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September 25, 2024

Wednesday, September 25th, 2024

PerpetualDiscounts now yield 5.96%, equivalent to 7.75% interest at the standard equivalency factor of 1.3x. Long corporates yielded 4.77% on 2024-9-20 and since then the closing price of ZLC is unchanged at 15.51. Therefore, the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) has remained constant at the 300bp reported September 18.

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 -0.3932 % 2,174.2
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.3932 % 4,170.1
Floater 9.90 % 10.01 % 49,379 9.58 2 -0.3932 % 2,403.2
OpRet 0.00 % 0.00 % 0 0.00 0 0.3053 % 3,563.9
SplitShare 4.67 % 5.07 % 52,119 1.06 4 0.3053 % 4,256.0
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.3053 % 3,320.7
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 0.2767 % 2,933.8
Perpetual-Discount 5.87 % 5.96 % 54,201 13.92 31 0.2767 % 3,199.2
FixedReset Disc 5.51 % 6.57 % 115,655 12.86 58 -0.1321 % 2,652.1
Insurance Straight 5.74 % 5.80 % 64,377 14.25 20 0.4232 % 3,153.0
FloatingReset 8.38 % 8.47 % 32,874 10.94 2 -0.3397 % 2,734.8
FixedReset Prem 6.45 % 5.55 % 229,762 13.52 7 -0.0446 % 2,567.6
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 -0.1321 % 2,711.0
FixedReset Ins Non 5.19 % 5.95 % 99,021 14.01 14 0.1058 % 2,830.3
Performance Highlights
Issue Index Change Notes
PWF.PR.P FixedReset Disc -6.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-25
Maturity Price : 14.08
Evaluated at bid price : 14.08
Bid-YTW : 7.41 %
ENB.PF.G FixedReset Disc -3.93 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-25
Maturity Price : 17.10
Evaluated at bid price : 17.10
Bid-YTW : 7.78 %
FFH.PR.K FixedReset Disc -2.27 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-25
Maturity Price : 21.50
Evaluated at bid price : 21.50
Bid-YTW : 7.09 %
FFH.PR.C FixedReset Disc -1.91 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-25
Maturity Price : 21.53
Evaluated at bid price : 21.53
Bid-YTW : 6.89 %
CU.PR.D Perpetual-Discount -1.71 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-25
Maturity Price : 20.75
Evaluated at bid price : 20.75
Bid-YTW : 5.98 %
GWO.PR.Y Insurance Straight -1.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-25
Maturity Price : 19.53
Evaluated at bid price : 19.53
Bid-YTW : 5.80 %
ENB.PF.C FixedReset Disc -1.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-25
Maturity Price : 18.05
Evaluated at bid price : 18.05
Bid-YTW : 7.51 %
PVS.PR.K SplitShare 1.03 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2029-05-31
Maturity Price : 25.00
Evaluated at bid price : 24.45
Bid-YTW : 5.07 %
SLF.PR.D Insurance Straight 1.29 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-25
Maturity Price : 20.46
Evaluated at bid price : 20.46
Bid-YTW : 5.47 %
BN.PF.B FixedReset Disc 1.32 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-25
Maturity Price : 21.50
Evaluated at bid price : 21.50
Bid-YTW : 6.57 %
BN.PR.N Perpetual-Discount 1.45 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-25
Maturity Price : 19.60
Evaluated at bid price : 19.60
Bid-YTW : 6.10 %
MFC.PR.B Insurance Straight 1.50 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-25
Maturity Price : 20.30
Evaluated at bid price : 20.30
Bid-YTW : 5.77 %
CCS.PR.C Insurance Straight 1.60 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-25
Maturity Price : 21.32
Evaluated at bid price : 21.59
Bid-YTW : 5.81 %
PWF.PR.S Perpetual-Discount 1.60 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-25
Maturity Price : 20.90
Evaluated at bid price : 20.90
Bid-YTW : 5.84 %
GWO.PR.T Insurance Straight 1.88 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-25
Maturity Price : 21.65
Evaluated at bid price : 21.65
Bid-YTW : 5.99 %
RY.PR.M FixedReset Disc 1.95 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-25
Maturity Price : 23.00
Evaluated at bid price : 23.51
Bid-YTW : 5.56 %
BIP.PR.E FixedReset Disc 2.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-25
Maturity Price : 22.69
Evaluated at bid price : 23.55
Bid-YTW : 6.33 %
MFC.PR.F FixedReset Ins Non 2.38 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-25
Maturity Price : 16.38
Evaluated at bid price : 16.38
Bid-YTW : 6.09 %
TD.PF.D FixedReset Disc 3.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-25
Maturity Price : 23.09
Evaluated at bid price : 23.70
Bid-YTW : 5.76 %
SLF.PR.H FixedReset Ins Non 3.70 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-25
Maturity Price : 19.60
Evaluated at bid price : 19.60
Bid-YTW : 5.99 %
SLF.PR.C Insurance Straight 3.96 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-25
Maturity Price : 20.50
Evaluated at bid price : 20.50
Bid-YTW : 5.46 %
CU.PR.G Perpetual-Discount 6.94 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-25
Maturity Price : 19.25
Evaluated at bid price : 19.25
Bid-YTW : 5.91 %
Volume Highlights
Issue Index Shares
Traded		 Notes
TD.PF.J FixedReset Prem 122,004 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-25
Maturity Price : 23.28
Evaluated at bid price : 24.95
Bid-YTW : 5.54 %
GWO.PR.N FixedReset Ins Non 111,755 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-25
Maturity Price : 14.65
Evaluated at bid price : 14.65
Bid-YTW : 6.62 %
TD.PF.C FixedReset Disc 70,600 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-25
Maturity Price : 22.12
Evaluated at bid price : 22.75
Bid-YTW : 5.52 %
POW.PR.B Perpetual-Discount 58,800 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-25
Maturity Price : 22.08
Evaluated at bid price : 22.36
Bid-YTW : 5.99 %
SLF.PR.D Insurance Straight 51,930 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-25
Maturity Price : 20.46
Evaluated at bid price : 20.46
Bid-YTW : 5.47 %
NA.PR.G FixedReset Prem 51,814 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-25
Maturity Price : 23.49
Evaluated at bid price : 25.86
Bid-YTW : 5.70 %
There were 15 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
ENB.PF.C FixedReset Disc Quote: 18.05 – 18.90
Spot Rate : 0.8500
Average : 0.5041

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-25
Maturity Price : 18.05
Evaluated at bid price : 18.05
Bid-YTW : 7.51 %
PWF.PR.P FixedReset Disc Quote: 14.08 – 15.15
Spot Rate : 1.0700
Average : 0.7272

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-25
Maturity Price : 14.08
Evaluated at bid price : 14.08
Bid-YTW : 7.41 %
ENB.PF.G FixedReset Disc Quote: 17.10 – 18.02
Spot Rate : 0.9200
Average : 0.5949

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-25
Maturity Price : 17.10
Evaluated at bid price : 17.10
Bid-YTW : 7.78 %
BN.PF.A FixedReset Disc Quote: 23.35 – 24.25
Spot Rate : 0.9000
Average : 0.6499

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-25
Maturity Price : 22.54
Evaluated at bid price : 23.35
Bid-YTW : 6.37 %
PVS.PR.K SplitShare Quote: 24.45 – 25.00
Spot Rate : 0.5500
Average : 0.3857

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2029-05-31
Maturity Price : 25.00
Evaluated at bid price : 24.45
Bid-YTW : 5.07 %
FFH.PR.K FixedReset Disc Quote: 21.50 – 22.00
Spot Rate : 0.5000
Average : 0.3427

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-25
Maturity Price : 21.50
Evaluated at bid price : 21.50
Bid-YTW : 7.09 %

Posted in Market Action | 1 Comment »

September 24, 2024

Tuesday, September 24th, 2024

A day enlivened by the mostly unexpected extension of TD.PF.A, and the consequently horrible performance of both it and TD.PF.C.

