Archive for July, 2021

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July 30, 2021

Friday, July 30th, 2021
HIMIPref™ Preferred Indices
These values reflect the December 2008 revision of the HIMIPref™ Indices
Values are provisional and are finalized monthly
Index Mean
Current
Yield
(at bid)		 Median
YTW		 Median
Average
Trading
Value		 Median
Mod Dur
(YTW)		 Issues Day’s Perf. Index Value
Ratchet 0.00 % 0.00 % 0 0.00 0 0.3783 % 2,686.8
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.3783 % 4,930.1
Floater 3.23 % 3.26 % 103,867 19.08 3 0.3783 % 2,841.3
OpRet 0.00 % 0.00 % 0 0.00 0 0.0000 % 3,698.0
SplitShare 4.62 % 3.90 % 31,394 3.30 6 0.0000 % 4,416.2
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0000 % 3,445.7
Perpetual-Premium 5.19 % -11.84 % 60,235 0.09 25 -0.0202 % 3,285.3
Perpetual-Discount 4.69 % 4.55 % 94,812 15.83 8 -0.0150 % 3,973.8
FixedReset Disc 3.99 % 3.42 % 134,761 18.33 40 -0.1967 % 2,810.0
Insurance Straight 4.90 % 1.90 % 73,694 0.09 22 -0.0517 % 3,715.7
FloatingReset 2.86 % 3.10 % 35,757 19.46 2 -0.3123 % 2,571.1
FixedReset Prem 4.81 % 2.93 % 148,128 1.59 32 -0.1042 % 2,758.2
FixedReset Bank Non 1.81 % 1.23 % 129,049 0.15 1 -0.4382 % 2,890.8
FixedReset Ins Non 4.05 % 3.30 % 118,705 18.26 20 0.0409 % 2,945.6
Performance Highlights
Issue Index Change Notes
TRP.PR.A FixedReset Disc -8.90 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-30
Maturity Price : 17.10
Evaluated at bid price : 17.10
Bid-YTW : 4.23 %
TD.PF.B FixedReset Disc -2.56 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-30
Maturity Price : 22.57
Evaluated at bid price : 23.23
Bid-YTW : 3.36 %
BAM.PF.G FixedReset Disc -1.39 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-30
Maturity Price : 22.12
Evaluated at bid price : 22.62
Bid-YTW : 3.94 %
IFC.PR.A FixedReset Ins Non -1.21 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-30
Maturity Price : 20.34
Evaluated at bid price : 20.34
Bid-YTW : 3.21 %
BMO.PR.Y FixedReset Disc 1.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-30
Maturity Price : 23.03
Evaluated at bid price : 24.44
Bid-YTW : 3.39 %
MFC.PR.F FixedReset Ins Non 1.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-30
Maturity Price : 17.78
Evaluated at bid price : 17.78
Bid-YTW : 3.18 %
BMO.PR.W FixedReset Disc 1.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-30
Maturity Price : 22.90
Evaluated at bid price : 23.94
Bid-YTW : 3.20 %
TRP.PR.E FixedReset Disc 1.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-30
Maturity Price : 21.04
Evaluated at bid price : 21.04
Bid-YTW : 3.88 %
BMO.PR.S FixedReset Disc 1.21 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-30
Maturity Price : 23.07
Evaluated at bid price : 24.15
Bid-YTW : 3.25 %
BMO.PR.F FixedReset Prem 1.34 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-05-25
Maturity Price : 25.00
Evaluated at bid price : 26.88
Bid-YTW : 2.21 %
Volume Highlights
Issue Index Shares
Traded		 Notes
RY.PR.R FixedReset Prem 33,384 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-09-23
Maturity Price : 25.00
Evaluated at bid price : 24.99
Bid-YTW : 3.29 %
PWF.PR.K Perpetual-Premium 31,700 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-08-29
Maturity Price : 25.00
Evaluated at bid price : 25.06
Bid-YTW : 1.87 %
PWF.PR.L Perpetual-Premium 31,000 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-08-29
Maturity Price : 25.00
Evaluated at bid price : 25.20
Bid-YTW : -4.72 %
BAM.PR.T FixedReset Disc 24,286 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-30
Maturity Price : 20.09
Evaluated at bid price : 20.09
Bid-YTW : 3.93 %
BMO.PR.Q FixedReset Bank Non 23,250 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-09-24
Maturity Price : 25.00
Evaluated at bid price : 24.99
Bid-YTW : 1.23 %
BAM.PR.Z FixedReset Disc 21,600 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-30
Maturity Price : 24.14
Evaluated at bid price : 24.50
Bid-YTW : 3.93 %
There were 12 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
TRP.PR.A FixedReset Disc Quote: 17.10 – 18.90
Spot Rate : 1.8000
Average : 0.9932

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-30
Maturity Price : 17.10
Evaluated at bid price : 17.10
Bid-YTW : 4.23 %
MIC.PR.A Perpetual-Premium Quote: 26.86 – 27.86
Spot Rate : 1.0000
Average : 0.6991

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2030-03-31
Maturity Price : 25.00
Evaluated at bid price : 26.86
Bid-YTW : 4.45 %
TD.PF.B FixedReset Disc Quote: 23.23 – 23.91
Spot Rate : 0.6800
Average : 0.4290

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-30
Maturity Price : 22.57
Evaluated at bid price : 23.23
Bid-YTW : 3.36 %
BAM.PF.G FixedReset Disc Quote: 22.62 – 23.49
Spot Rate : 0.8700
Average : 0.6509

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-30
Maturity Price : 22.12
Evaluated at bid price : 22.62
Bid-YTW : 3.94 %
CU.PR.F Perpetual-Discount Quote: 25.00 – 25.50
Spot Rate : 0.5000
Average : 0.3447

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-30
Maturity Price : 24.71
Evaluated at bid price : 25.00
Bid-YTW : 4.55 %
POW.PR.A Perpetual-Premium Quote: 25.60 – 26.00
Spot Rate : 0.4000
Average : 0.2499

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-08-29
Maturity Price : 25.00
Evaluated at bid price : 25.60
Bid-YTW : -19.49 %

