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November 6, 2024

Wednesday, November 6th, 2024

PerpetualDiscounts now yield 6.28%, equivalent to 8.16% interest at the standard equivalency factor of 1.3x. Long corporates yielded 4.85% on 2024-11-5 and since then the closing price of ZLC has changed from 15.40 to 15.34, a total return of -0.39%, implying an increase of yields of 3bp (BMO reports a duration of 12.44, but don’t disclose whether this is Macaulay or Modified; I will assume Modified) to 4.88%. Therefore, the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) has widened dramatically to 340bp from the 305bp reported October 30.

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 0.1493 % 2,145.6
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.1493 % 4,115.3
Floater 8.87 % 9.37 % 33,930 10.02 4 0.1493 % 2,371.7
OpRet 0.00 % 0.00 % 0 0.00 0 -0.3744 % 3,587.9
SplitShare 4.82 % 5.37 % 67,160 2.16 6 -0.3744 % 4,284.7
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.3744 % 3,343.1
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 -1.3701 % 2,792.0
Perpetual-Discount 6.17 % 6.28 % 51,992 13.47 31 -1.3701 % 3,044.5
FixedReset Disc 5.58 % 7.07 % 100,013 12.35 58 0.1969 % 2,649.4
Insurance Straight 6.11 % 6.14 % 68,585 13.67 21 -3.0615 % 2,964.8
FloatingReset 7.71 % 7.48 % 26,804 11.90 2 0.2478 % 2,834.3
FixedReset Prem 6.40 % 5.56 % 183,486 3.73 7 0.1163 % 2,587.0
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 0.1969 % 2,708.3
FixedReset Ins Non 5.31 % 6.29 % 82,212 13.43 14 -1.1544 % 2,768.9
Performance Highlights
Issue Index Change Notes
GWO.PR.T Insurance Straight -19.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-06
Maturity Price : 17.25
Evaluated at bid price : 17.25
Bid-YTW : 7.60 %
SLF.PR.D Insurance Straight -17.71 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-06
Maturity Price : 16.50
Evaluated at bid price : 16.50
Bid-YTW : 6.85 %
IFC.PR.C FixedReset Ins Non -11.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-06
Maturity Price : 18.00
Evaluated at bid price : 18.00
Bid-YTW : 7.59 %
BN.PF.C Perpetual-Discount -5.66 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-06
Maturity Price : 18.49
Evaluated at bid price : 18.49
Bid-YTW : 6.66 %
BN.PF.F FixedReset Disc -5.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-06
Maturity Price : 19.00
Evaluated at bid price : 19.00
Bid-YTW : 7.89 %
GWO.PR.G Insurance Straight -4.86 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-06
Maturity Price : 20.35
Evaluated at bid price : 20.35
Bid-YTW : 6.49 %
CU.PR.J Perpetual-Discount -4.57 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-06
Maturity Price : 18.80
Evaluated at bid price : 18.80
Bid-YTW : 6.45 %
PWF.PR.L Perpetual-Discount -4.44 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-06
Maturity Price : 20.00
Evaluated at bid price : 20.00
Bid-YTW : 6.43 %
PWF.PR.Z Perpetual-Discount -4.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-06
Maturity Price : 20.27
Evaluated at bid price : 20.27
Bid-YTW : 6.41 %
BN.PR.N Perpetual-Discount -3.85 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-06
Maturity Price : 18.00
Evaluated at bid price : 18.00
Bid-YTW : 6.70 %
MFC.PR.C Insurance Straight -3.85 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-06
Maturity Price : 19.00
Evaluated at bid price : 19.00
Bid-YTW : 6.02 %
PWF.PR.F Perpetual-Discount -3.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-06
Maturity Price : 21.00
Evaluated at bid price : 21.00
Bid-YTW : 6.31 %
PWF.PR.E Perpetual-Discount -2.81 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-06
Maturity Price : 21.56
Evaluated at bid price : 21.82
Bid-YTW : 6.34 %
PWF.PR.O Perpetual-Discount -2.46 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-06
Maturity Price : 22.73
Evaluated at bid price : 23.02
Bid-YTW : 6.34 %
FFH.PR.K FixedReset Disc -2.27 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-06
Maturity Price : 21.50
Evaluated at bid price : 21.50
Bid-YTW : 7.44 %
SLF.PR.E Insurance Straight -2.21 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-06
Maturity Price : 19.90
Evaluated at bid price : 19.90
Bid-YTW : 5.73 %
PWF.PR.H Perpetual-Discount -2.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-06
Maturity Price : 22.50
Evaluated at bid price : 22.76
Bid-YTW : 6.36 %
SLF.PR.H FixedReset Ins Non -2.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-06
Maturity Price : 18.25
Evaluated at bid price : 18.25
Bid-YTW : 6.83 %
POW.PR.B Perpetual-Discount -1.96 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-06
Maturity Price : 21.25
Evaluated at bid price : 21.52
Bid-YTW : 6.28 %
POW.PR.C Perpetual-Discount -1.96 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-06
Maturity Price : 23.25
Evaluated at bid price : 23.55
Bid-YTW : 6.22 %
POW.PR.A Perpetual-Discount -1.96 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-06
Maturity Price : 22.28
Evaluated at bid price : 22.55
Bid-YTW : 6.27 %
POW.PR.G Perpetual-Discount -1.88 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-06
Maturity Price : 22.15
Evaluated at bid price : 22.43
Bid-YTW : 6.30 %
IFC.PR.F Insurance Straight -1.79 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-06
Maturity Price : 21.90
Evaluated at bid price : 21.90
Bid-YTW : 6.14 %
PWF.PR.K Perpetual-Discount -1.77 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-06
Maturity Price : 19.94
Evaluated at bid price : 19.94
Bid-YTW : 6.26 %
BN.PF.D Perpetual-Discount -1.77 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-06
Maturity Price : 19.40
Evaluated at bid price : 19.40
Bid-YTW : 6.41 %
SLF.PR.C Insurance Straight -1.74 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-06
Maturity Price : 19.71
Evaluated at bid price : 19.71
Bid-YTW : 5.72 %
PWF.PR.R Perpetual-Discount -1.74 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-06
Maturity Price : 21.73
Evaluated at bid price : 21.98
Bid-YTW : 6.30 %
BIP.PR.F FixedReset Disc -1.72 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-06
Maturity Price : 21.89
Evaluated at bid price : 22.31
Bid-YTW : 6.95 %
IFC.PR.K Insurance Straight -1.69 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-06
Maturity Price : 21.30
Evaluated at bid price : 21.58
Bid-YTW : 6.16 %
GWO.PR.Y Insurance Straight -1.68 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-06
Maturity Price : 18.68
Evaluated at bid price : 18.68
Bid-YTW : 6.11 %
ENB.PR.A Perpetual-Discount -1.66 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-06
Maturity Price : 22.26
Evaluated at bid price : 22.53
Bid-YTW : 6.22 %
PVS.PR.J SplitShare -1.64 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2028-02-29
Maturity Price : 25.00
Evaluated at bid price : 24.00
Bid-YTW : 6.03 %
CU.PR.D Perpetual-Discount -1.56 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-06
Maturity Price : 20.16
Evaluated at bid price : 20.16
Bid-YTW : 6.20 %
CU.PR.C FixedReset Disc -1.53 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-06
Maturity Price : 20.00
Evaluated at bid price : 20.00
Bid-YTW : 6.92 %
GWO.PR.I Insurance Straight -1.52 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-06
Maturity Price : 18.76
Evaluated at bid price : 18.76
Bid-YTW : 6.09 %
IFC.PR.G FixedReset Ins Non -1.46 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-06
Maturity Price : 22.67
Evaluated at bid price : 23.55
Bid-YTW : 6.10 %
BN.PF.J FixedReset Disc -1.40 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-06
Maturity Price : 22.11
Evaluated at bid price : 22.51
Bid-YTW : 6.96 %
CU.PR.E Perpetual-Discount -1.38 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-06
Maturity Price : 20.05
Evaluated at bid price : 20.05
Bid-YTW : 6.24 %
GWO.PR.P Insurance Straight -1.35 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-06
Maturity Price : 21.65
Evaluated at bid price : 21.90
Bid-YTW : 6.25 %
GWO.PR.L Insurance Straight -1.29 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-06
Maturity Price : 22.71
Evaluated at bid price : 23.00
Bid-YTW : 6.22 %
FTS.PR.K FixedReset Disc -1.28 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-06
Maturity Price : 20.04
Evaluated at bid price : 20.04
Bid-YTW : 6.65 %
GWO.PR.S Insurance Straight -1.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-06
Maturity Price : 21.49
Evaluated at bid price : 21.49
Bid-YTW : 6.20 %
ENB.PR.Y FixedReset Disc -1.18 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-06
Maturity Price : 17.60
Evaluated at bid price : 17.60
Bid-YTW : 7.85 %
GWO.PR.Q Insurance Straight -1.17 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-06
Maturity Price : 21.15
Evaluated at bid price : 21.15
Bid-YTW : 6.18 %
FTS.PR.G FixedReset Disc -1.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-06
Maturity Price : 21.35
Evaluated at bid price : 21.35
Bid-YTW : 6.51 %
BN.PR.X FixedReset Disc -1.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-06
Maturity Price : 15.25
Evaluated at bid price : 15.25
Bid-YTW : 8.03 %
MFC.PR.Q FixedReset Ins Non -1.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-06
Maturity Price : 22.79
Evaluated at bid price : 23.78
Bid-YTW : 6.03 %
FFH.PR.I FixedReset Disc -1.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-06
Maturity Price : 18.60
Evaluated at bid price : 18.60
Bid-YTW : 7.73 %
IFC.PR.I Insurance Straight -1.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-06
Maturity Price : 22.11
Evaluated at bid price : 22.45
Bid-YTW : 6.09 %
GWO.PR.M Insurance Straight -1.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-06
Maturity Price : 23.21
Evaluated at bid price : 23.51
Bid-YTW : 6.25 %
MFC.PR.N FixedReset Ins Non 1.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-06
Maturity Price : 21.15
Evaluated at bid price : 21.15
Bid-YTW : 6.37 %
NA.PR.W FixedReset Disc 1.42 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-06
Maturity Price : 22.60
Evaluated at bid price : 23.65
Bid-YTW : 5.56 %
FFH.PR.C FixedReset Disc 1.77 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-06
Maturity Price : 22.30
Evaluated at bid price : 23.05
Bid-YTW : 6.78 %
BN.PR.R FixedReset Disc 2.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-06
Maturity Price : 16.79
Evaluated at bid price : 16.79
Bid-YTW : 7.68 %
FTS.PR.M FixedReset Disc 3.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-06
Maturity Price : 20.35
Evaluated at bid price : 20.35
Bid-YTW : 6.92 %
BN.PF.B FixedReset Disc 3.32 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-06
Maturity Price : 20.52
Evaluated at bid price : 20.52
Bid-YTW : 7.23 %
BN.PF.G FixedReset Disc 3.64 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-06
Maturity Price : 19.35
Evaluated at bid price : 19.35
Bid-YTW : 7.55 %
ENB.PR.F FixedReset Disc 5.32 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-06
Maturity Price : 18.40
Evaluated at bid price : 18.40
Bid-YTW : 7.75 %
FFH.PR.G FixedReset Disc 11.64 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-06
Maturity Price : 17.75
Evaluated at bid price : 17.75
Bid-YTW : 7.75 %
CU.PR.G Perpetual-Discount 16.25 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-06
Maturity Price : 18.60
Evaluated at bid price : 18.60
Bid-YTW : 6.18 %
Volume Highlights
Issue Index Shares
Traded		 Notes
TD.PF.C FixedReset Disc 48,900 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-06
Maturity Price : 22.43
Evaluated at bid price : 23.31
Bid-YTW : 5.67 %
BN.PF.A FixedReset Disc 38,544 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-06
Maturity Price : 22.17
Evaluated at bid price : 22.71
Bid-YTW : 6.88 %
MFC.PR.M FixedReset Ins Non 29,145 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-06
Maturity Price : 21.46
Evaluated at bid price : 21.76
Bid-YTW : 6.29 %
BN.PF.G FixedReset Disc 25,300 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-06
Maturity Price : 19.35
Evaluated at bid price : 19.35
Bid-YTW : 7.55 %
CU.PR.D Perpetual-Discount 18,147 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-06
Maturity Price : 20.16
Evaluated at bid price : 20.16
Bid-YTW : 6.20 %
ENB.PF.C FixedReset Disc 17,309 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-06
Maturity Price : 18.19
Evaluated at bid price : 18.19
Bid-YTW : 7.93 %
There were 13 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
GWO.PR.T Insurance Straight Quote: 17.25 – 21.32
Spot Rate : 4.0700
Average : 2.2017