HIMIPref™ Preferred Indices
These values reflect the December 2008 revision of the HIMIPref™ Indices
Values are provisional and are finalized monthly
Index Mean
Current
Yield
(at bid)		 Median
YTW		 Median
Average
Trading
Value		 Median
Mod Dur
(YTW)		 Issues Day’s Perf. Index Value
Ratchet 0.00 % 0.00 % 0 0.00 0 0.0875 % 2,182.8
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.0875 % 4,186.5
Floater 9.86 % 9.96 % 84,593 9.62 2 0.0875 % 2,412.7
OpRet 0.00 % 0.00 % 0 0.00 0 -0.0305 % 3,553.0
SplitShare 4.68 % 5.31 % 40,488 1.06 4 -0.0305 % 4,243.1
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.0305 % 3,310.6
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 0.0444 % 2,925.7
Perpetual-Discount 5.88 % 5.98 % 54,752 13.89 31 0.0444 % 3,190.3
FixedReset Disc 5.50 % 6.62 % 116,283 12.94 58 -0.1900 % 2,655.6
Insurance Straight 5.76 % 5.83 % 64,750 14.18 20 -0.0416 % 3,139.7
FloatingReset 8.35 % 8.42 % 31,995 11.00 2 -0.0522 % 2,744.1
FixedReset Prem 6.45 % 5.55 % 212,695 13.54 7 0.0780 % 2,568.7
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 -0.1900 % 2,714.6
FixedReset Ins Non 5.20 % 5.95 % 99,931 14.04 14 0.8539 % 2,827.3
Performance Highlights
Issue Index Change Notes
TD.PF.A FixedReset Disc -7.34 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-24
Maturity Price : 22.11
Evaluated at bid price : 22.72
Bid-YTW : 5.53 %
TD.PF.C FixedReset Disc -5.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-24
Maturity Price : 22.09
Evaluated at bid price : 22.70
Bid-YTW : 5.53 %
SLF.PR.C Insurance Straight -4.73 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-24
Maturity Price : 19.72
Evaluated at bid price : 19.72
Bid-YTW : 5.68 %
TD.PF.D FixedReset Disc -4.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-24
Maturity Price : 22.24
Evaluated at bid price : 23.00
Bid-YTW : 5.92 %
RY.PR.M FixedReset Disc -3.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-24
Maturity Price : 22.58
Evaluated at bid price : 23.06
Bid-YTW : 5.66 %
MFC.PR.B Insurance Straight -2.91 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-24
Maturity Price : 20.00
Evaluated at bid price : 20.00
Bid-YTW : 5.86 %
MFC.PR.M FixedReset Ins Non -2.35 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-24
Maturity Price : 21.20
Evaluated at bid price : 21.20
Bid-YTW : 6.06 %
MFC.PR.N FixedReset Ins Non -1.78 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-24
Maturity Price : 20.93
Evaluated at bid price : 20.93
Bid-YTW : 6.04 %
BN.PR.N Perpetual-Discount -1.63 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-24
Maturity Price : 19.32
Evaluated at bid price : 19.32
Bid-YTW : 6.19 %
FFH.PR.K FixedReset Disc -1.57 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-24
Maturity Price : 21.59
Evaluated at bid price : 22.00
Bid-YTW : 6.91 %
RY.PR.J FixedReset Disc -1.36 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-24
Maturity Price : 23.17
Evaluated at bid price : 23.85
Bid-YTW : 5.68 %
TD.PF.E FixedReset Disc -1.35 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-24
Maturity Price : 22.88
Evaluated at bid price : 23.40
Bid-YTW : 5.87 %
PWF.PR.S Perpetual-Discount -1.34 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-24
Maturity Price : 20.57
Evaluated at bid price : 20.57
Bid-YTW : 5.94 %
BMO.PR.W FixedReset Disc -1.30 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-24
Maturity Price : 23.22
Evaluated at bid price : 24.30
Bid-YTW : 5.10 %
CM.PR.P FixedReset Disc -1.28 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-24
Maturity Price : 23.03
Evaluated at bid price : 23.90
Bid-YTW : 5.23 %
RY.PR.O Perpetual-Discount -1.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-24
Maturity Price : 23.60
Evaluated at bid price : 23.89
Bid-YTW : 5.17 %
SLF.PR.D Insurance Straight -1.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-24
Maturity Price : 20.20
Evaluated at bid price : 20.20
Bid-YTW : 5.54 %
GWO.PR.S Insurance Straight 1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-24
Maturity Price : 22.12
Evaluated at bid price : 22.40
Bid-YTW : 5.88 %
BN.PF.B FixedReset Disc 1.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-24
Maturity Price : 21.22
Evaluated at bid price : 21.22
Bid-YTW : 6.66 %
ENB.PF.C FixedReset Disc 1.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-24
Maturity Price : 18.25
Evaluated at bid price : 18.25
Bid-YTW : 7.42 %
GWO.PR.Y Insurance Straight 1.28 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-24
Maturity Price : 19.75
Evaluated at bid price : 19.75
Bid-YTW : 5.73 %
TD.PF.I FixedReset Prem 1.49 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2027-10-31
Maturity Price : 25.00
Evaluated at bid price : 25.90
Bid-YTW : 5.40 %
BN.PR.Z FixedReset Disc 2.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-24
Maturity Price : 21.34
Evaluated at bid price : 21.65
Bid-YTW : 6.73 %
GWO.PR.Q Insurance Straight 2.18 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-24
Maturity Price : 21.78
Evaluated at bid price : 22.02
Bid-YTW : 5.87 %
PWF.PR.P FixedReset Disc 3.45 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-24
Maturity Price : 15.00
Evaluated at bid price : 15.00
Bid-YTW : 6.97 %
CCS.PR.C Insurance Straight 3.66 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-24
Maturity Price : 21.25
Evaluated at bid price : 21.25
Bid-YTW : 5.92 %
SLF.PR.H FixedReset Ins Non 5.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-24
Maturity Price : 18.90
Evaluated at bid price : 18.90
Bid-YTW : 6.21 %
BIP.PR.A FixedReset Disc 12.37 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-24
Maturity Price : 21.35
Evaluated at bid price : 21.35
Bid-YTW : 7.29 %
CU.PR.G Perpetual-Discount 12.50 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-24
Maturity Price : 18.00
Evaluated at bid price : 18.00
Bid-YTW : 6.33 %
IFC.PR.C FixedReset Ins Non 17.24 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-24
Maturity Price : 20.95
Evaluated at bid price : 20.95
Bid-YTW : 6.19 %
Volume Highlights
Issue Index Shares
Traded		 Notes
NA.PR.W FixedReset Disc 210,142 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-24
Maturity Price : 22.23
Evaluated at bid price : 22.95
Bid-YTW : 5.45 %
TD.PF.A FixedReset Disc 173,620 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-24
Maturity Price : 22.11
Evaluated at bid price : 22.72
Bid-YTW : 5.53 %
MFC.PR.B Insurance Straight 106,321 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-24
Maturity Price : 20.00
Evaluated at bid price : 20.00
Bid-YTW : 5.86 %
MFC.PR.M FixedReset Ins Non 83,000 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-24
Maturity Price : 21.20
Evaluated at bid price : 21.20
Bid-YTW : 6.06 %
NA.PR.E FixedReset Disc 65,515 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-24
Maturity Price : 23.25
Evaluated at bid price : 24.90
Bid-YTW : 5.46 %
RY.PR.M FixedReset Disc 53,455 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-24
Maturity Price : 22.58
Evaluated at bid price : 23.06
Bid-YTW : 5.66 %
There were 19 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
TD.PF.D FixedReset Disc Quote: 23.00 – 24.11
Spot Rate : 1.1100
Average : 0.6694

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-24
Maturity Price : 22.24
Evaluated at bid price : 23.00
Bid-YTW : 5.92 %
MFC.PR.B Insurance Straight Quote: 20.00 – 20.94
Spot Rate : 0.9400
Average : 0.5343

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-24
Maturity Price : 20.00
Evaluated at bid price : 20.00
Bid-YTW : 5.86 %
RY.PR.M FixedReset Disc Quote: 23.06 – 23.95
Spot Rate : 0.8900
Average : 0.5259

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-24
Maturity Price : 22.58
Evaluated at bid price : 23.06
Bid-YTW : 5.66 %
SLF.PR.C Insurance Straight Quote: 19.72 – 20.55
Spot Rate : 0.8300
Average : 0.4880

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-24
Maturity Price : 19.72
Evaluated at bid price : 19.72
Bid-YTW : 5.68 %
CU.PR.H Perpetual-Discount Quote: 22.56 – 23.34
Spot Rate : 0.7800
Average : 0.5007

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-24
Maturity Price : 22.29
Evaluated at bid price : 22.56
Bid-YTW : 5.87 %
MFC.PR.N FixedReset Ins Non Quote: 20.93 – 21.65
Spot Rate : 0.7200
Average : 0.4594

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-24
Maturity Price : 20.93
Evaluated at bid price : 20.93
Bid-YTW : 6.04 %

Posted in Market Action | No Comments »