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July 29, 2021

Thursday, July 29th, 2021
HIMIPref™ Preferred Indices
These values reflect the December 2008 revision of the HIMIPref™ Indices
Values are provisional and are finalized monthly
Index Mean
Current
Yield
(at bid)		 Median
YTW		 Median
Average
Trading
Value		 Median
Mod Dur
(YTW)		 Issues Day’s Perf. Index Value
Ratchet 0.00 % 0.00 % 0 0.00 0 0.0000 % 2,676.7
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.0000 % 4,911.6
Floater 3.24 % 3.27 % 103,802 19.05 3 0.0000 % 2,830.6
OpRet 0.00 % 0.00 % 0 0.00 0 0.0966 % 3,698.0
SplitShare 4.62 % 3.90 % 32,690 3.31 6 0.0966 % 4,416.2
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0966 % 3,445.7
Perpetual-Premium 5.19 % -13.87 % 58,162 0.09 25 0.0763 % 3,285.9
Perpetual-Discount 4.69 % 4.68 % 95,185 15.83 8 0.1449 % 3,974.4
FixedReset Disc 3.99 % 3.45 % 129,860 18.33 40 0.5859 % 2,815.5
Insurance Straight 4.90 % 1.05 % 73,754 0.09 22 0.0392 % 3,717.6
FloatingReset 2.85 % 3.08 % 35,600 19.53 2 0.9776 % 2,579.2
FixedReset Prem 4.80 % 2.86 % 149,737 1.59 32 0.2015 % 2,761.1
FixedReset Bank Non 1.80 % 1.51 % 119,823 0.16 1 0.0000 % 2,903.5
FixedReset Ins Non 4.05 % 3.34 % 115,952 18.20 20 0.4342 % 2,944.4
Performance Highlights
Issue Index Change Notes
TD.PF.B FixedReset Disc 1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-29
Maturity Price : 22.90
Evaluated at bid price : 23.84
Bid-YTW : 3.24 %
NA.PR.C FixedReset Prem 1.06 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-11-15
Maturity Price : 25.00
Evaluated at bid price : 25.77
Bid-YTW : 1.89 %
RY.PR.P Perpetual-Premium 1.27 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-08-28
Maturity Price : 26.00
Evaluated at bid price : 26.33
Bid-YTW : -14.16 %
BAM.PR.Z FixedReset Disc 1.28 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-29
Maturity Price : 24.09
Evaluated at bid price : 24.46
Bid-YTW : 3.93 %
BAM.PR.X FixedReset Disc 1.35 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-29
Maturity Price : 17.23
Evaluated at bid price : 17.23
Bid-YTW : 3.81 %
TD.PF.D FixedReset Disc 1.40 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-29
Maturity Price : 23.08
Evaluated at bid price : 24.55
Bid-YTW : 3.48 %
NA.PR.S FixedReset Disc 1.41 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-29
Maturity Price : 23.20
Evaluated at bid price : 24.44
Bid-YTW : 3.29 %
BAM.PF.G FixedReset Disc 1.46 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-29
Maturity Price : 22.31
Evaluated at bid price : 22.94
Bid-YTW : 3.87 %
MFC.PR.M FixedReset Ins Non 1.75 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-29
Maturity Price : 22.88
Evaluated at bid price : 23.90
Bid-YTW : 3.37 %
PWF.PR.P FixedReset Disc 1.96 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-29
Maturity Price : 16.62
Evaluated at bid price : 16.62
Bid-YTW : 3.49 %
BAM.PR.T FixedReset Disc 2.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-29
Maturity Price : 19.95
Evaluated at bid price : 19.95
Bid-YTW : 3.95 %
CU.PR.C FixedReset Disc 2.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-29
Maturity Price : 21.86
Evaluated at bid price : 22.37
Bid-YTW : 3.59 %
TRP.PR.F FloatingReset 2.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-29
Maturity Price : 17.01
Evaluated at bid price : 17.01
Bid-YTW : 3.08 %
SLF.PR.G FixedReset Ins Non 2.66 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-29
Maturity Price : 15.82
Evaluated at bid price : 15.82
Bid-YTW : 3.41 %
Volume Highlights
Issue Index Shares
Traded		 Notes
BAM.PR.R FixedReset Disc 101,500 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-29
Maturity Price : 19.52
Evaluated at bid price : 19.52
Bid-YTW : 4.05 %
BMO.PR.Q FixedReset Bank Non 74,200 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-09-24
Maturity Price : 25.00
Evaluated at bid price : 25.10
Bid-YTW : 1.51 %
TD.PF.H FixedReset Prem 53,700 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-10-31
Maturity Price : 25.00
Evaluated at bid price : 25.19
Bid-YTW : 1.78 %
MFC.PR.R FixedReset Ins Non 46,398 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-03-19
Maturity Price : 25.00
Evaluated at bid price : 25.73
Bid-YTW : 1.08 %
NA.PR.A FixedReset Prem 45,800 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-09-14
Maturity Price : 25.00
Evaluated at bid price : 24.99
Bid-YTW : 3.79 %
GWO.PR.H Insurance Straight 43,101 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-08-28
Maturity Price : 25.00
Evaluated at bid price : 25.15
Bid-YTW : 2.23 %
There were 15 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
TD.PF.I FixedReset Prem Quote: 25.55 – 25.90
Spot Rate : 0.3500
Average : 0.2318

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-10-31
Maturity Price : 25.00
Evaluated at bid price : 25.55
Bid-YTW : 2.70 %
BMO.PR.Y FixedReset Disc Quote: 24.37 – 24.80
Spot Rate : 0.4300
Average : 0.3217

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-29
Maturity Price : 23.01
Evaluated at bid price : 24.37
Bid-YTW : 3.45 %
BIP.PR.F FixedReset Prem Quote: 25.45 – 25.75
Spot Rate : 0.3000
Average : 0.2046

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2023-12-31
Maturity Price : 25.00
Evaluated at bid price : 25.45
Bid-YTW : 4.51 %
MFC.PR.N FixedReset Ins Non Quote: 23.48 – 23.80
Spot Rate : 0.3200
Average : 0.2305

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-29
Maturity Price : 22.64
Evaluated at bid price : 23.48
Bid-YTW : 3.37 %
PVS.PR.G SplitShare Quote: 26.06 – 26.33
Spot Rate : 0.2700
Average : 0.1835

YTW SCENARIO
Maturity Type : Option Certainty
Maturity Date : 2026-02-28
Maturity Price : 25.00
Evaluated at bid price : 26.06
Bid-YTW : 4.07 %
BMO.PR.T FixedReset Disc Quote: 23.68 – 23.97
Spot Rate : 0.2900
Average : 0.2108

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-29
Maturity Price : 22.81
Evaluated at bid price : 23.68
Bid-YTW : 3.27 %

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July 28, 2021

Thursday, July 29th, 2021

PerpetualDiscounts now yield 4.78%, equivalent to 6.21% interest at the standard equivalency factor of 1.3x. Long corporates now yield 3.05%, so the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) has remained constant at 315bp since reported July 21.

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 -0.4269 % 2,676.7
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.4269 % 4,911.6
Floater 3.24 % 3.28 % 107,974 19.03 3 -0.4269 % 2,830.6
OpRet 0.00 % 0.00 % 0 0.00 0 -0.0579 % 3,694.4
SplitShare 4.63 % 3.90 % 34,038 3.31 6 -0.0579 % 4,411.9
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.0579 % 3,442.4
Perpetual-Premium 5.19 % -11.37 % 57,322 0.09 25 -0.0451 % 3,283.4
Perpetual-Discount 4.70 % 4.78 % 96,146 15.78 8 -0.1945 % 3,968.6
FixedReset Disc 4.01 % 3.48 % 134,159 18.30 40 0.2362 % 2,799.1
Insurance Straight 4.90 % 1.78 % 74,375 0.09 22 -0.0802 % 3,716.1
FloatingReset 2.88 % 3.14 % 36,101 19.37 2 -0.4396 % 2,554.2
FixedReset Prem 4.81 % 3.03 % 151,053 1.59 32 0.0960 % 2,755.5
FixedReset Bank Non 1.80 % 1.49 % 110,943 0.16 1 0.0797 % 2,903.5
FixedReset Ins Non 4.07 % 3.38 % 120,463 18.21 20 0.2121 % 2,931.7
Performance Highlights
Issue Index Change Notes
RY.PR.P Perpetual-Premium -2.07 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-08-27
Maturity Price : 26.00
Evaluated at bid price : 26.00
Bid-YTW : 0.51 %
PWF.PR.P FixedReset Disc -1.21 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-28
Maturity Price : 16.30
Evaluated at bid price : 16.30
Bid-YTW : 3.56 %
TRP.PR.E FixedReset Disc 1.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-28
Maturity Price : 20.61
Evaluated at bid price : 20.61
Bid-YTW : 3.96 %
BAM.PR.R FixedReset Disc 1.30 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-28
Maturity Price : 19.43
Evaluated at bid price : 19.43
Bid-YTW : 4.07 %
BAM.PF.G FixedReset Disc 1.62 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-28
Maturity Price : 22.11
Evaluated at bid price : 22.61
Bid-YTW : 3.94 %
TRP.PR.C FixedReset Disc 4.72 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-28
Maturity Price : 15.10
Evaluated at bid price : 15.10
Bid-YTW : 3.75 %
Volume Highlights
Issue Index Shares
Traded		 Notes
RY.PR.H FixedReset Disc 150,738 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-28
Maturity Price : 22.92
Evaluated at bid price : 23.90
Bid-YTW : 3.21 %
PWF.PR.P FixedReset Disc 50,000 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-28
Maturity Price : 16.30
Evaluated at bid price : 16.30
Bid-YTW : 3.56 %
RY.PR.R FixedReset Prem 29,100 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-09-23
Maturity Price : 25.00
Evaluated at bid price : 24.98
Bid-YTW : 3.43 %
SLF.PR.G FixedReset Ins Non 25,758 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-28
Maturity Price : 15.41
Evaluated at bid price : 15.41
Bid-YTW : 3.50 %
NA.PR.S FixedReset Disc 20,975 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-28
Maturity Price : 23.05
Evaluated at bid price : 24.10
Bid-YTW : 3.35 %
TD.PF.K FixedReset Disc 15,965 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-28
Maturity Price : 23.59
Evaluated at bid price : 25.20
Bid-YTW : 3.40 %
There were 13 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
RY.PR.P Perpetual-Premium Quote: 26.00 – 26.75
Spot Rate : 0.7500
Average : 0.4837