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-06
Maturity Price : 17.25
Evaluated at bid price : 17.25
Bid-YTW : 7.60 %
SLF.PR.D Insurance Straight Quote: 16.50 – 19.75
Spot Rate : 3.2500
Average : 1.7622

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-06
Maturity Price : 16.50
Evaluated at bid price : 16.50
Bid-YTW : 6.85 %
IFC.PR.C FixedReset Ins Non Quote: 18.00 – 21.22
Spot Rate : 3.2200
Average : 2.1561

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-06
Maturity Price : 18.00
Evaluated at bid price : 18.00
Bid-YTW : 7.59 %
BN.PF.F FixedReset Disc Quote: 19.00 – 20.40
Spot Rate : 1.4000
Average : 0.9807

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-06
Maturity Price : 19.00
Evaluated at bid price : 19.00
Bid-YTW : 7.89 %
CU.PR.J Perpetual-Discount Quote: 18.80 – 19.87
Spot Rate : 1.0700
Average : 0.6754

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-06
Maturity Price : 18.80
Evaluated at bid price : 18.80
Bid-YTW : 6.45 %
PWF.PR.Z Perpetual-Discount Quote: 20.27 – 21.74
Spot Rate : 1.4700
Average : 1.0847

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-06
Maturity Price : 20.27
Evaluated at bid price : 20.27
Bid-YTW : 6.41 %

Posted in Market Action | 1 Comment »

November 5, 2024

Tuesday, November 5th, 2024
HIMIPref™ Preferred Indices
These values reflect the December 2008 revision of the HIMIPref™ Indices
Values are provisional and are finalized monthly
Index Mean
Current
Yield
(at bid)		 Median
YTW		 Median
Average
Trading
Value		 Median
Mod Dur
(YTW)		 Issues Day’s Perf. Index Value
Ratchet 0.00 % 0.00 % 0 0.00 0 -0.2129 % 2,142.4
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.2129 % 4,109.1
Floater 8.89 % 9.37 % 34,286 10.02 4 -0.2129 % 2,368.1
OpRet 0.00 % 0.00 % 0 0.00 0 0.0535 % 3,601.4
SplitShare 4.80 % 5.37 % 69,518 2.16 6 0.0535 % 4,300.8
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0535 % 3,355.6
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 -1.0504 % 2,830.8
Perpetual-Discount 6.08 % 6.15 % 51,004 13.63 31 -1.0504 % 3,086.8
FixedReset Disc 5.59 % 7.10 % 101,103 12.35 58 -0.5425 % 2,644.2
Insurance Straight 5.92 % 6.04 % 67,717 13.80 21 -0.0631 % 3,058.4
FloatingReset 7.73 % 7.53 % 24,796 11.84 2 0.0000 % 2,827.3
FixedReset Prem 6.41 % 5.56 % 189,432 3.73 7 -0.0609 % 2,584.0
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 -0.5425 % 2,702.9
FixedReset Ins Non 5.24 % 6.29 % 84,941 13.44 14 -0.1583 % 2,801.2
Performance Highlights
Issue Index Change Notes
CU.PR.G Perpetual-Discount -15.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-05
Maturity Price : 16.00
Evaluated at bid price : 16.00
Bid-YTW : 7.20 %
PWF.PR.S Perpetual-Discount -14.27 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-05
Maturity Price : 17.00
Evaluated at bid price : 17.00
Bid-YTW : 7.13 %
FFH.PR.G FixedReset Disc -10.67 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-05
Maturity Price : 15.90
Evaluated at bid price : 15.90
Bid-YTW : 8.64 %
ENB.PR.F FixedReset Disc -5.57 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-05
Maturity Price : 17.47
Evaluated at bid price : 17.47
Bid-YTW : 8.17 %
BN.PF.B FixedReset Disc -4.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-05
Maturity Price : 19.86
Evaluated at bid price : 19.86
Bid-YTW : 7.47 %
FTS.PR.M FixedReset Disc -3.28 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-05
Maturity Price : 19.75
Evaluated at bid price : 19.75
Bid-YTW : 7.13 %
BN.PF.G FixedReset Disc -3.26 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-05
Maturity Price : 18.67
Evaluated at bid price : 18.67
Bid-YTW : 7.82 %
POW.PR.D Perpetual-Discount -2.34 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-05
Maturity Price : 20.03
Evaluated at bid price : 20.03
Bid-YTW : 6.32 %
MFC.PR.B Insurance Straight -1.77 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-05
Maturity Price : 19.95
Evaluated at bid price : 19.95
Bid-YTW : 5.92 %
BN.PR.N Perpetual-Discount -1.63 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-05
Maturity Price : 18.72
Evaluated at bid price : 18.72
Bid-YTW : 6.44 %
BIP.PR.A FixedReset Disc -1.40 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-05
Maturity Price : 21.15
Evaluated at bid price : 21.15
Bid-YTW : 7.77 %
PWF.PR.A Floater -1.31 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-05
Maturity Price : 12.85
Evaluated at bid price : 12.85
Bid-YTW : 8.16 %
IFC.PR.C FixedReset Ins Non -1.27 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-05
Maturity Price : 20.25
Evaluated at bid price : 20.25
Bid-YTW : 6.77 %
NA.PR.W FixedReset Disc -1.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-05
Maturity Price : 22.44
Evaluated at bid price : 23.32
Bid-YTW : 5.64 %
CU.PR.F Perpetual-Discount -1.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-05
Maturity Price : 18.70
Evaluated at bid price : 18.70
Bid-YTW : 6.14 %
BN.PR.X FixedReset Disc -1.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-05
Maturity Price : 15.42
Evaluated at bid price : 15.42
Bid-YTW : 7.94 %
FFH.PR.K FixedReset Disc -1.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-05
Maturity Price : 21.59
Evaluated at bid price : 22.00
Bid-YTW : 7.25 %
CU.PR.J Perpetual-Discount -1.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-05
Maturity Price : 19.70
Evaluated at bid price : 19.70
Bid-YTW : 6.15 %
Volume Highlights
Issue Index Shares
Traded		 Notes
NA.PR.S FixedReset Disc 106,700 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-05
Maturity Price : 23.15
Evaluated at bid price : 24.87
Bid-YTW : 5.63 %
TD.PF.J FixedReset Prem 50,738 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-05
Maturity Price : 23.31
Evaluated at bid price : 25.00
Bid-YTW : 5.72 %
FTS.PR.H FixedReset Disc 39,903 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-05
Maturity Price : 15.29
Evaluated at bid price : 15.29
Bid-YTW : 7.28 %
PVS.PR.L SplitShare 34,300 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-06-30
Maturity Price : 25.00
Evaluated at bid price : 25.33
Bid-YTW : 5.37 %
NA.PR.W FixedReset Disc 28,100 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-05
Maturity Price : 22.44
Evaluated at bid price : 23.32
Bid-YTW : 5.64 %
GWO.PR.Y Insurance Straight 22,860 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-05
Maturity Price : 19.00
Evaluated at bid price : 19.00
Bid-YTW : 6.01 %
There were 6 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
CU.PR.G Perpetual-Discount Quote: 16.00 – 19.20
Spot Rate : 3.2000
Average : 1.9626