September 23, 2024

Monday, September 23rd, 2024
HIMIPref™ Preferred Indices
These values reflect the December 2008 revision of the HIMIPref™ Indices
Values are provisional and are finalized monthly
Index Mean
Current
Yield
(at bid)		 Median
YTW		 Median
Average
Trading
Value		 Median
Mod Dur
(YTW)		 Issues Day’s Perf. Index Value
Ratchet 0.00 % 0.00 % 0 0.00 0 -0.0437 % 2,180.9
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.0437 % 4,182.9
Floater 9.87 % 9.96 % 85,401 9.62 2 -0.0437 % 2,410.6
OpRet 0.00 % 0.00 % 0 0.00 0 -0.5263 % 3,554.1
SplitShare 4.68 % 5.31 % 40,913 1.06 4 -0.5263 % 4,244.4
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.5263 % 3,311.6
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 -0.0326 % 2,924.4
Perpetual-Discount 5.89 % 6.01 % 54,751 13.85 31 -0.0326 % 3,188.9
FixedReset Disc 5.49 % 6.63 % 116,671 12.93 58 -0.0736 % 2,660.7
Insurance Straight 5.76 % 5.80 % 64,749 14.25 20 -0.4189 % 3,141.0
FloatingReset 8.34 % 8.42 % 32,425 11.00 2 0.2356 % 2,745.5
FixedReset Prem 6.45 % 5.64 % 211,862 13.80 7 -0.4052 % 2,566.7
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 -0.0736 % 2,719.7
FixedReset Ins Non 5.24 % 5.90 % 98,944 14.06 14 -1.6958 % 2,803.3
Performance Highlights
Issue Index Change Notes
IFC.PR.C FixedReset Ins Non -15.51 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-23
Maturity Price : 17.87
Evaluated at bid price : 17.87
Bid-YTW : 7.22 %
SLF.PR.H FixedReset Ins Non -8.63 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-23
Maturity Price : 18.00
Evaluated at bid price : 18.00
Bid-YTW : 6.51 %
CCS.PR.C Insurance Straight -4.65 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-23
Maturity Price : 20.50
Evaluated at bid price : 20.50
Bid-YTW : 6.14 %
CU.PR.F Perpetual-Discount -4.54 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-23
Maturity Price : 18.70
Evaluated at bid price : 18.70
Bid-YTW : 6.09 %
GWO.PR.T Insurance Straight -3.41 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-23
Maturity Price : 21.25
Evaluated at bid price : 21.25
Bid-YTW : 6.10 %
MFC.PR.F FixedReset Ins Non -3.32 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-23
Maturity Price : 16.00
Evaluated at bid price : 16.00
Bid-YTW : 6.22 %
PWF.PR.P FixedReset Disc -3.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-23
Maturity Price : 14.50
Evaluated at bid price : 14.50
Bid-YTW : 7.20 %
BN.PF.B FixedReset Disc -2.33 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-23
Maturity Price : 21.00
Evaluated at bid price : 21.00
Bid-YTW : 6.73 %
BN.PF.H FixedReset Disc -2.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-23
Maturity Price : 22.87
Evaluated at bid price : 23.35
Bid-YTW : 7.25 %
BN.PR.R FixedReset Disc -1.50 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-23
Maturity Price : 16.40
Evaluated at bid price : 16.40
Bid-YTW : 7.40 %
TD.PF.I FixedReset Prem -1.39 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-23
Maturity Price : 23.53
Evaluated at bid price : 25.52
Bid-YTW : 5.76 %
BIK.PR.A FixedReset Prem -1.35 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-23
Maturity Price : 23.36
Evaluated at bid price : 25.50
Bid-YTW : 6.77 %
FTS.PR.M FixedReset Disc -1.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-23
Maturity Price : 20.10
Evaluated at bid price : 20.10
Bid-YTW : 6.57 %
ENB.PF.K FixedReset Disc -1.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-23
Maturity Price : 22.40
Evaluated at bid price : 23.02
Bid-YTW : 6.57 %
NA.PR.C FixedReset Prem -1.03 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2027-11-15
Maturity Price : 25.00
Evaluated at bid price : 26.01
Bid-YTW : 5.91 %
PVS.PR.J SplitShare -1.02 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2028-02-29
Maturity Price : 25.00
Evaluated at bid price : 24.15
Bid-YTW : 5.60 %
PVS.PR.K SplitShare -1.02 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2029-05-31
Maturity Price : 25.00
Evaluated at bid price : 24.20
Bid-YTW : 5.31 %
ENB.PF.G FixedReset Disc 1.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-23
Maturity Price : 17.93
Evaluated at bid price : 17.93
Bid-YTW : 7.42 %
BN.PF.C Perpetual-Discount 1.52 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-23
Maturity Price : 20.00
Evaluated at bid price : 20.00
Bid-YTW : 6.10 %
BN.PR.T FixedReset Disc 4.76 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-23
Maturity Price : 16.51
Evaluated at bid price : 16.51
Bid-YTW : 7.39 %
BN.PF.E FixedReset Disc 5.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-23
Maturity Price : 17.95
Evaluated at bid price : 17.95
Bid-YTW : 7.35 %
Volume Highlights
Issue Index Shares
Traded		 Notes
NA.PR.W FixedReset Disc 186,000 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-23
Maturity Price : 22.32
Evaluated at bid price : 23.11
Bid-YTW : 5.41 %
NA.PR.C FixedReset Prem 54,500 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2027-11-15
Maturity Price : 25.00
Evaluated at bid price : 26.01
Bid-YTW : 5.91 %
BMO.PR.E FixedReset Prem 38,100 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-23
Maturity Price : 23.52
Evaluated at bid price : 25.97
Bid-YTW : 5.52 %
MFC.PR.Q FixedReset Ins Non 36,400 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-23
Maturity Price : 23.02
Evaluated at bid price : 24.32
Bid-YTW : 5.58 %
BMO.PR.W FixedReset Disc 31,000 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-23
Maturity Price : 23.60
Evaluated at bid price : 24.62
Bid-YTW : 5.04 %
MFC.PR.M FixedReset Ins Non 30,900 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-23
Maturity Price : 21.42
Evaluated at bid price : 21.71
Bid-YTW : 5.90 %
There were 10 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
IFC.PR.C FixedReset Ins Non Quote: 17.87 – 21.25
Spot Rate : 3.3800
Average : 2.1181

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-23
Maturity Price : 17.87
Evaluated at bid price : 17.87
Bid-YTW : 7.22 %
SLF.PR.H FixedReset Ins Non Quote: 18.00 – 20.75
Spot Rate : 2.7500
Average : 1.7931

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-23
Maturity Price : 18.00
Evaluated at bid price : 18.00
Bid-YTW : 6.51 %
CU.PR.F Perpetual-Discount Quote: 18.70 – 20.70
Spot Rate : 2.0000
Average : 1.1772

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-23
Maturity Price : 18.70
Evaluated at bid price : 18.70
Bid-YTW : 6.09 %
BN.PF.A FixedReset Disc Quote: 23.22 – 24.25
Spot Rate : 1.0300
Average : 0.6229

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-23
Maturity Price : 22.46
Evaluated at bid price : 23.22
Bid-YTW : 6.41 %
GWO.PR.T Insurance Straight Quote: 21.25 – 22.17
Spot Rate : 0.9200
Average : 0.5606

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-23
Maturity Price : 21.25
Evaluated at bid price : 21.25
Bid-YTW : 6.10 %
PWF.PR.S Perpetual-Discount Quote: 20.85 – 21.75
Spot Rate : 0.9000
Average : 0.5603

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-23
Maturity Price : 20.85
Evaluated at bid price : 20.85
Bid-YTW : 5.86 %

Posted in Market Action | No Comments »

September 20, 2024

Friday, September 20th, 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 -0.0873 % 2,181.8
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.0873 % 4,184.7
Floater 9.87 % 9.95 % 86,656 9.64 2 -0.0873 % 2,411.7
OpRet 0.00 % 0.00 % 0 0.00 0 0.1723 % 3,572.9
SplitShare 4.66 % 5.05 % 37,868 1.07 4 0.1723 % 4,266.8
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.1723 % 3,329.1
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 0.2001 % 2,925.3
Perpetual-Discount 5.88 % 6.00 % 55,574 13.84 31 0.2001 % 3,189.9
FixedReset Disc 5.49 % 6.56 % 115,301 12.96 58 -0.3124 % 2,662.6
Insurance Straight 5.74 % 5.77 % 65,418 14.29 20 0.0069 % 3,154.2
FloatingReset 8.35 % 8.44 % 33,492 10.99 2 -0.6760 % 2,739.1
FixedReset Prem 6.43 % 5.52 % 219,507 13.57 7 0.0111 % 2,577.2
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 -0.3124 % 2,721.7
FixedReset Ins Non 5.15 % 5.91 % 102,431 14.15 14 0.8397 % 2,851.7
Performance Highlights
Issue Index Change Notes
BN.PR.X FixedReset Disc -10.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-20
Maturity Price : 15.21
Evaluated at bid price : 15.21
Bid-YTW : 7.55 %
BN.PR.T FixedReset Disc -5.63 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-20
Maturity Price : 15.76
Evaluated at bid price : 15.76
Bid-YTW : 7.71 %
BN.PF.E FixedReset Disc -5.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-20
Maturity Price : 17.07
Evaluated at bid price : 17.07
Bid-YTW : 7.71 %
BN.PR.Z FixedReset Disc -2.97 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-20
Maturity Price : 21.20
Evaluated at bid price : 21.20
Bid-YTW : 6.88 %
BIP.PR.E FixedReset Disc -2.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-20
Maturity Price : 22.43
Evaluated at bid price : 23.08
Bid-YTW : 6.46 %
BN.PF.A FixedReset Disc -1.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-20
Maturity Price : 22.53
Evaluated at bid price : 23.34
Bid-YTW : 6.36 %
FFH.PR.D FloatingReset -1.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-20
Maturity Price : 21.65
Evaluated at bid price : 21.65
Bid-YTW : 8.44 %
RY.PR.N Perpetual-Discount -1.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-20
Maturity Price : 23.72
Evaluated at bid price : 24.00
Bid-YTW : 5.14 %
PWF.PR.R Perpetual-Discount 1.40 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-20
Maturity Price : 22.84
Evaluated at bid price : 23.12
Bid-YTW : 6.04 %
CU.PR.D Perpetual-Discount 2.68 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-20
Maturity Price : 21.05
Evaluated at bid price : 21.05
Bid-YTW : 5.88 %
MFC.PR.F FixedReset Ins Non 3.44 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-20
Maturity Price : 16.55
Evaluated at bid price : 16.55
Bid-YTW : 6.01 %
BN.PF.G FixedReset Disc 4.54 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-20
Maturity Price : 18.66
Evaluated at bid price : 18.66
Bid-YTW : 7.35 %
PWF.PR.P FixedReset Disc 6.18 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-20
Maturity Price : 14.95
Evaluated at bid price : 14.95
Bid-YTW : 6.97 %
SLF.PR.H FixedReset Ins Non 9.44 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-20
Maturity Price : 19.70
Evaluated at bid price : 19.70
Bid-YTW : 5.95 %
Volume Highlights
Issue Index Shares
Traded		 Notes
MFC.PR.I FixedReset Ins Non 125,800 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-20
Maturity Price : 23.20
Evaluated at bid price : 24.51
Bid-YTW : 5.77 %
ENB.PR.B FixedReset Disc 105,515 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-20
Maturity Price : 18.00
Evaluated at bid price : 18.00
Bid-YTW : 7.26 %
MFC.PR.L FixedReset Ins Non 81,300 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-20
Maturity Price : 22.39
Evaluated at bid price : 23.18
Bid-YTW : 5.56 %
MFC.PR.B Insurance Straight 57,569 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-20
Maturity Price : 20.57
Evaluated at bid price : 20.57
Bid-YTW : 5.69 %
MFC.PR.C Insurance Straight 48,297 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-20
Maturity Price : 20.15
Evaluated at bid price : 20.15
Bid-YTW : 5.62 %
SLF.PR.D Insurance Straight 41,500 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-20
Maturity Price : 20.47
Evaluated at bid price : 20.47
Bid-YTW : 5.46 %
There were 15 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 – 19.78
Spot Rate : 3.7800
Average : 2.9725