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-08-27
Maturity Price : 26.00
Evaluated at bid price : 26.00
Bid-YTW : 0.51 %
BAM.PR.R FixedReset Disc Quote: 19.43 – 20.00
Spot Rate : 0.5700
Average : 0.3686

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-28
Maturity Price : 19.43
Evaluated at bid price : 19.43
Bid-YTW : 4.07 %
SLF.PR.G FixedReset Ins Non Quote: 15.41 – 15.86
Spot Rate : 0.4500
Average : 0.3213

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-28
Maturity Price : 15.41
Evaluated at bid price : 15.41
Bid-YTW : 3.50 %
MIC.PR.A Perpetual-Premium Quote: 26.90 – 27.55
Spot Rate : 0.6500
Average : 0.5218

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2029-03-31
Maturity Price : 25.25
Evaluated at bid price : 26.90
Bid-YTW : 4.43 %
MFC.PR.M FixedReset Ins Non Quote: 23.49 – 23.89
Spot Rate : 0.4000
Average : 0.2785

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-28
Maturity Price : 22.67
Evaluated at bid price : 23.49
Bid-YTW : 3.44 %
BAM.PF.I FixedReset Prem Quote: 25.27 – 25.60
Spot Rate : 0.3300
Average : 0.2211

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-03-31
Maturity Price : 25.00
Evaluated at bid price : 25.27
Bid-YTW : 3.76 %

Posted in Market Action | No Comments »

July 27, 2021

Thursday, July 29th, 2021
HIMIPref™ Preferred Indices
These values reflect the December 2008 revision of the HIMIPref™ Indices
Values are provisional and are finalized monthly
Index Mean
Current
Yield
(at bid)		 Median
YTW		 Median
Average
Trading
Value		 Median
Mod Dur
(YTW)		 Issues Day’s Perf. Index Value
Ratchet 0.00 % 0.00 % 0 0.00 0 1.1687 % 2,688.1
FixedFloater 0.00 % 0.00 % 0 0.00 0 1.1687 % 4,932.6
Floater 3.23 % 3.26 % 107,793 19.09 3 1.1687 % 2,842.7
OpRet 0.00 % 0.00 % 0 0.00 0 0.0451 % 3,696.6
SplitShare 4.62 % 3.82 % 35,443 3.31 6 0.0451 % 4,414.5
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0451 % 3,444.4
Perpetual-Premium 5.19 % -11.53 % 58,175 0.09 25 0.0592 % 3,284.9
Perpetual-Discount 4.69 % 4.54 % 96,297 15.86 8 0.4659 % 3,976.4
FixedReset Disc 4.02 % 3.48 % 131,949 18.32 40 0.5344 % 2,792.6
Insurance Straight 4.89 % 0.66 % 75,015 0.09 22 0.1964 % 3,719.1
FloatingReset 2.86 % 3.13 % 33,930 19.39 2 0.4415 % 2,565.5
FixedReset Prem 4.82 % 3.12 % 151,722 1.60 32 0.1701 % 2,752.9
FixedReset Bank Non 1.80 % 1.92 % 110,194 0.51 1 0.0000 % 2,901.2
FixedReset Ins Non 4.07 % 3.41 % 120,681 18.22 20 0.1800 % 2,925.5
Performance Highlights
Issue Index Change Notes
TRP.PR.C FixedReset Disc -2.90 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-27
Maturity Price : 14.42
Evaluated at bid price : 14.42
Bid-YTW : 3.92 %
GWO.PR.N FixedReset Ins Non -2.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-27
Maturity Price : 15.43
Evaluated at bid price : 15.43
Bid-YTW : 3.30 %
BAM.PR.B Floater -1.19 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-27
Maturity Price : 13.32
Evaluated at bid price : 13.32
Bid-YTW : 3.24 %
TD.PF.D FixedReset Disc 1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-27
Maturity Price : 22.98
Evaluated at bid price : 24.30
Bid-YTW : 3.53 %
CM.PR.Y FixedReset Prem 1.07 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-07-31
Maturity Price : 25.00
Evaluated at bid price : 26.40
Bid-YTW : 3.20 %
BAM.PF.A FixedReset Disc 1.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-27
Maturity Price : 23.24
Evaluated at bid price : 24.25
Bid-YTW : 3.93 %
IFC.PR.E Insurance Straight 1.20 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-06-30
Maturity Price : 25.25
Evaluated at bid price : 26.16
Bid-YTW : 4.28 %
BAM.PF.B FixedReset Disc 1.21 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-27
Maturity Price : 22.26
Evaluated at bid price : 22.67
Bid-YTW : 3.95 %
TRP.PR.D FixedReset Disc 1.31 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-27
Maturity Price : 20.83
Evaluated at bid price : 20.83
Bid-YTW : 3.95 %
BAM.PR.R FixedReset Disc 1.70 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-27
Maturity Price : 19.18
Evaluated at bid price : 19.18
Bid-YTW : 4.12 %
BAM.PR.X FixedReset Disc 1.73 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-27
Maturity Price : 17.04
Evaluated at bid price : 17.04
Bid-YTW : 3.86 %
RY.PR.M FixedReset Disc 1.91 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-27
Maturity Price : 22.83
Evaluated at bid price : 24.00
Bid-YTW : 3.38 %
BIP.PR.A FixedReset Disc 2.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-27
Maturity Price : 22.98
Evaluated at bid price : 24.26
Bid-YTW : 4.37 %
BAM.PF.F FixedReset Disc 2.21 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-27
Maturity Price : 22.73
Evaluated at bid price : 23.56
Bid-YTW : 3.92 %
TRP.PR.G FixedReset Disc 2.61 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-27
Maturity Price : 22.64
Evaluated at bid price : 23.60
Bid-YTW : 3.86 %
BAM.PR.K Floater 5.41 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-27
Maturity Price : 13.25
Evaluated at bid price : 13.25
Bid-YTW : 3.26 %
Volume Highlights
Issue Index Shares
Traded		 Notes
RY.PR.M FixedReset Disc 81,900 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-27
Maturity Price : 22.83
Evaluated at bid price : 24.00
Bid-YTW : 3.38 %
RY.PR.R FixedReset Prem 52,592 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-09-23
Maturity Price : 25.00
Evaluated at bid price : 24.98
Bid-YTW : 3.37 %
TRP.PR.A FixedReset Disc 50,000 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-27
Maturity Price : 18.75
Evaluated at bid price : 18.75
Bid-YTW : 3.85 %
GWO.PR.H Insurance Straight 36,705 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-08-26
Maturity Price : 25.00
Evaluated at bid price : 25.15
Bid-YTW : 1.91 %
IFC.PR.A FixedReset Ins Non 29,900 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-27
Maturity Price : 20.79
Evaluated at bid price : 20.79
Bid-YTW : 3.13 %
PWF.PR.P FixedReset Disc 28,500 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-27
Maturity Price : 16.50
Evaluated at bid price : 16.50
Bid-YTW : 3.52 %
There were 10 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
TRP.PR.C FixedReset Disc Quote: 14.42 – 15.28
Spot Rate : 0.8600
Average : 0.5860

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-27
Maturity Price : 14.42
Evaluated at bid price : 14.42
Bid-YTW : 3.92 %
CU.PR.I FixedReset Prem Quote: 26.65 – 27.16
Spot Rate : 0.5100
Average : 0.3542

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-12-01
Maturity Price : 25.00
Evaluated at bid price : 26.65
Bid-YTW : 3.05 %
SLF.PR.E Insurance Straight Quote: 25.00 – 25.40
Spot Rate : 0.4000
Average : 0.2912

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-27
Maturity Price : 24.68
Evaluated at bid price : 25.00
Bid-YTW : 4.53 %
PWF.PR.G Perpetual-Premium Quote: 25.57 – 25.90
Spot Rate : 0.3300
Average : 0.2261

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-08-26
Maturity Price : 25.00
Evaluated at bid price : 25.57
Bid-YTW : -21.14 %
BAM.PF.G FixedReset Disc Quote: 22.25 – 22.89
Spot Rate : 0.6400
Average : 0.5678

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-27
Maturity Price : 21.87
Evaluated at bid price : 22.25
Bid-YTW : 4.01 %
IAF.PR.B Insurance Straight Quote: 25.15 – 25.45
Spot Rate : 0.3000
Average : 0.2301

