIP.PR.A |
FixedReset Disc |
1.22 % |
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-06-30
Maturity Price : 25.00
Evaluated at bid price : 24.90
Bid-YTW : 4.26 % |
| PWF.PR.T |
FixedReset Disc |
1.42 % |
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-11
Maturity Price : 23.53
Evaluated at bid price : 25.00
Bid-YTW : 3.73 % |
| IFC.PR.A |
FixedReset Ins Non |
1.52 % |
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-11
Maturity Price : 21.63
Evaluated at bid price : 22.03
Bid-YTW : 3.57 % |
| BAM.PF.E |
FixedReset Disc |
2.48 % |
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-11
Maturity Price : 21.97
Evaluated at bid price : 22.34
Bid-YTW : 4.36 % |
| Volume Highlights |
| Issue |
Index |
Shares
Traded |
Notes |
| PWF.PF.A |
Perpetual-Discount |
54,100 |
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-11
Maturity Price : 24.16
Evaluated at bid price : 24.55
Bid-YTW : 4.60 % |
| CM.PR.O |
FixedReset Disc |
32,595 |
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-11
Maturity Price : 23.31
Evaluated at bid price : 24.67
Bid-YTW : 3.69 % |
| TRP.PR.F |
FloatingReset |
25,800 |
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-11
Maturity Price : 18.00
Evaluated at bid price : 18.00
Bid-YTW : 2.87 % |
| GWO.PR.F |
Insurance Straight |
24,850 |
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-12-11
Maturity Price : 25.00
Evaluated at bid price : 25.32
Bid-YTW : -1.40 % |
| IFC.PR.G |
FixedReset Ins Non |
23,648 |
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-11
Maturity Price : 23.85
Evaluated at bid price : 25.47
Bid-YTW : 3.89 % |
| BMO.PR.C |
FixedReset Prem |
22,100 |
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-05-25
Maturity Price : 25.00
Evaluated at bid price : 25.27
Bid-YTW : 2.13 % |
| There were 8 other index-included issues trading in excess of 10,000 shares. |
| Wide Spread Highlights |
| Issue |
Index |
Quote Data and Yield Notes |
| CU.PR.C |
FixedReset Disc |
Quote: 23.50 – 24.97
Spot Rate : 1.4700
Average : 0.9059
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-11
Maturity Price : 22.78
Evaluated at bid price : 23.50
Bid-YTW : 3.99 % |
| TRP.PR.F |
FloatingReset |
Quote: 18.00 – 18.87
Spot Rate : 0.8700
Average : 0.5708
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-11
Maturity Price : 18.00
Evaluated at bid price : 18.00
Bid-YTW : 2.87 % |
| BAM.PR.K |
Floater |
Quote: 13.75 – 15.00
Spot Rate : 1.2500
Average : 0.9671
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-11
Maturity Price : 13.75
Evaluated at bid price : 13.75
Bid-YTW : 3.14 % |
| BAM.PR.B |
Floater |
Quote: 14.50 – 15.50
Spot Rate : 1.0000
Average : 0.7218
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-11
Maturity Price : 14.50
Evaluated at bid price : 14.50
Bid-YTW : 2.98 % |
| BAM.PR.R |
FixedReset Disc |
Quote: 21.29 – 22.00
Spot Rate : 0.7100
Average : 0.4845
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-11
Maturity Price : 21.29
Evaluated at bid price : 21.29
Bid-YTW : 4.26 % |
| IFC.PR.I |
Perpetual-Premium |
Quote: 26.80 – 27.70
Spot Rate : 0.9000
Average : 0.6922
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2027-03-31
Maturity Price : 25.50
Evaluated at bid price : 26.80
Bid-YTW : 4.38 % |
Posted in Market Action | No Comments »
Thursday, November 11th, 2021
HIMIPref™ Preferred Indices
These values reflect the December 2008 revision of the HIMIPref™ Indices
Values are provisional and are finalized monthly |
| Index |
Mean
Current
Yield
(at bid) |
Median
YTW |
Median
Average
Trading
Value |
Median
Mod Dur
(YTW) |
Issues |
Day’s Perf. |
Index Value |
| Ratchet |
0.00 % |
0.00 % |
0 |
0.00 |
0 |
1.3453 % |
2,898.8 |
| FixedFloater |
0.00 % |
0.00 % |
0 |
0.00 |
0 |
1.3453 % |
5,319.1 |
| Floater |
3.00 % |
3.03 % |
82,801 |
19.61 |
3 |
1.3453 % |
3,065.4 |
| OpRet |
0.00 % |
0.00 % |
0 |
0.00 |
0 |
0.1777 % |
3,703.2 |
| SplitShare |
4.63 % |
4.27 % |
59,444 |
3.84 |
5 |
0.1777 % |
4,422.4 |
| Interest-Bearing |
0.00 % |
0.00 % |
0 |
0.00 |
0 |
0.1777 % |
3,450.5 |
| Perpetual-Premium |
5.08 % |
-4.73 % |
53,859 |
0.09 |
32 |
0.0380 % |
3,276.3 |
| Perpetual-Discount |
4.71 % |
4.59 % |
2,134,216 |
16.18 |
2 |
-0.1016 % |
3,876.5 |
| FixedReset Disc |
3.77 % |
3.78 % |
116,327 |
17.14 |
40 |
0.0823 % |
2,942.5 |
| Insurance Straight |
4.92 % |
4.09 % |
91,944 |
1.56 |
20 |
0.0375 % |
3,690.6 |
