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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 | 3 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 %

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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 %

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October 23, 2024

Wednesday, October 23rd, 2024

PerpetualDiscounts now yield 6.06%, equivalent to 7.88% interest at the standard equivalency factor of 1.3x. Long corporates yielded 4.84% on 2024-10-18 and since then the closing price of ZLC has changed from 15.44 to 15.16, a total return of -1.81%, implying an increase of yields of 15bp (BMO reports a duration of 12.44, but don’t disclose whether this is Macaulay or Modified; I will assume Modified) to 4.99%. Therefore, the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) has narrowed to 290bp from the 300bp reported October 16.

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	-0.1912 %	2,147.0
FixedFloater	0.00 %	0.00 %	0	0.00	0	-0.1912 %	4,117.9
Floater	9.61 %	10.18 %	36,654	9.38	4	-0.1912 %	2,373.2
OpRet	0.00 %	0.00 %	0	0.00	0	-0.0250 %	3,603.2
SplitShare	4.79 %	5.42 %	44,632	1.29	8	-0.0250 %	4,303.0
Interest-Bearing	0.00 %	0.00 %	0	0.00	0	-0.0250 %	3,357.4
Perpetual-Premium	0.00 %	0.00 %	0	0.00	0	-0.4770 %	2,899.0
Perpetual-Discount	5.94 %	6.06 %	50,570	13.84	31	-0.4770 %	3,161.2
FixedReset Disc	5.51 %	6.90 %	120,779	12.62	58	-0.1297 %	2,667.9
Insurance Straight	5.80 %	5.93 %	63,217	14.00	20	-0.4174 %	3,118.4
FloatingReset	7.60 %	7.71 %	26,559	11.67	1	0.0888 %	2,852.9
FixedReset Prem	6.42 %	5.64 %	202,361	13.56	7	0.1723 %	2,578.3
FixedReset Bank Non	0.00 %	0.00 %	0	0.00	0	-0.1297 %	2,727.1
FixedReset Ins Non	5.23 %	6.17 %	89,761	13.63	14	-0.4109 %	2,807.7

Performance Highlights
Issue	Index	Change	Notes
MFC.PR.F	FixedReset Ins Non	-6.13 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-10-23 Maturity Price : 15.30 Evaluated at bid price : 15.30 Bid-YTW : 6.87 %
GWO.PR.T	Insurance Straight	-2.88 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-10-23 Maturity Price : 21.25 Evaluated at bid price : 21.25 Bid-YTW : 6.13 %
CU.PR.F	Perpetual-Discount	-2.86 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-10-23 Maturity Price : 18.70 Evaluated at bid price : 18.70 Bid-YTW : 6.12 %
BN.PR.M	Perpetual-Discount	-2.50 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-10-23 Maturity Price : 19.08 Evaluated at bid price : 19.08 Bid-YTW : 6.30 %
CU.PR.J	Perpetual-Discount	-2.44 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-10-23 Maturity Price : 19.62 Evaluated at bid price : 19.62 Bid-YTW : 6.16 %
BIP.PR.E	FixedReset Disc	-2.20 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-10-23 Maturity Price : 22.44 Evaluated at bid price : 23.08 Bid-YTW : 6.72 %
PWF.PR.L	Perpetual-Discount	-1.91 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-10-23 Maturity Price : 21.00 Evaluated at bid price : 21.00 Bid-YTW : 6.11 %
POW.PR.C	Perpetual-Discount	-1.84 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-10-23 Maturity Price : 23.69 Evaluated at bid price : 24.00 Bid-YTW : 6.08 %
GWO.PR.Q	Insurance Straight	-1.28 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-10-23 Maturity Price : 21.35 Evaluated at bid price : 21.62 Bid-YTW : 6.01 %
FFH.PR.K	FixedReset Disc	-1.12 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-10-23 Maturity Price : 21.59 Evaluated at bid price : 22.00 Bid-YTW : 7.16 %
CM.PR.P	FixedReset Disc	-1.12 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-10-23 Maturity Price : 22.96 Evaluated at bid price : 23.90 Bid-YTW : 5.43 %
PWF.PR.A	Floater	-1.05 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-10-23 Maturity Price : 13.16 Evaluated at bid price : 13.16 Bid-YTW : 8.82 %
GWO.PR.Y	Insurance Straight	-1.03 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-10-23 Maturity Price : 19.20 Evaluated at bid price : 19.20 Bid-YTW : 5.93 %
PWF.PR.Z	Perpetual-Discount	-1.03 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-10-23 Maturity Price : 21.20 Evaluated at bid price : 21.20 Bid-YTW : 6.11 %
BN.PF.J	FixedReset Disc	-1.03 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-10-23 Maturity Price : 22.51 Evaluated at bid price : 23.16 Bid-YTW : 6.66 %
BIP.PR.A	FixedReset Disc	1.48 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-10-23 Maturity Price : 21.21 Evaluated at bid price : 21.21 Bid-YTW : 7.65 %
TD.PF.E	FixedReset Disc	2.58 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-10-23 Maturity Price : 23.30 Evaluated at bid price : 23.85 Bid-YTW : 5.96 %