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-05
Maturity Price : 16.00
Evaluated at bid price : 16.00
Bid-YTW : 7.20 %
FFH.PR.G FixedReset Disc Quote: 15.90 – 18.00
Spot Rate : 2.1000
Average : 1.1715

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-05
Maturity Price : 15.90
Evaluated at bid price : 15.90
Bid-YTW : 8.64 %
PWF.PR.S Perpetual-Discount Quote: 17.00 – 20.00
Spot Rate : 3.0000
Average : 2.1115

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-05
Maturity Price : 17.00
Evaluated at bid price : 17.00
Bid-YTW : 7.13 %
ENB.PR.F FixedReset Disc Quote: 17.47 – 18.50
Spot Rate : 1.0300
Average : 0.6075

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-05
Maturity Price : 17.47
Evaluated at bid price : 17.47
Bid-YTW : 8.17 %
MFC.PR.L FixedReset Ins Non Quote: 23.21 – 24.21
Spot Rate : 1.0000
Average : 0.6697

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-05
Maturity Price : 22.41
Evaluated at bid price : 23.21
Bid-YTW : 5.85 %
BN.PF.G FixedReset Disc Quote: 18.67 – 19.50
Spot Rate : 0.8300
Average : 0.5298

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-05
Maturity Price : 18.67
Evaluated at bid price : 18.67
Bid-YTW : 7.82 %

Posted in Market Action | No Comments »

November 4, 2024

Monday, November 4th, 2024
HIMIPref™ Preferred Indices
These values reflect the December 2008 revision of the HIMIPref™ Indices
Values are provisional and are finalized monthly
Index Mean
Current
Yield
(at bid)		 Median
YTW		 Median
Average
Trading
Value		 Median
Mod Dur
(YTW)		 Issues Day’s Perf. Index Value
Ratchet 0.00 % 0.00 % 0 0.00 0 0.0000 % 2,147.0
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.0000 % 4,117.9
Floater 8.87 % 9.37 % 34,637 10.03 4 0.0000 % 2,373.2
OpRet 0.00 % 0.00 % 0 0.00 0 -0.1803 % 3,599.4
SplitShare 4.80 % 5.36 % 68,766 3.04 6 -0.1803 % 4,298.5
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.1803 % 3,353.8
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 0.8305 % 2,860.8
Perpetual-Discount 6.02 % 6.15 % 51,035 13.67 31 0.8305 % 3,119.6
FixedReset Disc 5.53 % 7.02 % 104,905 12.35 58 -0.0598 % 2,658.7
Insurance Straight 5.92 % 6.02 % 67,786 13.80 21 0.1558 % 3,060.4
FloatingReset 7.73 % 7.53 % 25,798 11.85 2 0.1241 % 2,827.3
FixedReset Prem 6.41 % 5.61 % 175,352 3.74 7 0.1607 % 2,585.6
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 -0.0598 % 2,717.7
FixedReset Ins Non 5.24 % 6.28 % 85,875 13.46 14 0.3175 % 2,805.7
Performance Highlights
Issue Index Change Notes
FFH.PR.F FloatingReset -1.94 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-04
Maturity Price : 17.65
Evaluated at bid price : 17.65
Bid-YTW : 8.28 %
FTS.PR.G FixedReset Disc -1.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-04
Maturity Price : 21.30
Evaluated at bid price : 21.59
Bid-YTW : 6.41 %
BN.PF.D Perpetual-Discount 1.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-04
Maturity Price : 19.65
Evaluated at bid price : 19.65
Bid-YTW : 6.33 %
MFC.PR.B Insurance Straight 1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-04
Maturity Price : 20.31
Evaluated at bid price : 20.31
Bid-YTW : 5.82 %
IFC.PR.G FixedReset Ins Non 1.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-04
Maturity Price : 22.85
Evaluated at bid price : 23.90
Bid-YTW : 6.00 %
ENB.PF.K FixedReset Disc 1.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-04
Maturity Price : 22.49
Evaluated at bid price : 23.15
Bid-YTW : 6.84 %
CU.PR.F Perpetual-Discount 1.18 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-04
Maturity Price : 18.92
Evaluated at bid price : 18.92
Bid-YTW : 6.07 %
IFC.PR.C FixedReset Ins Non 1.28 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-04
Maturity Price : 20.51
Evaluated at bid price : 20.51
Bid-YTW : 6.68 %
PWF.PR.E Perpetual-Discount 1.36 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-04
Maturity Price : 22.14
Evaluated at bid price : 22.42
Bid-YTW : 6.17 %
IFC.PR.A FixedReset Ins Non 1.51 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-04
Maturity Price : 18.80
Evaluated at bid price : 18.80
Bid-YTW : 6.47 %
FFH.PR.D FloatingReset 1.79 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-04
Maturity Price : 22.46
Evaluated at bid price : 22.70
Bid-YTW : 7.53 %
PWF.PR.L Perpetual-Discount 4.50 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-04
Maturity Price : 20.90
Evaluated at bid price : 20.90
Bid-YTW : 6.15 %
PWF.PR.S Perpetual-Discount 19.46 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-04
Maturity Price : 19.83
Evaluated at bid price : 19.83
Bid-YTW : 6.10 %
Volume Highlights
Issue Index Shares
Traded		 Notes
NA.PR.W FixedReset Disc 225,000 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-04
Maturity Price : 22.58
Evaluated at bid price : 23.61
Bid-YTW : 5.57 %
TD.PF.C FixedReset Disc 60,800 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-04
Maturity Price : 22.33
Evaluated at bid price : 23.12
Bid-YTW : 5.72 %
ENB.PR.P FixedReset Disc 60,400 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-04
Maturity Price : 19.51
Evaluated at bid price : 19.51
Bid-YTW : 7.44 %
CM.PR.P FixedReset Disc 56,500 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-04
Maturity Price : 23.58
Evaluated at bid price : 24.52
Bid-YTW : 5.37 %
ENB.PF.A FixedReset Disc 55,600 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-04
Maturity Price : 19.03
Evaluated at bid price : 19.03
Bid-YTW : 7.65 %
BMO.PR.E FixedReset Prem 38,600 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2028-11-25
Maturity Price : 25.00
Evaluated at bid price : 26.10
Bid-YTW : 5.53 %
There were 7 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: 20.30 – 22.00
Spot Rate : 1.7000
Average : 1.1522

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-04
Maturity Price : 20.30
Evaluated at bid price : 20.30
Bid-YTW : 6.81 %
BIP.PR.E FixedReset Disc Quote: 23.10 – 24.50
Spot Rate : 1.4000
Average : 1.1697

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-04
Maturity Price : 22.45
Evaluated at bid price : 23.10
Bid-YTW : 6.79 %
GWO.PR.G Insurance Straight Quote: 21.40 – 22.49
Spot Rate : 1.0900
Average : 0.8992

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-04
Maturity Price : 21.40
Evaluated at bid price : 21.40
Bid-YTW : 6.16 %
BN.PR.K Floater Quote: 11.27 – 11.72
Spot Rate : 0.4500
Average : 0.2778

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-04
Maturity Price : 11.27
Evaluated at bid price : 11.27
Bid-YTW : 9.44 %
SLF.PR.H FixedReset Ins Non Quote: 18.79 – 19.44
Spot Rate : 0.6500
Average : 0.5264

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-04
Maturity Price : 18.79
Evaluated at bid price : 18.79
Bid-YTW : 6.63 %
IFC.PR.K Insurance Straight Quote: 22.05 – 22.70
Spot Rate : 0.6500
Average : 0.5513

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-04
Maturity Price : 21.72
Evaluated at bid price : 22.05
Bid-YTW : 6.02 %

Posted in Market Action | No Comments »