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-08-26
Maturity Price : 25.00
Evaluated at bid price : 25.15
Bid-YTW : 1.43 %

Posted in Market Action | No Comments »

July 26, 2021

Monday, July 26th, 2021
HIMIPref™ Preferred Indices
These values reflect the December 2008 revision of the HIMIPref™ Indices
Values are provisional and are finalized monthly
Index Mean
Current
Yield
(at bid)		 Median
YTW		 Median
Average
Trading
Value		 Median
Mod Dur
(YTW)		 Issues Day’s Perf. Index Value
Ratchet 0.00 % 0.00 % 0 0.00 0 -1.5261 % 2,657.1
FixedFloater 0.00 % 0.00 % 0 0.00 0 -1.5261 % 4,875.6
Floater 3.27 % 3.24 % 109,080 19.13 3 -1.5261 % 2,809.9
OpRet 0.00 % 0.00 % 0 0.00 0 -0.0450 % 3,694.9
SplitShare 4.63 % 3.97 % 33,261 3.83 6 -0.0450 % 4,412.5
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.0450 % 3,442.8
Perpetual-Premium 5.19 % -11.68 % 58,313 0.09 25 -0.1104 % 3,283.0
Perpetual-Discount 4.71 % 4.69 % 93,907 15.80 8 0.0301 % 3,957.9
FixedReset Disc 4.04 % 3.48 % 137,191 18.28 40 0.1447 % 2,777.7
Insurance Straight 4.90 % 1.00 % 76,594 0.09 22 -0.0518 % 3,711.8
FloatingReset 2.88 % 3.15 % 34,406 19.35 2 -0.5020 % 2,554.2
FixedReset Prem 4.84 % 3.20 % 157,335 1.60 33 0.1253 % 2,748.2
FixedReset Bank Non 1.80 % 1.64 % 102,245 0.08 1 0.0000 % 2,901.2
FixedReset Ins Non 4.08 % 3.43 % 122,180 18.18 20 0.1107 % 2,920.2
Performance Highlights
Issue Index Change Notes
BAM.PR.K Floater -5.98 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-26
Maturity Price : 12.57
Evaluated at bid price : 12.57
Bid-YTW : 3.43 %
IFC.PR.E Insurance Straight -1.90 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-06-30
Maturity Price : 25.25
Evaluated at bid price : 25.85
Bid-YTW : 4.61 %
TRP.PR.G FixedReset Disc -1.46 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-26
Maturity Price : 22.32
Evaluated at bid price : 23.00
Bid-YTW : 3.99 %
MIC.PR.A Perpetual-Premium -1.25 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2029-03-31
Maturity Price : 25.25
Evaluated at bid price : 26.90
Bid-YTW : 4.42 %
IAF.PR.G FixedReset Ins Non -1.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-26
Maturity Price : 24.40
Evaluated at bid price : 24.81
Bid-YTW : 3.68 %
SLF.PR.J FloatingReset -1.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-26
Maturity Price : 15.10
Evaluated at bid price : 15.10
Bid-YTW : 2.61 %
RY.PR.M FixedReset Disc 1.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-26
Maturity Price : 22.61
Evaluated at bid price : 23.55
Bid-YTW : 3.46 %
TRP.PR.B FixedReset Disc 1.21 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-26
Maturity Price : 13.42
Evaluated at bid price : 13.42
Bid-YTW : 3.77 %
MFC.PR.F FixedReset Ins Non 1.33 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-26
Maturity Price : 17.55
Evaluated at bid price : 17.55
Bid-YTW : 3.22 %
BAM.PR.B Floater 1.35 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-26
Maturity Price : 13.48
Evaluated at bid price : 13.48
Bid-YTW : 3.20 %
BIP.PR.A FixedReset Disc 1.63 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-26
Maturity Price : 22.75
Evaluated at bid price : 23.75
Bid-YTW : 4.48 %
TRP.PR.C FixedReset Disc 2.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-26
Maturity Price : 14.85
Evaluated at bid price : 14.85
Bid-YTW : 3.81 %
GWO.PR.N FixedReset Ins Non 3.68 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-26
Maturity Price : 15.76
Evaluated at bid price : 15.76
Bid-YTW : 3.23 %
Volume Highlights
Issue Index Shares
Traded		 Notes
NA.PR.S FixedReset Disc 132,979 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-26
Maturity Price : 23.06
Evaluated at bid price : 24.12
Bid-YTW : 3.35 %
BAM.PR.R FixedReset Disc 30,564 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-26
Maturity Price : 18.86
Evaluated at bid price : 18.86
Bid-YTW : 4.19 %
IFC.PR.G FixedReset Ins Non 18,671 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-26
Maturity Price : 23.71
Evaluated at bid price : 25.31
Bid-YTW : 3.35 %
CU.PR.I FixedReset Prem 16,617 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-12-01
Maturity Price : 25.00
Evaluated at bid price : 26.75
Bid-YTW : 2.95 %
PWF.PR.R Perpetual-Premium 15,975 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-08-25
Maturity Price : 25.00
Evaluated at bid price : 25.55
Bid-YTW : -20.76 %
CM.PR.R FixedReset Prem 13,561 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-07-31
Maturity Price : 25.00
Evaluated at bid price : 25.53
Bid-YTW : 2.26 %
There were 2 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
TRP.PR.D FixedReset Disc Quote: 20.56 – 22.00
Spot Rate : 1.4400
Average : 0.8179

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-26
Maturity Price : 20.56
Evaluated at bid price : 20.56
Bid-YTW : 4.01 %
NA.PR.C FixedReset Prem Quote: 25.55 – 27.00
Spot Rate : 1.4500
Average : 0.8353

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-11-15
Maturity Price : 25.00
Evaluated at bid price : 25.55
Bid-YTW : 2.55 %
BAM.PR.K Floater Quote: 12.57 – 13.54
Spot Rate : 0.9700
Average : 0.6142

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-26
Maturity Price : 12.57
Evaluated at bid price : 12.57
Bid-YTW : 3.43 %
TD.PF.D FixedReset Disc Quote: 24.05 – 25.00
Spot Rate : 0.9500
Average : 0.6258

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-26
Maturity Price : 22.88
Evaluated at bid price : 24.05
Bid-YTW : 3.57 %
TRP.PR.G FixedReset Disc Quote: 23.00 – 23.80
Spot Rate : 0.8000
Average : 0.5662

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-26
Maturity Price : 22.32
Evaluated at bid price : 23.00
Bid-YTW : 3.99 %
TD.PF.J FixedReset Prem Quote: 25.05 – 25.60
Spot Rate : 0.5500
Average : 0.3196

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-26
Maturity Price : 23.67
Evaluated at bid price : 25.05
Bid-YTW : 3.50 %

Posted in Market Action | No Comments »