Volume Highlights
Issue	Index	Shares Traded	Notes
RY.PR.M	FixedReset Disc	74,200	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-10-23 Maturity Price : 23.66 Evaluated at bid price : 24.16 Bid-YTW : 5.66 %
ENB.PF.C	FixedReset Disc	46,100	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-10-23 Maturity Price : 18.32 Evaluated at bid price : 18.32 Bid-YTW : 7.75 %
NA.PR.C	FixedReset Prem	34,100	YTW SCENARIO Maturity Type : Call Maturity Date : 2027-11-15 Maturity Price : 25.00 Evaluated at bid price : 25.73 Bid-YTW : 5.87 %
ENB.PF.G	FixedReset Disc	30,300	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-10-23 Maturity Price : 17.78 Evaluated at bid price : 17.78 Bid-YTW : 7.83 %
BN.PF.H	FixedReset Disc	26,300	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-10-23 Maturity Price : 23.22 Evaluated at bid price : 23.72 Bid-YTW : 7.41 %
PWF.PR.P	FixedReset Disc	25,900	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-10-23 Maturity Price : 14.90 Evaluated at bid price : 14.90 Bid-YTW : 7.33 %
There were 12 other index-included issues trading in excess of 10,000 shares.

Wide Spread Highlights
Issue	Index	Quote Data and Yield Notes
BN.PF.I	FixedReset Disc	Quote: 22.37 – 23.60 Spot Rate : 1.2300 Average : 0.8642 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-10-23 Maturity Price : 22.08 Evaluated at bid price : 22.37 Bid-YTW : 7.43 %
CU.PR.E	Perpetual-Discount	Quote: 20.75 – 21.99 Spot Rate : 1.2400 Average : 0.8986 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-10-23 Maturity Price : 20.75 Evaluated at bid price : 20.75 Bid-YTW : 6.01 %
CU.PR.H	Perpetual-Discount	Quote: 22.50 – 23.34 Spot Rate : 0.8400 Average : 0.5256 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-10-23 Maturity Price : 22.22 Evaluated at bid price : 22.50 Bid-YTW : 5.92 %
PWF.PR.L	Perpetual-Discount	Quote: 21.00 – 21.74 Spot Rate : 0.7400 Average : 0.4614 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-10-23 Maturity Price : 21.00 Evaluated at bid price : 21.00 Bid-YTW : 6.11 %
MFC.PR.F	FixedReset Ins Non	Quote: 15.30 – 16.30 Spot Rate : 1.0000 Average : 0.7378 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-10-23 Maturity Price : 15.30 Evaluated at bid price : 15.30 Bid-YTW : 6.87 %
GWO.PR.T	Insurance Straight	Quote: 21.25 – 21.95 Spot Rate : 0.7000 Average : 0.4906 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-10-23 Maturity Price : 21.25 Evaluated at bid price : 21.25 Bid-YTW : 6.13 %

Posted in Market Action | 3 Comments »

October 22, 2024

Tuesday, October 22nd, 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	-0.0425 %	2,151.1
FixedFloater	0.00 %	0.00 %	0	0.00	0	-0.0425 %	4,125.8
Floater	9.59 %	10.22 %	36,884	9.36	4	-0.0425 %	2,377.7
OpRet	0.00 %	0.00 %	0	0.00	0	0.0751 %	3,604.1
SplitShare	4.79 %	5.38 %	44,181	1.29	8	0.0751 %	4,304.1
Interest-Bearing	0.00 %	0.00 %	0	0.00	0	0.0751 %	3,358.2
Perpetual-Premium	0.00 %	0.00 %	0	0.00	0	0.0803 %	2,912.9
Perpetual-Discount	5.91 %	6.01 %	51,088	13.89	31	0.0803 %	3,176.4
FixedReset Disc	5.50 %	6.88 %	121,990	12.68	58	0.4070 %	2,671.4
Insurance Straight	5.78 %	5.87 %	63,908	14.05	20	0.2161 %	3,131.5
FloatingReset	7.61 %	7.71 %	25,968	11.67	1	0.0444 %	2,850.4
FixedReset Prem	6.43 %	5.67 %	206,105	13.57	7	0.1447 %	2,573.9
FixedReset Bank Non	0.00 %	0.00 %	0	0.00	0	0.4070 %	2,730.7
FixedReset Ins Non	5.21 %	6.16 %	90,874	13.68	14	0.0788 %	2,819.3