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-20
Maturity Price : 16.00
Evaluated at bid price : 16.00
Bid-YTW : 7.12 %
BN.PR.X FixedReset Disc Quote: 15.21 – 17.02
Spot Rate : 1.8100
Average : 1.3697

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-20
Maturity Price : 15.21
Evaluated at bid price : 15.21
Bid-YTW : 7.55 %
BN.PR.T FixedReset Disc Quote: 15.76 – 16.82
Spot Rate : 1.0600
Average : 0.6757

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-20
Maturity Price : 15.76
Evaluated at bid price : 15.76
Bid-YTW : 7.71 %
BN.PF.E FixedReset Disc Quote: 17.07 – 18.01
Spot Rate : 0.9400
Average : 0.6483

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-20
Maturity Price : 17.07
Evaluated at bid price : 17.07
Bid-YTW : 7.71 %
BN.PR.Z FixedReset Disc Quote: 21.20 – 22.03
Spot Rate : 0.8300
Average : 0.5642

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-20
Maturity Price : 21.20
Evaluated at bid price : 21.20
Bid-YTW : 6.88 %
BIP.PR.A FixedReset Disc Quote: 19.00 – 21.60
Spot Rate : 2.6000
Average : 2.3352

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-20
Maturity Price : 19.00
Evaluated at bid price : 19.00
Bid-YTW : 8.17 %

Posted in Market Action | 2 Comments »

September 19, 2024

Thursday, September 19th, 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 0.3506 % 2,183.7
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.3506 % 4,188.4
Floater 9.86 % 9.95 % 41,267 9.64 2 0.3506 % 2,413.8
OpRet 0.00 % 0.00 % 0 0.00 0 0.1015 % 3,566.8
SplitShare 4.66 % 5.20 % 37,596 1.08 4 0.1015 % 4,259.5
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.1015 % 3,323.4
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 -0.4942 % 2,919.5
Perpetual-Discount 5.90 % 6.01 % 56,272 13.84 31 -0.4942 % 3,183.6
FixedReset Disc 5.47 % 6.56 % 119,905 13.00 58 0.2502 % 2,671.0
Insurance Straight 5.74 % 5.75 % 68,025 14.29 20 0.1984 % 3,154.0
FloatingReset 8.29 % 8.34 % 33,734 11.09 2 0.0520 % 2,757.7
FixedReset Prem 6.43 % 5.51 % 220,020 13.57 7 0.1947 % 2,576.9
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 0.2502 % 2,730.3
FixedReset Ins Non 5.19 % 5.91 % 100,286 14.08 14 -0.0989 % 2,828.0
Performance Highlights
Issue Index Change Notes
CU.PR.G Perpetual-Discount -18.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-19
Maturity Price : 16.00
Evaluated at bid price : 16.00
Bid-YTW : 7.12 %
SLF.PR.H FixedReset Ins Non -8.35 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-19
Maturity Price : 18.00
Evaluated at bid price : 18.00
Bid-YTW : 6.49 %
PWF.PR.P FixedReset Disc -5.50 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-19
Maturity Price : 14.08
Evaluated at bid price : 14.08
Bid-YTW : 7.39 %
BN.PF.J FixedReset Disc -1.36 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-19
Maturity Price : 22.51
Evaluated at bid price : 23.18
Bid-YTW : 6.40 %
PWF.PR.R Perpetual-Discount -1.26 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-19
Maturity Price : 22.55
Evaluated at bid price : 22.80
Bid-YTW : 6.12 %
CU.PR.D Perpetual-Discount -1.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-19
Maturity Price : 20.50
Evaluated at bid price : 20.50
Bid-YTW : 6.04 %
FTS.PR.M FixedReset Disc 1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-19
Maturity Price : 20.37
Evaluated at bid price : 20.37
Bid-YTW : 6.46 %
GWO.PR.H Insurance Straight 1.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-19
Maturity Price : 20.99
Evaluated at bid price : 20.99
Bid-YTW : 5.81 %
BN.PR.N Perpetual-Discount 1.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-19
Maturity Price : 19.50
Evaluated at bid price : 19.50
Bid-YTW : 6.12 %
GWO.PR.S Insurance Straight 1.26 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-19
Maturity Price : 22.17
Evaluated at bid price : 22.45
Bid-YTW : 5.86 %
GWO.PR.Y Insurance Straight 1.29 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-19
Maturity Price : 19.65
Evaluated at bid price : 19.65
Bid-YTW : 5.75 %
GWO.PR.N FixedReset Ins Non 1.30 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-19
Maturity Price : 14.75
Evaluated at bid price : 14.75
Bid-YTW : 6.55 %
ENB.PF.E FixedReset Disc 1.36 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-19
Maturity Price : 17.85
Evaluated at bid price : 17.85
Bid-YTW : 7.48 %
BIK.PR.A FixedReset Prem 1.37 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2029-04-01
Maturity Price : 25.00
Evaluated at bid price : 25.85
Bid-YTW : 6.60 %
MFC.PR.I FixedReset Ins Non 1.40 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-19
Maturity Price : 23.23
Evaluated at bid price : 24.60
Bid-YTW : 5.74 %
MFC.PR.M FixedReset Ins Non 1.41 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-19
Maturity Price : 21.60
Evaluated at bid price : 21.60
Bid-YTW : 5.93 %
BIP.PR.E FixedReset Disc 1.82 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-19
Maturity Price : 22.69
Evaluated at bid price : 23.55
Bid-YTW : 6.32 %
MFC.PR.N FixedReset Ins Non 3.35 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-19
Maturity Price : 21.30
Evaluated at bid price : 21.30
Bid-YTW : 5.91 %
BN.PR.X FixedReset Disc 11.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-19
Maturity Price : 16.90
Evaluated at bid price : 16.90
Bid-YTW : 6.79 %
Volume Highlights
Issue Index Shares
Traded		 Notes
GWO.PR.N FixedReset Ins Non 88,455 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-19
Maturity Price : 14.75
Evaluated at bid price : 14.75
Bid-YTW : 6.55 %
TD.PF.I FixedReset Prem 85,871 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2027-10-31
Maturity Price : 25.00
Evaluated at bid price : 25.86
Bid-YTW : 5.43 %
ENB.PR.H FixedReset Disc 53,870 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-19
Maturity Price : 19.91
Evaluated at bid price : 19.91
Bid-YTW : 6.61 %
IFC.PR.A FixedReset Ins Non 53,840 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-19
Maturity Price : 19.10
Evaluated at bid price : 19.10
Bid-YTW : 5.98 %
NA.PR.W FixedReset Disc 52,700 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-19
Maturity Price : 22.26
Evaluated at bid price : 23.00
Bid-YTW : 5.42 %
FTS.PR.M FixedReset Disc 52,400 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-19
Maturity Price : 20.37
Evaluated at bid price : 20.37
Bid-YTW : 6.46 %
There were 14 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 – 19.60
Spot Rate : 3.6000
Average : 2.0872

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-19
Maturity Price : 16.00
Evaluated at bid price : 16.00
Bid-YTW : 7.12 %
SLF.PR.H FixedReset Ins Non Quote: 18.00 – 20.00
Spot Rate : 2.0000
Average : 1.2307

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-19
Maturity Price : 18.00
Evaluated at bid price : 18.00
Bid-YTW : 6.49 %
BIP.PR.A FixedReset Disc Quote: 19.00 – 21.50
Spot Rate : 2.5000
Average : 2.0449

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-19
Maturity Price : 19.00
Evaluated at bid price : 19.00
Bid-YTW : 8.17 %
PWF.PR.P FixedReset Disc Quote: 14.08 – 15.24
Spot Rate : 1.1600
Average : 0.7502

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-19
Maturity Price : 14.08
Evaluated at bid price : 14.08
Bid-YTW : 7.39 %
SLF.PR.D Insurance Straight Quote: 20.43 – 21.30
Spot Rate : 0.8700
Average : 0.5237

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-19
Maturity Price : 20.43
Evaluated at bid price : 20.43
Bid-YTW : 5.47 %
IFC.PR.F Insurance Straight Quote: 23.10 – 23.99
Spot Rate : 0.8900
Average : 0.5932

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-19
Maturity Price : 22.81
Evaluated at bid price : 23.10
Bid-YTW : 5.75 %

Posted in Market Action | No Comments »

September 18, 2024

Wednesday, September 18th, 2024

The long awaited FOMC rate cut announcement came out today:

Recent indicators suggest that economic activity has continued to expand at a solid pace. Job gains have slowed, and the unemployment rate has moved up but remains low. Inflation has made further progress toward the Committee’s 2 percent objective but remains somewhat elevated.