July 23, 2021

Saturday, July 24th, 2021
HIMIPref™ Preferred Indices
These values reflect the December 2008 revision of the HIMIPref™ Indices
Values are provisional and are finalized monthly
Index Mean
Current
Yield
(at bid)		 Median
YTW		 Median
Average
Trading
Value		 Median
Mod Dur
(YTW)		 Issues Day’s Perf. Index Value
Ratchet 0.00 % 0.00 % 0 0.00 0 0.5535 % 2,698.3
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.5535 % 4,951.2
Floater 3.22 % 3.24 % 110,602 19.13 3 0.5535 % 2,853.4
OpRet 0.00 % 0.00 % 0 0.00 0 0.0129 % 3,696.6
SplitShare 4.62 % 4.00 % 34,521 3.84 6 0.0129 % 4,414.5
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0129 % 3,444.4
Perpetual-Premium 5.19 % -13.94 % 58,249 0.09 25 -0.0233 % 3,286.6
Perpetual-Discount 4.71 % 4.78 % 95,830 15.83 8 0.1506 % 3,956.7
FixedReset Disc 4.05 % 3.51 % 137,951 18.30 40 0.1674 % 2,773.7
Insurance Straight 4.90 % 2.73 % 77,181 0.09 22 0.0286 % 3,713.8
FloatingReset 2.88 % 3.16 % 34,623 19.32 2 1.3355 % 2,567.1
FixedReset Prem 4.85 % 3.24 % 158,794 1.39 33 -0.0106 % 2,744.8
FixedReset Bank Non 1.80 % 1.49 % 102,391 0.09 1 0.0000 % 2,901.2
FixedReset Ins Non 4.09 % 3.44 % 126,852 18.17 20 0.0000 % 2,917.0
Performance Highlights
Issue Index Change Notes
BAM.PF.F FixedReset Disc -2.54 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-23
Maturity Price : 22.45
Evaluated at bid price : 23.05
Bid-YTW : 4.02 %
RY.PR.M FixedReset Disc -1.73 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-23
Maturity Price : 22.49
Evaluated at bid price : 23.31
Bid-YTW : 3.51 %
SLF.PR.G FixedReset Ins Non -1.48 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-23
Maturity Price : 15.28
Evaluated at bid price : 15.28
Bid-YTW : 3.52 %
GWO.PR.N FixedReset Ins Non -1.30 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-23
Maturity Price : 15.20
Evaluated at bid price : 15.20
Bid-YTW : 3.35 %
BMO.PR.D FixedReset Prem 1.10 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-08-25
Maturity Price : 25.00
Evaluated at bid price : 25.69
Bid-YTW : 2.50 %
PWF.PR.Z Perpetual-Premium 1.16 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2023-07-31
Maturity Price : 25.75
Evaluated at bid price : 26.20
Bid-YTW : 4.06 %
BAM.PR.K Floater 1.29 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-23
Maturity Price : 13.37
Evaluated at bid price : 13.37
Bid-YTW : 3.23 %
MIC.PR.A Perpetual-Premium 1.45 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2026-03-31
Maturity Price : 26.00
Evaluated at bid price : 27.24
Bid-YTW : 4.17 %
CU.PR.C FixedReset Disc 1.57 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-23
Maturity Price : 21.63
Evaluated at bid price : 22.02
Bid-YTW : 3.65 %
TD.PF.I FixedReset Prem 1.59 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-10-31
Maturity Price : 25.00
Evaluated at bid price : 25.55
Bid-YTW : 2.66 %
SLF.PR.J FloatingReset 2.42 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-23
Maturity Price : 15.26
Evaluated at bid price : 15.26
Bid-YTW : 2.60 %
MFC.PR.F FixedReset Ins Non 3.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-23
Maturity Price : 17.32
Evaluated at bid price : 17.32
Bid-YTW : 3.26 %
PWF.PR.P FixedReset Disc 7.30 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-23
Maturity Price : 16.47
Evaluated at bid price : 16.47
Bid-YTW : 3.52 %
BAM.PR.X FixedReset Disc 8.79 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-23
Maturity Price : 16.70
Evaluated at bid price : 16.70
Bid-YTW : 3.93 %
Volume Highlights
Issue Index Shares
Traded		 Notes
RY.PR.R FixedReset Prem 473,970 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-08-24
Maturity Price : 25.00
Evaluated at bid price : 24.98
Bid-YTW : 0.92 %
BAM.PR.X FixedReset Disc 46,060 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-23
Maturity Price : 16.70
Evaluated at bid price : 16.70
Bid-YTW : 3.93 %
SLF.PR.A Insurance Straight 34,542 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-08-22
Maturity Price : 25.00
Evaluated at bid price : 25.14
Bid-YTW : 1.57 %
BMO.PR.T FixedReset Disc 33,500 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-23
Maturity Price : 22.81
Evaluated at bid price : 23.68
Bid-YTW : 3.27 %
BAM.PR.T FixedReset Disc 24,000 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-23
Maturity Price : 19.45
Evaluated at bid price : 19.45
Bid-YTW : 4.05 %
BAM.PR.N Perpetual-Discount 19,500 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-23
Maturity Price : 24.64
Evaluated at bid price : 24.90
Bid-YTW : 4.80 %
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.E Insurance Straight Quote: 26.35 – 28.93
Spot Rate : 2.5800
Average : 1.7975

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-06-30
Maturity Price : 26.00
Evaluated at bid price : 26.35
Bid-YTW : 3.90 %
MIC.PR.A Perpetual-Premium Quote: 27.24 – 28.24
Spot Rate : 1.0000
Average : 0.6821

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2026-03-31
Maturity Price : 26.00
Evaluated at bid price : 27.24
Bid-YTW : 4.17 %
PWF.PR.E Perpetual-Premium Quote: 25.58 – 25.91
Spot Rate : 0.3300
Average : 0.2260

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-08-22
Maturity Price : 25.00
Evaluated at bid price : 25.58
Bid-YTW : -22.52 %
SLF.PR.A Insurance Straight Quote: 25.14 – 25.47
Spot Rate : 0.3300
Average : 0.2468

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-08-22
Maturity Price : 25.00
Evaluated at bid price : 25.14
Bid-YTW : 1.57 %
BAM.PF.F FixedReset Disc Quote: 23.05 – 23.68
Spot Rate : 0.6300
Average : 0.5471

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-23
Maturity Price : 22.45
Evaluated at bid price : 23.05
Bid-YTW : 4.02 %
BMO.PR.E FixedReset Prem Quote: 25.20 – 25.45
Spot Rate : 0.2500
Average : 0.1836

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-23
Maturity Price : 23.58
Evaluated at bid price : 25.20
Bid-YTW : 3.54 %

Posted in Market Action | No Comments »

July 22, 2021

Saturday, July 24th, 2021
HIMIPref™ Preferred Indices
These values reflect the December 2008 revision of the HIMIPref™ Indices
Values are provisional and are finalized monthly
Index Mean
Current
Yield
(at bid)		 Median
YTW		 Median
Average
Trading
Value		 Median
Mod Dur
(YTW)		 Issues Day’s Perf. Index Value
Ratchet 0.00 % 0.00 % 0 0.00 0 -0.5753 % 2,683.4
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.5753 % 4,924.0
Floater 3.24 % 3.26 % 114,980 19.10 3 -0.5753 % 2,837.7
OpRet 0.00 % 0.00 % 0 0.00 0 0.0322 % 3,696.1
SplitShare 4.62 % 4.00 % 35,942 3.84 6 0.0322 % 4,413.9
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0322 % 3,443.9
Perpetual-Premium 5.19 % -14.62 % 60,020 0.09 25 0.0591 % 3,287.4
Perpetual-Discount 4.72 % 4.82 % 94,206 15.79 8 0.3627 % 3,950.8
FixedReset Disc 4.05 % 3.52 % 142,482 18.27 40 -0.0169 % 2,769.1
Insurance Straight 4.90 % 2.13 % 77,616 0.09 22 0.0822 % 3,712.7
FloatingReset 2.92 % 3.18 % 36,029 19.29 2 -0.4747 % 2,533.3
FixedReset Prem 4.85 % 3.27 % 160,084 1.61 33 0.0627 % 2,745.1
FixedReset Bank Non 1.80 % 1.45 % 103,764 0.09 1 0.0000 % 2,901.2
FixedReset Ins Non 4.09 % 3.44 % 131,244 18.14 20 0.2808 % 2,917.0
Performance Highlights
Issue Index Change Notes
PWF.PR.P FixedReset Disc -7.81 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-22
Maturity Price : 15.35
Evaluated at bid price : 15.35
Bid-YTW : 3.78 %
BAM.PR.X FixedReset Disc -7.36 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-22
Maturity Price : 15.35
Evaluated at bid price : 15.35
Bid-YTW : 4.28 %
MFC.PR.F FixedReset Ins Non -3.39 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-22
Maturity Price : 16.80
Evaluated at bid price : 16.80
Bid-YTW : 3.37 %
TD.PF.I FixedReset Prem -1.33 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-22
Maturity Price : 23.87
Evaluated at bid price : 25.15
Bid-YTW : 3.75 %
BAM.PR.B Floater -1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-22
Maturity Price : 13.30
Evaluated at bid price : 13.30
Bid-YTW : 3.24 %
BMO.PR.F FixedReset Prem 1.03 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-05-25
Maturity Price : 25.00
Evaluated at bid price : 26.60
Bid-YTW : 3.04 %
CU.PR.G Perpetual-Discount 1.83 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-22
Maturity Price : 24.67
Evaluated at bid price : 25.00
Bid-YTW : 4.54 %
TRP.PR.G FixedReset Disc 2.43 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-22
Maturity Price : 22.62
Evaluated at bid price : 23.56
Bid-YTW : 3.87 %
TRP.PR.A FixedReset Disc 3.61 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-22
Maturity Price : 18.65
Evaluated at bid price : 18.65
Bid-YTW : 3.87 %
BAM.PR.R FixedReset Disc 3.72 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-22
Maturity Price : 18.96
Evaluated at bid price : 18.96
Bid-YTW : 4.17 %
GWO.PR.N FixedReset Ins Non 4.98 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-22
Maturity Price : 15.40
Evaluated at bid price : 15.40
Bid-YTW : 3.31 %
Volume Highlights
Issue Index Shares
Traded		 Notes
BAM.PF.B FixedReset Disc 25,014 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-22
Maturity Price : 22.11
Evaluated at bid price : 22.45
Bid-YTW : 3.99 %
BMO.PR.Q FixedReset Bank Non 24,200 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-08-25
Maturity Price : 25.00
Evaluated at bid price : 25.08
Bid-YTW : 1.45 %
TRP.PR.A FixedReset Disc 23,710 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-22
Maturity Price : 18.65
Evaluated at bid price : 18.65
Bid-YTW : 3.87 %
CU.PR.C FixedReset Disc 21,115 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-22
Maturity Price : 21.38
Evaluated at bid price : 21.68
Bid-YTW : 3.72 %
CU.PR.G Perpetual-Discount 20,500 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-22
Maturity Price : 24.67
Evaluated at bid price : 25.00
Bid-YTW : 4.54 %
SLF.PR.B Insurance Straight 15,200 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-08-21
Maturity Price : 25.00
Evaluated at bid price : 25.17
Bid-YTW : 0.04 %
There were 4 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
BAM.PR.X FixedReset Disc Quote: 15.35 – 16.91
Spot Rate : 1.5600
Average : 1.0206