November 1, 2024

Friday, November 1st, 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 0.2134 % 2,147.0
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.2134 % 4,117.9
Floater 8.87 % 9.36 % 36,031 10.04 4 0.2134 % 2,373.2
OpRet 0.00 % 0.00 % 0 0.00 0 0.0350 % 3,605.9
SplitShare 4.79 % 5.22 % 48,724 1.26 8 0.0350 % 4,306.2
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0350 % 3,359.9
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 0.0137 % 2,837.3
Perpetual-Discount 6.07 % 6.15 % 51,694 13.65 31 0.0137 % 3,093.9
FixedReset Disc 5.53 % 7.00 % 106,988 12.33 58 0.3625 % 2,660.2
Insurance Straight 5.92 % 6.05 % 68,133 13.82 20 0.1142 % 3,055.6
FloatingReset 7.46 % 7.57 % 25,857 11.81 1 0.0000 % 2,823.8
FixedReset Prem 6.42 % 5.75 % 182,020 3.74 7 -0.0554 % 2,581.4
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 0.3625 % 2,719.3
FixedReset Ins Non 5.25 % 6.29 % 89,041 13.46 14 0.7861 % 2,796.8
Performance Highlights
Issue Index Change Notes
PWF.PR.S Perpetual-Discount -17.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-01
Maturity Price : 16.60
Evaluated at bid price : 16.60
Bid-YTW : 7.29 %
PWF.PR.L Perpetual-Discount -2.91 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-01
Maturity Price : 20.00
Evaluated at bid price : 20.00
Bid-YTW : 6.43 %
CU.PR.F Perpetual-Discount -1.53 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-01
Maturity Price : 18.70
Evaluated at bid price : 18.70
Bid-YTW : 6.14 %
IFC.PR.G FixedReset Ins Non -1.46 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-01
Maturity Price : 22.72
Evaluated at bid price : 23.65
Bid-YTW : 6.08 %
BN.PR.X FixedReset Disc -1.27 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-01
Maturity Price : 15.60
Evaluated at bid price : 15.60
Bid-YTW : 7.85 %
BN.PR.T FixedReset Disc -1.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-01
Maturity Price : 16.50
Evaluated at bid price : 16.50
Bid-YTW : 7.83 %
BIP.PR.A FixedReset Disc -1.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-01
Maturity Price : 21.27
Evaluated at bid price : 21.27
Bid-YTW : 7.73 %
MFC.PR.B Insurance Straight 1.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-01
Maturity Price : 20.10
Evaluated at bid price : 20.10
Bid-YTW : 5.87 %
FFH.PR.C FixedReset Disc 1.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-01
Maturity Price : 21.97
Evaluated at bid price : 22.50
Bid-YTW : 6.96 %
ENB.PF.K FixedReset Disc 1.19 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-01
Maturity Price : 22.34
Evaluated at bid price : 22.89
Bid-YTW : 6.93 %
IFC.PR.I Insurance Straight 1.29 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-01
Maturity Price : 22.36
Evaluated at bid price : 22.69
Bid-YTW : 6.01 %
BN.PF.C Perpetual-Discount 1.31 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-01
Maturity Price : 19.40
Evaluated at bid price : 19.40
Bid-YTW : 6.34 %
ENB.PF.A FixedReset Disc 1.33 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-01
Maturity Price : 19.05
Evaluated at bid price : 19.05
Bid-YTW : 7.65 %
BN.PF.I FixedReset Disc 1.37 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-01
Maturity Price : 21.96
Evaluated at bid price : 22.20
Bid-YTW : 7.58 %
BN.PR.N Perpetual-Discount 1.50 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-01
Maturity Price : 18.90
Evaluated at bid price : 18.90
Bid-YTW : 6.37 %
MFC.PR.F FixedReset Ins Non 3.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-01
Maturity Price : 16.00
Evaluated at bid price : 16.00
Bid-YTW : 6.69 %
BN.PR.Z FixedReset Disc 3.63 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-01
Maturity Price : 20.53
Evaluated at bid price : 20.53
Bid-YTW : 7.48 %
FTS.PR.M FixedReset Disc 4.59 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-01
Maturity Price : 20.50
Evaluated at bid price : 20.50
Bid-YTW : 6.88 %
BN.PF.F FixedReset Disc 6.26 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-01
Maturity Price : 20.20
Evaluated at bid price : 20.20
Bid-YTW : 7.42 %
POW.PR.D Perpetual-Discount 6.98 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-01
Maturity Price : 20.38
Evaluated at bid price : 20.38
Bid-YTW : 6.20 %
IFC.PR.C FixedReset Ins Non 12.50 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-01
Maturity Price : 20.25
Evaluated at bid price : 20.25
Bid-YTW : 6.77 %
CU.PR.G Perpetual-Discount 17.56 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-01
Maturity Price : 18.81
Evaluated at bid price : 18.81
Bid-YTW : 6.10 %
Volume Highlights
Issue Index Shares
Traded		 Notes
BMO.PR.W FixedReset Disc 444,900 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-12-25
Maturity Price : 25.00
Evaluated at bid price : 24.94
Bid-YTW : 4.61 %
FTS.PR.H FixedReset Disc 156,200 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-01
Maturity Price : 15.26
Evaluated at bid price : 15.26
Bid-YTW : 7.31 %
BN.PR.X FixedReset Disc 74,562 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-01
Maturity Price : 15.60
Evaluated at bid price : 15.60
Bid-YTW : 7.85 %
BN.PR.B Floater 28,915 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-01
Maturity Price : 11.30
Evaluated at bid price : 11.30
Bid-YTW : 9.40 %
MFC.PR.N FixedReset Ins Non 27,100 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-01
Maturity Price : 20.91
Evaluated at bid price : 20.91
Bid-YTW : 6.45 %
BN.PF.E FixedReset Disc 26,348 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-01
Maturity Price : 18.00
Evaluated at bid price : 18.00
Bid-YTW : 7.82 %
There were 7 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
PWF.PR.S Perpetual-Discount Quote: 16.60 – 20.23
Spot Rate : 3.6300
Average : 2.1212

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-01
Maturity Price : 16.60
Evaluated at bid price : 16.60
Bid-YTW : 7.29 %
PWF.PR.L Perpetual-Discount Quote: 20.00 – 21.95
Spot Rate : 1.9500
Average : 1.3461

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-01
Maturity Price : 20.00
Evaluated at bid price : 20.00
Bid-YTW : 6.43 %
BN.PF.D Perpetual-Discount Quote: 19.45 – 20.50
Spot Rate : 1.0500
Average : 0.6126

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-01
Maturity Price : 19.45
Evaluated at bid price : 19.45
Bid-YTW : 6.39 %
BIP.PR.E FixedReset Disc Quote: 23.26 – 24.50
Spot Rate : 1.2400
Average : 0.9172

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-01
Maturity Price : 22.54
Evaluated at bid price : 23.26
Bid-YTW : 6.74 %
IFC.PR.G FixedReset Ins Non Quote: 23.65 – 24.40
Spot Rate : 0.7500
Average : 0.4856

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-01
Maturity Price : 22.72
Evaluated at bid price : 23.65
Bid-YTW : 6.08 %
PWF.PR.E Perpetual-Discount Quote: 22.12 – 23.00
Spot Rate : 0.8800
Average : 0.6320

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-01
Maturity Price : 21.88
Evaluated at bid price : 22.12
Bid-YTW : 6.25 %

Posted in Market Action | No Comments »

October 31, 2024

Thursday, October 31st, 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 -0.2129 % 2,142.4
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.2129 % 4,109.1
Floater 8.89 % 9.39 % 36,523 10.01 4 -0.2129 % 2,368.1
OpRet 0.00 % 0.00 % 0 0.00 0 0.1503 % 3,604.7
SplitShare 4.79 % 5.22 % 46,942 1.27 8 0.1503 % 4,304.7
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.1503 % 3,358.7
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 -0.7466 % 2,836.9
Perpetual-Discount 6.07 % 6.14 % 51,690 13.68 31 -0.7466 % 3,093.5
FixedReset Disc 5.55 % 7.09 % 108,572 12.38 58 -0.3383 % 2,650.6
Insurance Straight 5.93 % 6.08 % 69,168 13.76 20 0.0167 % 3,052.1
FloatingReset 7.46 % 7.57 % 26,198 11.81 1 0.0000 % 2,823.8
FixedReset Prem 6.41 % 5.72 % 179,655 3.75 7 -0.0055 % 2,582.9
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 -0.3383 % 2,709.5
FixedReset Ins Non 5.29 % 6.29 % 86,020 13.45 14 -0.3708 % 2,775.0
Performance Highlights
Issue Index Change Notes
CU.PR.G Perpetual-Discount -15.97 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-31
Maturity Price : 16.00
Evaluated at bid price : 16.00
Bid-YTW : 7.19 %
POW.PR.D Perpetual-Discount -7.97 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-31
Maturity Price : 19.05
Evaluated at bid price : 19.05
Bid-YTW : 6.64 %
BN.PF.F FixedReset Disc -7.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-31
Maturity Price : 19.01
Evaluated at bid price : 19.01
Bid-YTW : 7.88 %
FTS.PR.M FixedReset Disc -4.53 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-31
Maturity Price : 19.60
Evaluated at bid price : 19.60
Bid-YTW : 7.20 %
BN.PR.Z FixedReset Disc -4.21 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-31
Maturity Price : 19.81
Evaluated at bid price : 19.81
Bid-YTW : 7.76 %
PWF.PR.E Perpetual-Discount -2.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-31
Maturity Price : 21.88
Evaluated at bid price : 22.12
Bid-YTW : 6.25 %
MFC.PR.N FixedReset Ins Non -1.88 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-31
Maturity Price : 20.90
Evaluated at bid price : 20.90
Bid-YTW : 6.46 %
ENB.PF.K FixedReset Disc -1.65 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-31
Maturity Price : 22.16
Evaluated at bid price : 22.62
Bid-YTW : 7.02 %
GWO.PR.N FixedReset Ins Non -1.30 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-31
Maturity Price : 14.40
Evaluated at bid price : 14.40
Bid-YTW : 7.26 %
BN.PF.A FixedReset Disc -1.26 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-31
Maturity Price : 22.21
Evaluated at bid price : 22.77
Bid-YTW : 6.86 %
BN.PR.X FixedReset Disc -1.25 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-31
Maturity Price : 15.80
Evaluated at bid price : 15.80
Bid-YTW : 7.75 %
PWF.PR.Z Perpetual-Discount -1.18 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-31
Maturity Price : 20.90
Evaluated at bid price : 20.90
Bid-YTW : 6.21 %
GWO.PR.L Insurance Straight -1.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-31
Maturity Price : 22.77
Evaluated at bid price : 23.05
Bid-YTW : 6.20 %
ENB.PR.F FixedReset Disc -1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-31
Maturity Price : 18.44
Evaluated at bid price : 18.44
Bid-YTW : 7.73 %
BN.PR.N Perpetual-Discount -1.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-31
Maturity Price : 18.62
Evaluated at bid price : 18.62
Bid-YTW : 6.47 %
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 : 25.05
Bid-YTW : 4.59 %
BIP.PR.A FixedReset Disc 1.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-31
Maturity Price : 21.51
Evaluated at bid price : 21.51
Bid-YTW : 7.64 %
FFH.PR.E FixedReset Disc 1.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-31
Maturity Price : 17.50
Evaluated at bid price : 17.50
Bid-YTW : 7.47 %
PWF.PR.R Perpetual-Discount 1.35 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-31
Maturity Price : 22.22
Evaluated at bid price : 22.50
Bid-YTW : 6.14 %
CU.PR.F Perpetual-Discount 1.55 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-31
Maturity Price : 18.99
Evaluated at bid price : 18.99
Bid-YTW : 6.04 %
GWO.PR.G Insurance Straight 3.41 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-31
Maturity Price : 21.51
Evaluated at bid price : 21.51
Bid-YTW : 6.13 %
Volume Highlights
Issue Index Shares
Traded		 Notes
BN.PR.K Floater 60,800 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-31
Maturity Price : 11.27
Evaluated at bid price : 11.27
Bid-YTW : 9.43 %
ENB.PR.Y FixedReset Disc 45,051 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-31
Maturity Price : 17.83
Evaluated at bid price : 17.83
Bid-YTW : 7.74 %
GWO.PR.Y Insurance Straight 41,300 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-31
Maturity Price : 18.95
Evaluated at bid price : 18.95
Bid-YTW : 6.02 %
BMO.PR.W FixedReset Disc 36,336 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-12-25
Maturity Price : 25.00
Evaluated at bid price : 24.92
Bid-YTW : 5.07 %
ENB.PF.C FixedReset Disc 33,244 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-31
Maturity Price : 18.07
Evaluated at bid price : 18.07
Bid-YTW : 7.99 %
TD.PF.A FixedReset Disc 27,015 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-31
Maturity Price : 22.16
Evaluated at bid price : 22.80
Bid-YTW : 5.83 %
There were 10 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
CU.PR.G Perpetual-Discount Quote: 16.00 – 19.10
Spot Rate : 3.1000
Average : 1.6633