The Committee seeks to achieve maximum employment and inflation at the rate of 2 percent over the longer run. The Committee has gained greater confidence that inflation is moving sustainably toward 2 percent, and judges that the risks to achieving its employment and inflation goals are roughly in balance. The economic outlook is uncertain, and the Committee is attentive to the risks to both sides of its dual mandate.

In light of the progress on inflation and the balance of risks, the Committee decided to lower the target range for the federal funds rate by 1/2 percentage point to 4-3/4 to 5 percent. In considering additional adjustments to the target range for the federal funds rate, the Committee will carefully assess incoming data, the evolving outlook, and the balance of risks. The Committee will continue reducing its holdings of Treasury securities and agency debt and agency mortgage‑backed securities. The Committee is strongly committed to supporting maximum employment and returning inflation to its 2 percent objective.

In assessing the appropriate stance of monetary policy, the Committee will continue to monitor the implications of incoming information for the economic outlook. The Committee would be prepared to adjust the stance of monetary policy as appropriate if risks emerge that could impede the attainment of the Committee’s goals. The Committee’s assessments will take into account a wide range of information, including readings on labor market conditions, inflation pressures and inflation expectations, and financial and international developments.

Voting for the monetary policy action were Jerome H. Powell, Chair; John C. Williams, Vice Chair; Thomas I. Barkin; Michael S. Barr; Raphael W. Bostic; Lisa D. Cook; Mary C. Daly; Beth M. Hammack; Philip N. Jefferson; Adriana D. Kugler; and Christopher J. Waller. Voting against this action was Michelle W. Bowman, who preferred to lower the target range for the federal funds rate by 1/4 percentage point at this meeting.

Reporters at the New York Times commented:

Michelle Bowman, the one committee member who wanted a smaller cut, seemed concerned about a resurgence in inflation as recently as last month. “I still see some upside risks to inflation as supply conditions have now largely normalized and any further improvements to supply seem less likely to offset price pressures arising from increasing geopolitical tensions, additional fiscal stimulus, and increased demand for housing due to immigration,” she said in remarks to the Alaska Bankers Association.
…
The real problem when it comes to housing, Powell says, is the lack of supply — a long-term problem that is outside of the Fed’s control.
…
Federal Reserve officials agree that Wednesday’s rate cut is unlikely to be their last. They are much less united on how far or how quickly they will decide to lower rates moving forward.

The chart below, known as the “dot plot,” helps tell the story. Each dot represents one Fed official’s forecast for where interest rates will be at the end of each year.

In 2024, for example, nine of the central bank’s 19 officials expect rates to end the year at about 4.4 percent, half a point below where they stand after the jumbo rate cut on Wednesday. That suggests those officials expect to make more modest, quarter-size cuts in each of the two meetings they have scheduled for the rest of the year.

But seven policymakers expect just one more cut this year, and two officials expect none. At the other end of the spectrum, one official expects the Fed to cut rates by another three-quarters of a point this year, suggesting another supersize reduction in either November or December.

All 19 officials expect rates to be lower at the end of next year than they are now. But their estimates of how much lower vary widely, from about 2.9 percent (two full percentage points below where they are after Wednesday’s action) to 4.1 percent (just three-quarters of a point below where they are now). There is an even wider range of views in 2026 and 2027.

Eventually, most officials expect interest rates to settle between 2.5 percent and 3.5 percent. That’s higher than in the decade before the pandemic, when the Fed’s target interest rate never topped 2.5 percent — suggesting we may not soon return to the era of ultralow rates that prevailed after the Great Recession.


Fed Dot Plot, 2024-9-18

PerpetualDiscounts now yield 5.98%, equivalent to 7.77% interest at the standard equivalency factor of 1.3x. Long corporates yielded 4.77% on 2024-9-13 and since then the closing price of ZLC has changed from 15.55 to 15.51, a decrease of 26bp in price, implying an increase of yields of 2bp (BMO reports a duration of 12.46, but don’t disclose whether this is Macaulay or Modified; I will assume Modified) to 4.79%. Therefore, the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) has narrowed to 300bp from the 310bp reported September 11.

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 -0.1750 % 2,176.1
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.1750 % 4,173.7
Floater 9.89 % 9.96 % 81,044 9.63 2 -0.1750 % 2,405.3
OpRet 0.00 % 0.00 % 0 0.00 0 -0.0507 % 3,563.2
SplitShare 4.67 % 5.14 % 34,786 1.08 4 -0.0507 % 4,255.2
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.0507 % 3,320.0
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 0.1951 % 2,934.0
Perpetual-Discount 5.87 % 5.98 % 56,602 13.83 31 0.1951 % 3,199.4
FixedReset Disc 5.48 % 6.60 % 120,370 12.99 58 -0.3252 % 2,664.3
Insurance Straight 5.75 % 5.80 % 68,124 14.22 20 0.8350 % 3,147.7
FloatingReset 8.30 % 8.38 % 34,148 11.05 2 -0.6462 % 2,756.3
FixedReset Prem 6.44 % 5.53 % 222,622 13.58 7 -0.1555 % 2,571.9
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 -0.3252 % 2,723.4
FixedReset Ins Non 5.19 % 5.94 % 96,226 14.09 14 -0.3872 % 2,830.8
Performance Highlights
Issue Index Change Notes
BIP.PR.A FixedReset Disc -10.84 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-18
Maturity Price : 19.00
Evaluated at bid price : 19.00
Bid-YTW : 8.16 %
BN.PF.G FixedReset Disc -5.53 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-18
Maturity Price : 17.76
Evaluated at bid price : 17.76
Bid-YTW : 7.72 %
MFC.PR.F FixedReset Ins Non -2.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-18
Maturity Price : 16.00
Evaluated at bid price : 16.00
Bid-YTW : 6.20 %
BN.PF.C Perpetual-Discount -1.50 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-18
Maturity Price : 19.70
Evaluated at bid price : 19.70
Bid-YTW : 6.19 %
IFC.PR.C FixedReset Ins Non -1.18 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-18
Maturity Price : 21.00
Evaluated at bid price : 21.00
Bid-YTW : 6.16 %
FFH.PR.D FloatingReset -1.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-18
Maturity Price : 21.80
Evaluated at bid price : 21.80
Bid-YTW : 8.38 %
FFH.PR.G FixedReset Disc -1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-18
Maturity Price : 17.45
Evaluated at bid price : 17.45
Bid-YTW : 7.39 %
MFC.PR.N FixedReset Ins Non 1.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-18
Maturity Price : 20.61
Evaluated at bid price : 20.61
Bid-YTW : 6.11 %
CU.PR.D Perpetual-Discount 1.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-18
Maturity Price : 20.72
Evaluated at bid price : 20.72
Bid-YTW : 5.98 %
FFH.PR.K FixedReset Disc 1.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-18
Maturity Price : 21.97
Evaluated at bid price : 22.24
Bid-YTW : 6.82 %
POW.PR.G Perpetual-Discount 1.38 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-18
Maturity Price : 23.17
Evaluated at bid price : 23.47
Bid-YTW : 6.07 %
IFC.PR.E Insurance Straight 1.47 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-18
Maturity Price : 22.52
Evaluated at bid price : 22.80
Bid-YTW : 5.71 %
SLF.PR.C Insurance Straight 1.73 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-18
Maturity Price : 20.55
Evaluated at bid price : 20.55
Bid-YTW : 5.44 %
ENB.PF.E FixedReset Disc 2.56 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-18
Maturity Price : 17.61
Evaluated at bid price : 17.61
Bid-YTW : 7.58 %
GWO.PR.G Insurance Straight 9.84 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-18
Maturity Price : 22.10
Evaluated at bid price : 22.32
Bid-YTW : 5.84 %
Volume Highlights
Issue Index Shares
Traded		 Notes
POW.PR.D Perpetual-Discount 129,800 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-18
Maturity Price : 21.45
Evaluated at bid price : 21.45
Bid-YTW : 5.94 %
PWF.PR.K Perpetual-Discount 103,600 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-18
Maturity Price : 21.16
Evaluated at bid price : 21.16
Bid-YTW : 5.95 %
CM.PR.Q FixedReset Disc 68,700 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-18
Maturity Price : 23.49
Evaluated at bid price : 24.07
Bid-YTW : 5.65 %
BMO.PR.W FixedReset Disc 42,100 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-18
Maturity Price : 23.67
Evaluated at bid price : 24.65
Bid-YTW : 5.02 %
GWO.PR.Y Insurance Straight 39,177 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-18
Maturity Price : 19.40
Evaluated at bid price : 19.40
Bid-YTW : 5.83 %
MFC.PR.C Insurance Straight 30,900 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-18
Maturity Price : 20.25
Evaluated at bid price : 20.25
Bid-YTW : 5.59 %
There were 8 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
BIP.PR.A FixedReset Disc Quote: 19.00 – 21.49
Spot Rate : 2.4900
Average : 1.5459