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-22
Maturity Price : 15.35
Evaluated at bid price : 15.35
Bid-YTW : 4.28 %
PWF.PR.P FixedReset Disc Quote: 15.35 – 18.00
Spot Rate : 2.6500
Average : 2.1779

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-22
Maturity Price : 15.35
Evaluated at bid price : 15.35
Bid-YTW : 3.78 %
MFC.PR.F FixedReset Ins Non Quote: 16.80 – 17.95
Spot Rate : 1.1500
Average : 0.9226

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-22
Maturity Price : 16.80
Evaluated at bid price : 16.80
Bid-YTW : 3.37 %
SLF.PR.J FloatingReset Quote: 14.90 – 15.50
Spot Rate : 0.6000
Average : 0.3971

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-22
Maturity Price : 14.90
Evaluated at bid price : 14.90
Bid-YTW : 2.66 %
BAM.PR.T FixedReset Disc Quote: 19.30 – 19.99
Spot Rate : 0.6900
Average : 0.4922

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-22
Maturity Price : 19.30
Evaluated at bid price : 19.30
Bid-YTW : 4.08 %
TRP.PR.F FloatingReset Quote: 16.55 – 17.00
Spot Rate : 0.4500
Average : 0.2742

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-22
Maturity Price : 16.55
Evaluated at bid price : 16.55
Bid-YTW : 3.18 %

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July 21, 2021

Saturday, July 24th, 2021

PerpetualDiscounts now yield 4.82%, equivalent to 6.27% interest at the standard equivalency factor of 1.3x. Long corporates now yield 3.10%, so the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) is wider at 315bp than the 281bp reported July 7.

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 0.8323 % 2,699.0
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.8323 % 4,952.4
Floater 3.22 % 3.25 % 115,883 19.13 3 0.8323 % 2,854.1
OpRet 0.00 % 0.00 % 0 0.00 0 0.0000 % 3,694.9
SplitShare 4.63 % 3.99 % 36,144 3.84 6 0.0000 % 4,412.5
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0000 % 3,442.8
Perpetual-Premium 5.19 % -13.92 % 60,466 0.09 25 0.0903 % 3,285.4
Perpetual-Discount 4.74 % 4.82 % 94,735 15.80 8 -0.0352 % 3,936.5
FixedReset Disc 4.05 % 3.53 % 147,755 18.28 40 0.3880 % 2,769.5
Insurance Straight 4.91 % 2.46 % 78,473 0.09 22 -0.0625 % 3,709.6
FloatingReset 2.90 % 3.18 % 36,116 19.29 2 -0.1580 % 2,545.4
FixedReset Prem 4.85 % 3.28 % 166,368 1.39 33 0.1030 % 2,743.4
FixedReset Bank Non 1.80 % 1.40 % 96,075 0.10 1 0.0000 % 2,901.2
FixedReset Ins Non 4.10 % 3.46 % 136,560 18.18 20 0.1286 % 2,908.8
Performance Highlights
Issue Index Change Notes
GWO.PR.N FixedReset Ins Non -5.35 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-21
Maturity Price : 14.67
Evaluated at bid price : 14.67
Bid-YTW : 3.47 %
BAM.PR.R FixedReset Disc -3.84 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-21
Maturity Price : 18.28
Evaluated at bid price : 18.28
Bid-YTW : 4.32 %
TRP.PR.G FixedReset Disc -1.84 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-21
Maturity Price : 22.31
Evaluated at bid price : 23.00
Bid-YTW : 3.98 %
IFC.PR.A FixedReset Ins Non -1.65 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-21
Maturity Price : 20.80
Evaluated at bid price : 20.80
Bid-YTW : 3.13 %
IFC.PR.E Insurance Straight -1.44 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-06-30
Maturity Price : 25.25
Evaluated at bid price : 26.10
Bid-YTW : 4.32 %
BAM.PR.K Floater 1.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-21
Maturity Price : 13.29
Evaluated at bid price : 13.29
Bid-YTW : 3.25 %
TRP.PR.D FixedReset Disc 1.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-21
Maturity Price : 20.60
Evaluated at bid price : 20.60
Bid-YTW : 3.99 %
TD.PF.D FixedReset Disc 1.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-21
Maturity Price : 22.90
Evaluated at bid price : 24.11
Bid-YTW : 3.56 %
MIC.PR.A Perpetual-Premium 1.39 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2029-03-31
Maturity Price : 25.25
Evaluated at bid price : 27.00
Bid-YTW : 4.35 %
MFC.PR.L FixedReset Ins Non 1.51 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-21
Maturity Price : 22.35
Evaluated at bid price : 22.84
Bid-YTW : 3.35 %
BAM.PF.F FixedReset Disc 2.43 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-21
Maturity Price : 22.76
Evaluated at bid price : 23.61
Bid-YTW : 3.91 %
TRP.PR.A FixedReset Disc 5.26 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-21
Maturity Price : 18.00
Evaluated at bid price : 18.00
Bid-YTW : 4.01 %
MFC.PR.F FixedReset Ins Non 6.95 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-21
Maturity Price : 17.39
Evaluated at bid price : 17.39
Bid-YTW : 3.25 %
PWF.PR.P FixedReset Disc 8.47 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-21
Maturity Price : 16.65
Evaluated at bid price : 16.65
Bid-YTW : 3.48 %
Volume Highlights
Issue Index Shares
Traded		 Notes
CM.PR.P FixedReset Disc 107,000 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-21
Maturity Price : 22.84
Evaluated at bid price : 23.85
Bid-YTW : 3.27 %
CM.PR.R FixedReset Prem 73,199 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-07-31
Maturity Price : 25.00
Evaluated at bid price : 25.37
Bid-YTW : 2.86 %
MFC.PR.K FixedReset Ins Non 62,400 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-21
Maturity Price : 23.51
Evaluated at bid price : 23.81
Bid-YTW : 3.33 %
SLF.PR.A Insurance Straight 40,750 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-08-20
Maturity Price : 25.00
Evaluated at bid price : 25.15
Bid-YTW : 0.77 %
CU.PR.C FixedReset Disc 32,800 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-21
Maturity Price : 21.39
Evaluated at bid price : 21.69
Bid-YTW : 3.72 %
CM.PR.S FixedReset Disc 24,610 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-21
Maturity Price : 24.34
Evaluated at bid price : 24.65
Bid-YTW : 3.39 %
There were 7 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
GWO.PR.N FixedReset Ins Non Quote: 14.67 – 16.10
Spot Rate : 1.4300
Average : 1.1104