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-31
Maturity Price : 16.00
Evaluated at bid price : 16.00
Bid-YTW : 7.19 %
POW.PR.D Perpetual-Discount Quote: 19.05 – 20.91
Spot Rate : 1.8600
Average : 1.2468

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-31
Maturity Price : 19.05
Evaluated at bid price : 19.05
Bid-YTW : 6.64 %
BN.PF.F FixedReset Disc Quote: 19.01 – 20.89
Spot Rate : 1.8800
Average : 1.2800

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-31
Maturity Price : 19.01
Evaluated at bid price : 19.01
Bid-YTW : 7.88 %
FTS.PR.M FixedReset Disc Quote: 19.60 – 21.04
Spot Rate : 1.4400
Average : 0.8982

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-31
Maturity Price : 19.60
Evaluated at bid price : 19.60
Bid-YTW : 7.20 %
BN.PR.Z FixedReset Disc Quote: 19.81 – 21.07
Spot Rate : 1.2600
Average : 0.8345

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-31
Maturity Price : 19.81
Evaluated at bid price : 19.81
Bid-YTW : 7.76 %
PVS.PR.K SplitShare Quote: 25.05 – 26.00
Spot Rate : 0.9500
Average : 0.5722

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2029-05-31
Maturity Price : 25.00
Evaluated at bid price : 25.05
Bid-YTW : 4.59 %

Posted in Market Action | No Comments »

October 30, 2024

Wednesday, October 30th, 2024

PerpetualDiscounts now yield 6.13%, equivalent to 7.97% interest at the standard equivalency factor of 1.3x. Long corporates yielded 4.93% on 2024-10-29 and since then the closing price of ZLC has changed from 15.30 to 15.28, a total return of -0.13%, implying an increase of yields of 1bp (BMO reports a duration of 12.35, but don’t disclose whether this is Macaulay or Modified; I will assume Modified) to 4.94%. Therefore, the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) has widened to 305bp from the 290bp reported October 23.

HIMIPref™ Preferred Indices
These values reflect the December 2008 revision of the HIMIPref™ Indices
Values are provisional and are finalized monthly
Index Mean
Current
Yield
(at bid)		 Median
YTW		 Median
Average
Trading
Value		 Median
Mod Dur
(YTW)		 Issues Day’s Perf. Index Value
Ratchet 0.00 % 0.00 % 0 0.00 0 0.0000 % 2,147.0
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.0000 % 4,117.9
Floater 8.87 % 9.36 % 36,807 10.05 4 0.0000 % 2,373.2
OpRet 0.00 % 0.00 % 0 0.00 0 -0.1051 % 3,599.3
SplitShare 4.80 % 5.23 % 45,780 1.27 8 -0.1051 % 4,298.3
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.1051 % 3,353.7
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 0.2322 % 2,858.2
Perpetual-Discount 6.02 % 6.13 % 51,621 13.69 31 0.2322 % 3,116.7
FixedReset Disc 5.53 % 7.03 % 112,355 12.47 58 0.0303 % 2,659.6
Insurance Straight 5.93 % 6.09 % 68,898 13.74 20 0.3510 % 3,051.6
FloatingReset 7.46 % 7.57 % 27,178 11.82 1 -0.8889 % 2,823.8
FixedReset Prem 6.41 % 5.72 % 180,317 3.75 7 -0.1383 % 2,583.0
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 0.0303 % 2,718.7
FixedReset Ins Non 5.27 % 6.28 % 87,118 13.49 14 0.1771 % 2,785.3
Performance Highlights
Issue Index Change Notes
BN.PF.I FixedReset Disc -2.67 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-30
Maturity Price : 21.52
Evaluated at bid price : 21.90
Bid-YTW : 7.67 %
FTS.PR.J Perpetual-Discount -2.32 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-30
Maturity Price : 20.22
Evaluated at bid price : 20.22
Bid-YTW : 5.99 %
ENB.PF.A FixedReset Disc -2.25 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-30
Maturity Price : 18.70
Evaluated at bid price : 18.70
Bid-YTW : 7.79 %
IFC.PR.F Insurance Straight -1.65 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-30
Maturity Price : 22.08
Evaluated at bid price : 22.08
Bid-YTW : 6.08 %
FTS.PR.K FixedReset Disc -1.27 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-30
Maturity Price : 20.29
Evaluated at bid price : 20.29
Bid-YTW : 6.57 %
PWF.PR.L Perpetual-Discount -1.24 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-30
Maturity Price : 20.76
Evaluated at bid price : 20.76
Bid-YTW : 6.19 %
MFC.PR.F FixedReset Ins Non -1.21 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-30
Maturity Price : 15.50
Evaluated at bid price : 15.50
Bid-YTW : 6.90 %
MFC.PR.B Insurance Straight -1.19 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-30
Maturity Price : 19.90
Evaluated at bid price : 19.90
Bid-YTW : 5.93 %
GWO.PR.R Insurance Straight -1.19 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-30
Maturity Price : 19.94
Evaluated at bid price : 19.94
Bid-YTW : 6.10 %
BN.PR.N Perpetual-Discount -1.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-30
Maturity Price : 18.81
Evaluated at bid price : 18.81
Bid-YTW : 6.40 %
MFC.PR.C Insurance Straight 1.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-30
Maturity Price : 19.70
Evaluated at bid price : 19.70
Bid-YTW : 5.80 %
CU.PR.J Perpetual-Discount 1.17 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-30
Maturity Price : 19.85
Evaluated at bid price : 19.85
Bid-YTW : 6.10 %
PWF.PR.Z Perpetual-Discount 1.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-30
Maturity Price : 21.15
Evaluated at bid price : 21.15
Bid-YTW : 6.13 %
PWF.PR.S Perpetual-Discount 1.52 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-30
Maturity Price : 20.00
Evaluated at bid price : 20.00
Bid-YTW : 6.04 %
SLF.PR.C Insurance Straight 1.56 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-30
Maturity Price : 20.16
Evaluated at bid price : 20.16
Bid-YTW : 5.59 %
PWF.PR.R Perpetual-Discount 1.74 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-30
Maturity Price : 21.97
Evaluated at bid price : 22.20
Bid-YTW : 6.23 %
MFC.PR.N FixedReset Ins Non 1.91 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-30
Maturity Price : 21.30
Evaluated at bid price : 21.30
Bid-YTW : 6.33 %
GWO.PR.G Insurance Straight 2.21 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-30
Maturity Price : 20.80
Evaluated at bid price : 20.80
Bid-YTW : 6.34 %
IFC.PR.E Insurance Straight 3.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-30
Maturity Price : 21.90
Evaluated at bid price : 21.90
Bid-YTW : 6.02 %
BN.PF.C Perpetual-Discount 3.57 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-30
Maturity Price : 19.15
Evaluated at bid price : 19.15
Bid-YTW : 6.42 %
POW.PR.D Perpetual-Discount 4.65 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-30
Maturity Price : 20.70
Evaluated at bid price : 20.70
Bid-YTW : 6.10 %
BN.PF.F FixedReset Disc 7.52 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-30
Maturity Price : 20.44
Evaluated at bid price : 20.44
Bid-YTW : 7.33 %
Volume Highlights
Issue Index Shares
Traded		 Notes
BN.PR.K Floater 85,485 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-30
Maturity Price : 11.32
Evaluated at bid price : 11.32
Bid-YTW : 9.38 %
BMO.PR.W FixedReset Disc 69,768 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-12-25
Maturity Price : 25.00
Evaluated at bid price : 24.93
Bid-YTW : 4.71 %
TD.PF.C FixedReset Disc 37,282 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-30
Maturity Price : 22.26
Evaluated at bid price : 23.00
Bid-YTW : 5.75 %
MFC.PR.M FixedReset Ins Non 35,880 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-30
Maturity Price : 21.49
Evaluated at bid price : 21.80
Bid-YTW : 6.28 %
BN.PR.B Floater 18,759 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-30
Maturity Price : 11.30
Evaluated at bid price : 11.30
Bid-YTW : 9.40 %
FTS.PR.M FixedReset Disc 18,374 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-30
Maturity Price : 20.53
Evaluated at bid price : 20.53
Bid-YTW : 6.86 %
There were 14 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
IFC.PR.C FixedReset Ins Non Quote: 18.00 – 21.00
Spot Rate : 3.0000
Average : 2.4495

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-30
Maturity Price : 18.00
Evaluated at bid price : 18.00
Bid-YTW : 7.59 %
MFC.PR.F FixedReset Ins Non Quote: 15.50 – 17.00
Spot Rate : 1.5000
Average : 1.1596

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-30
Maturity Price : 15.50
Evaluated at bid price : 15.50
Bid-YTW : 6.90 %
BN.PF.I FixedReset Disc Quote: 21.90 – 23.60
Spot Rate : 1.7000
Average : 1.3901

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-30
Maturity Price : 21.52
Evaluated at bid price : 21.90
Bid-YTW : 7.67 %
FTS.PR.J Perpetual-Discount Quote: 20.22 – 20.80
Spot Rate : 0.5800
Average : 0.3723

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-30
Maturity Price : 20.22
Evaluated at bid price : 20.22
Bid-YTW : 5.99 %
CU.PR.C FixedReset Disc Quote: 20.32 – 21.01
Spot Rate : 0.6900
Average : 0.4990

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-30
Maturity Price : 20.32
Evaluated at bid price : 20.32
Bid-YTW : 6.81 %
ENB.PF.A FixedReset Disc Quote: 18.70 – 19.19
Spot Rate : 0.4900
Average : 0.3193

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-30
Maturity Price : 18.70
Evaluated at bid price : 18.70
Bid-YTW : 7.79 %

Posted in Market Action | 2 Comments »

October 29, 2024

Tuesday, October 29th, 2024

CM announced an LRCN issue today:

CIBC (TSX: CM) (NYSE: CM) today announced the public offering in the United States of US$500 million of 6.950% Fixed Rate Reset Limited Recourse Capital Notes Series 5 (Non-Viability Contingent Capital (NVCC)) (Subordinated Indebtedness) (the “LRCNs”).