| FloatingReset |
2.49 % |
2.77 % |
24,524 |
20.28 |
2 |
0.1387 % |
2,930.1 |
| FixedReset Prem |
4.69 % |
2.93 % |
124,974 |
1.87 |
30 |
-0.0207 % |
2,758.4 |
| FixedReset Bank Non |
0.00 % |
0.00 % |
0 |
0.00 |
0 |
0.0823 % |
3,007.8 |
| FixedReset Ins Non |
4.00 % |
3.64 % |
92,087 |
17.13 |
19 |
0.9059 % |
3,010.4 |
| Performance Highlights |
| Issue |
Index |
Change |
Notes |
| FTS.PR.H |
FixedReset Disc |
-1.69 % |
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-10
Maturity Price : 17.45
Evaluated at bid price : 17.45
Bid-YTW : 3.87 % |
| FTS.PR.G |
FixedReset Disc |
-1.22 % |
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-10
Maturity Price : 23.13
Evaluated at bid price : 23.50
Bid-YTW : 3.88 % |
| CU.PR.G |
Perpetual-Premium |
-1.02 % |
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-10
Maturity Price : 24.00
Evaluated at bid price : 24.30
Bid-YTW : 4.62 % |
| RY.PR.M |
FixedReset Disc |
1.03 % |
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-11-24
Maturity Price : 25.00
Evaluated at bid price : 24.50
Bid-YTW : 3.52 % |
| CU.PR.F |
Perpetual-Premium |
1.71 % |
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-10
Maturity Price : 24.15
Evaluated at bid price : 24.41
Bid-YTW : 4.60 % |
| PWF.PR.P |
FixedReset Disc |
1.97 % |
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-10
Maturity Price : 18.61
Evaluated at bid price : 18.61
Bid-YTW : 3.78 % |
| BAM.PR.K |
Floater |
3.56 % |
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-10
Maturity Price : 14.24
Evaluated at bid price : 14.24
Bid-YTW : 3.03 % |
| MFC.PR.F |
FixedReset Ins Non |
25.33 % |
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-10
Maturity Price : 18.80
Evaluated at bid price : 18.80
Bid-YTW : 3.64 % |
| Volume Highlights |
| Issue |
Index |
Shares
Traded |
Notes |
| MFC.PR.F |
FixedReset Ins Non |
113,692 |
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-10
Maturity Price : 18.80
Evaluated at bid price : 18.80
Bid-YTW : 3.64 % |
| PWF.PF.A |
Perpetual-Discount |
80,200 |
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-10
Maturity Price : 24.23
Evaluated at bid price : 24.62
Bid-YTW : 4.59 % |
| TD.PF.C |
FixedReset Disc |
71,000 |
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-10
Maturity Price : 23.21
Evaluated at bid price : 24.63
Bid-YTW : 3.66 % |
| GWO.PR.F |
Insurance Straight |
55,589 |
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-12-10
Maturity Price : 25.00
Evaluated at bid price : 25.32
Bid-YTW : -1.60 % |
| BAM.PR.R |
FixedReset Disc |
35,500 |
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-10
Maturity Price : 21.28
Evaluated at bid price : 21.28
Bid-YTW : 4.27 % |
| RY.PR.H |
FixedReset Disc |
33,556 |
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-10
Maturity Price : 23.20
Evaluated at bid price : 24.44
Bid-YTW : 3.66 % |
| There were 19 other index-included issues trading in excess of 10,000 shares. |
| Wide Spread Highlights |
| Issue |
Index |
Quote Data and Yield Notes |
| NA.PR.S |
FixedReset Disc |
Quote: 25.10 – 25.79
Spot Rate : 0.6900
Average : 0.4041
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-10
Maturity Price : 23.50
Evaluated at bid price : 25.10
Bid-YTW : 3.71 % |
| BAM.PF.F |
FixedReset Disc |
Quote: 24.45 – 24.84
Spot Rate : 0.3900
Average : 0.2465
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-10
Maturity Price : 23.19
Evaluated at bid price : 24.45
Bid-YTW : 4.29 % |
| IFC.PR.E |
Insurance Straight |
Quote: 26.30 – 26.94
Spot Rate : 0.6400
Average : 0.5008
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2023-06-30
Maturity Price : 25.75
Evaluated at bid price : 26.30
Bid-YTW : 4.09 % |
| BAM.PF.E |
FixedReset Disc |
Quote: 21.80 – 22.75
Spot Rate : 0.9500
Average : 0.8208
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-10
Maturity Price : 21.45
Evaluated at bid price : 21.80
Bid-YTW : 4.47 % |
| SLF.PR.H |
FixedReset Ins Non |
Quote: 23.12 – 23.65
Spot Rate : 0.5300
Average : 0.4013
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-10
Maturity Price : 22.35
Evaluated at bid price : 23.12
Bid-YTW : 3.68 % |
| FTS.PR.G |
FixedReset Disc |
Quote: 23.50 – 23.84
Spot Rate : 0.3400
Average : 0.2198
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-10
Maturity Price : 23.13
Evaluated at bid price : 23.50
Bid-YTW : 3.88 % |
Posted in Market Action | No Comments »