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-21
Maturity Price : 14.67
Evaluated at bid price : 14.67
Bid-YTW : 3.47 %
TRP.PR.E FixedReset Disc Quote: 20.30 – 21.10
Spot Rate : 0.8000
Average : 0.5848

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-21
Maturity Price : 20.30
Evaluated at bid price : 20.30
Bid-YTW : 4.02 %
EIT.PR.B SplitShare Quote: 26.05 – 27.05
Spot Rate : 1.0000
Average : 0.8066

YTW SCENARIO
Maturity Type : Soft Maturity
Maturity Date : 2025-03-14
Maturity Price : 25.00
Evaluated at bid price : 26.05
Bid-YTW : 3.72 %
BAM.PR.R FixedReset Disc Quote: 18.28 – 18.97
Spot Rate : 0.6900
Average : 0.5105

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-21
Maturity Price : 18.28
Evaluated at bid price : 18.28
Bid-YTW : 4.32 %
CM.PR.Y FixedReset Prem Quote: 26.00 – 26.50
Spot Rate : 0.5000
Average : 0.3441

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-07-31
Maturity Price : 25.00
Evaluated at bid price : 26.00
Bid-YTW : 3.73 %
TRP.PR.B FixedReset Disc Quote: 13.23 – 13.95
Spot Rate : 0.7200
Average : 0.5714

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-21
Maturity Price : 13.23
Evaluated at bid price : 13.23
Bid-YTW : 3.82 %

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July 20, 2021

Saturday, July 24th, 2021
HIMIPref™ Preferred Indices
These values reflect the December 2008 revision of the HIMIPref™ Indices
Values are provisional and are finalized monthly
Index Mean
Current
Yield
(at bid)		 Median
YTW		 Median
Average
Trading
Value		 Median
Mod Dur
(YTW)		 Issues Day’s Perf. Index Value
Ratchet 0.00 % 0.00 % 0 0.00 0 -0.2767 % 2,676.7
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.2767 % 4,911.6
Floater 3.24 % 3.28 % 119,941 19.05 3 -0.2767 % 2,830.6
OpRet 0.00 % 0.00 % 0 0.00 0 0.2711 % 3,694.9
SplitShare 4.63 % 3.99 % 37,525 3.85 6 0.2711 % 4,412.5
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.2711 % 3,442.8
Perpetual-Premium 5.19 % -13.75 % 61,337 0.09 25 0.0966 % 3,282.4
Perpetual-Discount 4.73 % 4.83 % 98,012 15.79 8 0.1715 % 3,937.9
FixedReset Disc 4.07 % 3.54 % 144,330 18.22 40 0.0643 % 2,758.8
Insurance Straight 4.90 % 1.49 % 79,144 0.09 22 0.2470 % 3,712.0
FloatingReset 2.90 % 3.17 % 37,452 19.30 2 -0.7837 % 2,549.4
FixedReset Prem 4.86 % 3.34 % 168,899 1.61 33 0.1245 % 2,740.5
FixedReset Bank Non 1.80 % 1.36 % 89,368 0.10 1 0.0399 % 2,901.2
FixedReset Ins Non 4.10 % 3.48 % 129,693 18.18 20 0.1026 % 2,905.1
Performance Highlights
Issue Index Change Notes
TRP.PR.A FixedReset Disc -7.57 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-20
Maturity Price : 17.10
Evaluated at bid price : 17.10
Bid-YTW : 4.22 %
PWF.PR.P FixedReset Disc -4.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-20
Maturity Price : 15.35
Evaluated at bid price : 15.35
Bid-YTW : 3.77 %
SLF.PR.J FloatingReset -1.63 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-20
Maturity Price : 15.10
Evaluated at bid price : 15.10
Bid-YTW : 2.63 %
MFC.PR.N FixedReset Ins Non 1.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-20
Maturity Price : 22.42
Evaluated at bid price : 23.08
Bid-YTW : 3.44 %
TRP.PR.B FixedReset Disc 1.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-20
Maturity Price : 13.15
Evaluated at bid price : 13.15
Bid-YTW : 3.84 %
BIP.PR.A FixedReset Disc 1.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-20
Maturity Price : 22.49
Evaluated at bid price : 23.25
Bid-YTW : 4.59 %
BAM.PF.G FixedReset Disc 1.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-20
Maturity Price : 21.94
Evaluated at bid price : 22.35
Bid-YTW : 3.99 %
IFC.PR.F Insurance Straight 1.43 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-09-30
Maturity Price : 25.25
Evaluated at bid price : 26.25
Bid-YTW : 4.31 %
IFC.PR.E Insurance Straight 1.46 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-06-30
Maturity Price : 26.00
Evaluated at bid price : 26.48
Bid-YTW : 3.33 %
TD.PF.I FixedReset Prem 2.20 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-10-31
Maturity Price : 25.00
Evaluated at bid price : 25.60
Bid-YTW : 2.48 %
Volume Highlights
Issue Index Shares
Traded		 Notes
PWF.PR.R Perpetual-Premium 207,600 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-08-19
Maturity Price : 25.00
Evaluated at bid price : 25.51
Bid-YTW : -20.03 %
TRP.PR.D FixedReset Disc 85,560 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-20
Maturity Price : 20.37
Evaluated at bid price : 20.37
Bid-YTW : 4.04 %
MFC.PR.K FixedReset Ins Non 60,400 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-20
Maturity Price : 23.50
Evaluated at bid price : 23.80
Bid-YTW : 3.33 %
CM.PR.S FixedReset Disc 52,510 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-20
Maturity Price : 24.34
Evaluated at bid price : 24.65
Bid-YTW : 3.39 %
RY.PR.S FixedReset Prem 37,150 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-20
Maturity Price : 23.53
Evaluated at bid price : 25.22
Bid-YTW : 3.27 %
IFC.PR.G FixedReset Ins Non 27,600 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-20
Maturity Price : 23.69
Evaluated at bid price : 25.25
Bid-YTW : 3.36 %
There were 10 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
PWF.PR.P FixedReset Disc Quote: 15.35 – 18.00
Spot Rate : 2.6500
Average : 2.0003

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-20
Maturity Price : 15.35
Evaluated at bid price : 15.35
Bid-YTW : 3.77 %
TRP.PR.A FixedReset Disc Quote: 17.10 – 18.48
Spot Rate : 1.3800
Average : 0.8649

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-20
Maturity Price : 17.10
Evaluated at bid price : 17.10
Bid-YTW : 4.22 %
EIT.PR.B SplitShare Quote: 26.05 – 27.05
Spot Rate : 1.0000
Average : 0.5945

YTW SCENARIO
Maturity Type : Soft Maturity
Maturity Date : 2025-03-14
Maturity Price : 25.00
Evaluated at bid price : 26.05
Bid-YTW : 3.71 %
BIP.PR.A FixedReset Disc Quote: 23.25 – 24.70
Spot Rate : 1.4500
Average : 1.0535

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-20
Maturity Price : 22.49
Evaluated at bid price : 23.25
Bid-YTW : 4.59 %
TD.PF.D FixedReset Disc Quote: 23.82 – 25.00
Spot Rate : 1.1800
Average : 0.7869

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-20
Maturity Price : 22.77
Evaluated at bid price : 23.82
Bid-YTW : 3.62 %
MFC.PR.F FixedReset Ins Non Quote: 16.26 – 17.78
Spot Rate : 1.5200
Average : 1.1813

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-20
Maturity Price : 16.26
Evaluated at bid price : 16.26
Bid-YTW : 3.48 %

Posted in Market Action | No Comments »