The LRCNs will bear interest at a rate of 6.950% annually, payable quarterly, for the initial period ending on, but excluding, January 28, 2030. Thereafter, the interest rate on the LRCNs will reset every five years at a rate equal to the prevailing 5-year U.S. Treasury Rate plus 2.833%. The LRCNs will mature on January 28, 2085. The expected closing date of the offering is November 5, 2024.

In connection with the issuance of the LRCNs, CIBC will issue Non-Cumulative 5-Year Fixed Rate Reset Class A Preferred Shares Series 59 (Non-Viability Contingent Capital (NVCC)) (the “Series 59 Shares”) to be held by Computershare Trust Company of Canada as trustee of CIBC LRCN Limited Recourse Trust (the “Limited Recourse Trust”). In case of non-payment of interest on or principal of the LRCNs when due, the recourse of each LRCN holder will be limited to that holder’s proportionate share of the Limited Recourse Trust’s assets held in respect of the LRCNs, which will consist of Series 59 Shares except in limited circumstances.

CIBC may redeem the LRCNs on January 28, 2030 and on each January 28, April 28, July 28 and October 28 thereafter with the prior written approval of the Superintendent of Financial Institutions (Canada), in whole or in part on not less than 10 days’ nor more than 60 days’ prior notice.

The net proceeds to CIBC from the sale of the LRCNs will be used for general corporate purposes, which may include the redemption of outstanding capital securities of CIBC, and/or the repayment of other outstanding liabilities of CIBC.

The joint book-running managers for the offering are CIBC World Markets Corp., BNP Paribas Securities Corp., BofA Securities, Inc., Citigroup Global Markets Inc., HSBC Securities (USA) Inc. and J.P. Morgan Securities LLC.

Thanks to Assiduous Reader IrateAR for bringing this to my attention!

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 0.2990 % 2,147.0
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.2990 % 4,117.9
Floater 8.87 % 9.35 % 35,686 10.05 4 0.2990 % 2,373.2
OpRet 0.00 % 0.00 % 0 0.00 0 -0.0400 % 3,603.0
SplitShare 4.79 % 5.33 % 46,104 1.27 8 -0.0400 % 4,302.8
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.0400 % 3,357.2
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 -0.7831 % 2,851.6
Perpetual-Discount 6.04 % 6.13 % 51,603 13.68 31 -0.7831 % 3,109.5
FixedReset Disc 5.53 % 7.01 % 112,939 12.49 58 -0.2705 % 2,658.8
Insurance Straight 5.95 % 6.08 % 67,700 13.77 20 -1.8421 % 3,040.9
FloatingReset 7.39 % 7.50 % 27,079 11.90 1 -0.7937 % 2,849.1
FixedReset Prem 6.40 % 5.68 % 182,024 3.75 7 -0.0055 % 2,586.6
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 -0.2705 % 2,717.9
FixedReset Ins Non 5.28 % 6.26 % 86,587 13.49 14 -1.0716 % 2,780.4
Performance Highlights
Issue Index Change Notes
IFC.PR.C FixedReset Ins Non -11.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-29
Maturity Price : 18.00
Evaluated at bid price : 18.00
Bid-YTW : 7.59 %
BN.PF.F FixedReset Disc -7.27 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-29
Maturity Price : 19.01
Evaluated at bid price : 19.01
Bid-YTW : 7.88 %
GWO.PR.G Insurance Straight -6.86 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-29
Maturity Price : 20.35
Evaluated at bid price : 20.35
Bid-YTW : 6.48 %
BN.PF.C Perpetual-Discount -5.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-29
Maturity Price : 18.49
Evaluated at bid price : 18.49
Bid-YTW : 6.65 %
IFC.PR.E Insurance Straight -4.97 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-29
Maturity Price : 21.24
Evaluated at bid price : 21.24
Bid-YTW : 6.20 %
POW.PR.D Perpetual-Discount -4.90 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-29
Maturity Price : 19.78
Evaluated at bid price : 19.78
Bid-YTW : 6.39 %
PWF.PR.R Perpetual-Discount -3.88 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-29
Maturity Price : 21.56
Evaluated at bid price : 21.82
Bid-YTW : 6.33 %
CU.PR.F Perpetual-Discount -3.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-29
Maturity Price : 18.70
Evaluated at bid price : 18.70
Bid-YTW : 6.13 %
CU.PR.H Perpetual-Discount -2.67 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-29
Maturity Price : 21.65
Evaluated at bid price : 21.90
Bid-YTW : 6.09 %
MFC.PR.N FixedReset Ins Non -2.56 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-29
Maturity Price : 20.90
Evaluated at bid price : 20.90
Bid-YTW : 6.45 %
SLF.PR.C Insurance Straight -2.55 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-29
Maturity Price : 19.85
Evaluated at bid price : 19.85
Bid-YTW : 5.68 %
IFC.PR.I Insurance Straight -2.44 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-29
Maturity Price : 22.07
Evaluated at bid price : 22.40
Bid-YTW : 6.09 %
GWO.PR.T Insurance Straight -2.39 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-29
Maturity Price : 21.25
Evaluated at bid price : 21.25
Bid-YTW : 6.14 %
GWO.PR.I Insurance Straight -1.97 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-29
Maturity Price : 18.95
Evaluated at bid price : 18.95
Bid-YTW : 6.02 %
ENB.PR.A Perpetual-Discount -1.88 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-29
Maturity Price : 22.72
Evaluated at bid price : 23.01
Bid-YTW : 6.08 %
GWO.PR.P Insurance Straight -1.82 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-29
Maturity Price : 21.89
Evaluated at bid price : 22.13
Bid-YTW : 6.17 %
MFC.PR.C Insurance Straight -1.76 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-29
Maturity Price : 19.50
Evaluated at bid price : 19.50
Bid-YTW : 5.86 %
GWO.PR.H Insurance Straight -1.75 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-29
Maturity Price : 20.16
Evaluated at bid price : 20.16
Bid-YTW : 6.09 %
PWF.PR.Z Perpetual-Discount -1.65 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-29
Maturity Price : 20.90
Evaluated at bid price : 20.90
Bid-YTW : 6.20 %
GWO.PR.L Insurance Straight -1.62 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-29
Maturity Price : 22.79
Evaluated at bid price : 23.07
Bid-YTW : 6.19 %
GWO.PR.Y Insurance Straight -1.61 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-29
Maturity Price : 18.89
Evaluated at bid price : 18.89
Bid-YTW : 6.03 %
IFC.PR.A FixedReset Ins Non -1.49 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-29
Maturity Price : 18.52
Evaluated at bid price : 18.52
Bid-YTW : 6.57 %
BIP.PR.F FixedReset Disc -1.48 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-29
Maturity Price : 22.06
Evaluated at bid price : 22.56
Bid-YTW : 6.86 %
SLF.PR.E Insurance Straight -1.46 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-29
Maturity Price : 20.30
Evaluated at bid price : 20.30
Bid-YTW : 5.61 %
POW.PR.A Perpetual-Discount -1.46 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-29
Maturity Price : 22.72
Evaluated at bid price : 23.01
Bid-YTW : 6.13 %
BN.PR.Z FixedReset Disc -1.44 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-29
Maturity Price : 20.50
Evaluated at bid price : 20.50
Bid-YTW : 7.49 %
CU.PR.E Perpetual-Discount -1.40 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-29
Maturity Price : 20.46
Evaluated at bid price : 20.46
Bid-YTW : 6.10 %
BN.PF.D Perpetual-Discount -1.37 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-29
Maturity Price : 19.40
Evaluated at bid price : 19.40
Bid-YTW : 6.40 %
GWO.PR.M Insurance Straight -1.33 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-29
Maturity Price : 23.41
Evaluated at bid price : 23.70
Bid-YTW : 6.19 %
POW.PR.B Perpetual-Discount -1.31 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-29
Maturity Price : 21.65
Evaluated at bid price : 21.90
Bid-YTW : 6.16 %
PWF.PR.H Perpetual-Discount -1.27 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-29
Maturity Price : 23.04
Evaluated at bid price : 23.31
Bid-YTW : 6.20 %
CU.PR.G Perpetual-Discount -1.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-29
Maturity Price : 19.13
Evaluated at bid price : 19.13
Bid-YTW : 5.99 %
PWF.PR.G Perpetual-Discount -1.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-29
Maturity Price : 23.72
Evaluated at bid price : 24.03
Bid-YTW : 6.17 %
GWO.PR.R Insurance Straight -1.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-29
Maturity Price : 20.18
Evaluated at bid price : 20.18
Bid-YTW : 6.03 %
BIP.PR.E FixedReset Disc -1.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-29
Maturity Price : 22.39
Evaluated at bid price : 23.00
Bid-YTW : 6.82 %
GWO.PR.S Insurance Straight -1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-29
Maturity Price : 21.55
Evaluated at bid price : 21.81
Bid-YTW : 6.08 %
ENB.PR.F FixedReset Disc 1.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-29
Maturity Price : 18.63
Evaluated at bid price : 18.63
Bid-YTW : 7.64 %
MFC.PR.F FixedReset Ins Non 1.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-29
Maturity Price : 15.69
Evaluated at bid price : 15.69
Bid-YTW : 6.82 %
BN.PR.X FixedReset Disc 5.33 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-29
Maturity Price : 16.02
Evaluated at bid price : 16.02
Bid-YTW : 7.64 %
PWF.PR.S Perpetual-Discount 18.67 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-29
Maturity Price : 19.70
Evaluated at bid price : 19.70
Bid-YTW : 6.13 %
Volume Highlights
Issue Index Shares
Traded		 Notes
PWF.PR.P FixedReset Disc 196,600 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-29
Maturity Price : 14.95
Evaluated at bid price : 14.95
Bid-YTW : 7.43 %
BMO.PR.W FixedReset Disc 101,300 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-12-25
Maturity Price : 25.00
Evaluated at bid price : 25.16
Bid-YTW : 4.89 %
SLF.PR.G FixedReset Ins Non 101,000 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-29
Maturity Price : 16.10
Evaluated at bid price : 16.10
Bid-YTW : 6.82 %
SLF.PR.E Insurance Straight 54,300 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-29
Maturity Price : 20.30
Evaluated at bid price : 20.30
Bid-YTW : 5.61 %
MFC.PR.N FixedReset Ins Non 51,500 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-29
Maturity Price : 20.90
Evaluated at bid price : 20.90
Bid-YTW : 6.45 %
BMO.PR.E FixedReset Prem 27,848 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2028-11-25
Maturity Price : 25.00
Evaluated at bid price : 26.36
Bid-YTW : 5.68 %
There were 19 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
IFC.PR.C FixedReset Ins Non Quote: 18.00 – 20.90
Spot Rate : 2.9000
Average : 1.8458