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-18
Maturity Price : 19.00
Evaluated at bid price : 19.00
Bid-YTW : 8.16 %
BN.PF.G FixedReset Disc Quote: 17.76 – 18.76
Spot Rate : 1.0000
Average : 0.7086

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-18
Maturity Price : 17.76
Evaluated at bid price : 17.76
Bid-YTW : 7.72 %
BN.PR.X FixedReset Disc Quote: 15.21 – 16.90
Spot Rate : 1.6900
Average : 1.4209

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-18
Maturity Price : 15.21
Evaluated at bid price : 15.21
Bid-YTW : 7.55 %
PWF.PR.Z Perpetual-Discount Quote: 21.75 – 22.33
Spot Rate : 0.5800
Average : 0.3675

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-18
Maturity Price : 21.75
Evaluated at bid price : 21.75
Bid-YTW : 6.02 %
MFC.PR.I FixedReset Ins Non Quote: 24.26 – 24.85
Spot Rate : 0.5900
Average : 0.4132

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-18
Maturity Price : 23.09
Evaluated at bid price : 24.26
Bid-YTW : 5.84 %
IFC.PR.C FixedReset Ins Non Quote: 21.00 – 22.50
Spot Rate : 1.5000
Average : 1.3537

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-18
Maturity Price : 21.00
Evaluated at bid price : 21.00
Bid-YTW : 6.16 %

Posted in Market Action | 1 Comment »

September 17, 2024

Tuesday, September 17th, 2024

So, good news today on Canadian inflation:

The year-over-year inflation rate of 2 per cent in August is precisely in line with what the Bank of Canada wants to see. So why will no one be celebrating outside the downtown Ottawa offices of the central bank?

Reason One: Food inflation is still running a bit hot. Prices at grocery stores and restaurants came in at 2.7 per cent in August.

Reason Two: Shelter inflation hit 5.3 per cent last month, a reminder that mortgage interest remains a big contributor to overall increases in the cost of living. Mortgage rates have been falling steadily, though.
…
Now for some inflation positives: In the Statistics Canada report on the job market for August, hourly wages were up 5 per cent on a year-over-year basis after a 5.2-per-cent gain in July.

So, the markets reacted a bit:

The Canadian dollar fell to 73.42 cents US as the 830 am ET inflation report was released, from 73.63 prior. Canada’s two-year bond yield eased a little bit – by a couple basis points. That’s relatively stable, and may have also been influenced by a stronger-than-expected U.S. retail sales report released at the same time.

The swaps market, which captures market bets on future monetary policy moves, suggests roughly 50/50 odds on whether it will be a 25 or 50 basis point cut by the BoC on Oct. 23, according to LSEG data.

Regardless, almost 75 basis points of rate cuts are priced into the market by the end of this year. By December of next year, the overnight rate is seen by markets as reaching 2 per cent.


Swaps market pre-announcement


Swaps market post-announcement
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 0.8826 % 2,179.9
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.8826 % 4,181.0
Floater 9.88 % 9.94 % 81,815 9.65 2 0.8826 % 2,409.6
OpRet 0.00 % 0.00 % 0 0.00 0 0.4074 % 3,565.0
SplitShare 4.67 % 5.19 % 34,846 1.08 4 0.4074 % 4,257.3
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.4074 % 3,321.7
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 -0.1343 % 2,928.3
Perpetual-Discount 5.88 % 6.02 % 56,825 13.83 31 -0.1343 % 3,193.2
FixedReset Disc 5.46 % 6.57 % 116,082 13.01 58 -0.1895 % 2,673.0
Insurance Straight 5.80 % 5.80 % 66,351 14.22 20 -0.7686 % 3,121.7
FloatingReset 8.25 % 8.27 % 32,709 11.14 2 0.1035 % 2,774.2
FixedReset Prem 6.43 % 5.51 % 220,901 13.62 7 0.2841 % 2,575.9
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 -0.1895 % 2,732.3
FixedReset Ins Non 5.17 % 5.89 % 97,343 14.10 14 -0.0441 % 2,841.8
Performance Highlights
Issue Index Change Notes
BN.PR.X FixedReset Disc -10.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-17
Maturity Price : 15.21
Evaluated at bid price : 15.21
Bid-YTW : 7.55 %
GWO.PR.G Insurance Straight -8.88 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-17
Maturity Price : 20.32
Evaluated at bid price : 20.32
Bid-YTW : 6.43 %
MFC.PR.N FixedReset Ins Non -4.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-17
Maturity Price : 20.40
Evaluated at bid price : 20.40
Bid-YTW : 6.17 %
ENB.PF.E FixedReset Disc -2.99 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-17
Maturity Price : 17.17
Evaluated at bid price : 17.17
Bid-YTW : 7.77 %
SLF.PR.C Insurance Straight -2.88 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-17
Maturity Price : 20.20
Evaluated at bid price : 20.20
Bid-YTW : 5.53 %
CU.PR.D Perpetual-Discount -2.84 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-17
Maturity Price : 20.50
Evaluated at bid price : 20.50
Bid-YTW : 6.04 %
SLF.PR.D Insurance Straight -2.27 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-17
Maturity Price : 20.21
Evaluated at bid price : 20.21
Bid-YTW : 5.53 %
BIP.PR.E FixedReset Disc -1.79 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-17
Maturity Price : 22.43
Evaluated at bid price : 23.08
Bid-YTW : 6.46 %
POW.PR.G Perpetual-Discount -1.32 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-17
Maturity Price : 22.88
Evaluated at bid price : 23.15
Bid-YTW : 6.16 %
BN.PR.N Perpetual-Discount -1.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-17
Maturity Price : 19.28
Evaluated at bid price : 19.28
Bid-YTW : 6.19 %
BN.PF.C Perpetual-Discount 1.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-17
Maturity Price : 20.00
Evaluated at bid price : 20.00
Bid-YTW : 6.09 %
BN.PR.M Perpetual-Discount 1.29 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-17
Maturity Price : 19.70
Evaluated at bid price : 19.70
Bid-YTW : 6.06 %
BN.PR.K Floater 1.78 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-17
Maturity Price : 11.41
Evaluated at bid price : 11.41
Bid-YTW : 9.98 %
BN.PF.I FixedReset Disc 2.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-17
Maturity Price : 22.50
Evaluated at bid price : 23.00
Bid-YTW : 6.95 %
MFC.PR.F FixedReset Ins Non 2.19 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-17
Maturity Price : 16.35
Evaluated at bid price : 16.35
Bid-YTW : 6.07 %
Volume Highlights
Issue Index Shares
Traded		 Notes
MFC.PR.C Insurance Straight 132,600 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-17
Maturity Price : 20.21
Evaluated at bid price : 20.21
Bid-YTW : 5.60 %
MFC.PR.B Insurance Straight 126,475 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-17
Maturity Price : 20.62
Evaluated at bid price : 20.62
Bid-YTW : 5.68 %
CM.PR.Q FixedReset Disc 86,475 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-17
Maturity Price : 23.48
Evaluated at bid price : 24.06
Bid-YTW : 5.65 %
NA.PR.C FixedReset Prem 61,300 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2027-11-15
Maturity Price : 25.00
Evaluated at bid price : 26.30
Bid-YTW : 5.48 %
ENB.PR.P FixedReset Disc 42,600 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-17
Maturity Price : 19.80
Evaluated at bid price : 19.80
Bid-YTW : 6.97 %
BIP.PR.F FixedReset Disc 26,000 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-17
Maturity Price : 22.18
Evaluated at bid price : 22.76
Bid-YTW : 6.47 %
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.G Insurance Straight Quote: 20.32 – 22.35
Spot Rate : 2.0300
Average : 1.1552

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-17
Maturity Price : 20.32
Evaluated at bid price : 20.32
Bid-YTW : 6.43 %
BN.PR.X FixedReset Disc Quote: 15.21 – 17.00
Spot Rate : 1.7900
Average : 1.1258

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-17
Maturity Price : 15.21
Evaluated at bid price : 15.21
Bid-YTW : 7.55 %
CU.PR.G Perpetual-Discount Quote: 19.55 – 20.93
Spot Rate : 1.3800
Average : 0.7886

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-17
Maturity Price : 19.55
Evaluated at bid price : 19.55
Bid-YTW : 5.81 %
PVS.PR.I SplitShare Quote: 24.85 – 25.85
Spot Rate : 1.0000
Average : 0.5669

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-10-31
Maturity Price : 25.00
Evaluated at bid price : 24.85
Bid-YTW : 5.47 %
MFC.PR.N FixedReset Ins Non Quote: 20.40 – 21.28
Spot Rate : 0.8800
Average : 0.5342

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-17
Maturity Price : 20.40
Evaluated at bid price : 20.40
Bid-YTW : 6.17 %
CU.PR.D Perpetual-Discount Quote: 20.50 – 21.50
Spot Rate : 1.0000
Average : 0.6640

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-17
Maturity Price : 20.50
Evaluated at bid price : 20.50
Bid-YTW : 6.04 %

Posted in Market Action | No Comments »