July 19, 2021

Saturday, July 24th, 2021
HIMIPref™ Preferred Indices
These values reflect the December 2008 revision of the HIMIPref™ Indices
Values are provisional and are finalized monthly
Index Mean
Current
Yield
(at bid)		 Median
YTW		 Median
Average
Trading
Value		 Median
Mod Dur
(YTW)		 Issues Day’s Perf. Index Value
Ratchet 0.00 % 0.00 % 0 0.00 0 -1.6085 % 2,684.1
FixedFloater 0.00 % 0.00 % 0 0.00 0 -1.6085 % 4,925.2
Floater 3.24 % 3.26 % 121,705 19.10 3 -1.6085 % 2,838.4
OpRet 0.00 % 0.00 % 0 0.00 0 -0.2254 % 3,684.9
SplitShare 4.64 % 4.04 % 38,023 3.85 6 -0.2254 % 4,400.6
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.2254 % 3,433.5
Perpetual-Premium 5.20 % -13.38 % 63,865 0.09 25 -0.0794 % 3,279.3
Perpetual-Discount 4.74 % 4.83 % 97,350 15.79 8 -0.0454 % 3,931.1
FixedReset Disc 4.07 % 3.54 % 150,057 18.24 40 -0.8017 % 2,757.0
Insurance Straight 4.92 % 2.57 % 79,573 0.09 22 -0.1858 % 3,702.8
FloatingReset 2.88 % 3.17 % 37,006 19.30 2 -1.1772 % 2,569.5
FixedReset Prem 4.86 % 3.51 % 173,372 2.50 33 0.0130 % 2,737.1
FixedReset Bank Non 1.80 % 1.72 % 89,048 0.10 1 0.1598 % 2,900.1
FixedReset Ins Non 4.11 % 3.50 % 134,104 18.18 20 -0.4605 % 2,902.1
Performance Highlights
Issue Index Change Notes
MFC.PR.F FixedReset Ins Non -7.67 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-19
Maturity Price : 16.25
Evaluated at bid price : 16.25
Bid-YTW : 3.48 %
PWF.PR.P FixedReset Disc -5.94 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-19
Maturity Price : 16.00
Evaluated at bid price : 16.00
Bid-YTW : 3.62 %
TRP.PR.C FixedReset Disc -3.87 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-19
Maturity Price : 14.42
Evaluated at bid price : 14.42
Bid-YTW : 3.92 %
TRP.PR.B FixedReset Disc -3.63 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-19
Maturity Price : 13.01
Evaluated at bid price : 13.01
Bid-YTW : 3.88 %
BIP.PR.A FixedReset Disc -3.36 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-19
Maturity Price : 22.35
Evaluated at bid price : 23.00
Bid-YTW : 4.65 %
BAM.PF.F FixedReset Disc -2.54 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-19
Maturity Price : 22.45
Evaluated at bid price : 23.05
Bid-YTW : 4.02 %
SLF.PR.G FixedReset Ins Non -2.50 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-19
Maturity Price : 15.60
Evaluated at bid price : 15.60
Bid-YTW : 3.45 %
BAM.PR.X FixedReset Disc -2.42 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-19
Maturity Price : 16.50
Evaluated at bid price : 16.50
Bid-YTW : 3.98 %
TRP.PR.G FixedReset Disc -2.39 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-19
Maturity Price : 22.45
Evaluated at bid price : 23.25
Bid-YTW : 3.93 %
TRP.PR.E FixedReset Disc -2.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-19
Maturity Price : 20.15
Evaluated at bid price : 20.15
Bid-YTW : 4.05 %
TRP.PR.F FloatingReset -1.95 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-19
Maturity Price : 16.55
Evaluated at bid price : 16.55
Bid-YTW : 3.17 %
GWO.PR.N FixedReset Ins Non -1.89 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-19
Maturity Price : 15.60
Evaluated at bid price : 15.60
Bid-YTW : 3.26 %
TRP.PR.D FixedReset Disc -1.88 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-19
Maturity Price : 20.32
Evaluated at bid price : 20.32
Bid-YTW : 4.05 %
BAM.PR.C Floater -1.85 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-19
Maturity Price : 13.24
Evaluated at bid price : 13.24
Bid-YTW : 3.26 %
BAM.PF.G FixedReset Disc -1.69 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-19
Maturity Price : 21.76
Evaluated at bid price : 22.10
Bid-YTW : 4.04 %
BAM.PR.B Floater -1.62 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-19
Maturity Price : 13.40
Evaluated at bid price : 13.40
Bid-YTW : 3.22 %
BAM.PF.E FixedReset Disc -1.51 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-19
Maturity Price : 20.93
Evaluated at bid price : 20.93
Bid-YTW : 4.09 %
IFC.PR.C FixedReset Ins Non -1.46 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-19
Maturity Price : 23.24
Evaluated at bid price : 24.28
Bid-YTW : 3.51 %
IFC.PR.F Insurance Straight -1.41 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-09-30
Maturity Price : 25.25
Evaluated at bid price : 25.88
Bid-YTW : 4.69 %
BAM.PR.K Floater -1.35 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-19
Maturity Price : 13.12
Evaluated at bid price : 13.12
Bid-YTW : 3.29 %
CM.PR.P FixedReset Disc -1.24 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-19
Maturity Price : 22.81
Evaluated at bid price : 23.80
Bid-YTW : 3.28 %
TD.PF.I FixedReset Prem -1.18 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-19
Maturity Price : 23.83
Evaluated at bid price : 25.05
Bid-YTW : 3.76 %
BIP.PR.E FixedReset Prem -1.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-19
Maturity Price : 23.69
Evaluated at bid price : 25.06
Bid-YTW : 4.95 %
TD.PF.M FixedReset Prem 1.01 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-07-31
Maturity Price : 25.00
Evaluated at bid price : 26.11
Bid-YTW : 3.51 %
NA.PR.S FixedReset Disc 1.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-19
Maturity Price : 23.00
Evaluated at bid price : 24.00
Bid-YTW : 3.36 %
TD.PF.L FixedReset Prem 1.31 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-04-30
Maturity Price : 25.00
Evaluated at bid price : 26.23
Bid-YTW : 3.28 %
TD.PF.B FixedReset Disc 1.46 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-19
Maturity Price : 22.78
Evaluated at bid price : 23.61
Bid-YTW : 3.28 %
NA.PR.C FixedReset Prem 1.60 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-11-15
Maturity Price : 25.00
Evaluated at bid price : 25.41
Bid-YTW : 2.94 %
SLF.PR.H FixedReset Ins Non 3.69 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-19
Maturity Price : 22.46
Evaluated at bid price : 23.35
Bid-YTW : 3.12 %
Volume Highlights
Issue Index Shares
Traded		 Notes
TD.PF.H FixedReset Prem 63,100 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-10-31
Maturity Price : 25.00
Evaluated at bid price : 25.18
Bid-YTW : 1.75 %
IFC.PR.C FixedReset Ins Non 45,087 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-19
Maturity Price : 23.24
Evaluated at bid price : 24.28
Bid-YTW : 3.51 %
NA.PR.A FixedReset Prem 39,704 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-09-14
Maturity Price : 25.00
Evaluated at bid price : 24.97
Bid-YTW : 3.64 %
CM.PR.P FixedReset Disc 32,100 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-19
Maturity Price : 22.81
Evaluated at bid price : 23.80
Bid-YTW : 3.28 %
BMO.PR.C FixedReset Prem 30,221 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-05-25
Maturity Price : 25.00
Evaluated at bid price : 25.58
Bid-YTW : 2.52 %
TD.PF.L FixedReset Prem 26,730 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-04-30
Maturity Price : 25.00
Evaluated at bid price : 26.23
Bid-YTW : 3.28 %
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.P FixedReset Disc Quote: 16.00 – 18.00
Spot Rate : 2.0000
Average : 1.2879

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-19
Maturity Price : 16.00
Evaluated at bid price : 16.00
Bid-YTW : 3.62 %
MFC.PR.F FixedReset Ins Non Quote: 16.25 – 17.60
Spot Rate : 1.3500
Average : 0.8100

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-19
Maturity Price : 16.25
Evaluated at bid price : 16.25
Bid-YTW : 3.48 %
IFC.PR.F Insurance Straight Quote: 25.88 – 27.00
Spot Rate : 1.1200
Average : 0.7705

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-09-30
Maturity Price : 25.25
Evaluated at bid price : 25.88
Bid-YTW : 4.69 %
BAM.PR.T FixedReset Disc Quote: 19.20 – 19.99
Spot Rate : 0.7900
Average : 0.5233

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-19
Maturity Price : 19.20
Evaluated at bid price : 19.20
Bid-YTW : 4.10 %
TRP.PR.B FixedReset Disc Quote: 13.01 – 13.95
Spot Rate : 0.9400
Average : 0.7467

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-19
Maturity Price : 13.01
Evaluated at bid price : 13.01
Bid-YTW : 3.88 %
BAM.PF.F FixedReset Disc Quote: 23.05 – 23.60
Spot Rate : 0.5500
Average : 0.4121

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-19
Maturity Price : 22.45
Evaluated at bid price : 23.05
Bid-YTW : 4.02 %

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