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-29
Maturity Price : 18.00
Evaluated at bid price : 18.00
Bid-YTW : 7.59 %
BN.PF.F FixedReset Disc Quote: 19.01 – 20.75
Spot Rate : 1.7400
Average : 1.0193

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-29
Maturity Price : 19.01
Evaluated at bid price : 19.01
Bid-YTW : 7.88 %
GWO.PR.G Insurance Straight Quote: 20.35 – 22.07
Spot Rate : 1.7200
Average : 1.0260

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-29
Maturity Price : 20.35
Evaluated at bid price : 20.35
Bid-YTW : 6.48 %
BN.PF.C Perpetual-Discount Quote: 18.49 – 19.52
Spot Rate : 1.0300
Average : 0.5960

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-29
Maturity Price : 18.49
Evaluated at bid price : 18.49
Bid-YTW : 6.65 %
POW.PR.D Perpetual-Discount Quote: 19.78 – 20.90
Spot Rate : 1.1200
Average : 0.7659

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-29
Maturity Price : 19.78
Evaluated at bid price : 19.78
Bid-YTW : 6.39 %
PWF.PR.R Perpetual-Discount Quote: 21.82 – 22.70
Spot Rate : 0.8800
Average : 0.5381

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-29
Maturity Price : 21.56
Evaluated at bid price : 21.82
Bid-YTW : 6.33 %

Posted in Market Action | 8 Comments »

October 28, 2024

Monday, October 28th, 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 0.0214 % 2,140.6
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.0214 % 4,105.6
Floater 8.89 % 9.39 % 35,535 10.02 4 0.0214 % 2,366.1
OpRet 0.00 % 0.00 % 0 0.00 0 -0.0550 % 3,604.5
SplitShare 4.79 % 5.38 % 46,031 1.27 8 -0.0550 % 4,304.5
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.0550 % 3,358.6
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 -0.6122 % 2,874.1
Perpetual-Discount 5.99 % 6.08 % 51,016 13.80 31 -0.6122 % 3,134.1
FixedReset Disc 5.52 % 7.00 % 113,225 12.48 58 -0.0931 % 2,666.0
Insurance Straight 5.84 % 5.96 % 69,265 13.91 20 0.1502 % 3,098.0
FloatingReset 7.33 % 7.44 % 27,258 11.97 1 0.8000 % 2,871.9
FixedReset Prem 6.40 % 5.71 % 188,345 3.76 7 0.2217 % 2,586.7
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 -0.0931 % 2,725.2
FixedReset Ins Non 5.23 % 6.25 % 84,424 13.52 14 -0.0378 % 2,810.5
Performance Highlights
Issue Index Change Notes
PWF.PR.S Perpetual-Discount -18.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-28
Maturity Price : 16.60
Evaluated at bid price : 16.60
Bid-YTW : 7.29 %
BN.PR.X FixedReset Disc -6.69 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-28
Maturity Price : 15.21
Evaluated at bid price : 15.21
Bid-YTW : 8.04 %
CCS.PR.C Insurance Straight -2.37 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-28
Maturity Price : 21.00
Evaluated at bid price : 21.00
Bid-YTW : 6.03 %
IFC.PR.C FixedReset Ins Non -1.98 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-28
Maturity Price : 20.25
Evaluated at bid price : 20.25
Bid-YTW : 6.77 %
IFC.PR.F Insurance Straight -1.49 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-28
Maturity Price : 22.19
Evaluated at bid price : 22.47
Bid-YTW : 5.96 %
SLF.PR.D Insurance Straight -1.19 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-28
Maturity Price : 20.00
Evaluated at bid price : 20.00
Bid-YTW : 5.63 %
CM.PR.P FixedReset Disc 1.32 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-28
Maturity Price : 23.61
Evaluated at bid price : 24.52
Bid-YTW : 5.37 %
GWO.PR.T Insurance Straight 1.44 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-28
Maturity Price : 21.77
Evaluated at bid price : 21.77
Bid-YTW : 5.99 %
IFC.PR.A FixedReset Ins Non 1.57 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-28
Maturity Price : 18.80
Evaluated at bid price : 18.80
Bid-YTW : 6.47 %
BIK.PR.A FixedReset Prem 1.91 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2029-04-01
Maturity Price : 25.00
Evaluated at bid price : 26.71
Bid-YTW : 5.90 %
IFC.PR.I Insurance Straight 2.50 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-28
Maturity Price : 22.60
Evaluated at bid price : 22.96
Bid-YTW : 5.94 %
CU.PR.F Perpetual-Discount 3.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-28
Maturity Price : 19.28
Evaluated at bid price : 19.28
Bid-YTW : 5.94 %
IFC.PR.E Insurance Straight 5.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-28
Maturity Price : 21.88
Evaluated at bid price : 22.35
Bid-YTW : 5.86 %
Volume Highlights
Issue Index Shares
Traded		 Notes
NA.PR.S FixedReset Disc 105,000 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-28
Maturity Price : 23.11
Evaluated at bid price : 24.75
Bid-YTW : 5.66 %
SLF.PR.H FixedReset Ins Non 57,800 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-28
Maturity Price : 18.79
Evaluated at bid price : 18.79
Bid-YTW : 6.63 %
BMO.PR.W FixedReset Disc 53,400 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-12-25
Maturity Price : 25.00
Evaluated at bid price : 25.15
Bid-YTW : 5.06 %
RY.PR.M FixedReset Disc 46,800 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-28
Maturity Price : 23.56
Evaluated at bid price : 24.07
Bid-YTW : 5.71 %
TD.PF.C FixedReset Disc 45,900 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-28
Maturity Price : 22.15
Evaluated at bid price : 22.80
Bid-YTW : 5.81 %
BMO.PR.E FixedReset Prem 42,800 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2028-11-25
Maturity Price : 25.00
Evaluated at bid price : 26.54
Bid-YTW : 5.48 %
There were 15 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: 16.60 – 20.39
Spot Rate : 3.7900
Average : 2.0634

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-28
Maturity Price : 16.60
Evaluated at bid price : 16.60
Bid-YTW : 7.29 %
CCS.PR.C Insurance Straight Quote: 21.00 – 22.70
Spot Rate : 1.7000
Average : 1.1174

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-28
Maturity Price : 21.00
Evaluated at bid price : 21.00
Bid-YTW : 6.03 %
CU.PR.H Perpetual-Discount Quote: 22.50 – 24.00
Spot Rate : 1.5000
Average : 0.9520

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-28
Maturity Price : 22.22
Evaluated at bid price : 22.50
Bid-YTW : 5.93 %
BN.PR.X FixedReset Disc Quote: 15.21 – 16.33
Spot Rate : 1.1200
Average : 0.6545

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-28
Maturity Price : 15.21
Evaluated at bid price : 15.21
Bid-YTW : 8.04 %
MFC.PR.F FixedReset Ins Non Quote: 15.50 – 17.00
Spot Rate : 1.5000
Average : 1.1444

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-28
Maturity Price : 15.50
Evaluated at bid price : 15.50
Bid-YTW : 6.90 %
CU.PR.D Perpetual-Discount Quote: 20.70 – 21.76
Spot Rate : 1.0600
Average : 0.7323

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-28
Maturity Price : 20.70
Evaluated at bid price : 20.70
Bid-YTW : 6.03 %

Posted in Market Action | No Comments »