September 16, 2024

Monday, September 16th, 2024
HIMIPref™ Preferred Indices
These values reflect the December 2008 revision of the HIMIPref™ Indices
Values are provisional and are finalized monthly
Index Mean
Current
Yield
(at bid)		 Median
YTW		 Median
Average
Trading
Value		 Median
Mod Dur
(YTW)		 Issues Day’s Perf. Index Value
Ratchet 0.00 % 0.00 % 0 0.00 0 -1.0912 % 2,160.8
FixedFloater 0.00 % 0.00 % 0 0.00 0 -1.0912 % 4,144.5
Floater 9.96 % 9.94 % 82,010 9.66 2 -1.0912 % 2,388.5
OpRet 0.00 % 0.00 % 0 0.00 0 0.0000 % 3,550.5
SplitShare 4.68 % 5.60 % 35,094 1.08 4 0.0000 % 4,240.0
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0000 % 3,308.3
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 0.3199 % 2,932.2
Perpetual-Discount 5.87 % 6.02 % 57,282 13.80 31 0.3199 % 3,197.5
FixedReset Disc 5.45 % 6.60 % 111,102 13.05 58 0.1344 % 2,678.1
Insurance Straight 5.75 % 5.80 % 65,372 14.22 20 0.3637 % 3,145.8
FloatingReset 8.25 % 8.25 % 32,696 11.17 2 -0.1550 % 2,771.3
FixedReset Prem 6.45 % 5.52 % 220,923 13.57 7 -0.0056 % 2,568.6
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 0.1344 % 2,737.5
FixedReset Ins Non 5.17 % 5.91 % 95,541 14.12 14 0.1054 % 2,843.0
Performance Highlights
Issue Index Change Notes
BN.PR.K Floater -2.18 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-16
Maturity Price : 11.21
Evaluated at bid price : 11.21
Bid-YTW : 10.16 %
ENB.PR.A Perpetual-Discount 1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-16
Maturity Price : 22.64
Evaluated at bid price : 22.89
Bid-YTW : 6.06 %
IFC.PR.F Insurance Straight 1.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-16
Maturity Price : 22.60
Evaluated at bid price : 22.89
Bid-YTW : 5.80 %
GWO.PR.G Insurance Straight 1.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-16
Maturity Price : 22.07
Evaluated at bid price : 22.30
Bid-YTW : 5.84 %
BN.PR.N Perpetual-Discount 1.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-16
Maturity Price : 19.50
Evaluated at bid price : 19.50
Bid-YTW : 6.12 %
IFC.PR.C FixedReset Ins Non 1.19 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-16
Maturity Price : 21.25
Evaluated at bid price : 21.25
Bid-YTW : 6.08 %
BN.PR.X FixedReset Disc 1.26 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-16
Maturity Price : 16.90
Evaluated at bid price : 16.90
Bid-YTW : 6.78 %
BN.PR.R FixedReset Disc 1.28 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-16
Maturity Price : 16.66
Evaluated at bid price : 16.66
Bid-YTW : 7.26 %
BN.PR.M Perpetual-Discount 1.30 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-16
Maturity Price : 19.45
Evaluated at bid price : 19.45
Bid-YTW : 6.14 %
BN.PF.D Perpetual-Discount 1.32 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-16
Maturity Price : 20.03
Evaluated at bid price : 20.03
Bid-YTW : 6.15 %
GWO.PR.Q Insurance Straight 1.40 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-16
Maturity Price : 21.49
Evaluated at bid price : 21.75
Bid-YTW : 5.93 %
BN.PF.H FixedReset Disc 1.61 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-16
Maturity Price : 23.54
Evaluated at bid price : 24.00
Bid-YTW : 7.04 %
PWF.PR.S Perpetual-Discount 1.72 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-16
Maturity Price : 20.65
Evaluated at bid price : 20.65
Bid-YTW : 5.91 %
BIP.PR.E FixedReset Disc 1.82 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-16
Maturity Price : 22.66
Evaluated at bid price : 23.50
Bid-YTW : 6.33 %
BN.PF.I FixedReset Disc 2.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-16
Maturity Price : 22.18
Evaluated at bid price : 22.52
Bid-YTW : 7.11 %
CU.PR.D Perpetual-Discount 2.93 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-16
Maturity Price : 21.10
Evaluated at bid price : 21.10
Bid-YTW : 5.87 %
Volume Highlights
Issue Index Shares
Traded		 Notes
MFC.PR.B Insurance Straight 312,000 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-16
Maturity Price : 20.63
Evaluated at bid price : 20.63
Bid-YTW : 5.67 %
TD.PF.C FixedReset Disc 67,900 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-16
Maturity Price : 23.14
Evaluated at bid price : 24.00
Bid-YTW : 5.20 %
ENB.PR.N FixedReset Disc 33,600 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-16
Maturity Price : 21.70
Evaluated at bid price : 22.03
Bid-YTW : 6.60 %
RY.PR.S FixedReset Prem 23,300 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-16
Maturity Price : 23.27
Evaluated at bid price : 25.20
Bid-YTW : 5.23 %
NA.PR.C FixedReset Prem 15,800 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2027-11-15
Maturity Price : 25.00
Evaluated at bid price : 26.27
Bid-YTW : 5.52 %
CU.PR.C FixedReset Disc 15,700 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-16
Maturity Price : 20.30
Evaluated at bid price : 20.30
Bid-YTW : 6.42 %
There were 5 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: 20.65 – 21.75
Spot Rate : 1.1000
Average : 0.6685

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-16
Maturity Price : 20.65
Evaluated at bid price : 20.65
Bid-YTW : 5.91 %
CU.PR.E Perpetual-Discount Quote: 21.12 – 22.05
Spot Rate : 0.9300
Average : 0.5791

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-16
Maturity Price : 21.12
Evaluated at bid price : 21.12
Bid-YTW : 5.86 %
BIK.PR.A FixedReset Prem Quote: 25.40 – 25.99
Spot Rate : 0.5900
Average : 0.3819

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-16
Maturity Price : 23.32
Evaluated at bid price : 25.40
Bid-YTW : 6.78 %
ENB.PR.J FixedReset Disc Quote: 20.10 – 20.94
Spot Rate : 0.8400
Average : 0.6577

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-16
Maturity Price : 20.10
Evaluated at bid price : 20.10
Bid-YTW : 6.95 %
PVS.PR.J SplitShare Quote: 24.17 – 24.60
Spot Rate : 0.4300
Average : 0.2839

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2028-02-29
Maturity Price : 25.00
Evaluated at bid price : 24.17
Bid-YTW : 5.54 %
MIC.PR.A Perpetual-Discount Quote: 21.15 – 21.95
Spot Rate : 0.8000
Average : 0.6792

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-16
Maturity Price : 21.15
Evaluated at bid price : 21.15
Bid-YTW : 6.42 %

Posted in Market Action | No Comments »