Performance Highlights
Issue	Index	Change	Notes
BIP.PR.E	FixedReset Disc	1.07 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-10-22 Maturity Price : 22.72 Evaluated at bid price : 23.60 Bid-YTW : 6.55 %
ENB.PR.F	FixedReset Disc	1.30 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-10-22 Maturity Price : 18.66 Evaluated at bid price : 18.66 Bid-YTW : 7.54 %
TD.PF.E	FixedReset Disc	1.48 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-10-22 Maturity Price : 22.72 Evaluated at bid price : 23.25 Bid-YTW : 6.11 %
BN.PF.B	FixedReset Disc	1.79 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-10-22 Maturity Price : 21.07 Evaluated at bid price : 21.07 Bid-YTW : 6.95 %
FFH.PR.G	FixedReset Disc	2.00 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-10-22 Maturity Price : 17.85 Evaluated at bid price : 17.85 Bid-YTW : 7.59 %
ENB.PF.K	FixedReset Disc	2.12 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-10-22 Maturity Price : 22.46 Evaluated at bid price : 23.10 Bid-YTW : 6.78 %
CU.PR.J	Perpetual-Discount	2.60 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-10-22 Maturity Price : 20.11 Evaluated at bid price : 20.11 Bid-YTW : 6.01 %
BN.PR.N	Perpetual-Discount	2.89 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-10-22 Maturity Price : 19.55 Evaluated at bid price : 19.55 Bid-YTW : 6.15 %
ENB.PR.N	FixedReset Disc	4.29 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-10-22 Maturity Price : 21.61 Evaluated at bid price : 21.90 Bid-YTW : 6.90 %
CCS.PR.C	Insurance Straight	6.28 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-10-22 Maturity Price : 21.75 Evaluated at bid price : 22.00 Bid-YTW : 5.73 %

Volume Highlights
Issue	Index	Shares Traded	Notes
MFC.PR.B	Insurance Straight	53,994	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-10-22 Maturity Price : 20.25 Evaluated at bid price : 20.25 Bid-YTW : 5.82 %
MFC.PR.J	FixedReset Ins Non	44,226	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-10-22 Maturity Price : 22.97 Evaluated at bid price : 24.11 Bid-YTW : 5.96 %
RY.PR.M	FixedReset Disc	35,200	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-10-22 Maturity Price : 23.66 Evaluated at bid price : 24.16 Bid-YTW : 5.66 %
ENB.PF.E	FixedReset Disc	22,500	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-10-22 Maturity Price : 17.90 Evaluated at bid price : 17.90 Bid-YTW : 7.83 %
ENB.PF.A	FixedReset Disc	21,013	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-10-22 Maturity Price : 19.17 Evaluated at bid price : 19.17 Bid-YTW : 7.48 %
BIP.PR.E	FixedReset Disc	20,900	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-10-22 Maturity Price : 22.72 Evaluated at bid price : 23.60 Bid-YTW : 6.55 %
There were 6 other index-included issues trading in excess of 10,000 shares.

Wide Spread Highlights
Issue	Index	Quote Data and Yield Notes
PWF.PR.A	Floater	Quote: 13.30 – 15.69 Spot Rate : 2.3900 Average : 1.3108 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-10-22 Maturity Price : 13.30 Evaluated at bid price : 13.30 Bid-YTW : 8.73 %
BN.PR.M	Perpetual-Discount	Quote: 19.57 – 20.39 Spot Rate : 0.8200 Average : 0.5320 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-10-22 Maturity Price : 19.57 Evaluated at bid price : 19.57 Bid-YTW : 6.14 %
IFC.PR.A	FixedReset Ins Non	Quote: 18.30 – 19.50 Spot Rate : 1.2000 Average : 1.0086 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-10-22 Maturity Price : 18.30 Evaluated at bid price : 18.30 Bid-YTW : 6.56 %
MIC.PR.A	Perpetual-Discount	Quote: 21.00 – 21.95 Spot Rate : 0.9500 Average : 0.7922 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-10-22 Maturity Price : 21.00 Evaluated at bid price : 21.00 Bid-YTW : 6.51 %
TD.PF.A	FixedReset Disc	Quote: 22.80 – 23.34 Spot Rate : 0.5400 Average : 0.3918 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-10-22 Maturity Price : 22.16 Evaluated at bid price : 22.80 Bid-YTW : 5.73 %
GWO.PR.S	Insurance Straight	Quote: 22.26 – 22.74 Spot Rate : 0.4800 Average : 0.3466 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-10-22 Maturity Price : 22.03 Evaluated at bid price : 22.26 Bid-YTW : 5.95 %

Posted in Market Action | No Comments »

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