October 25, 2024

Friday, October 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 -0.2131 % 2,140.1
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.2131 % 4,104.8
Floater 8.90 % 9.39 % 36,735 10.03 4 -0.2131 % 2,365.6
OpRet 0.00 % 0.00 % 0 0.00 0 0.0800 % 3,606.5
SplitShare 4.79 % 5.26 % 45,504 1.28 8 0.0800 % 4,306.9
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0800 % 3,360.4
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 -0.1554 % 2,891.8
Perpetual-Discount 5.95 % 6.05 % 49,913 13.81 31 -0.1554 % 3,153.4
FixedReset Disc 5.51 % 6.88 % 114,568 12.59 58 0.1087 % 2,668.5
Insurance Straight 5.85 % 5.98 % 67,747 13.92 20 -0.5787 % 3,093.3
FloatingReset 7.61 % 7.72 % 26,720 11.66 1 0.0000 % 2,849.1
FixedReset Prem 6.42 % 5.65 % 194,728 3.75 7 0.1888 % 2,581.0
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 0.1087 % 2,727.8
FixedReset Ins Non 5.23 % 6.17 % 85,431 13.62 14 0.0412 % 2,811.5
Performance Highlights
Issue Index Change Notes
IFC.PR.E Insurance Straight -5.89 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-25
Maturity Price : 21.24
Evaluated at bid price : 21.24
Bid-YTW : 6.20 %
IFC.PR.I Insurance Straight -3.57 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-25
Maturity Price : 22.07
Evaluated at bid price : 22.40
Bid-YTW : 6.08 %
CU.PR.J Perpetual-Discount -3.35 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-25
Maturity Price : 19.62
Evaluated at bid price : 19.62
Bid-YTW : 6.16 %
SLF.PR.H FixedReset Ins Non -1.21 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-25
Maturity Price : 18.79
Evaluated at bid price : 18.79
Bid-YTW : 6.54 %
PWF.PR.T FixedReset Disc 1.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-25
Maturity Price : 21.85
Evaluated at bid price : 22.25
Bid-YTW : 6.11 %
PWF.PR.A Floater 1.18 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-25
Maturity Price : 13.00
Evaluated at bid price : 13.00
Bid-YTW : 8.05 %
BIP.PR.A FixedReset Disc 1.24 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-25
Maturity Price : 21.27
Evaluated at bid price : 21.27
Bid-YTW : 7.63 %
NA.PR.W FixedReset Disc 2.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-25
Maturity Price : 22.26
Evaluated at bid price : 23.00
Bid-YTW : 5.64 %
CCS.PR.C Insurance Straight 2.43 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-25
Maturity Price : 21.51
Evaluated at bid price : 21.51
Bid-YTW : 5.88 %
Volume Highlights
Issue Index Shares
Traded		 Notes
ENB.PR.T FixedReset Disc 29,113 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-25
Maturity Price : 20.50
Evaluated at bid price : 20.50
Bid-YTW : 7.17 %
BMO.PR.E FixedReset Prem 25,765 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2028-11-25
Maturity Price : 25.00
Evaluated at bid price : 26.60
Bid-YTW : 5.40 %
PWF.PR.T FixedReset Disc 23,943 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-25
Maturity Price : 21.85
Evaluated at bid price : 22.25
Bid-YTW : 6.11 %
BN.PR.R FixedReset Disc 22,600 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-25
Maturity Price : 16.68
Evaluated at bid price : 16.68
Bid-YTW : 7.62 %
RY.PR.S FixedReset Prem 22,509 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-25
Maturity Price : 23.30
Evaluated at bid price : 25.25
Bid-YTW : 5.34 %
BMO.PR.W FixedReset Disc 22,077 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-11-25
Maturity Price : 25.00
Evaluated at bid price : 25.14
Bid-YTW : 4.77 %
There were 7 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: 21.24 – 22.60
Spot Rate : 1.3600
Average : 0.8549

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-25
Maturity Price : 21.24
Evaluated at bid price : 21.24
Bid-YTW : 6.20 %
IFC.PR.I Insurance Straight Quote: 22.40 – 23.50
Spot Rate : 1.1000
Average : 0.7311

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-25
Maturity Price : 22.07
Evaluated at bid price : 22.40
Bid-YTW : 6.08 %
PWF.PR.L Perpetual-Discount Quote: 21.08 – 21.90
Spot Rate : 0.8200
Average : 0.6187

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-25
Maturity Price : 21.08
Evaluated at bid price : 21.08
Bid-YTW : 6.09 %
CU.PR.J Perpetual-Discount Quote: 19.62 – 20.40
Spot Rate : 0.7800
Average : 0.5932

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-25
Maturity Price : 19.62
Evaluated at bid price : 19.62
Bid-YTW : 6.16 %
RY.PR.S FixedReset Prem Quote: 25.25 – 25.76
Spot Rate : 0.5100
Average : 0.3456

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-25
Maturity Price : 23.30
Evaluated at bid price : 25.25
Bid-YTW : 5.34 %
ENB.PF.C FixedReset Disc Quote: 18.32 – 18.65
Spot Rate : 0.3300
Average : 0.2041

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-25
Maturity Price : 18.32
Evaluated at bid price : 18.32
Bid-YTW : 7.76 %

Posted in Market Action | 2 Comments »

October 24, 2024

Thursday, October 24th, 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 -0.1065 % 2,144.7
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.1065 % 4,113.5
Floater 8.88 % 9.40 % 36,803 10.02 4 -0.1065 % 2,370.6
OpRet 0.00 % 0.00 % 0 0.00 0 0.0100 % 3,603.6
SplitShare 4.79 % 5.41 % 45,517 1.28 8 0.0100 % 4,303.4
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0100 % 3,357.7
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 -0.0926 % 2,896.3
Perpetual-Discount 5.94 % 6.04 % 49,834 13.84 31 -0.0926 % 3,158.3
FixedReset Disc 5.52 % 6.89 % 116,158 12.58 58 -0.0857 % 2,665.6
Insurance Straight 5.82 % 5.91 % 64,425 14.02 20 -0.2258 % 3,111.4
FloatingReset 7.61 % 7.72 % 26,177 11.66 1 -0.1332 % 2,849.1
FixedReset Prem 6.43 % 5.57 % 195,907 3.53 7 -0.0832 % 2,576.2
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 -0.0857 % 2,724.8
FixedReset Ins Non 5.23 % 6.17 % 88,513 13.63 14 0.0963 % 2,810.4
Performance Highlights
Issue Index Change Notes
CCS.PR.C Insurance Straight -5.45 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-24
Maturity Price : 21.00
Evaluated at bid price : 21.00
Bid-YTW : 6.03 %
NA.PR.W FixedReset Disc -2.84 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-24
Maturity Price : 21.99
Evaluated at bid price : 22.55
Bid-YTW : 5.77 %
BN.PR.N Perpetual-Discount -2.56 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-24
Maturity Price : 19.00
Evaluated at bid price : 19.00
Bid-YTW : 6.33 %
BN.PF.A FixedReset Disc -1.28 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-24
Maturity Price : 22.38
Evaluated at bid price : 23.05
Bid-YTW : 6.69 %
ENB.PR.Y FixedReset Disc -1.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-24
Maturity Price : 17.85
Evaluated at bid price : 17.85
Bid-YTW : 7.64 %
TD.PF.E FixedReset Disc -1.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-24
Maturity Price : 23.05
Evaluated at bid price : 23.60
Bid-YTW : 6.02 %
BN.PF.C Perpetual-Discount -1.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-24
Maturity Price : 19.55
Evaluated at bid price : 19.55
Bid-YTW : 6.28 %
GWO.PR.R Insurance Straight 1.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-24
Maturity Price : 20.59
Evaluated at bid price : 20.59
Bid-YTW : 5.90 %
GWO.PR.T Insurance Straight 1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-24
Maturity Price : 21.47
Evaluated at bid price : 21.47
Bid-YTW : 6.07 %
MFC.PR.F FixedReset Ins Non 1.31 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-24
Maturity Price : 15.50
Evaluated at bid price : 15.50
Bid-YTW : 6.78 %
CU.PR.J Perpetual-Discount 3.47 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-24
Maturity Price : 20.30
Evaluated at bid price : 20.30
Bid-YTW : 5.95 %
Volume Highlights
Issue Index Shares
Traded		 Notes
BN.PR.K Floater 61,000 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-24
Maturity Price : 11.23
Evaluated at bid price : 11.23
Bid-YTW : 9.44 %
ENB.PF.E FixedReset Disc 27,865 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-24
Maturity Price : 17.93
Evaluated at bid price : 17.93
Bid-YTW : 7.82 %
PVS.PR.L SplitShare 20,100 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-06-30
Maturity Price : 25.00
Evaluated at bid price : 25.51
Bid-YTW : 5.18 %
BMO.PR.E FixedReset Prem 16,913 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2028-11-25
Maturity Price : 25.00
Evaluated at bid price : 26.64
Bid-YTW : 5.36 %
BN.PR.B Floater 15,392 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-24
Maturity Price : 11.28
Evaluated at bid price : 11.28
Bid-YTW : 9.40 %
TD.PF.C FixedReset Disc 13,885 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-24
Maturity Price : 22.06
Evaluated at bid price : 22.66
Bid-YTW : 5.75 %
There were 5 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
NA.PR.W FixedReset Disc Quote: 22.55 – 23.38
Spot Rate : 0.8300
Average : 0.5072

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-24
Maturity Price : 21.99
Evaluated at bid price : 22.55
Bid-YTW : 5.77 %
CU.PR.F Perpetual-Discount Quote: 18.70 – 19.50
Spot Rate : 0.8000
Average : 0.6593

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-24
Maturity Price : 18.70
Evaluated at bid price : 18.70
Bid-YTW : 6.13 %
GWO.PR.I Insurance Straight Quote: 19.25 – 19.74
Spot Rate : 0.4900
Average : 0.3501

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-24
Maturity Price : 19.25
Evaluated at bid price : 19.25
Bid-YTW : 5.91 %
BN.PR.N Perpetual-Discount Quote: 19.00 – 19.51
Spot Rate : 0.5100
Average : 0.3702

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-24
Maturity Price : 19.00
Evaluated at bid price : 19.00
Bid-YTW : 6.33 %
RY.PR.O Perpetual-Discount Quote: 24.06 – 24.42
Spot Rate : 0.3600
Average : 0.2280

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-24
Maturity Price : 23.75
Evaluated at bid price : 24.06
Bid-YTW : 5.08 %
PWF.PF.A Perpetual-Discount Quote: 19.04 – 19.50
Spot Rate : 0.4600
Average : 0.3401

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-24
Maturity Price : 19.04
Evaluated at bid price : 19.04
Bid-YTW : 5.94 %

Posted in Market Action | No Comments »

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