September 13, 2024

Friday, September 13th, 2024
HIMIPref™ Preferred Indices
These values reflect the December 2008 revision of the HIMIPref™ Indices
Values are provisional and are finalized monthly
Index Mean
Current
Yield
(at bid)		 Median
YTW		 Median
Average
Trading
Value		 Median
Mod Dur
(YTW)		 Issues Day’s Perf. Index Value
Ratchet 0.00 % 0.00 % 0 0.00 0 -1.6738 % 2,184.7
FixedFloater 0.00 % 0.00 % 0 0.00 0 -1.6738 % 4,190.2
Floater 9.85 % 9.92 % 40,399 9.68 2 -1.6738 % 2,414.8
OpRet 0.00 % 0.00 % 0 0.00 0 -0.0305 % 3,550.5
SplitShare 4.68 % 5.60 % 33,375 1.09 4 -0.0305 % 4,240.0
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.0305 % 3,308.3
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 -0.1538 % 2,922.9
Perpetual-Discount 5.89 % 6.01 % 57,634 13.84 31 -0.1538 % 3,187.3
FixedReset Disc 5.46 % 6.54 % 110,705 13.02 58 0.1795 % 2,674.5
Insurance Straight 5.77 % 5.84 % 66,113 14.21 20 -0.2703 % 3,134.4
FloatingReset 8.24 % 8.18 % 32,147 11.24 2 -0.3604 % 2,775.6
FixedReset Prem 6.45 % 5.52 % 217,035 13.60 7 0.0390 % 2,568.7
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 0.1795 % 2,733.8
FixedReset Ins Non 5.17 % 5.89 % 96,553 14.11 14 -0.0781 % 2,840.0
Performance Highlights
Issue Index Change Notes
CU.PR.D Perpetual-Discount -2.61 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-13
Maturity Price : 20.50
Evaluated at bid price : 20.50
Bid-YTW : 6.03 %
GWO.PR.Q Insurance Straight -1.83 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-13
Maturity Price : 21.45
Evaluated at bid price : 21.45
Bid-YTW : 6.03 %
GWO.PR.G Insurance Straight -1.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-13
Maturity Price : 21.81
Evaluated at bid price : 22.05
Bid-YTW : 5.91 %
ENB.PR.A Perpetual-Discount -1.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-13
Maturity Price : 22.40
Evaluated at bid price : 22.66
Bid-YTW : 6.12 %
BN.PR.M Perpetual-Discount -1.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-13
Maturity Price : 19.20
Evaluated at bid price : 19.20
Bid-YTW : 6.21 %
BN.PR.K Floater 1.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-13
Maturity Price : 11.46
Evaluated at bid price : 11.46
Bid-YTW : 9.92 %
FFH.PR.I FixedReset Disc 1.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-13
Maturity Price : 18.72
Evaluated at bid price : 18.72
Bid-YTW : 7.22 %
IFC.PR.I Insurance Straight 1.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-13
Maturity Price : 23.04
Evaluated at bid price : 23.50
Bid-YTW : 5.74 %
BN.PF.J FixedReset Disc 1.27 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-13
Maturity Price : 22.70
Evaluated at bid price : 23.52
Bid-YTW : 6.29 %
FFH.PR.C FixedReset Disc 1.28 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-13
Maturity Price : 21.79
Evaluated at bid price : 22.24
Bid-YTW : 6.62 %
PWF.PR.K Perpetual-Discount 1.44 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-13
Maturity Price : 21.10
Evaluated at bid price : 21.10
Bid-YTW : 5.96 %
IFC.PR.A FixedReset Ins Non 1.62 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-13
Maturity Price : 19.26
Evaluated at bid price : 19.26
Bid-YTW : 5.93 %
FFH.PR.D FloatingReset 2.31 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-13
Maturity Price : 22.00
Evaluated at bid price : 22.26
Bid-YTW : 8.18 %
BN.PF.B FixedReset Disc 6.40 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-13
Maturity Price : 21.35
Evaluated at bid price : 21.64
Bid-YTW : 6.49 %
ENB.PF.G FixedReset Disc 8.27 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-13
Maturity Price : 17.68
Evaluated at bid price : 17.68
Bid-YTW : 7.49 %
BN.PF.G FixedReset Disc 20.27 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-13
Maturity Price : 18.80
Evaluated at bid price : 18.80
Bid-YTW : 7.29 %
Volume Highlights
Issue Index Shares
Traded		 Notes
POW.PR.D Perpetual-Discount 133,040 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-13
Maturity Price : 21.25
Evaluated at bid price : 21.25
Bid-YTW : 6.00 %
TD.PF.C FixedReset Disc 101,000 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-13
Maturity Price : 23.16
Evaluated at bid price : 24.01
Bid-YTW : 5.19 %
BMO.PR.E FixedReset Prem 99,400 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-13
Maturity Price : 23.49
Evaluated at bid price : 25.85
Bid-YTW : 5.53 %
NA.PR.W FixedReset Disc 93,025 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-13
Maturity Price : 22.26
Evaluated at bid price : 23.01
Bid-YTW : 5.41 %
RY.PR.S FixedReset Prem 62,766 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-13
Maturity Price : 23.30
Evaluated at bid price : 25.30
Bid-YTW : 5.21 %
GWO.PR.M Insurance Straight 57,317 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-13
Maturity Price : 23.91
Evaluated at bid price : 24.15
Bid-YTW : 6.02 %
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: 21.00 – 22.50
Spot Rate : 1.5000
Average : 1.0005

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-13
Maturity Price : 21.00
Evaluated at bid price : 21.00
Bid-YTW : 6.15 %
GWO.PR.H Insurance Straight Quote: 20.66 – 21.99
Spot Rate : 1.3300
Average : 0.9295

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-13
Maturity Price : 20.66
Evaluated at bid price : 20.66
Bid-YTW : 5.89 %
BN.PF.D Perpetual-Discount Quote: 19.77 – 20.69
Spot Rate : 0.9200
Average : 0.5769

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-13
Maturity Price : 19.77
Evaluated at bid price : 19.77
Bid-YTW : 6.22 %
ENB.PR.J FixedReset Disc Quote: 20.20 – 21.00
Spot Rate : 0.8000
Average : 0.4578

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-13
Maturity Price : 20.20
Evaluated at bid price : 20.20
Bid-YTW : 6.91 %
CCS.PR.C Insurance Straight Quote: 21.50 – 22.75
Spot Rate : 1.2500
Average : 0.9427

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-13
Maturity Price : 21.50
Evaluated at bid price : 21.50
Bid-YTW : 5.84 %
IFC.PR.F Insurance Straight Quote: 22.64 – 23.49
Spot Rate : 0.8500
Average : 0.6139

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-13
Maturity Price : 22.35
Evaluated at bid price : 22.64
Bid-YTW : 5.86 %

Posted in Market Action | No Comments »

September 12, 2024

Thursday, September 12th, 2024
HIMIPref™ Preferred Indices
These values reflect the December 2008 revision of the HIMIPref™ Indices
Values are provisional and are finalized monthly
Index Mean
Current
Yield
(at bid)		 Median
YTW		 Median
Average
Trading
Value		 Median
Mod Dur
(YTW)		 Issues Day’s Perf. Index Value
Ratchet 0.00 % 0.00 % 0 0.00 0 0.1720 % 2,221.9
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.1720 % 4,261.5
Floater 9.69 % 10.01 % 81,690 9.41 2 0.1720 % 2,455.9
OpRet 0.00 % 0.00 % 0 0.00 0 0.3987 % 3,551.6
SplitShare 4.68 % 5.55 % 37,463 1.09 4 0.3987 % 4,241.3
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.3987 % 3,309.3
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 0.3651 % 2,927.4
Perpetual-Discount 5.88 % 6.05 % 57,786 13.79 31 0.3651 % 3,192.2
FixedReset Disc 5.47 % 6.63 % 111,847 12.92 58 0.2323 % 2,669.7
Insurance Straight 5.76 % 5.84 % 65,372 14.18 20 0.4968 % 3,142.9
FloatingReset 8.25 % 8.41 % 31,049 10.83 2 0.2581 % 2,785.7
FixedReset Prem 6.45 % 5.54 % 204,260 13.56 7 0.0725 % 2,567.7
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 0.2323 % 2,728.9
FixedReset Ins Non 5.17 % 5.94 % 97,514 14.03 14 0.5532 % 2,842.2
Performance Highlights
Issue Index Change Notes
BN.PF.B FixedReset Disc -5.95 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-12
Maturity Price : 20.70
Evaluated at bid price : 20.70
Bid-YTW : 7.00 %
BN.PF.I FixedReset Disc -3.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-12
Maturity Price : 22.09
Evaluated at bid price : 22.40
Bid-YTW : 7.31 %
FTS.PR.J Perpetual-Discount -1.36 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-12
Maturity Price : 20.96
Evaluated at bid price : 20.96
Bid-YTW : 5.72 %
SLF.PR.C Insurance Straight 1.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-12
Maturity Price : 20.62
Evaluated at bid price : 20.62
Bid-YTW : 5.41 %
SLF.PR.E Insurance Straight 1.21 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-12
Maturity Price : 20.85
Evaluated at bid price : 20.85
Bid-YTW : 5.41 %
POW.PR.A Perpetual-Discount 1.28 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-12
Maturity Price : 23.36
Evaluated at bid price : 23.65
Bid-YTW : 6.02 %
PVS.PR.K SplitShare 1.42 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2029-05-31
Maturity Price : 25.00
Evaluated at bid price : 24.35
Bid-YTW : 5.12 %
PWF.PR.L Perpetual-Discount 1.71 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-12
Maturity Price : 21.36
Evaluated at bid price : 21.36
Bid-YTW : 6.06 %
BN.PR.X FixedReset Disc 3.80 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-12
Maturity Price : 16.92
Evaluated at bid price : 16.92
Bid-YTW : 6.97 %
PWF.PR.R Perpetual-Discount 5.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-12
Maturity Price : 22.67
Evaluated at bid price : 22.91
Bid-YTW : 6.08 %
MFC.PR.B Insurance Straight 6.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-12
Maturity Price : 20.57
Evaluated at bid price : 20.57
Bid-YTW : 5.68 %
BN.PF.E FixedReset Disc 6.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-12
Maturity Price : 18.35
Evaluated at bid price : 18.35
Bid-YTW : 7.33 %
SLF.PR.H FixedReset Ins Non 8.61 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-12
Maturity Price : 19.55
Evaluated at bid price : 19.55
Bid-YTW : 6.03 %
BIP.PR.A FixedReset Disc 12.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-12
Maturity Price : 21.30
Evaluated at bid price : 21.30
Bid-YTW : 7.34 %
Volume Highlights
Issue Index Shares
Traded		 Notes
NA.PR.W FixedReset Disc 98,600 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-12
Maturity Price : 22.23
Evaluated at bid price : 22.96
Bid-YTW : 5.48 %
PWF.PR.O Perpetual-Discount 46,500 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-12
Maturity Price : 23.73
Evaluated at bid price : 24.04
Bid-YTW : 6.11 %
TD.PF.D FixedReset Disc 34,500 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-12
Maturity Price : 23.38
Evaluated at bid price : 23.97
Bid-YTW : 5.72 %
IFC.PR.C FixedReset Ins Non 26,300 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-12
Maturity Price : 21.22
Evaluated at bid price : 21.22
Bid-YTW : 6.21 %
RY.PR.M FixedReset Disc 24,200 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-12
Maturity Price : 23.20
Evaluated at bid price : 23.70
Bid-YTW : 5.54 %
BN.PF.F FixedReset Disc 22,600 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-12
Maturity Price : 20.81
Evaluated at bid price : 20.81
Bid-YTW : 6.93 %
There were 11 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
BN.PF.B FixedReset Disc Quote: 20.70 – 22.22
Spot Rate : 1.5200
Average : 0.9019

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

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

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

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

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

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

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